250803.mbx

250803.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, August 3, 2025, Vol. 29, No. 214 Headlines ALLEGRO CLO XIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes AMERICAN CREDIT 2024-3: S&P Affirms BB-(sf) Rating on Cl. E Notes AMERICAN CREDIT 2025-3: S&P Assigns BB- (sf) Rating on Cl. E Notes ANCHORAGE CREDIT 13: Moody's Upgrades Rating on 2 Tranches to Ba1 ANTHELION CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Debt ARES LXVIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ARES LXVIII: S&P Affirms B- (sf) Rating on Class F Notes AUXILIOR TERM 2024-1: Moody's Hikes Rating on Class E Notes to Ba2 BARINGS CLO 2025-IV: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes BARINGS MIDDLE 2023-II: S&P Assigns B-(sf) Rating on Cl. E-R Notes BBCMS 2025-C35: Fitch Assigns 'B-sf' Final Rating on Cl. J-RR Certs BENEFIT STREET 41: S&P Assigns BB- (sf) Rating on Class E Notes BHG SECURITIZATION 2025-2CON: Fitch Gives BB(EXP) Rating on E Notes BLACK DIAMOND 2021-1: Moody's Assigns Ba3 Rating to $18MM D-R Notes BRANT POINT 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes BRANT POINT 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BRANT POINT 2025-7: Fitch Assigns 'BB-sf' Rating on Class E Notes BRIDGECREST LENDING 2025-3: S&P Assigns BB (sf) Rating on E Notes BRYANT PARK 2025-27: S&P Assigns Prelim BB- (sf) Rating on E Notes CARLYLE US 2021-9: Moody's Assigns Ba3 Rating to $27MM E-R Notes CARLYLE US 2023-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARLYLE US 2025-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes CATHEDRAL LAKE VIII: S&P Cuts Class D-J Notes Rating to 'BB+ (sf)' CBAM 2021-14: S&P Lowers Class E Notes Rating to 'B+ (sf)' CIFC FUNDING 2013-IV: Moody's Ups Rating on $26MM E-R2 Notes to Ba2 CITIGROUP 2015-GC31: Moody's Cuts Rating on Cl. A-S Certs to Ba2 CITIGROUP 2016-C1: Fitch Affirms B- Rating on Class F Debt COLT 2025-8: S&P Assigns B (sf) Rating on Class B-2 Certs COLT 2025-8: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs COMM 2014-CCRE16: Fitch Lowers Rating on Class D Certs to 'CCCsf' COMM 2014-CCRE17: Moody's Lowers Rating on Cl. C Certs to B1 CTM CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes DRYDEN 130: S&P Assigns Prelim BB- (sf) Rating on Class E Notes DRYDEN 86: S&P Affirms BB- (sf) Rating on Class E-R Notes EFMT 2025-CES4: Fitch Assigns 'Bsf' Rating on Class B-2 Certs EXETER SELECT 2025-2: S&P Assigns BB (sf) Rating on Class E Notes FALCON 2019-1: Fitch Hikes Rating on Series C Notes to 'BBsf' FLATIRON CLO 32: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes GOLUB 41(B)-R2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes GREENSKY HOME 2025-2: Fitch Assigns 'BBsf' Rating on Class E Notes GS MORTGAGE 2014-GC26: Fitch Lowers Rating on Two Tranches to 'Bsf' GS MORTGAGE 2017-GS5: Fitch Lowers Rating on Two Tranches to BB-sf GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Class E Notes HARVEST US 2025-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes HPS LOAN 2025-26: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes JP MORGAN 2025-CES3: S&P Assigns Prelim 'B' Rating on B-2 Notes JP MORGAN 2025-HE2: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Certs JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on EC Certs to B1 KKR CLO 17: Moody's Cuts Rating on $33.6MM Class E-R Notes to B1 MADISON PARK LXII: Fitch Gives 'BBsf' Rating on Class E-R2 Notes MADISON PARK LXII: Moody's Assigns B3 Rating to $250,000 F-R2 Notes MADISON PARK LXV: Fitch Assigns 'BB+sf' Rating on Class E Notes MAGNETITE LIMITED XX: Moody's Ups Rating on $8MM Cl. F Notes to B2 MASTR ASSET 2005-WF1: Moody's Ups Rating on Cl. M-9 Certs to Caa1 MCF CLO VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes MFA TRUST 2025-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on B2 Debt MMP CAPITAL 2025-A: Moody's Assigns Ba3 Rating to Class C Notes MORGAN STANLEY 2025-DSC2: S&P Assigns B (sf) Rating on B-2 Notes MP CLO VIII: Moody's Cuts Rating on $19MM Class E-RR Notes to B1 NATIONAL COLLEGIATE 2006-3: S&P Affirms 'BB+' Rating on A-5 Notes NAVESINK CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes NEUBERGER BERMAN 61: Fitch Assigns 'BB+sf' Rating on Class E Notes NEW RESIDENTIAL 2025-NQM4: S&P Assigns B- (sf) Rating on B-2 Notes NEWARK BSL 1: Moody's Affirms Ba3 Rating on $20MM Class D-R Notes NMEF FUNDING 2024-A: Moody's Raises Rating on Class D Notes to Ba1 NOMURA CRE 2007-2: Moody's Withdraws 'C' Rating on 10 Tranches NORTH COVE III: Moody's Rates $2.7BB Unfunded 2045 Notes 'Ca(sf)' NYC COMMERCIAL 2025-300P: Moody's Assigns Ba3 Rating to Cl. E Certs OBX TRUST 2025-SR1: Fitch Assigns 'BB-sf' Rating on Class A2 Bonds OCP CLO 2025-44: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OCTAGON INVESTMENT 50: S&P Cuts Class E-R Notes Rating to 'B (sf)' PIKES PEAK 19: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes PIKES PEAK 9: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes PIKES PEAK 9: Fitch Assigns 'BB-sf' Rating on Class E-R Notes PKHL COMMERCIAL 2021-MF: S&P Lowers D Certs Rating to 'CCC (sf)' PPM CLO 3: Moody's Lowers Rating on $20MM Class E-R Notes to B1 PROVIDENT FUNDING 2025-3: Moody's Assigns B2 Rating to B-5 Certs PRPM TRUST 2025-NQM3: Moody's Assigns B3 Rating to Cl. B-2 Certs RAD CLO 12: Fitch Assigns 'BB-sf' Rating on Class D-R Notes RADIAN MORTGAGE 2025-J3: Fitch Assigns Bsf Rating on Cl. B-5 Certs RCKT MORTGAGE 2025-CES7: Fitch Assigns 'Bsf' Rating on Six Tranches RCKTL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes REALT 2015-1: Fitch Affirms Bsf Rating on Class G Debt REALT 2019-1: Fitch Lowers Rating on Two Tranches to 'B-sf' SARANAC CLO VIII: Moody's Cuts Rating on $19MM Class E Notes to B2 SEQUOIA MORTGAGE 2025-7: Fitch Assigns Bsf Rating on Cl. B-5 Certs SHACKLETON 2015-VII-R: Moody's Affirms Ba3 Rating on Class E Notes SIERRA TIMESHARE 2025-2: Fitch Assigns 'BBsf' Rating on Cl. D Notes SIXTH STREET 30: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes SKYBOX CDO: Moody's Ups Rating on $604MM Senior Swap Notes to Ca SYMPHONY CLO 34-PS: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes SYMPHONY CLO XXVI: S&P Lowers Class E-R Notes Rating to 'B- (sf)' TCI-FLATIRON 2018-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes TRALEE CLO VI: S&P Lowers Class E Notes Rating to 'B (sf)' TRINITAS CLO XXXII: S&P Assigns Prelim BB- (sf) Rating on E Notes VERUS SECURITIZATION 2025-R1: S&P Assigns 'B' Rating on B-2 Notes WELLFLEET CLO 2020-2: S&P Lowers Cl. E-R Notes Rating to 'B (sf)' WELLS FARGO 2017-C41: Fitch Lowers Rating on Cl. F-RR Certs to Bsf WELLS FARGO 2025-AGLN: Fitch Assigns BB-sf Rating on Cl. HRR Certs [] Moody's Takes Rating Action on 10 Bonds from 4 US RMBS Deals [] Moody's Takes Rating Action on 19 Bonds from 12 US RMBS Deals [] Moody's Takes Rating Action on 26 Bonds From 8 US RMBS Deals [] Moody's Takes Rating Action on 6 Bonds from 5 US RMBS Deals [] Moody's Upgrades Ratings on 11 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 15 Bonds from 12 US RMBS Deals [] Moody's Upgrades Ratings on 22 Bonds from 12 US RMBS Deals [] Moody's Upgrades Ratings on 53 Bonds from 9 US RMBS Deals ********* ALLEGRO CLO XIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO XIII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Allegro CLO XIII, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT A+sf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating X-R LT NRsf New Rating Transaction Summary Allegro CLO XIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. that originally closed in June 2021. This the first reset where the existing secured notes will be refinanced in whole on July 30, 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.79% first lien senior secured loans and has a weighted average recovery assumption of 74.1%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 Allegro CLO XIII, 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. AMERICAN CREDIT 2024-3: S&P Affirms BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on 12 classes and affirmed its ratings on five classes of notes from four American Credit Acceptance Receivables Trust (ACAR) transactions. These ABS transactions are backed by subprime retail auto loan receivables originated and serviced by American Credit Acceptance LLC (ACA). The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. Overall, ACAR 2023-3, 2023-4, 2024-2, and 2024-3 are performing in line or better than S&P's initial or prior CNL expectations, and, as such, its expected CNLs are either unchanged or lowered. Table 1 Collateral performance (%)(i) Pool CNL Series Mo. Factor Current Extensions 60+ day delinq. 2023-3 23 43.61 19.28 3.71 8.99 2023-4 20 50.43 15.78 3.57 8.63 2024-2 14 62.37 10.94 3.96 8.48 2024-3 11 171.96 7.82 3.20 7.78 (i)As of the July 2025 distribution date. Mo.--Month. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL expectations (%) Series Original Previous Revised lifetime lifetime lifetime CNL exp. CNL exp. CNL exp.(i) 2023-3 27.25 27.25(ii) 27.25 2023-4 27.25 27.25(iii) 26.75 2024-2 27.25 N/A 26.75 2024-3 27.25 N/A 26.75 (i)As of July 2025. (ii)Revised in August 2024. (iii)As of November 2024. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of overcollateralization, a non-amortizing reserve account, subordination for the more senior classes, and excess spread. As of the July 2025 distribution date, each transaction is at its specified target overcollateralization level and specified reserve level. Each transactions' hard credit enhancement as a percentage of the amortizing pool balance (as of the collection period ended June 30, 2025) has increased since issuance. Table 3 Hard credit support(i) Series Class Total hard Current total hard credit support credit support at issuance (%) (% of current) 2023-3 C 38.40 72.42 2023-3 D 24.90 41.47 2023-3 E 17.30 24.04 2023-4 B 55.80 97.46 2023-4 C 40.80 67.71 2023-4 D 25.80 37.97 2023-4 E 19.25 24.98 2024-2 A 63.25 97.72 2024-2 B 54.70 84.01 2024-2 C 38.55 58.12 2024-2 D 24.50 35.60 2024-2 E 16.80 23.25 2024-3 A 63.20 89.29 2024-3 B 54.70 77.48 2024-3 C 38.10 54.41 2024-3 D 24.40 35.37 2024-3 E 16.50 24.39 (i)As of the July 2025 distribution date. Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone--without credit to the expected excess spread--was sufficient, in our view, to raise the ratings or affirm them at 'AAA (sf)'. For other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted a sensitivity analysis for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended June 30, 2025 (the July 2025 distribution date). "We will continue to monitor the performance of all the outstanding transactions to ensure credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." Ratings Raised American Credit Acceptance Receivables Trust 2023-3 Class C to 'AAA (sf)' from 'AA- (sf)' Class D to 'AA- (sf)' from 'BBB (sf)' Class E to 'BBB (sf)' from 'BB- (sf)' American Credit Acceptance Receivables Trust 2023-4 Class C to 'AAA (sf)' from 'AA- (sf)' Class D to 'A (sf)' from 'BBB (sf)' Class E to 'BBB- (sf)' from 'BB- (sf)' American Credit Acceptance Receivables Trust 2024-2 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA+ (sf)' from 'A (sf)' Class D to 'BBB+ (sf)' from 'BBB (sf)' American Credit Acceptance Receivables Trust 2024-3 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA+ (sf)' from 'A (sf)' Class D to 'BBB+ (sf)' from 'BBB (sf)' Ratings Affirmed American Credit Acceptance Receivables Trust 2023-4 Class B: AAA (sf) American Credit Acceptance Receivables Trust 2024-2 Class A: AAA (sf) Class E: BB- (sf) American Credit Acceptance Receivables Trust 2024-3 Class A: AAA (sf) Class E: BB- (sf) AMERICAN CREDIT 2025-3: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 63.75%, 57.08%, 47.09%, 38.24%, and 33.54%, credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of our expected cumulative net loss of 26.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and 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 American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2025-3 Class A, $239.4 million: AAA (sf) Class B, $51.0 million: AA (sf) Class C, $93.0 million: A (sf) Class D, $83.1 million: BBB (sf) Class E, $52.5 million: BB- (sf) ANCHORAGE CREDIT 13: Moody's Upgrades Rating on 2 Tranches to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 13, Ltd.: US$59.63M Class B-1 Senior Secured Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Jul 7, 2021 Definitive Rating Assigned Aa3 (sf) US$23.85M Class B-2 Senior Secured Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Jul 7, 2021 Assigned Aa3 (sf) US$25.88M Class C-1 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa3 (sf); previously on Jul 7, 2021 Definitive Rating Assigned A3 (sf) US$10.35M Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa3 (sf); previously on Jul 7, 2021 Assigned A3 (sf) US$20.25M Class D-1 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to A3 (sf); previously on Jul 7, 2021 Definitive Rating Assigned Baa3 (sf) US$8.1M Class D-2 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to A3 (sf); previously on Jul 7, 2021 Assigned Baa3 (sf) US$34.88M Class E-1 Junior Secured Deferrable Fixed Rate Notes, Upgraded to Ba1 (sf); previously on Jul 7, 2021 Definitive Rating Assigned Ba3 (sf) US$13.95M Class E-2 Junior Secured Deferrable Fixed Rate Notes, Upgraded to Ba1 (sf); previously on Jul 7, 2021 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$219.38M Class A-1 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jul 7, 2021 Definitive Rating Assigned Aaa (sf) US$87.75M Class A-2 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jul 7, 2021 Assigned Aaa (sf) Anchorage Credit Funding 13, Ltd., issued in July 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The portfolio is managed by Anchorage Capital Group, L.L.C.. The transaction's reinvestment period will end in July 2026. RATINGS RATIONALE The rating upgrades on the Class B-1, Class B-2, Class C-1, Class C-2, Class D-1, Class D-2, Class E-1 and Class E-2 notes are primarily a result of a shorter weighted average life of the portfolio which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the deal will be exiting its reinvestment period in July 2026, which increases the likelihood that the deal will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposure to approximately 38% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.35%. Moody's also noted that based on Moody's calculations, the deal has a significantly lower weighted average rating factor of 2701, compared to its current covenant of 3450. The affirmations on the ratings on the Class A-1 and Class A-2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CBO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD608.3m Defaulted Securities: USD18.7m Diversity Score: 68 Weighted Average Rating Factor (WARF): 3450 Weighted Average Life (WAL): 6.72 years Weighted Average Spread (WAS): 4.35% Weighted Average Coupon (WAC): 5.54% Weighted Average Recovery Rate (WARR): 34.80% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CBO 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: -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- 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. -- Other collateral quality metrics: Because the deal can reinvest, the manager can erode the collateral quality metrics' buffers against the covenant levels. Moody's analysed the impact of assuming the worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon and diversity score. 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. ANTHELION CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Debt ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Anthelion CLO 2025-1 Ltd. Entity/Debt Rating ----------- ------ Anthelion CLO 2025-1 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Anthelion CLO 2025-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anthelion Capital Partners LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 77.64%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-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 'AAAsf' for class A-1, between 'A-sf' and 'AAAsf' for class A-2, between 'BBB-sf' and 'AAsf' for class B, between 'BB-sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anthelion CLO 2025-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LXVIII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXVIII CLO Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ares LXVIII CLO Ltd. A-1 039941AA7 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf A-2a 039941AC3 LT PIFsf Paid In Full AAAsf A-2b 039941AL3 LT PIFsf Paid In Full AAAsf B-R LT NRsf New Rating NR(EXP)sf C 039941AG4 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating A+(EXP)sf D 039941AJ8 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating BBB(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 039942AA5 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating BB+(EXP)sf Transaction Summary Ares LXVIII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Ares U.S. CLO Management III LLC-Series A. The transaction originally closed in May 2023. On July 25, 2025 (the first refinancing date), all the existing secured notes except for the class F notes will be refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The final rating assigned to the class D-1-R notes is higher than the expected rating communicated in the presale report. The rating change from 'BBB(EXP)sf' to 'BBB+sf' for the class D-1-R notes is driven by the higher credit enhancement of the notes. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-' which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.93% first lien senior secured loans and has a weighted average recovery assumption of 73.15%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a four-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXVIII CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LXVIII: S&P Affirms B- (sf) Rating on Class F Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R and B-R debt from Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC, a CLO managed by Ares U.S. CLO Management III LLC-Series A that was originally issued in May 2023. At the same time, S&P withdrew its ratings on the original class A-1, B-1, and B-2 debt following payment in full on the July 25, 2025, refinancing date. S&P also affirmed its rating on the class F 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 2027. -- The reinvestment period was extended to July 2029. -- The legal final maturity dates for the replacement class debt, class F debt, and the existing subordinated notes were extended by July 2037. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class A-1-R, $307.50 million: AAA (sf) Class B-R, $52.50 million: AA (sf) Ratings Withdrawn Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Rating Affirmed Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class F (deferrable), $0.50 million: B- (sf) Other Debt Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC Class A-2-R, $20.00 million: NR Class C-R, $30.00 million: NR Class D-1-R, $27.50 million: NR Class D-2-R, $7.50 million: NR Class E-R, $15.00 million: NR Subordinated notes, $35.90 million: NR NR--Not rated. AUXILIOR TERM 2024-1: Moody's Hikes Rating on Class E Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded three classes of notes issued by Auxilior Term Funding 2023-1, LLC (XCAP 2023-1) and four classes of notes issued by Auxilior Term Funding 2024-1, LLC (XCAP 2024-1). The transactions are securitizations, sponsored and serviced by Auxilior Capital Partners, Inc. (Auxilior), of equipment loans and leases secured predominately by construction and infrastructure, transportation and logistics, and franchise related equipment. The complete rating actions are as follows: Issuer: Auxilior Term Funding 2023-1, LLC Class C Notes, Upgraded to Aa1 (sf); previously on Mar 11, 2025 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Mar 11, 2025 Upgraded to A2 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Mar 11, 2025 Upgraded to Ba1 (sf) Issuer: Auxilior Term Funding 2024-1, LLC Class B Notes, Upgraded to Aa1 (sf); previously on Jul 3, 2024 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Jul 3, 2024 Definitive Rating Assigned A2 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Jul 3, 2024 Definitive Rating Assigned Baa3 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Jul 3, 2024 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions were primarily driven by the buildup in credit enhancements owing to structural features including a sequential pay structure, non-declining reserve account and overcollateralization as well as collateral performance. Moody's also considered the level of credit enhancement and the subordinated nature of the junior notes. Other considerations include transactions' moderate to high exposures to the cyclical trucking and transportation industry which is currently in a downturn and highly correlated with the health of the overall economy. No action was taken on the remaining rated tranches because there were no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectations of pool losses could decline as a result of a lower number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. BARINGS CLO 2025-IV: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Barings CLO Ltd. 2025-IV. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2025-IV 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 Barings CLO Ltd. 2025-IV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 22.56, 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 96.62% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% 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 '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-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. 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 Barings CLO Ltd. 2025-IV. 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. BARINGS MIDDLE 2023-II: S&P Assigns B-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 CLO managed by Barings LLC that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E debt following payment in full on the July 30, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The reinvestment period was extended to July 20, 2026. -- The non-call period was extended to July 30, 2026. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to July 20, 2034. -- The target initial par amount is set at $350.00 million. There was 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. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Barings Middle Market CLO 2023-II Ltd./ Barings Middle Market CLO 2023-II LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'BBB+ (sf)' Class D to NR from 'BB- (sf)' Class E to NR from '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 The balance included additional subordinated notes that were issued on the refinancing date. NR--Not rated. BBCMS 2025-C35: Fitch Assigns 'B-sf' Final Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS 2025-C35, Commercial Mortgage Pass-Through Certificates, Series 2025-C35 as follows: - $9,224,000 class A-1 'AAAsf'; Outlook Stable; - $100,000,000 class A-4 'AAAsf'; Outlook Stable; - $416,956,000 class A-5 'AAAsf'; Outlook Stable; - $11,907,000 class A-SB 'AAAsf'; Outlook Stable; - $538,087,000a class X-A 'AAAsf'; Outlook Stable; - $82,635,000 class A-S 'AAAsf'; Outlook Stable; - $41,317,000 class B 'AA-sf'; Outlook Stable; - $29,787,000 class C 'A-sf'; Outlook Stable; - $153,739,000ab class X-B 'A-sf'; Outlook Stable; - $24,022,000ab class X-D 'BBB-sf'; Outlook Stable; - $17,295,000ab class X-E 'BB-sf'; Outlook Stable; - $24,022,000b class D 'BBB-sf'; Outlook Stable; - $17,295,000b class E 'BB-sf'; Outlook Stable; - $11,531,000bc class J-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $24,022,173bc class K-RR; - $26,643,893bd class VRR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest. (d) Vertical-risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 loans secured by 80 commercial properties with an aggregate principal balance of $795,340,067 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., UBS AG, German American Capital Corporation, JPMorgan Chase Bank, National Association, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, Bank of America, National Association and LMF Commercial, LLC. The master servicer will be Midland Loan Services, a Division of PNC Bank, National Association, the special servicer will be CWCapital Asset Management LLC, and the operating advisor will be BellOak, LLC. The trustee and certificate administrator will be Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on July 7, 2025, the following changes have occurred: - The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the $0-$200,000,000 range, and the initial aggregate certificate balance of the A-5 class was expected to be in the $316,956,000-$516,956,000 range. The final class balances for classes A-4 and A-5 are $100,000,000 and $416,956,000, respectively. There were no other material changes. The deal structure and recommended ratings reflect information provided by the issuer as of July 23, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 89.7% of the pool by balance, including the largest 20 loans and all the pari passu loans. Fitch's resulting net cash flow (NCF) of approximately $82.4 million represents a 13.5% decline from the issuer's underwritten NCF of approximately $95.1 million. The NCF decline is higher than the 2025 YTD and 2024 10-year averages of 12.6% and 13.2%, respectively. Higher Fitch Leverage: The pool has higher leverage compared to recent 10-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 89.0% is slightly worse than the YTD 2025 and 2024 averages of 88.2% and 84.5%, respectively. The Fitch NCF debt yield (DY) of 10.4% is weaker than the YTD 2025 and 2024 averages of 12.3% and 12.3%, respectively. Investment-Grade Credit Opinion Loans: Five loans representing 37.7% of the pool balance received an investment-grade credit opinion on a standalone basis. Rentar Plaza (9.9% of the pool) received a credit opinion of 'BBB+*', BioMed MIT Portfolio (9.4%) a 'A-*', Marriott World Headquarters (9.4%) a 'BBB-*', Washington Square (8.8%) a 'BBB-*' and Adini Portfolio (0.1%) a 'AA-*'. The pool's total credit opinion percentage of 37.7% is significantly higher than the YTD 2025 and 2024 10-year averages of 13.1% and 21.4%, respectively. Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top-10 loans make up 68.2%, higher than the 2025 YTD and 2024 10-year averages of 62.4% and 63.0%, respectively. The pool's effective loan count of 17.6 is below the 2025 YTD and 2024 10-year averages of 21.0 and 20.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / less than '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' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 41: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings Benefit Street Partners CLO 41 Ltd./Benefit Street Partners CLO 41 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Benefit Street Partners CLO 41 Ltd./ Benefit Street Partners CLO 41 LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $53.20 million: NR NR--Not rated. BHG SECURITIZATION 2025-2CON: Fitch Gives BB(EXP) Rating on E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by BHG Securitization Trust 2025-2CON (BHG 2025-2CON). Entity/Debt Rating ----------- ------ BHG Securitization Trust 2025-2CON 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 Transaction Summary The BHG 2025-2CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). This is BHG's third 100% consumer loan 144a securitization. BHG 2025-2CON is the 11th 144a ABS transaction sponsored by BHG and the seventh rated by Fitch. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2025-2CON pool shared with Fitch has a weighted average (WA) FICO score of 733; 1.43% of the borrowers have a score below 661 and 38.40% have a score higher than 740. The WA original term is 101 months and is the highest amongst the consumer loan-backed transactions. Default Assumption Reflects Improved Managed Performance: The base case default assumption based on the pool is 14.23%. The default assumption was established by BHG's proprietary risk grade and loan term. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. While through-the-cycle loan performance and characteristics were reviewed, Fitch also considered the recent improved performance trends in deriving the base case. For certain segments, primarily the longer-term loans, where Fitch considered the loans did not have significant historical performance data, Fitch considered the segment's equivalent historical commercial loan performance. Commercial loan performance was considered, given similar borrower characteristics and BHG's comparable underwriting policies for the guarantor of commercial loans. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 49.35%, 18.80%, 11.30%, 4.00% and 1.50% for class A, B, C, D and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG as capable to service this transaction. Other counterparty risks are mitigated through the transaction structure, and such provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: BHG, like peers, purchases consumer loans originated by partner banks, in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2025-2CON's consumer loans originated at interest rates below the borrower state's usury rate, while the longer WA remaining loan term of 100 months is viewed as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trusts performance. An additional sensitivity run of lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Increased default base case by 10%: 'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'BBsf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BBsf'/'B+sf'; Increased default base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'CCCsf'; Rating sensitivity to reduced recoveries (class A/class B/class C/class D/class E): Reduced recovery base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBsf'; Reduced recovery base case by 25%: 'AAAsf'/'A+sf'/'A-sf'/'BB+sf'/'BBsf'; Reduced recovery base case by 50%: 'AAAsf'/'Asf'/'BBB+sf'/'BB+sf'/'BB-sf'; Rating sensitivity to increased defaults and reduced recoveries (class A/class B/class C/class D/class E): Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'A-sf'/'BB+sf'/'BBsf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf '; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'B-sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and consideration for potential upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class C, D and E notes could be upgraded by one category. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG. The third-party due diligence described in Form 15E focused on focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BLACK DIAMOND 2021-1: Moody's Assigns Ba3 Rating to $18MM D-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Black Diamond CLO 2021-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$179,000,000 Class A-1a-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$48,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$20,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$18,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Black Diamond CLO 2021-1 Adviser, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period. No action was taken on the Class A-1b notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $392,426,660 Defaulted par: $3,990,468 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2847 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.63% Weighted Average Recovery Rate (WARR): 46.10% Weighted Average Life (WAL): 5.20 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BRANT POINT 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Brant Point CLO 2023-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Brant Point CLO 2023-1, Ltd. (f/k/a Sound Point CLO 36, Ltd.) A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Brant Point CLO 2023-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 36, Ltd.) originally closed in August 2023 where the existing secured notes will be refinanced in whole on July 28, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.17, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.87% 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 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 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-2R, between 'BBB-sf' and 'AA-sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 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 Brant Point CLO 2023-1, Ltd. (f/k/a Sound Point CLO 36, 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. BRANT POINT 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2023-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Brant Point CLO 2023-1, Ltd. A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Brant Point CLO 2023-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 36, Ltd.) originally closed in August 2023 where the existing secured notes will be refinanced in whole on July 28, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.17, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.87% 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 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 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-2R, between 'BBB-sf' and 'AA-sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 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. Date of Relevant Committee 21 July 2025 ESG Considerations Fitch does not provide ESG relevance scores for Brant Point CLO 2023-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BRANT POINT 2025-7: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2025-7, Ltd. Entity/Debt Rating ----------- ------ Brant Point CLO 2025-7, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Brant Point CLO 2025-7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.75, 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 96.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.06% 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 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 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Brant Point CLO 2025-7, 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. BRIDGECREST LENDING 2025-3: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto Securitization Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 64.74%, 59.51%, 50.65%, 38.94%, and 34.72% credit support (hard credit enhancement and a haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of our expected cumulative net loss of 27.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D, and E notes, respectively, will be within 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 that S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (A+/Stable/A-1), which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which is in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2025-3 Class A-1, $60.00 million: A-1+ (sf) Class A-2, $95.00 million: AAA (sf) Class A-3, $63.35 million: AAA (sf) Class B, $51.97 million: AA (sf) Class C, $65.18 million: A (sf) Class D, $96.25 million: BBB (sf) Class E, $35.75 million: BB (sf) BRYANT PARK 2025-27: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bryant Park Funding 2025-27 Ltd./Bryant Park Funding 2025-27 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 Marathon Asset Management L.P. The preliminary ratings are based on information as of July 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Bryant Park Funding 2025-27 Ltd./ Bryant Park Funding 2025-27 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB+ (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.15 million: Not rated CARLYLE US 2021-9: Moody's Assigns Ba3 Rating to $27MM E-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by Carlyle US CLO 2021-9, Ltd. (the "Issuer"). Moody's rating action is as follows: US$384,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$72,000,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$33,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$36,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$27,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Carlyle CLO Management L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issue and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the Refinancing Notes' non-call period and updates to the definition of "Benchmark" to adopt Term SOFR as the initial base rate for the Refinancing Notes. 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: $589,305,629 Defaulted par: $4,393,178 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2695 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.17% Weighted Average Recovery Rate (WARR): 45.7% Weighted Average Life (WAL): 5.27 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CARLYLE US 2023-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CARLYLE US CLO 2023-2, LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2023-2, Ltd. A-1 14318GAA0 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 14318GAE2 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 14318GAG7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 14318GAJ1 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2 14318GAL6 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 14318HAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary CARLYLE US CLO 2023-2, LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. that originally closed in June 2023. This will be the first refinancing where all the 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.41, 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 95.06% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.23% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2023-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARLYLE US 2025-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2025-4, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2025-4, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Carlyle US CLO 2025-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.85, 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 97.42% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.45% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2025-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CATHEDRAL LAKE VIII: S&P Cuts Class D-J Notes Rating to 'BB+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered and removed from CreditWatch with negative implications its ratings on the class D-J and E debt from Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC, a U.S. CLO originally issued in December 2021 that is managed by Whitestar Asset Management LLC. At the same time, S&P affirmed its ratings on the class A-1, A-2, B, C, and D-1 debt from the same transaction. The CLO is in its reinvestment phase, which is expected to end in January 2027. The rating actions follow S&P's review of the transaction's performance using data from both the June monthly report and the July 10, 2025, payment report. Though the trustee-reported overcollateralization (O/C) ratios of all tranches are currently passing, they declined between the February 2022 report and the July 2025 report: -- The class A/B O/C ratio declined to 129.72% from 133.59%. -- The class C O/C ratio declined to 118.64% from 122.19%. -- The class D O/C ratio declined to 109.31% from 112.58%. -- The class E O/C ratio declined to 105.75% from 108.91%. The drop in the O/C ratios is primarily due to decline in par since S&P's last rating action. In addition, the recovery rates have declined overall, and the weighted average spread has dropped, which are contributing to the weakened cash flows. As a result of these factors, credit support has weakened for all tranches, and the cash flows of the class D-1, D-J, and E debt are no longer passing at the previous rating levels. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-1 debt than the rating action reflects. However, S&P affirmed its rating on the class D-1 debt after considering the margin of failure, the credit support commensurate with the current rating levels, the low defaults, the low exposure to collateral obligations rated 'CCC' and 'CCC-', passing O/C ratios, and that the transaction is still in its reinvestment period, which is not scheduled to end until January 2027. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. The downgrade reflects reduced credit support for the Class E notes and cash flow failure at the prior 'B' rating level. This was driven by decline in par, reduced weighted average recovery rates, and a lower weighted average spread. Narrowing excess spread—due to tightening margins between asset yields and financing costs—further limits support for this junior tranche. Additionally, weaker recovery expectations suggest lower asset value in default scenarios. While class E failed to pass cash flow tests at the 'B' level, S&P believes it is still capable of meeting interest and principal payments by legal final maturity without relying on favorable business, financial, or economic conditions. As such, a 'CCC' rating is not warranted at this time. However, further par deterioration or an increase in defaults could lead to potential negative rating actions in the future. The affirmed ratings reflect adequate credit support at the current rating levels. Though the cash flow results indicated a higher rating for the class B debt, our action considered that the CLO is still in its reinvestment period (scheduled to expire January 2027) and that future reinvestment activity could change some of the portfolio characteristics. 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 this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Lowered And Removed From CreditWatch Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC Class D-J to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D-1: BBB+ (sf) CBAM 2021-14: S&P Lowers Class E Notes Rating to 'B+ (sf)' ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from CBAM 2021-14 Ltd./CBAM 2021-14 LLC and removed the rating from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A, B, C, and D debt. The transaction is a U.S. CLO managed by CBAM Partners LLC, which was originally issued in April 2021. It has not been refinanced or reset since closing and will exit its reinvestment period in April 2026. On May 1, 2025, S&P placed its rating on the class E debt on CreditWatch negative primarily due to the declining credit support for the class, the portfolio's sizeable par loss since closing, and indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from the June 2025 trustee report. All overcollateralization (O/C) ratios have declined since the transaction's closing: -- The class A/B O/C ratio declined to 128.69% from 131.64%. -- The class C O/C ratio declined to 119.27% from 122.01%. -- The class D O/C ratio declined to 111.14% from 113.69%. -- The class E-1 O/C ratio declined to 106.60% from 109.04%. The decline in the O/C ratios largely reflects the aggregate par loss the portfolio has sustained since closing. A small amount of defaulted assets has also contributed to the decline. Meanwhile, assets rated in the 'CCC' category have increased to $19.22 million as of the June 2025 trustee report from $13.00 million at closing. At the same time, sharp declines in both the portfolio's weighted average spread and expected weighted average recovery rates constricted the break-even default rates for every class. A combination of these factors contributed to weakened cash flow results, particularly at the mezzanine and junior levels of the capital structure. The lowered rating on class E reflects the drop in credit support and the failing cash flow results at the previous rating level. S&P said, "Although our cash flow results indicate a lower rating on class E on a standalone basis, we do not believe the tranche currently depends on favorable conditions to repay its obligations and thus does not fit our definition of 'CCC' risk." S&P restricted the downgrade to one notch because: -- S&P believes existing credit support is commensurate with the current (lowered) rating on this tranche; -- The exposure of assets rated in the 'CCC' category and defaulted assets in the portfolio remains manageable; and -- The transaction has not yet exited its reinvestment period, which portends changes to the portfolio over the coming months. -- However, any further decline in credit support to this tranche or any increase in par losses could lead to negative ratings in the future. S&P said, "Although our cash flow results indicate lower ratings on the class A, B, C, and D debt on a standalone basis, we affirmed our ratings on the classes, considering our view that existing credit support is commensurate with the current ratings, the exposure of 'CCC' category and defaulted assets remains manageable, and the transaction has not yet exited its reinvestment period and thus its portfolio is subject to change. However, any further decline in credit support to these tranches or any increase in par losses could lead to negative rating actions in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, as well as on recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors, as applicable--demonstrated, in our view, that the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Negative CBAM 2021-14 Ltd./CBAM 2021-14 LLC Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed CBAM 2021-14 Ltd./CBAM 2021-14 LLC Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D: BBB- (sf) CIFC FUNDING 2013-IV: Moody's Ups Rating on $26MM E-R2 Notes to Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by CIFC Funding 2013-IV, Ltd.: US$31.5M Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Mar 3, 2025 Assigned A2 (sf) US$26M Class E-R2 Junior Secured Deferrable Floating Rate Notes, Upgraded to Ba2 (sf); previously on Mar 3, 2025 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$84.37M (Current outstanding amount US$61,452,714) Class A-1-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 3, 2025 Assigned Aaa (sf) US$15M Class A-2-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 3, 2025 Assigned Aaa (sf) US$59M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 3, 2025 Assigned Aaa (sf) US$23.5M Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 3, 2025 Assigned Aaa (sf) US$6.25M Class F-RR Junior Secured Deferrable Floating Rate Notes, Affirmed Caa1 (sf); previously on Dec 5, 2024 Affirmed Caa1 (sf) CIFC Funding 2013-IV, Ltd., originally issued in November 2013, refinanced in February 2017, May 2018 and March 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CIFC Asset Management LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class D-R2 and E-R2 notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A-1-R2, A-2-R2, B-R2, C-R2 and F-RR 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-R2 notes have paid down by approximately USD22.9 million (27.2% or 7.5% of closing balance) in since the last rating action in March 2025 and USD243.6 million (79.9% of closing balance) 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 173.0%, 147.4%, 123.0% and 108.2% compared to February 2025[2] levels of 164.3%, 143.1%, 122.0% and 108.7%, 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: USD237.3 million Defaulted Securities: 0 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2938 Weighted Average Life (WAL): 2.8 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.0% Weighted Average Recovery Rate (WARR): 47.3% Par haircut in OC tests and interest diversion test: 0.0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CITIGROUP 2015-GC31: Moody's Cuts Rating on Cl. A-S Certs to Ba2 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes in Citigroup Commercial Mortgage Trust 2015-GC31, Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 as follows: Cl. A-4, Downgraded to Aa2 (sf); previously on Jan 14, 2025 Affirmed Aaa (sf) Cl. A-S, Downgraded to Ba2 (sf); previously on Jan 14, 2025 Downgraded to Baa1 (sf) Cl. X-A*, Downgraded to Baa3 (sf); previously on Jan 14, 2025 Downgraded to Aa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were downgraded due to higher expected losses and increased risk of interest shortfalls primarily driven by the decline in pool performance from the exposure to delinquent and specially serviced loans as well as loans that have passed their original maturity dates. Four loans, representing 83% of the pool, are in special servicing and the largest is 135 South LaSalle (38.4% of the pool), which has experienced significant declines in cash flow and occupancy, currently only 11% leased, and has been deemed non-recoverable by the master servicer. The second and third largest specially serviced loans are also secured by office properties that have experienced declines in occupancy and cash flow performance and are located in markets with weaker office fundamentals. These specially serviced loans include Selig Office Portfolio (27.7% of the pool) located in Seattle, Washington and Pasadena Office Tower (15.0% of the pool) located in Pasadena, California. The 135 South LaSalle and Pasadena Office Tower loans have received recent appraisal values 66% and 40% below their outstanding loan balances, respectively. All the remaining loans have now passed their original maturity dates and given the higher interest rate environment and loan performance, Moody's do not anticipate significant paydowns on Cl. A-4 and Cl. A-S and there may be increased risks of interest shortfalls and higher potential losses if certain loans remain or become further delinquent. The rating on the IO class, Cl. X-A, was downgraded due to a decline in the credit quality of its referenced classes and from principal paydowns of higher quality referenced classes. Cl. X-A originally referenced all senior classes up to and including Cl. A-S, however, Cl. A-4 has now paid down 70% from its original balance and all classes senior to Cl. A-4 have previously paid off in full. Moody's rating action reflects a base expected loss of 45.2% of the current pooled balance, compared to 19.3% at Moody's last review. Moody's base expected loss plus realized losses is now 21.3% of the original pooled balance, compared to 16.8% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the July 11, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 64.0% to $260.2 million from $723.3 million at securitization. The certificates are collateralized by eight mortgage loans which are either in special servicing or have already passed their scheduled maturity dates. As of the July 2025 remittance statement cumulative interest shortfalls were $7.3 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and loans that were unable to payoff at their maturity dates. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, non-recoverability determinations, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The pool has had an aggregate realized loss of $36.2 million from one previously liquidated loan and reimbursement of prior servicer advances on the specially serviced loans. Four loans, constituting 83.1% of the pool, are currently in special servicing. The largest specially serviced loan is the 135 South LaSalle Loan ($100.0 million -- 38.4% of the pool), which is secured by a 1.3 million square foot (SF), 44-story, Class A office property located in the Central Loop submarket of Chicago, Illinois. The largest tenant at securitization, Bank of America (63% of the net rentable area (NRA)), vacated the property at their lease expiration in July 2021 and the loan has been in special servicing since November 2021. As of March 2025, the property was only 11% occupied and has not generated sufficient cash flow to cover debt service since 2021. The borrower and servicer are working towards a resolution, including obtaining financing for a partial residential conversion, however, the loan remains last paid through its October 2021 payment date and has been deemed non-recoverable by the master servicer. As of the July 2025 remittance statement there were minimal advances as prior loan advances were recouped in recent months contributing to the pool's realized losses. The most recent appraisal from November 2024 valued the property 66% below the value at securitization. The loan has also passed its May 2025 Anticipated Repayment Date (ARD) with a final maturity in May 2030. Due to the low occupancy, weaker Chicago office fundamentals and significant delinquencies Moody's anticipates a large loss on this loan. The second largest specially serviced loan is the Selig Office Portfolio Loan ($72.0 million -- 27.7% of the pool), which represents a pari passu portion of a $345.0 million mortgage loan. The loan is secured by a portfolio of nine office properties totaling 1.6 million SF in Seattle, Washington. The largest of the nine properties, 1000 Second Avenue, is in Seattle's downtown financial district, while the other properties are concentrated in the Lower Queen Anne / Lake Union and Denny Regrade neighborhoods. Occupancy has consistently declined in recent years and the portfolio was 60% leased in December 2024, compared to 84% in December 2021 and 95% in December 2019. The tenant roster is fairly granular and while property performance was relatively stable through 2023, performance has since declined as a result of lower occupancy and rental revenue. Additionally, there is further rollover risk in 2025 (17% of the NRA). The loan has been in special servicing since November 2024, failed to pay-off at its April 2025 maturity date and had a DSCR of close to 2.00X based on its 2024 NOI and interest only debt service at a 3.9% interest rate. Servicer commentary indicates the borrower has requested a loan extension to allow time to complete leasing. The third largest specially serviced loan is the Pasadena Office Tower Loan ($39.0 million -- 15.0% of the pool), which is secured by a 142,000 SF, Class-A office tower located in Pasadena, California. Property performance has deteriorated due to a combination of a decline in occupancy, rental revenue and increased operating expenses. As of December 2024, the property was 69% leased compared to 70% in December 2022, 87% in December 2020, and 98% in 2015. The property faces significant near-term lease rollover with tenants representing over 63% of the NRA having lease expirations by year end 2027. The loan has been in special servicing since March 2025 and failed to pay-off at its June 2025 maturity date. Servicer commentary indicates they have engaged counsel and will initiate contact with the borrower on post maturity plans. The most recent appraisal from April 2025 valued the property 40% below the outstanding loan balance resulting in an appraisal reduction of 47% of the loan balance as of the July 2025 remittance. The loan is last paid through its May 2025 payment date and has amortized 7% since securitization. The fourth largest specially serviced loan is the Walgreens – Smithfield Loan ($5.2 million -- 2.0% of the pool), which is secured by a 14,500 SF retail property in North Smithfield, Rhode Island. The Walgreens store went dark in 2019 and the loan transferred to special servicing in October 2020 when the borrower failed to comply with cash management procedures. The borrower subleased the space to Rhode Island Health Group in 2023 without obtaining servicer consent. The borrower and lender were engaged in legal actions regarding the resolution of the loan. In February 2024, a settlement was reached, the borrower is currently engaged in marketing the property for sale. As of July 2025 remittance, the loan was current on P&I payments and failed to pay-off at its June 2025 maturity date. Moody's estimates an aggregate $117.6 million loss for the specially serviced loans (54% expected loss on average). The top three non-specially serviced loans represent 15.7% of the pool balance. The largest loan is the Park at Sugar Creek Loan ($19.1 million -- 7.4% of the pool), which is secured by a 140,254 SF mixed-use property located in Sugar Land, Texas. As of March 2025, the property was 78% leased compared to 88% at securitization. The property's 2024 NOI was 16% below 2018 levels and the loan failed to pay-off at its June 2025 maturity date. The loan has amortized approximately 16% since securitization and servicer commentary indicates the borrower stated they are working to refinance the loan. Moody's LTV and stressed DSCR are 138% and 0.84X, respectively. The second largest non-specially serviced loan is the Promenades Plaza Loan ($12.5 million -- 4.8% of the pool), which is secured by a 230,704 SF retail property located in Port Charlotte, Florida. The property was 77% leased as of year-end 2024, compared to 88% at securitization. The loan failed to pay-off at its June 2025 maturity date, however, the servicer commentary indicated the borrower is working to refinance the loan. The loan has amortized over 14% since securitization and Moody's LTV and stressed DSCR are 106% and 0.94X, respectively. The third largest loan is the Magnolia Hotel Omaha ($9.3 million -- 3.6% of the pool), which is secured by a 145 key, full-service hotel property located in downtown Omaha, Nebraska. The hotel's 2024 occupancy, ADR and RevPAR were 69%, $130 and $90, respectively, compared to 64%, $137 and $88, respectively, in 2023. The loan was previously in special servicing during 2020 but was returned to the master servicer in September 2020 and failed to pay-off at its June 2025 maturity date. The loan has amortized over 17% since securitization and Moody's LTV and stressed DSCR are 105% and 1.21X, respectively. CITIGROUP 2016-C1: Fitch Affirms B- Rating on Class F Debt ---------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates series 2016-C1 (CGCMT 2016-C1). The Rating Outlooks for classes E and F have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-C1 A-3 17290YAQ1 LT AAAsf Affirmed AAAsf A-4 17290YAR9 LT AAAsf Affirmed AAAsf A-AB 17290YAS7 LT AAAsf Affirmed AAAsf A-S 17290YAT5 LT AAAsf Affirmed AAAsf B 17290YAU2 LT AA+sf Affirmed AA+sf C 17290YAV0 LT A+sf Affirmed A+sf D 17290YAA6 LT BBB-sf Affirmed BBB-sf E 17290YAC2 LT BB-sf Affirmed BB-sf EC 17290YAY4 LT A+sf Affirmed A+sf F 17290YAE8 LT B-sf Affirmed B-sf X-A 17290YAW8 LT AAAsf Affirmed AAAsf X-B 17290YAX6 LT AA+sf Affirmed AA+sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The rating affirmations reflect generally stable pool performance. Loss expectations have increased since the prior rating action due to maturity default concerns. The deal-level 'Bsf' rating case loss is 6.2% compared to 4.1% at the prior review. The transaction has nine Fitch Loans of Concern (FLOCs; 25.3% of the pool), including one loan (2%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines or rollover concerns. All the loans in the pool are scheduled to mature by June 2026. The Negative Outlooks reflect refinance concerns on the FLOCs, particularly The Strip (13.2), 4455 LBJ Freeway (3.6%), Victorian Square (1.8%) and Park Place (1.7%), given the upcoming lease rollovers close to respective loan maturities. Downgrades are possible if more loans than expected default at maturity, if workouts are longer, or if FLOC losses exceed expectations. Largest Loss Contributors: The largest contributor to loss expectations is The Strip (13.2%), which is also the largest loan in the pool. The loan is secured by a 786,928-sf anchored retail center in North Canton, OH. The property is near downtown Canton, Kent State University at Stark and the Pro Football Hall of Fame. The property's major tenants include Walmart (19.0% of NRA, leased through October 2026), Lowe's (16.6%, October 2026), Giant Eagle (11.6%, January 2027), Cinemark (8.4%, December 2025) and Bob's Discount Furniture (5.4%, July 2030). Property performance has generally been stable, as the YE 2024 net operating income (NOI) debt service coverage ratio (DSCR) was 1.46x compared with 1.52x at YE 2023. The property's occupancy was 93% as of March 2025. Lease rollover in 2025 includes Cinemark. However, the property's largest tenants, Walmart and Lowe's, have lease expiry dates that are almost coterminous with the loan maturity date in April 2026. Fitch's 'Bsf' rating case loss of 17.5% (prior to concentration add-ons) is based on a 9.0% cap rate, 15% stress to the YE 2024 NOI, and a higher probability of default to account for the rollover risk associated with the anchor tenant leases that expire near the loan maturity in April 2026. The second-largest contributor to loss expectations is the 46 Geary Street (1.9%) loan, which is secured by an 18,002-sf mixed-use property in downtown San Francisco, CA. The loan transferred to special servicing as of April 2024 due to payment default and the lender filed for foreclosure and receivership in July 2024. The property's occupancy was 29% as of September 2024 down from 52.4% at YE 2023 and YE 2022, 72.9% at YE 2021, and 100.0% at YE 2020. Occupancy declined due to TapFwd (previously 27.1% of the NRA) vacating in 2020 ahead of the January 2021 lease expiration. Haus Services (previously 21.7% of the NRA) vacated the property in January 2022 upon lease expiration. The servicer previously noted that Paul Smith (23.0% of NRA; 75.2% of base rental income), did not renew its lease at the property upon lease expiry in February 2024. Fitch's 'Bsf' rating case loss of 46.5% (prior to concentration add-ons) is based on a 20.0% stress to the June 2024 appraisal value. The third-largest contributor to loss expectations is 4455 LBJ Freeway (3.6%), which is the sixth-largest loan in the pool. The loan is secured by a 294,850-sf suburban office located in Farmers Branch, TX, approximately 10 miles north of the Dallas CBD. The property's major tenants include AmTrust Financial Services (37.4% of NRA; February 2028); National General Insurance (29.0% of NRA; February 2028); and EVO Payments International LLC (17.9%, August 2028). Property performance has been generally stable, as the YE 2024 NOI DSCR was 2.01x compared to 1.72x at YE 2023 and 1.83x at YE 2022. The property's occupancy was 95.0% as of YE 2024. Fitch's 'Bsf' rating case loss of 16.2% (prior to concentration add-ons) is based on a 11.0% cap rate, 10.0% stress to the YE 2024 NOI, and a higher probability of default to account for heightened maturity default risk as the loan approaches maturity in 2026. Increased Credit Enhancement (CE): As of the June 2025 distribution date, the pool's aggregate principal balance has been reduced by 14.8% to $643.8 million from $755.7 million at issuance. Twelve loans (13.3%) are fully defeased. All but two loans are scheduled to mature in the first half of 2026. To date, the trust has incurred $37,710 in realized losses which has been absorbed by the non-rated class H. 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 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur should performance on FLOCs, particularly The Strip, 4455 LBJ Freeway, and 46 Geary Street, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades to the 'BBsf' and 'Bsf' category rated classes are likely with higher-than-expected losses from the aforementioned FLOCs, with deteriorating performance and with greater certainty of losses on the specially serviced loan or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations of The Strip, 4455 LBJ Freeway and 46 Geary Street 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 '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 aforementioned loans and FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLT 2025-8: S&P Assigns B (sf) Rating on Class B-2 Certs --------------------------------------------------------- S&P Global Ratings assigned its ratings to COLT 2025-8 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, mixed use, and five- to 10-unit multifamily residential properties. The pool consists of 708 loans, which are QM/HPML, QM/non-HPML, non-QM/ATR-compliant, and ATR-exempt. S&P said, "After we assigned preliminary ratings on July 24, 2025, the class B-1 and B-2 certificates balance increased by $193,000 and $192,000, respectively. This was offset by an equivalent decrease of $385,000 to the class M-1 certificates balance. As a result, the credit enhancement for the class M-1 and B-1 certificates slightly increased. After analyzing these changes and the final coupons, we assigned final ratings that are unchanged from the assigned preliminary ratings." The ratings reflect our view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) COLT 2025-8 Mortgage Loan Trust Class A-1, $265,252,000: AAA (sf) Class A-2, $26,545,000: AA (sf) Class A-3, $40,009,000: A (sf) Class M-1, $19,812,000: BBB (sf) Class B-1, $14,427,000: BB (sf) Class B-2, $12,118,000: B (sf) Class B-3, $6,540,316: 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. (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. COLT 2025-8: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COLT 2025-8 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, mixed use, and five- to 10-unit multifamily residential properties. The pool consists of 708 loans, which are QM/HPML, QM/non-HPML, non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of July 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers 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. Preliminary Ratings Assigned(i) COLT 2025-8 Mortgage Loan Trust Class A-1, $265,252,000: AAA (sf) Class A-2, $26,545,000: AA (sf) Class A-3, $40,009,000: A (sf) Class M-1, $20,197,000: BBB (sf) Class B-1, $14,234,000: BB (sf) Class B-2, $11,926,000: B (sf) Class B-3, $6,540,316: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. COMM 2014-CCRE16: Fitch Lowers Rating on Class D Certs to 'CCCsf' ----------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed five classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16 Mortgage Trust commercial mortgage pass-through certificates. Negative Rating Outlooks were assigned to two classes following their downgrades. Fitch has also affirmed eight classes of COMM 2014-CCRE17 Mortgage Trust commercial mortgage pass-through certificates, one class of Deutsche Bank Securities, Inc.'s commercial mortgage pass-through certificates, series 2014-CCRE18 (COMM 2014-CCRE18), and two classes of COMM 2014-CCRE19 Mortgage Trust. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-CCRE19 D 12592GAG8 LT BBB-sf Affirmed BBB-sf E 12592GAJ2 LT BBsf Affirmed BBsf COMM 2014-CCRE16 Mortgage Trust B 12591VAH4 LT AA-sf Affirmed AA-sf C 12591VAK7 LT BBB-sf Downgrade A-sf D 12591VAQ4 LT CCCsf Downgrade B-sf E 12591VAS0 LT CCsf Affirmed CCsf F 12591VAU5 LT Csf Affirmed Csf PEZ 12591VAJ0 LT BBB-sf Downgrade A-sf X-B 12591VAL5 LT AA-sf Affirmed AA-sf X-C 12591VAN1 LT CCsf Affirmed CCsf COMM 2014-CCRE17 B 12631DBE2 LT AA-sf Affirmed AA-sf C 12631DBG7 LT BBBsf Affirmed BBBsf D 12631DAG8 LT B-sf Affirmed B-sf E 12631DAJ2 LT CCCsf Affirmed CCCsf F 12631DAL7 LT CCsf Affirmed CCsf PEZ 12631DBF9 LT BBBsf Affirmed BBBsf X-B 12631DAA1 LT BBBsf Affirmed BBBsf X-C 12631DAC7 LT CCsf Affirmed CCsf COMM 2014-CCRE18 E 12632QAG8 LT B-sf Affirmed B-sf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The rating actions, including the downgrades to classes C, PEZ and D in COMM 2014-CCRE16, reflect the distressed status or underperformance of the remaining collateral, decreased valuations and/or collateral quality, challenging office market conditions and potential protracted loan workouts that can impair recoveries upon disposition. The Negative Outlooks reflect the potential for downgrades should recovery expectations on the specially serviced loans worsen due to continued performance declines, prolonged workouts and/or growing loan exposures. These four transactions are concentrated with six or fewer assets remaining, with all the loans specially serviced and/or previously modified. Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). Fitch Loans of Concerns (FLOCs) comprise five loans (100% of the pool) in COMM 2014-CCRE16 including four specially serviced loans (84.5%), six loans (100%) in COMM 2014-CCRE17, all of which are in special servicing, one loan (100.0%) in COMM 2014-CCRE18 which is also in special servicing, and three loans (100%) in COMM 2014-CCRE19 including two specially serviced loans (49.2%). Largest Contributor to Loss Expectations: The largest contributor to loss expectations in COMM 2014-CCRE16 and COMM 2014-C17 is the 25 Broadway loan (64.4% of COMM 2014-CCRE16 and 49.3% of COMM 2014-CCRE17), which transferred to special servicing in March 2024 due to maturity default. The loan is secured by a 23-story, 951,998 sf office building located in the Financial District in Manhattan, NY. Overall property occupancy has remained relatively stable; however, cash flow remains below issuance. The loan continues to perform under a forbearance agreement executed in July 2024 with the forbearance period lasting 24 months-30 months. The servicer reported occupancy is 89% as of June 2024 with a reported NCF DSCR of 1.42x. The largest tenant is a private school, Leman Manhattan Preparatory School (18.2% of the NRA), which repaid back rent due. Fitch's expected loss of approximately 20.5% reflects a stress to the most recent reported appraisal value and equates to approximately $208 psf. The second largest contributor to loss expectations in the COMM 2014-CCRE16 transaction is the real estate owned (REO) 555 West 59th Street (15.5% of the pool), which is a mixed-use property located in midtown Manhattan and includes 12,520 sf of multilevel retail and commercial space and 28,000 sf of parking garage space. Per the YE 2023 rent roll, occupancy was 92.5%, in line with historical performance, but cash flow has declined with NOI DSCR down to 0.21x for the June 2023 reporting period. The loan transferred to special servicing in July 2020 due to payment default. The trust took title to the property in April 2024. Fitch's expected loss of approximately 93% reflects a stress to the most recent reported appraisal value and equates to approximately $157 psf. The second largest contributor to loss expectations in the COMM 2014-CCRE17 transaction is the Cottonwood Mall loan (32.3% of the pool), which is secured by 410,452 sf of a 1.05 million sf super regional mall located in Albuquerque, NM. Non-collateral anchors include Dillard's and JCPenney, as well as a vacant box previously occupied by Sears, which vacated in 2018. Major collateral tenants include Regal Cinemas (17.9% of collateral NRA) and Old Navy (3.6%). Collateral occupancy was approximately 90% per YE 2024 servicer reporting, which compares to 97% as of September 2022, 93% at YE 2021 and pre-pandemic levels of 88.6% as of September 2019. The servicer reported a NCF DSCR of 0.85x as of YE 2024. The loan transferred to special servicing in June 2021 due to the borrower filing for bankruptcy. Per servicer commentary, a receiver was appointed in February 2022. Fitch's expected loss of approximately 21.9% reflects a stress to the most recent reported appraisal value. The last remaining loan in COMM 2014-CCRE18 is Southfield Town Center. The loan is secured by a five-building office complex totaling 2.15 million sf in Southfield, MI. The property occupancy is reported at 72.8% as of March 2025, with a servicer reported March 2025 TTM NOI of $20.4MM. Borrower has signed a forbearance through January 2026 with an extension option through December 2026. The loan is performing under the forbearance. The top two tenants are Plante & Moran (8.7% of the NRA) and AlixPartners (6%), on leases expiring in 2036 and 2030, respectively. Fitch's expected loss of approximately 3% reflects a stress to the most recent reported appraisal value. The largest contributor to loss expectations in the COMM 2014-CCRE19 transaction is the 866 Third Avenue Retail loan (50.8% of the pool), which is secured by a mixed-use (office, retail and hotel) building located in Manhattan, NY. The retail tenants include Duane Reade (54% of the NRA) and Wells Fargo (24.2%). The loan transferred to special servicing in May 2024 due to imminent maturity default and returned to the master servicer in April 2025. The loan was modified and extended to August 2026. The reported YE 2024 occupancy was 100%. Fitch's expected loss of approximately 37% reflects a 9.0% cap rate, with a 7.5% stress to the YE 2024 NOI, and factors an increased probability of default due to the prior maturity default of the loan. The second largest contributor to loss expectations in the COMM 2014-CCRE19 transaction is the 140 Second Street loan (25.2% of the pool), secured by a 34,029 sf office property located in the Financial District in San Francisco, CA. The subject experienced an occupancy decline to 66% as of YE 2023 after Percolete Industries (33.4% of the NRA) vacated at their March 2023 lease expiration. The reported property occupancy remains at 66% as of March 2025, and the property's cash flow was reported as negative. The loan transferred to special servicing in November 2023 due to payment default. Servicer commentary indicated the note is being marketed with a pre-negotiated deed in lieu sale. Fitch's expected loss of approximately 71.7% reflects a stress to the most recent reported appraisal value. Increased CE; Realized Losses: As of the July 2025 remittance report, the pool's aggregate balances have been reduced by 83.0% in COMM 2014-CCRE16, 78.5% in COMM 2014-CCRE17, 94.9% in COMM 2014-CCRE18, and 93.4% in the COMM 2014-CCRE19 transaction. All loans have passed their initial scheduled maturity dates. Each of the transactions have incurred realized losses to date which include $41.6 million in COMM 2014-CCRE16, $15.9 million in COMM 2014-CCRE17, $26.2 million in COMM 2014-CCRE18, and $13.8 million in COMM 2014-CCRE19. Cumulative interest shortfalls of $3.0 million are currently affecting classes E, F, and G in the COMM 2014-CCRE16 transaction, $6.6 million are affecting classes F, G, and H in COMM 2014-CCRE17, $1.9 million are affecting classes F and G in COMM 2014-CCRE18, and $793K is affecting Class H in COMM 2014-CCRE19. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect the possibility for future downgrades due to potential further declines in performance that could result in higher expected losses on FLOCs and loans in special servicing. These FLOCs include 25 Broadway, 555 West 59th Street and 252 West 37th Street in COMM 2014-CCRE16, 25 Broadway and Cottonwood Mall in COMM 2014-CCRE17, Southfield Town Center in COMM 2014-CCRE18, and 866 Third Avenue Retail and 140 Second Street in COMM 2014-CCRE19. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAsf' category rated classes could occur if deal-level expected losses increase significantly on larger FLOCs and/or realized losses are significantly higher than anticipated. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category classes are possible with higher expected losses from continued performance declines of the FLOCs and higher certainty of losses on the loan's in special servicing. Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs. 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 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected, but are possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-CCRE17: Moody's Lowers Rating on Cl. C Certs to B1 ------------------------------------------------------------ Moody's Ratings has affirmed the rating on one class and downgraded the ratings on five classes in COMM 2014-CCRE17 Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-CCRE17 as follows: Cl. B, Affirmed Baa1 (sf); previously on Sep 23, 2024 Downgraded to Baa1 (sf) Cl. C, Downgraded to B1 (sf); previously on Sep 23, 2024 Downgraded to Ba2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Sep 23, 2024 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Sep 23, 2024 Downgraded to Caa3 (sf) Cl. PEZ, Downgraded to Ba2 (sf); previously on Sep 23, 2024 Downgraded to Baa3 (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Sep 23, 2024 Downgraded to B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. B, was affirmed because of its credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. Cl. B has already paid down 24% from its original balance and will benefit from priority of principal proceeds from any loan payoffs or resolutions. The ratings on three P&I classes, Cl. C, Cl. D and Cl. E, were downgraded due to the expected losses and increased risk of interest shortfalls due to the full exposure to specially serviced loans. All six loans remaining in the pool are currently in special servicing and have now passed their original maturity dates. The largest loan in the pool, 25 Broadway (49.3% of the pool), is secured by an office building with declining occupancy and cash flow. The second largest specially serviced loan, Cottonwood Mall (32.3% of the pool), is secured by an underperforming regional mall property that has suffered significant decline in performance in recent years. Three of the specially serviced loans (15.5% of the pool) have realized appraisal reductions of 39%, 50% and 38%, respectively. As a result of the appraisal reduction, interest shortfalls have increased significantly in recent months, and Moody's expects these shortfalls to continue and potentially increase due to the performance of the remaining loans in the pool. The rating on the interest-only (IO) class, Cl. X-B, was downgraded based on the decline in credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Cl. PEZ originally referenced Cl. A-M, Cl. B and Cl. C, however, the most senior referenced class, Cl. A-M, has paid off in full. Social risk for this transaction is higher (IPS S-4) and the transaction's Credit Impact Score is CIS-4. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 48.0% of the current pooled balance, compared to 49.2% at Moody's last review. Moody's base expected loss plus realized losses is now 11.7% of the original pooled balance, compared to 11.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the July 11, 2025, distribution date, the transaction's aggregate certificate balance has decreased by 78.5% to $256 million from $1.19 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from less than 2.9% to 49.3% of the pool. As of the July 2025 remittance report, all remaining loans are in special servicing and have passed their original maturity dates. One loan has been liquidated from the pool, contributing to an aggregate realized loss of $15.9 million (for a loss severity of 25.2%). Six loans, constituting 100% of the pool, are currently in special servicing and Moody's have estimated an aggregate loss of $123.1 million (a 48.0% expected loss on average) from these specially serviced loans. The largest specially serviced loan is the 25 Broadway loan ($126.4 million – 49.3% of the pool), which represents a pari-passu portion of a $243 million first mortgage loan. The loan is secured by a 22-story, 957,000 square feet (SF), historic office building located in the financial district submarket of Manhattan, New York. At securitization, the three largest tenants were Lehman Manhattan Preparatory (20% of the NRA; lease expiration in September 2030), Teach For America (18% of the NRA; lease expiration in January 2032), and WeWork (14% of the NRA; lease expiration in December 2034). In 2021, WeWork vacated prior to the scheduled lease expiration. Lehman Manhattan Preparatory defaulted on its lease obligations and failed to remit rent payments from June 2023 through May 2025, until a new amended lease agreement was executed. This resulted in a significant decline in revenues and net operating income (NOI) and the loan transferred to special servicing in March 2024 due to maturity default. A 24-month forbearance agreement was executed in July 2024, which includes an upfront principal curtailment of $15 million and provides the option for an additional six-month extension. The loan has continued to perform in accordance with the modification terms and remains current on P&I payments. The borrower is actively pursuing new leases and developing strategies for debt repayment. The second largest specially serviced loan is the Cottonwood Mall loan ($82.7 million – 32.3% of the pool), which is secured by approximately 410,000 SF portion of a 1.06 million SF super-regional mall located in western Albuquerque, New Mexico. The property is one of two regional malls in the area primarily serving the area west of Interstate 25 and the Rio Grande River, including the Rio Grande submarket. The loan originally transferred to special servicing for imminent default in July 2020 due the coronavirus impact on the property. The loan returned to the master servicer in October 2020 but transferred back to special servicing in June 2021 due to the guarantor filing for Chapter 11 bankruptcy. The borrower noted that they intend to transfer the ownership of the asset back to the lender and a receiver was appointed in February 2022. As of December 2024, the collateral occupancy rate was 92%, including temporary tenants. Property performance has continued to trend down with NOI declining approximately 50% since securitization because of a decrease in revenues. The most recent appraisal from December 2024 valued the property 49% below the value at securitization but above the outstanding loan balance. The loan has amortized 21.2% since securitization. The third largest specially serviced loan is the Crowne Plaza Houston River Oaks Loan ($21.5 million – 8.4% of the pool), which is secured by a 354-room full-service hotel located in Houston, Texas. The property has not generated sufficient cash flow to cover debt service since 2018. The loan transferred to special servicing in June 2020 and became REO in February 2025. The most recent appraisal from July 2024 valued the property 26% below the value at securitization. The loan is last paid through its September 2020 payment date and has accrued approximately $8.0 million in loan advances. As a result, an appraisal reduction of $8.3 million (39% of the outstanding loan balance) has been recognized as of the July 2025 remittance statement. Per servicer commentary, the property will be listed for sale upon completion of stabilized operations. The fourth largest specially serviced loan is the Deerpath Plaza Loan ($10.7 million – 4.2% of the pool), which is secured by a two-story, 47,000 SF, office/retail mixed-use property located in Lake Forest, Illinois. Additionally, the loan is encumbered by a $2.25 million of mezzanine debt. The loan transferred to special servicing in July 2020 after the borrower had become delinquent on their debt service payments due to the coronavirus impact on the property and became a REO in April 2025. The most recent appraisal from October 2024 valued the property 55% below the value at securitization. The loan is last paid through its November 2022 payment date and has accrued approximately $1.1 million in loan advances. As a result, an appraisal reduction of $5.3 million (50% of the outstanding loan balance) has been recognized as of the July 2025 remittance statement. The remaining two specially serviced loans are secured by a portfolio of a multifamily property and an office building located in Evansville, Indiana, and a mixed-use property located in Dundalk, Maryland. As of the July 2025 remittance statement cumulative interest shortfalls were $6.6 million. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CTM CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CTM CLO 2025-1 LTD. Entity/Debt Rating ----------- ------ CTM CLO 2025-1 LTD. A-1 LT NRsf New Rating A-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CTM CLO 2025-1 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CTM Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.04 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.78% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, '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 CTM CLO 2025-1 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. DRYDEN 130: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Dryden 130 CLO Ltd./Dryden 130 CLO 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 PGIM Inc. The preliminary ratings are based on information as of July 29, 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 Dryden 130 CLO Ltd./Dryden 130 CLO LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1a (deferrable), $27.00 million: BBB+ (sf) Class D-1b (deferrable), $6.00 million: BBB- (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $19.50 million: BB- (sf) Subordinated notes, $51.53 million: Not rated DRYDEN 86: S&P Affirms BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-R2, and C-R2 debt from Dryden 86 CLO Ltd., a CLO managed by PGIM Inc. that was originally issued in August 2020 and reset in July 2021. At the same time, S&P withdrew its ratings on the class X-R, A-1-R, A-2-R, B-R, and C-R debt following payment in full on the July 24, 2025, refinancing date. S&P also affirmed its ratings on the class D-R and E-R 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. 24, 2026. -- No additional assets were purchased on the July 24, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 17, 2025. -- No additional subordinated notes were issued on the refinancing date. Previous And Replacement Debt Issuances Previous debt -- Class X-R, $1.50 million: Three-month CME term SOFR + 1.19% -- Class A-1-R, $381.30 million: Three-month CME term SOFR + 1.36% -- Class A-2-R, $25.00 million: Three-month CME term SOFR + 1.66% -- Class B-R, $68.80 million: Three-month CME term SOFR + 1.96% -- Class C-R, $37.50 million: Three-month CME term SOFR + 2.26% Replacement debt -- Class X-R2, $1.50 million: Three-month CME term SOFR + 0.90% -- Class A-1-R2, $381.30 million: Three-month CME term SOFR + 1.13% -- Class A-2-R2, $25.00 million: Three-month CME term SOFR + 1.48% -- Class B-R2, $68.80 million: Three-month CME term SOFR + 1.60% -- Class C-R2, $37.50 million: Three-month CME term SOFR + 1.90% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions." On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, S&P affirmed its rating on the class E-R note. S&P will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary. Ratings Assigned Dryden 86 CLO Ltd. Class X-R2, $1.50 million: AAA (sf) Class A-1-R2, $381.30 million: AAA (sf) Class A-2-R2, $25.00 million: AAA (sf) Class B-R2, $68.80 million: AA (sf) Class C-R2, $37.50 million: A (sf) Ratings Withdrawn Dryden 86 CLO Ltd. Class X-R to NR from 'AAA (sf)' Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Dryden 86 CLO Ltd. Class D-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Dryden 86 CLO Ltd. Subordinated notes, $62.50 million: NR NR--Not rated. EFMT 2025-CES4: Fitch Assigns 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2025-CES4. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2025-CES4 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates issued by EFMT 2025-CES4, as indicated above. The certificates are backed by 100% closed-end second lien (CES) loans on residential properties. 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. EXETER SELECT 2025-2: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Select Automobile Receivables Trust 2025-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 42.32%, 36.22%, 27.77%, 21.11%, and 18.41% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and repayment of principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which does not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to the environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Select Automobile Receivables Trust 2025-2 Class A-1, $47.000 million: A-1+ (sf) Class A-2, $131.470 million: AAA (sf) Class A-3, $73.685 million: AAA (sf) Class B, $26.840 million: AA (sf) Class C, $43.660 million: A (sf) Class D, $38.560 million: BBB (sf) Class E, $6.990 million: BB (sf) FALCON 2019-1: Fitch Hikes Rating on Series C Notes to 'BBsf' ------------------------------------------------------------- Fitch Ratings has upgraded the series A and B notes issued by Kestrel Aircraft Funding Limited to 'Asf' and 'BBBsf' from 'BBBsf' and 'BBsf', respectively, and has assigned a Positive Outlook to the series B note. Fitch has also upgraded the series A, B, and C notes issued by Falcon 2019-1 Aerospace Limited to 'Asf', 'BBBsf', and 'BBsf' from 'BBBsf', 'Bsf', and 'CCCsf', respectively, and assigned Positive Outlooks to the series B and C notes. Entity/Debt Rating Prior ----------- ------ ----- Falcon 2019-1 Aerospace Limited Series A 30610GAA1 LT Asf Upgrade BBBsf Series B 30610GAB9 LT BBBsf Upgrade Bsf Series C 30610GAC7 LT BBsf Upgrade CCCsf Kestrel Aircraft Funding Limited A 49255PAA1 LT Asf Upgrade BBBsf B 49255PAB9 LT BBBsf Upgrade BBsf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses all inform its modeled cash flows and coverage levels. Kestrel and Falcon have both de-levered since its last review, primarily driven by sooner than forecasted asset sales in both transactions, and large end-of-lease (EOL) payments in the Falcon transaction. Over the past 12 months Kestrel received $75 million in sale proceeds, while Falcon received $42 million in sales proceeds as well as $24 million in EOL payments. The upgrades reflect improved loan to values (LTVs) for all of the notes and improvements in outstanding principal balances versus scheduled. The Positive Outlooks reflect the possibility of additional aircraft sales, current cashflow generation relative to debt service, and the size of the outstanding notes. Overall Market Recovery Demand for air travel continues to grow, albeit at a slower pace. May YTD 2025 global passenger traffic measured in revenue passenger kilometers (RPK) was up 5.8% compared to 2024, per the International Air Travel Association. International traffic grew 8.1% YTD in RPK growth, and domestic traffic grew 2.1%. Growth rates vary across geographies, with Asia-Pacific and Europe continuing to lead the overall growth in traffic. North American passenger traffic, however, had no growth as of May YTD 2025 versus 2024. Aircraft Collateral and Asset Values Aircraft ABS transaction servicers are reporting continued strong demand for aircraft, particularly those with maintenance green time remaining. In addition, appraiser market values are higher than base values for many aircraft types, which has not occurred for several years. Aircraft sale proceeds remain strong. Engines with maintenance green time remaining are particularly in demand. Macro Risks Fitch recently revised its sector outlook for aircraft ABS to 'deteriorating' from 'neutral'. This change reflects expectations for a slowdown in global air travel growth, consistent with its forecast for weaker global GDP in 2025 and 2026. Global air travel is highly correlated to global GDP. Fitch also expects increased divergence in performance across several categories, including domestic versus international travel, geographic footprint, lessee credit strength, and aircraft type and age. Some domestic markets have contracted through May 2025, and there is significant uncertainty about how trade relations and conflicts will be resolved. Conclusive resolutions to tariff conflicts, for example, may prompt Fitch to reevaluate its sector outlook. Despite an anticipated slowdown in the growth rate of air travel, Fitch expects aircraft values will remain supported by the ongoing under-supply of aircraft. This is driven by continued impediments to the construction and delivery of new aircraft and by engine shop capacity issues that reduce total capacity. Fitch expects these supply-side constraints to mitigate demand reductions. ABS performance may be affected by deteriorating credit quality of airline lessees. Despite benefiting from longer-term fixed rental leases and staggered lease expiries, given sufficient financial headwinds, some airlines may seek payment relief in the form of restructures which could reduce cash flows to ABS. Fitch expects securitizations with younger to mid-life aircraft and with adequate lessee quality and diversification to be better positioned to withstand potential pressures on cash flows needed to meet debt service. KEY RATING DRIVERS The Fitch Value for the Falcon and Kestrel pools are $198MM and $159MM, respectively, a decrease of $25 million (11%) and $81 million (34%) over the last 12 months. Fitch used the most recent appraisals as of December 2024 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years in which case a market value is used. Fitch then uses the lesser of mean and median of the given value. Using the Fitch Value, the changes in LTVs since Fitch's prior review are as follows: - Falcon: A note 66.1% to 46.5%; B note 88.4% to 52.9%; C note 104.3% to 67.8%; - Kestrel: A note 62.1% to 56.1%; B note 78.0% to 66.6%. Falcon and Kestrel's mean maintenance-adjusted base value (MABV) (depreciated from the appraisal effective date to June 2025) are $187 million and $163 million, respectively. Tiered Collateral Quality: The Falcon pool consists of 11 narrowbody (NB) aircraft, one widebody (WB) aircraft, and an engine with the majority characterized as mid-life aircraft (weighted-average [WA] age of 16.8 years). The Kestrel pool consists of eight narrowbody (NB) aircraft (one of which is consigned for sale), one widebody (WB) aircraft, two turbo props (TP) and an engine, with the majority characterized as mid-life aircraft (weighted-average [WA] age of 15.5 years). Fitch utilizes three tiers when assessing the desirability and liquidity of aircraft collateral: tier one which is the most liquid, and tier three which is the least liquid. Additional details regarding Fitch's tiering methodology can be found here. As aircraft age, Fitch's aircraft tiering migrates; the weighted average tier for the Falcon and Kestrel portfolios are 2.13 and 2.18 respectively. Pool Concentration: Falcon sold two aircraft, one airframe and an engine since the prior review. Thirteen assets remain in the pool; 12 aircraft are on lease, and one engine is off lease. Kestrel sold four aircraft since Fitch's prior review. The pool currently includes 12 assets: 10 aircraft on lease, one engine off lease but slated for installation on a leased aircraft, and one airframe for sale under a consignment arrangement. Falcon is reasonably diversified across regions with 30.3% exposure to Emerging Asia Pacific, 17.4% to Developed Asia Pacific, 17.3% to Developed North America, 12.0% to Emerging Europe & CIS, 11.3% to Developed Europe, and 9.7% to Emerging South & Central America. Kestrel is reasonably diversified across regions with 35.4% exposure to Emerging South & Central America, 33.3% to Emerging Asia Pacific, 14.2% to Emerging Middle East & Africa, 12.6% to Emerging Europe & CIS. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees in Falcon and Kestrel moderate. The WA credit rating by FV is between 'CCC' to 'CCC+' in both transactions. This profile is comparable to, but on the low side of, other aircraft ABS transactions. Delinquencies in both transactions have increased modestly since Fitch's prior review. Operation and Servicing Risk: Fitch views Dubai Aerospace Enterprise (DAE) LTD as an effective servicer based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade; - Fitch ran a sensitivity with concurrent down sensitivities. The scenario included: all future lessees assumed to be rated 'CCC', highest appraised value removed when calculating the Fitch Value, and downtimes for all leases extended five months. Additionally, for Kestrel, rental cashflows associated with previous arrearages were removed. This scenario results in a zero- to one-notch decrease in the model implied ratings for both transactions; - Fitch ran a sensitivity related to reduced disposition values and the timing of future aircraft sales. This sensitivity assumed aircraft sales occurred at or around the transactions' ARD dates combined with an approximate 20% decrease in modelled disposition values. This scenario results in a zero- to one -notch decrease in the model implied ratings for both transactions. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche; - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade; - Fitch ran a sensitivity related to the timing of future aircraft sales. If the remaining aircraft are sold before or around the transactions ARD dates, the model implied ratings would increase by zero to two-notch for both transactions; - Fitch ran a sensitivity related to the lessee credit quality in both the Falcon and Kestrel pools. Fitch assigns a credit rating of 'CCC' or lower to more than half of lessees in the pools. The sensitivity assumes all current lessees are rated 'B' or at their current rating if higher than 'B', and that all future lessees are rated 'B.' This scenario results in a zero- to one-notch increase in the model implied ratings for both transactions; - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. FLATIRON CLO 32: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Flatiron CLO 32 Ltd. Entity/Debt Rating ----------- ------ Flatiron CLO 32 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Flatiron CLO 32 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.63, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.45% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.57% 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 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. 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 Flatiron CLO 32 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GOLUB 41(B)-R2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 41(B)-R2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 41(B)-R2, Ltd. A-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners CLO 41(B)-R2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by OPAL BSL LLC. The original transaction closed in April 2019 and was refinanced in February 2021. On the second refinancing date, net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 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 25.97, 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 99.11% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 49% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 41(B)-R2, 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. GREENSKY HOME 2025-2: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GreenSky Home Improvement Issuer Trust 2025-2 (GSKY 2025-2). Entity/Debt Rating Prior ----------- ------ ----- GreenSky Home Improvement Issuer Trust 2025-2 A1 ST F1+sf New Rating F1+(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf Transaction Summary GSKY 2025-2 is a discrete trust ultimately backed by economic participations in unsecured, fixed-rate home improvement (HI) loans totaling $750 million and originated by Goldman Sachs Bank USA — about 13.2% of the initial pool balance (IPB; as of June 3, 2025) — and Synovus Bank — about 86.8% of IPB through a lending program administered by GreenSky, LLC (GreenSky) on behalf of federal or state-chartered lenders through a network of merchants (the GreenSky Program). GreenSky is the program sponsor for the GreenSky Program, administrator for this transaction and, together with its subsidiary GreenSky Servicing, LLC and other affiliates, servicer of the loans underlying the economic participations. GSKY 2025-2 is the eighth Rule 144A ABS transaction of economic participations in loans originated through the GreenSky Program, the fourth Rule 144A ABS transaction issued under the GreenSky Home Improvement Issuer Trust (GSKY) shelf and the first to be rated by Fitch. KEY RATING DRIVERS Consistent Receivable Quality: GSKY 2025-2 is backed by economic participations in an asset pool of unsecured HI loans made mainly to prime obligors (FICO scores lower than 700 account for 4.7% of IPB) in the U.S. originated by Goldman Sachs Bank USA and Synovus Bank through the GreenSky Program. The GreenSky Program offers three core loan products: reduced rate loans, zero interest loans and deferred interest loans. Deferred interest loans have a promotional period of typically up to 24 months during which the full principal balance can be paid off with no interest due (and interest billed during such promotional period will be reversed if the principal is paid in full during the promotional period). Certain deferred interest loans require no payments during the promotional period, while other deferred interest loans require payments during the promotional period. Loan proceeds are earmarked for heating, ventilation and air conditioning (HVAC) systems, kitchens and bathrooms, basement projects, and windows, solar/energy efficiency products and other HI products and services. The characteristics of the initial asset pool are generally in line with those of prior GreenSky transactions as well as peer HI lenders. The weighted average (WA) FICO score of the asset pool is 781. The WA original term of the asset pool is 110 months and the WA loan seasoning is 7.3 months. Asset Pool Assumptions: Fitch's WA lifetime base case lifetime default rate assumption is 5.97%, based on the mix of product type and FICO scores for the asset pool. Fitch assumed a rating case default multiple of 5.2x at the 'AAAsf' rating level, assessed at the median-high end of the range of Fitch's applicable rating criteria. It primarily reflects the limited origination-specific performance data history. Therefore, the assumed lifetime default rate for the asset pool is 31.1% at the 'AAAsf' rating level. Fitch applied an 18% base case recovery rate on defaulted loans, based on historical recoveries and forward-looking expectations. Fitch applies a rating-dependent recovery haircut at the higher end of the range provided by Fitch's consumer ABS rating criteria, equal to 60% at 'AAAsf', hence resulting in an assumed recovery rate at 'AAAsf' of 10.8%. In its analysis, Fitch differentiated prepayment rates according to product type as the deferred products feature a promotional period during which either no principal and interest is due, or just no interest, depending on the type of product. The assumed base case WA prepayment rate is 20.4% per annum (pa) during the promotional period and 16.2% pa thereafter, also based on the mix of FICO score in the asset pool. All other asset pool and cash flow modeling assumptions are as described within Fitch's applicable rating criteria and throughout this commentary. Transaction Structure: GSKY 2025-2 financed the purchase of the asset pool via eight classes of rated notes (class A-1, A-2, A-3, A-4, B, C, D and E notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in August 2025. Credit enhancement (CE) to the notes is provided by overcollateralization (OC; initially equal to 4.42% of 95% of the asset balance as of the June 3, 2025 cutoff date), OC via the subordination of more junior notes, a fully funded non-amortizing reserve fund sized at 0.50% of the initial notes balance over 95%, as well as excess spread to the extent generated by the asset pool (initially estimated at 6.4% pa). The structure envisages an OC build-up to a target of 5.75% of 95% of the outstanding asset pool, with a floor of 0.50% of 95% of the initial asset pool. In addition, the target OC for class A notes is 36.5%. Total hard CE at closing (as a percentage of 95% of the initial asset pool, including reserve fund and excluding excess spread) is 27.3%, 19.0%, 13.7%, 8.3% and 4.9% for class A, B, C, D and E notes, respectively. Adequate Servicing Capabilities: Under the transaction structure, Synovus Bank will hold the legal title and servicing rights to the underlying HI loans. GreenSky, together with its subsidiary GreenSky Servicing, LLC and other affiliates, and Systems & Services Technologies, Inc. (SST) will act as servicer and backup servicer, respectively, for the transaction upon closing and on behalf of and as agent for the origination partner (Synovus Bank). The servicer causes collections from the asset pool to be transferred to an origination partner designated account within two business days of receipt, and then to the payment account held with Wilmington Trust, National Association (classified as a transaction account bank under Fitch's counterparty criteria) on the following business day. Fitch reviewed the potential commingling exposure of three days of collections, sized at about 20 bps of the initial asset pool, and considered the exposure immaterial considering the credit protection available to the rated notes. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk as in line with ratings up to 'AAAsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher and recovery assumptions that are lower than the initial base case. An increase in base case defaults by 50% may lead to downgrades up to -2 notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. A decrease in base case defaults by 50% may lead to upgrades up to 3 categories. CRITERIA VARIATION In its analysis of the transaction, Fitch applied a criteria variation to its "Consumer ABS Rating Criteria." Fitch's "Consumer ABS Rating Criteria" stipulates a maximum of one notch deviation between the model implied rating (MIR) derived under Fitch's cash flow modeling (via Fitch's Solar Loans ABS Cash Flow Model) and assigned ratings, when assigning ratings to a new ABS issuance. For class C, D and E notes, Fitch assigned ratings below the MIR in excess of one notch (minus three notches for all classes), given the subordinate position of these tranches and resulting reliance on excess spread generated by the structure, as well as the increased sensitivity of the default trigger to its default assumptions and default timing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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. GS MORTGAGE 2014-GC26: Fitch Lowers Rating on Two Tranches to 'Bsf' ------------------------------------------------------------------- Fitch Ratings has downgraded four classes of GS Mortgage Securities Trust Series 2014-GC26 commercial mortgage pass-through certificates (GSMS 2014-GC26). Following the downgrades, Negative Rating Outlooks were assigned to the four classes. Fitch has also downgraded four classes of Citigroup Commercial Mortgage Trust commercial mortgage pass-through certificates series 2014-GC25 (CGCMT 2014-GC25). Following the downgrades, Negative Rating Outlooks were assigned to the four classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2014-GC26 B 36250HAK9 LT BBsf Downgrade Asf C 36250HAM5 LT Bsf Downgrade BBsf PEZ 36250HAL7 LT Bsf Downgrade BBsf X-B 36250HAH6 LT BBsf Downgrade Asf CGCMT 2014-GC25 B 17322YAG5 LT BBsf Downgrade Asf C 17322YAH3 LT Bsf Downgrade BBsf PEZ 17322YAL4 LT Bsf Downgrade BBsf X-B 17322YAK6 LT BBsf Downgrade Asf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Adverse Selection: The downgrades in both transactions reflect higher pool expected losses on the few remaining assets. It also reflects the classes' dependence on defaulted/distressed assets for recovery and uncertainty of recovery timing. Additionally, there is a risk of increasing interest shortfalls if servicer advancing is reduced or halted, which could result in interrupted payments to bondholders. Deal-level 'Bsf' rating case loss has increased to 50.7% in GSMS 2014-GC26 and 58.6% in CGCMT 2014-GC25. The GSMS 2014-GC26 transaction has five loans remaining, including four loans (71.5%) in special servicing. The CGCMT 2014-GC25 transaction has four loans remaining, all of which are in special servicing. Due to the rising concentration and adverse selection within these pools, Fitch performed a recovery and liquidation analysis that factored in an assessment of the likelihood of repayment and/or expected loss, as well as the timing of any recoveries. The Negative Outlooks in both transactions reflect the potential for additional downgrades due to the high concentration of specially serviced loans and if recovery expectations worsen due to ongoing performance declines, prolonged workouts, and/or increasing loan exposures. Additionally, office concentration is high, comprising 67% of GSMS 2014-GC26 and 100% of CGCMT 2014-GC25. FLOCs and Largest Loss Contributors: The largest contributor to overall loss expectations in GSMS 2014-GC26 is the REO Queen Ka'ahumanu Center asset (32% of the pool), a 570,904-sf open-air regional mall located in Kahului, HI. The loan transferred to special servicing in June 2020 for imminent default and the asset became REO in June 2022. The property is not currently listed for sale and as of October 2024, the entire site was rezoned for a potential redevelopment of the asset. The subject mall is anchored by a Macy's Men's, Children's and Home (14.5% of NRA through November 2034) and a Macy's (14.0%; October 2034). Sears (13.6%) closed in 2021. The mall had a six-screen movie theater, Consolidated Theatres Ka'ahumanu 6, (4.9%), which closed in July 2023. At YE 2024, the mall was 55% occupied but has prospective leasing opportunities including a 6,000-sf lease and the renewal of Foodland Grocery. Fitch's 'Bsf' rating case loss of 69.5% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of approximately $53 psf. The second largest increase to loss expectations in GSMS 2014-GC26 is the 1201 North Market Street loan (29.3%), secured by a 23-story office tower and data colocation center located in the Wilmington, DE CBD. The 447,439-sf property is the tallest building in Wilmington and home to several law firms, financial services and technology companies. The loan transferred to the special servicer in November 2024 after the borrower indicated an inability to repay the loan at maturity. Major tenants at the property include Morris Nichols Arsht & Tunnell (18.5% of NRA through December 2028), DaSTOR Wilmington (7.7%; December 2037), The Siegfried Group (6.7%; October 2028) and Maron Marvel Bradley (4.6%; May 2033). As of YE 2024, the property was 73% occupied, compared to 71% at YE 2023, 73% at YE 2022 and 77% at YE 2021. The servicer-reported NOI DSCR was 1.12x at YE 2024, compared to 1.15x at YE 2023, 1.14x at YE 2022 and 1.16x at YE 2021. Per the servicer, foreclosure was filed in June 2025 and discussions regarding workout alternatives will continue. Fitch's 'Bsf' rating case loss of 51.8% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of approximately $80 psf. The third largest loan in GSMS 2014-GC26 is the 5599 San Felipe loan (28.4%), secured by a 450,508-sf, 20-story office building located in the Galleria District of Houston, TX. The largest tenant, Schlumberger Technology Corporation (69.7% of NRA through July 2027), is a creditworthy tenant and has been at the property since 1994. The remainder of the rent roll is diversified, with the second largest tenant, Hibernia Resources IV (lease expiry in January 2027), accounting for 2.4% of the NRA. As of the March 2024 rent roll, the property was 94.0% occupied, compared to 89.7% in June 2021 and 96.3% in March 2020. The servicer-reported NOI DSCR was 1.41x at YTD June 2025 compared to 1.59x at YE 2023, 1.43x at YE 2022, and 1.00x at YE 2021. According to Costar, the Galleria/Uptown office submarket reported a vacancy rate of 34.8%. The loan remains current and the maturity has been extended through November 2027. Fitch's 'Bsf' rating case loss of 19.4% (prior to concentration add-ons) reflects a 9.5% cap rate, 5% stress to the YE 2023 NOI, and factors an elevated probability of default because of the larger leases expire in 2027 prior to the extended maturity date in November 2027, and potential for re-default. The largest contributor to overall loss expectations in CGCMT 2014-GC25 (and the fourth largest contributor to overall loss expectations in GSMS 2014-GC26) is the Bank of America Plaza loan (63.7% in GCMT 2014-GC25 and 9.2% in GSMS 2014-GC26), which is secured by a 1.4 million-sf, LEED Gold certified, office building located in downtown Los Angeles, CA. Major tenants include Capital Group Companies (26.6% of the NRA through February 2033), and Bank of America (14.7%; June 2029). The loan transferred to special servicing in July 2024 for imminent maturity default ahead of its scheduled September 2024 maturity date. In April 2025, special servicer filed a foreclosure complaint. The servicer is also reviewing a modification request from the borrower; however details were not provided. As of the YE 2024 rent roll, the property was 79% occupied with an interest-only NOI DSCR of 2.23x. According to CoStar, the subject is located in the Downtown Los Angeles office submarket, which has a reported vacancy rate of 16.2%. Fitch's 'Bsf' rating case loss of 59.0% (prior to concentration add-ons) is based on a 20% stress to the appraisal value reflecting a stressed value of approximately $119 psf. The second largest contributor to overall loss expectations in CGCMT 2014-GC25 is The Pinnacle at Bishop's Woods loan (16.1%), secured by a three-building 247,433-sf suburban office portfolio located in Brookfield, WI. The loan transferred to special servicing in March 2022 due to imminent monetary default after the borrower was no longer willing to support the asset. An appointed receiver is focused on marketing space for lease in order to stabilize performance and the servicer is pursuing foreclosure The largest tenants include Pentair Residential Filtration, LLC (17.9% of the NRA through October 2026), Travelers Indemnity Company (11.1%; October 2026), Dewitt Ross & Stevens (10.1%; July 2030), and Windstream (5.0%; May 2025). As of YE 2024, the property was 57% occupied, down from 59% at YE 2023, 66% in May 2022, and 67% at YE 2021. Fitch's expected loss of 46.8% considers a stress to a recent appraisal value, reflecting a stressed value of approximately $68 psf. The third contributor to overall loss expectations in CGCMT 2014-GC25 is the Stamford Plaza Portfolio loan (15.6%), secured by four office properties totaling 982,483-sf located in Stamford, CT. The loan transferred to special servicing in August 2024 for maturity default. The servicer is dual tracking foreclosure and workout discussions with the borrower. Occupancy was 67% as of YE 2024, compared with 69% as of YE 2023, 65.2% at YE 2022, 63% at YE 2021, and 90% at issuance. Major tenants include Icon International (6.2% of NRA through December 2029), PWC (2.5%; December 2029) and LOXO (4.7%; February 2028). Due to the occupancy decline, the servicer-reported NOI DSCR has remained below 1.0x since YE 2018. According to CoStar, the subject is in the Stamford office submarket, which reported a vacancy rate of 21.6% and average asking rents of approximately $38.35 psf. Fitch's 'Bsf' rating case loss of 56.5% (prior to concentration add-ons) reflects a 20% stress to the most recent appraisal value reflecting a stressed value of approximately $123 psf. Increased Credit Enhancement (CE): As of the June 2025 distribution date, the pool's aggregate balance in GSMS 2014-GC26 has been reduced by 80.0% to $251.1 million from $1.26 billion at issuance. Since issuance, loans have been repaid or disposed of, resulting in realized losses of $30.3 million affecting the non-rated class H. As of the June 2025 distribution date, the pool's aggregate balance in CGCMT 2014-GC25 has been reduced by 79.5% to $172.6 million from $842.0 million at issuance. Since issuance, loans have been repaid or disposed of, resulting in realized losses of $1.9 million affecting the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'BBsf' and 'Bsf' rated classes will occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'BBsf' and 'Bsf' rated classes are not anticipated given pool adverse selection and concentration of defaulted loans; however are possible with significantly higher valuations or recoveries on the remaining loans. 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. GS MORTGAGE 2017-GS5: Fitch Lowers Rating on Two Tranches to BB-sf ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirmed six classes of GS Mortgage Securities Trust 2017-GS5 (GSMS 2017-GS5). Fitch has also assigned Negative Rating Outlooks to four classes following their downgrades. The Outlooks remain Stable for three of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage Securities Trust 2017-GS5 A-3 36252HAC5 LT AAAsf Affirmed AAAsf A-4 36252HAD3 LT AAAsf Affirmed AAAsf A-AB 36252HAE1 LT AAAsf Affirmed AAAsf A-S 36252HAH4 LT AA-sf Affirmed AA-sf B 36252HAJ0 LT BBB-sf Downgrade A-sf C 36252HAK7 LT BB-sf Downgrade BBB-sf D 36252HAL5 LT CCCsf Downgrade B-sf E 36252HAQ4 LT CCsf Downgrade CCCsf F 36252HAS0 LT CCsf Affirmed CCsf X-A 36252HAF8 LT AA-sf Affirmed AA-sf X-B 36252HAG6 LT BBB-sf Downgrade A-sf X-C 36252HAY7 LT BB-sf Downgrade BBB-sf X-D 36252HAN1 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 11.4% from 9.2% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise eight loans (36.1% of the pool), including four loans (22.0%) in special servicing. The downgrades reflect higher pool loss expectations since the prior rating action driven by further performance deterioration and refinance concerns on FLOCs, particularly Lafayette Centre (office; 8.7%), 700 Broadway (office; 5.4%) and 20 West 37th Street (mixed-use office/retail; 2.9%), along with sustained high loss expectations from limited performance stabilization on 604 Mission Street (office; 1.7%) and Writer Square (mixed-use office/retail; 6.3%). The Negative Outlooks reflect the high office concentration in the pool of 49.3% and possible further downgrade without performance stabilization and improved refinance prospects of these FLOCs. Largest Loss Contributors and Loss Increases since Prior Rating Action: The largest increase in loss expectations since the prior rating action is the 700 Broadway loan, secured by a 424,771-sf medical office property in Denver, CO. Anthem developed the property in 1973, and it was owner-occupied until 2014 when it was sold in the form of a NNN sale-leaseback transaction. Anthem has been located at the subject for over 50 years as a mission-critical data center on site. Elevance Health (Anthem) previously occupied 86% of NRA and accounted for approximately 88% of the in-place base rents. Upon its December 2024 lease expiration, Elevance Health vacated most of its space, downsizing from 365K sf to 106K sf (25.1%). Following the downsizing of the largest tenant, NOI DSCR is estimated to have fallen below 1.0x from 2.67x as of Q3 2024. As of the March 2025 rent roll, the property was 26.6% occupied, down from 94% at YE 2023. The only other tenant at the property as of the most recent rent roll is Orban, Sillverman & Poulos (1.4%; lease expiry in June 2027). The loan transferred to special servicing in October 2024 for imminent monetary default. The loan had been previously 30 days delinquent in May and June 2025 but was brought current in July 2025. As of the July 2025 reporting, there was approximately $7.6 million in loan reserves. Fitch's 'Bsf' rating case loss of 36.3% (prior to concentration add-ons) reflects a 10% cap rate and sustainable cash flow derived from the annualized Q2 2023 NOI, factoring in submarket vacancy. Fitch's analysis also incorporates an increased probability of default to account for heightened maturity and refinance risk. The second largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations is the Lafayette Centre loan, which is secured by a 793,533-sf office property in Washington, D.C. (three office buildings connected by an outdoor plaza and a below-grade mall level). The loan transferred to special servicing in June 2024 for imminent monetary default as the largest tenant, U.S. Commodity Futures Trading Commission (CFTC), will be vacating and not renewing its lease, which expires in September 2025. The tenant represents 37% of the NRA and approximately 60% of the total rent. Additionally, Medstar, the second largest tenant, leases 14.2% of the NRA through 2031, but has a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the March 2024 rent roll, the property was 76% occupied with a servicer-reported NOI DSCR of 1.99x as of YE 2023. According to servicer updates, the borrower executed a pre-negotiation letter and discussions are ongoing regarding a possible consensual receivership and leasing opportunities with current and new tenants. According to CoStar, as of 1Q25, the Washington, D.C., CBD office submarket market reported a 20% vacancy rate, 24.1% availability rate and $54.84 psf market asking rent. Fitch's 'Bsf' rating case loss of 28.6% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the TTM March 2024 NOI to account for occupancy declines, higher submarket vacancy rate and imminent loss of the largest tenant. Fitch's analysis also incorporates an increased probability of default to account for heightened maturity and refinance risk. The third largest increase in loss since the prior rating action is the 20 West 37th Street loan, secured by an 82,350-sf mixed-use property (office/retail) located in Manhattan's Garment District. The loan was previously in special servicing before returning to the master servicer in July 2023 as a corrected mortgage. In January 2024, the loan transferred back to the special servicer and a receiver was appointed in September 2024. According to the July 2025 commentary, the special servicer is working to take title and sell the asset. As of the March 2025 rent roll, the property was 33.3% occupied, unchanged from April 2024, but down from 52.6% in March 2023, 61% at YE 2021 and 94% at YE 2019. The remaining tenants at the property include Matrix New World (8.6%; November 2027), JTTC JV Electric (7.9%; January 2026), Tri Center (7.9%; August 2029) and New York Cue Club (7.9%; January 2029). Fitch's 'Bsf' rating case loss of 42.4% (prior to concentration add-ons) considers a haircut to the most recent appraisal value, reflecting a stressed value of $221 psf. The second largest contributor to overall loss expectations is the Writer Square loan, which is secured by a 180,705-sf mixed-use office/retail property located in Denver, CO. The loan transferred to special servicing in December 2021 at the borrower's request due to cash flow issues. The former largest tenant, Blue Moon Digital, occupied 17.2% of the NRA on a lease through September 2024, vacated upon lease expiration. The current largest tenants at the property include Cresa Global Inc (5.0% of NRA; lease expiry in February 2028), Overland Sheepskin Co (3.7%; April 2026), and Medilogix (3.6%; June 2026). As of the January 2025 rent roll, the property was 36% occupied, down from 57% in June 2023, 68% in June 2022, 75% in September 2021, 77% at YE 2020, and 81% at YE 2019. Approximately 3.2% of the NRA is rolling in 2025 and 12.4% in 2026. Although the servicer-reported NOI DSCR has been below 1.0x since YE 2020, the loan has remained current or was reported as less than 30 days delinquent over the past year. As of the July 2025 reporting, the loan is paid through June 2025 and was less than 30 days delinquent. Fitch's 'Bsf' rating case loss of 37.6% (prior to concentration add-ons) reflects an 10% cap rate, 40% stress to the YE 2019 NOI and factors a heightened probability of default. The fifth largest contributor to overall loss expectations is the 604 Mission Street loan, secured by a 26,794-sf office property in San Francisco, CA. The loan transferred to special servicing in August 2023 due to non-monetary default resulting from a non-compliance with cash management. The borrower transferred the property to the lender, and foreclosure was completed in September 2024. The special servicer is actively leasing the property in preparation for its sale. Per the May 2025 rent roll, the property was 72.3% occupied, compared to 55.1% in August 2024, 67% in June 2022, 74% at YE 2021, 95% at YE 2020 and 90% at issuance. The largest tenants include Agenthub Inc (10.1%; August 2026), Cogent Security Inc (10.1%; February 2027) and Conductor One (9.8%; January 2026). Per CoStar as of 2Q25, San Francisco continues to show weak market fundamentals, with the South Financial District submarket reporting a vacancy rate of 27.8% and market asking rent of $55.60 psf. Fitch's 'Bsf' rating case loss of 78.7% (prior to concentration add-ons) considers the most recent appraisal value, reflecting a stressed value of $210 psf. Changes in Credit Enhancement (CE): As of the July 2025 distribution date, the pool's aggregate balance has been reduced by 10.4% to $952.0 million from $1.06 billion at issuance. Seventeen loans (10.6% of the pool) have been fully defeased. The pool comprises 13 loans (66%) that are full-term interest-only (IO) and the remaining 34% is amortizing. 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 the 'AAsf' rated classes could occur should performance of the FLOCs, most notably from Writer Square, Lafayette Centre, 604 Mission Street, 700 Broadway, and 20 West 37th Street, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBBsf' and 'BBsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' and 'CCsf'' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated 'AAsf' may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, which includes Writer Square, Lafayette Centre, 604 Mission Street, 700 Broadway, and 20 West 37th Street; - Upgrades to the 'BBBsf' 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' 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 'CCCsf' and 'CCsf' 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. GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has upgraded the expected ratings for classes A-1, A-2, A-S, and B of GSF 2025-AXMF1 Issuer LLC. Fitch has also affirmed the existing expected ratings for classes C, D, E, F, and X. This is related to GSF 2025-AXMF1 Issuer LLC Ramp No. 1. Entity/Debt Rating Prior ----------- ------ ----- GSF 2025-AXMF1 Issuer LLC A-1 LT AAA(EXP)sf Upgrade A(EXP)sf A-2 LT AAA(EXP)sf Upgrade A(EXP)sf A-S LT AAA(EXP)sf Upgrade A(EXP)sf B LT AA-(EXP)sf Upgrade A(EXP)sf C LT A-(EXP)sf Affirmed A-(EXP)sf D LT BBB-(EXP)sf Affirmed BBB-(EXP)sf E LT BB-(EXP)sf Affirmed BB-(EXP)sf F LT NR(EXP)sf Affirmed NR(EXP)sf X LT A-(EXP)sf Affirmed A-(EXP)sf Transaction Summary The transaction was given expected ratings by Fitch in January 2025. At that time, the loan pool consisted of two c closed loans and three delayed closed loans with a balance of $40,368,000. Given the small pool by balance and loan count, a rating cap of "Asf' was applied. The purpose of this rating action is to rate Ramp No. 1 and remove the rating cap on Class A-1, A-2, A-S, and B. The new CRE CLO pool contains 10 mortgages secured by 10 properties located throughout the U.S. As of the cutoff date, the trust will have a collateral balance of $72,060,000. The pool does not feature any future funding. All loans are fixed-rate loans. The mortgages are sourced solely by Grant Street Funding and the transaction is arranged by Grant Street Funding. KEY RATING DRIVERS Higher Leverage Compared to Recent Transactions: The pool's Fitch LTV 106.2%, higher than GSF 2023-1 Fitch LTV of 105.7%, higher than BBCMS 2025-5C34 Fitch LTV of 105.1%, higher than WFCM 2025-5C3 Fitch LTV of 103.9%, lower than 2025 YTD CRE CLO Fitch LTV of 140.4%, and higher than the 2025 YTD Multiborrower Five-Year Fitch LTV of 100.3%. In addition, the pool's Fitch DY is 8.4%, lower than GSF 2023-1 Fitch DY of 9.1%, lower than the BBCMS 2025-5C34 Fitch DY of 9.0%, lower than WFCM 2025-5C3 Fitch DY of 9.5%, higher than 2025 YTD CRE CLO Fitch DY of 6.4%, and lower than 2025 YTD Multiborrower Five-Year Fitch DY of 9.7%. Lower Interest Rates Compared to Recent Transactions: The pool's weighed average note rate is 6.8%, lower than GSF 2023-1 note rate of 7.0%, in line with BBCMS 2025-5C34 note rate of 6.8%, lower than WFCM 2025-5C3 note rate of 6.9%, lower than 2025 YTD CRE CLO note rate of 7.5%, and higher than 2025 YTD Multiborrower Five-Year average of 6.7%. In addition, the pool's Fitch Term DSCR is 1.07x, which is lower than GSF 2023-1 Fitch Term DSCR of 1.14x, lower than BBCMS 2025-5C34 Fitch Term DSCR of 1.12x, lower than WFCM 2025-5C3 Fitch Term DSCR of 1.18x, higher than 2025 YTD CRE CLO Fitch Term DSCR of 0.76x, and lower than the 2025 YTD Multiborrower Five-Year Fitch Term DSCR of 1.21x. Highly Concentrated by Loan Size: The pool carries 10 loans with an effective loan count of 8.5 and translates to a higher pool concentration compared to recent multiborrower transactions. The pool's effective loan count of 8.5 is lower than GSF 2023 effective loan count of 19.1 for Ramp No. 4, and 8.8 for Ramp No. 2 where Fitch removed the rating cap. Highly Concentrated Property Type: GSF 2025-AXMF1 has an effective property count of 1.0 given the pool is fully collateralized by multifamily properties. The effective property count of 1.0 is which is lower than GSF 2023-1 at 4.3, lower than BBCMS 2025-5C34 at 3.0, WCM 2025-5C3 at 4.1, 2025 YTD CRE CLO average of 1.8, and the 2025 YTD Multiborrower Five-Year average of 4.4. The 2025 YTD CRE CLO and 2025 YTD Multiborrower Five-Year reported multifamily exposures of 75.7% and 26.7%, respectively. Highly Concentrated by Geography: GSF 2025-AXMF1 has an effective geographic count of 6.1 which is lower than GSF 2023-1 Ramp No. 2 effective geo count of 6.8. Loans located in the Dallas MSA account for 24.7% of the GSF 2025-AXMF1 pool. In the comp set, WFCM 2025-5C3 is the most geographically concentrated with 23.6% of the pool located in the NYC MSA. Amortization Compared to Recent Transactions: The pool is comprised of 100% of interest-only amortization loans; thus, the pool features 0.0% paydown from securitization to maturity. This is lower than GSF 2023-1 at 0.2%, lower than BBCMS 2025-5C34 at 0.2%, lower than WFCM 2025-5C3 at 1.0%, lower than 2025 YTD CRE CLO average of 0.5%, and lower than the 2025 YTD Multiborrower Five-Year average of 0.4%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/ 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet 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'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'. SUMMARY OF FINANCIAL ADJUSTMENTS There were no variances from Fitch criteria. Cash flow modeling was not employed on this transaction, with the concurrence of the committee. The deal does not employ CRE CLO features that would cause us to cash flow model. For example, the transaction's structure does not contain any note protection tests (interest coverage or overcollateralization) nor is there is an interest payment diversion feature within the retained classes (or anywhere in the structure). 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 thirdparty 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. HARVEST US 2025-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Harvest US CLO 2025-2 Ltd. Entity/Debt Rating ----------- ------ HARVEST US CLO 2025-2 LTD. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Harvest US CLO 2025-2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.94, 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 98.37% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.2% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Harvest US CLO 2025-2 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. HPS LOAN 2025-26: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HPS Loan Management 2025-26 Ltd./HPS Loan Management 2025-26 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 HPS Investment Partners LLC. The preliminary ratings are based on information as of July 29, 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 HPS Loan Management 2025-26 Ltd./HPS Loan Management 2025-26 LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $46.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $36.75 million: NR NR--Not rated. JP MORGAN 2025-CES3: S&P Assigns Prelim 'B' Rating on B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-CES3's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool has 4,861 loans and comprise qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of July 30, 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, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES3(i) Class A-1A, $339,593,000: AAA (sf) Class A-1B, $19,951,000: AAA (sf) Class A-1-X, $359,544,000: AAA (sf) Class A-1(ii), $359,544,000: AAA (sf) Class A-2, $18,890,000: AA- (sf) Class A-3, $15,282,000: A- (sf) Class M-1, $12,310,000: BBB- (sf) Class B-1, $7,853,000: BB- (sf) Class B-2, $4,882,000: B (sf) Class B-3, $5,730,895: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iv): NR Class PT, N/A: NR Class A-R, N/A(v): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)Certain proportions of the class A-1-X, A-1A and A-1B notes are exchangeable for the class A-1 notes, and vice versa. (iii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing. (iv)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (v)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. JP MORGAN 2025-HE2: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-HE2 (JPMMT 2025-HE2). Entity/Debt Rating ----------- ------ JPMMT 2025-HE2 A-1 LT AAA(EXP)sf Expected Rating M-1 LT AA(EXP)sf Expected Rating M-2 LT A(EXP)sf Expected Rating M-3 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 B-4 LT NR(EXP)sf Expected Rating B-X LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by first and second lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2025-HE2 (JPMMT 2025-HE2), as indicated above. This is the seventh transaction to be rated by Fitch that includes prime-quality first and second lien HELOCs with open draws off the JPMMT shelf and the eight second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 4,004 seasoned and non-seasoned, performing, prime-quality first and second lien HELOC loans with a current outstanding balance (as of the cutoff date) of $362.70 million. The collateral balance based on the maximum draw amount is $593.96 million, as determined by Fitch. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is expected to be $51.08 million, per transaction documents. As of the cutoff date, weighted average (WA) utilization of the HELOCs is 91.4%, per the transaction documents. Per Fitch's analysis, the main originators in the transaction are United Wholesale Mortgage (60.7%), and Better Mortgage Corporation (17.6%,) . All other originators make up less than 15% of the pool. The loans are serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint [87.3%] and loanDepot.com LLC [12.7%]). Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Chase Bank, National Association (JPMCB). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2025-HE2 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. See the Highlights section for a description. In Fitch's analysis, Fitch assumes 100% of the HELOCs are 100% drawn on day one. As a result, all Fitch-determined percentages are based off the maximum HELOC draw amount. The servicers, Shellpoint and loanDepot.com, LLC, will not be advancing delinquent (DQ) monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans. These loans are adjusted based on the prime rate.The class A-1, M-1, M-2, M-3 and B-1 certificates are floating rate and use SOFR as the index; they are capped at the net WA coupon (WAC). The annual rate on class B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (vs. 11% on a national level as of 4Q24, down 0.1% from the prior quarter, based on its updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The participation interest is in a fixed pool of draws related to 4,004 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $595.60 million (includes the maximum HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of twelve months, according to Fitch, and five months, per the transaction documents. The pool has a WA original FICO score of 748, as determined by Fitch (747 per transaction documents), indicative of very high credit-quality borrowers. About 48.% 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 (CLTV) ratio of 71.4%, as determined by Fitch, translates to a sustainable LTV (sLTV) ratio of 78.3%. The transaction documents stated a WA drawn LTV of 21.6% and a WA drawn CLTV of 68.2%. The LTVs represent moderate borrower equityB in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 32.4% were originated by a retail or correspondent channel with the remaining 67.6% originated by a broker channel. Of the loans, 100% are underwritten to full documentation. Based on Fitch's documentation review, it considered 95.9% of the loans to be fully documented. Of the pool, 91.9% consists of loans where the borrower maintains a primary or secondary residence, and the remaining 8.1% represents investor loans. Single family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 91.7% of the pool (or 91.1%, per the transaction documents). Condominiums and a site condo make up 4.3% (4.8% per the transaction documents), while multifamily homes make up 4.0% (4.1% per the transaction documents). According to Fitch, the pool consists of loans with the following loan purposes: 98.0% cashout refinances (loans that have a cashout amount greater than 2% of the original balance), and 1.7% purchases and 0.3 refinances. The transaction documents show 97.4% of the pool to be cashouts. Fitch considers a loan to be a rate term refinance if the cashout amount is less than $5,000, which explains the difference in the cashout amount percentages. Fitch viewed the collateral to be 100% current. None of the loans in the pool are over $1.0 million, and the maximum draw amount is $500,000. Of the pool loans, 41.555% (42% per the transaction documents) are concentrated in California. The largest MSA concentration is in the Los Angeles MSA (16.9%), followed by the New York MSA (65.9%) and the Riverdale MSA (5.8%). The top three MSAs account for 28.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Second Lien HELOC Collateral (Negative): Based on Fitch's analysis of the pool that is based on the maximum HELOC draw amount, the majority of the collateral pool (98.6.%) consists of second lien HELOC loans originated by United Wholesale Mortgage, Better Mortgage Corporation and other originators (the second lien percentage is 98.5% based on the transaction documents). 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. Modified Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a modified-sequential structure in which principal is distributed pro rata to classes A-1, M-1, M-2 and M-3 to the extent the performance triggers are passing. To the extent the triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, as well as cap carryover amounts. The transaction has a lockout feature benefiting more senior classes if performance deteriorates. If the applicable credit support percentage of classes M-1, M-2 or M-3 is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the NPL percentage plus (iii) the charged off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected toward the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked out class. Due to this lockout feature, the class M will be locked out starting on day one. Classes A-1, M-1, M-2, M-3, and B-1 are floating-rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the class B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. 180-Day Chargeoff Feature (Positive): Loans that become 180 days delinquent based on the Mortgage Bankers Association (MBA) delinquency method, except for those in a forbearance plan, will be charged off. The 180-day chargeoff feature will result in losses being incurred sooner, while a larger amount of excess interest is available to protect against losses. This compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined 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. CRITERIA VARIATION Fitch rated the first JPMMT HELOC in 2023 and the shelf has been a programmatic HELOC issuer. As such, Fitch now has 12 months of performance data on post-crisis prime quality HELOC performance. Based on this additional historical performance data, Fitch reviewed its benchmark prepayment curves used for HELOCs and found that revisions were needed in order to more accurately reflect when prepayments occur and how fast prepayment speeds are based on this additional data and HELOC borrower behavior. For this transaction, Fitch applied a variation to Fitch's U.S. RMBS Cash Flow Analysis Criteria in order to change the shape and CPR speeds of the benchmark prepayment curves. Specifically, Fitch used benchmark prepayment curves that have the shape as Fitch's seven-year ARM prepayment curve and used benchmark prepayments speeds that range from 15% to 37.5% CPR. These changes more accurately reflect the historical prepayment behavior of HELOCs that tend to prepay closer to the end of the IO period and prepay slower than fixed rate second lien products and first lien products. Applying the variation resulted in ratings that are one rating category higher than existing criteria would suggest. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, and Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.99% at the 'AAAsf' stress due to 100% due diligence with no material findings. 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." SitusAMC, Consolidated Analytics, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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. JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on EC Certs to B1 ---------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on six classes JPMBB Commercial Mortgage Securities Trust 2014-C25, Commercial Mortgage Pass-Through Certificates, Series 2014-C25 as follows: Cl. A-5, Affirmed Aaa (sf); previously on Dec 10, 2024 Affirmed Aaa (sf) Cl. A-S, Downgraded to Aa3 (sf); previously on Dec 10, 2024 Affirmed Aa1 (sf) Cl. B, Downgraded to Baa3 (sf); previously on Dec 10, 2024 Downgraded to Baa1 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Dec 10, 2024 Downgraded to B2 (sf) Cl. EC, Downgraded to B1 (sf); previously on Dec 10, 2024 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to Aa3 (sf); previously on Dec 10, 2024 Affirmed Aa1 (sf) Cl. X-B*, Downgraded to Baa3 (sf); previously on Dec 10, 2024 Downgraded to Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on the P&I class, Cl. A-5, was affirmed because of the significant credit enhancement and due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR). This class will benefit from payment priority from any principal proceeds from any loan payoffs or resolutions. The ratings on three P&I classes, Cl. A-S, Cl. B and Cl. C, were downgraded due to increased risk of losses and interest shortfalls driven primarily by the significant exposure to specially serviced and troubled loans (68% of the pool balance). Nine loans, representing 56.0% of the pool are in special servicing, including the Mall at Barnes Crossing and Market Center Tupelo Loan (15.1% of the pool), which has passed its original maturity date in September 2024. Furthermore, the largest performing loan, CityPlace Loan (25.9% of the pool), has passed its original maturity date in October 2024 and may face increased refinance risk at its extended maturity date in December 2027, due to tenant rollover risk (37% of the NRA) through year-end 2027. Loans comprising 97% of the pool balance have now passed their original maturity date or anticipated repayment date ("ARD"). The ratings on the IO classes, Cl. X-A and Cl. X-B, were downgraded due to a decline in the credit quality of their respective referenced classes. Class X-A references Cl. A-5 and Cl. A-S and Class X-B references Cl. B. The rating on the exchangeable class, Cl. EC, was downgraded due to the decline in the credit quality of its referenced exchangeable classes. Class EC references Cl. A-S, Cl. B and Cl. C. Moody's rating action reflects a base expected loss of 47.7% of the current pooled balance, compared to 34.2% at Moody's last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 56.0% of the pool is in special servicing and Moody's have identified an additional troubled loan representing 13.2% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the July 15, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $378.4 million from $1.18 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 2% to 25.9% of the pool, with the top ten loans (excluding defeasance) constituting 93.9% of the pool. One loan, constituting 3.0% of the pool, has defeased and is secured by US government securities. Two loans, constituting 15.0% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $14.2 million (for an average loss severity of 77.3%). Nine loans, constituting 56.0% of the pool, are currently in special servicing. The largest specially serviced loan is the Mall at Barnes Crossing and Market Center Tupelo Loan ($57.3 million – 15.1% of the pool), which is secured by an approximately 570,000 square foot (SF) collateral portion of a 670,000 SF single-story regional mall and a 60,000 SF adjacent strip center located in Tupelo, Mississippi. The anchors include a Belk (non-collateral), Belk Home Store, and JC Penney. A former Sears space (78,600 SF) is now vacant. Other major tenants include a Dick's Sporting Goods (50,000 SF – 7.9% of NRA (net rentable area)), Barnes & Noble (29,000 SF – 4.7% of NRA) and Cinemark Theater (24,550 SF – 3.9% of NRA). As of September 2024, the reported NOI DSCR was 1.35X with 80% occupancy, compared to 1.73X and 77% in December 2023, and compared to 1.89X and 95% at securitization, respectively. The property is generating sufficient cash flow to cover debt service, however, the property has significant lease rollover risk with approximately 55% of NRA expiring within the next three years. The loan transferred to special servicing in September 2024 due to the borrower's failure to repay the loan at the September 2024 maturity date. The special servicer has reached out to the borrower, and a pre-negotiation letter has been executed. A foreclosure sale occured in June 2025. As of the July 2025 remittance, the loan has amortized 14.7% since securitization and is last paid through its April 2025 payment date. The second largest specially serviced loan is the Hilton Houston Post Oak Loan ($39.3 million – 10.4% of the pool), which represents a pari passu portion of a $70.0 million mortgage loan. The loan is secured by 448 key full-service hotel located in Houston, Texas, near the Houston Galleria shopping area. The loan transferred to special servicing in May 2020 for monetary default. The borrower filed for bankruptcy in late 2021 and the loan eventually went into foreclosure, becoming REO in September 2022. Performance was significantly impacted by the pandemic, however the recent performance shows slight improvement and as of December 2024, the reported occupancy was 73%, compared to 52% in 2023 and 45% in 2021. As of the July 2025 remittance, the loan is last paid through November 2024 payment date. The most recent appraisal from September 2024 valued the property 45% lower than the value at securitization. The master servicer has recognized an appraisal reduction of $8.6 million and has deemed the loan non-recoverable. The third largest specially serviced loan is the Southport Plaza Loan ($25.0 million – 6.6% of the pool), which is secured by which is secured by a Class B Office / Flex property located in Staten Island, New York. The property contains approximately 127,500 SF of office space and 64,600 SF of industrial/flex space. The loan transferred to special servicing in June 2020 for monetary default as a result of the pandemic. The loan was previously modified, but the borrower was not able to pay off the loan at its maturity date in October 2024. The servicer is evaluating an extension proposal from borrower. As of the July 2025 remittance, the loan is last paid through November 2024 payment date. The most recent appraisal from January 2025 valued the property 41% lower than the value at securitization. The fourth largest specially serviced loan is the 9525 West Bryn Mawr Avenue Loan ($24.8 million – 6.5% of the pool), which is secured by an approximately 250,000 SF office property located in the Chicago suburb of Rosemont, Illinois. The loan transferred to special servicing in May 2023 for imminent monetary default. A receiver was appointed in November 2023 and the special servicer is evaluating all options with the property. As of December 2024, the property was 49% leased, compared to 72% in 2023. As of the July 2025 remittance, the loan is last paid through January 2024 payment date. The most recent appraisal from January 2025 valued the property 72% lower than the value at securitization. The master servicer has recognized an appraisal reduction of $12.9 million and has deemed the loan non-recoverable. The fifth largest specially serviced loan is the American Center Loan ($24.6 million – 6.5% of the pool), which is secured by a 508,000 SF office property located in the Detroit suburb of Southfield, Michigan. The loan transferred to special servicing in November 2024 due to imminent maturity default ahead of its November 2024 maturity date. The property is generating sufficient cash flow to cover debt service, however, the property has single tenant (58% of NRA) concentration risk with a lease expiration in 2026. As of the July 2025 remittance, the loan has amortizated approximately 15.3% since securitization and is current on its P&I payments. The sixth largest specially serviced loan is the Park Place Loan ($19.2 million – 5.1% of the pool), which is secured by 180,000 SF office building located in Greenwood Village, Colorado. The loan transferred to special servicing in February 2024 due to imminent monetary default. A receiver is in place, managing the property, and new leasing agents have been hired. As of December 2024, the property was 70% leased, compared to 74% in 2022 and 94% at securitization. The property is facing significant upcoming lease rollover with approximately 95% of NRA expiring within the next three years. As of the July 2025 remittance, the loan is last paid through December 2024 payment date. The most recent appraisal from February 2025 valued the property 71% lower than the value at securitization and the master servicer has recognized an appraisal reduction of $11.2 million. The remaining two specially serviced loans are secured by an office and retail property. Both properties have upcoming lease rollover concentration risk and the retail loan has been deemed non-recoverable by the master servicer. Moody's have also assumed a high default probability for the third largest loan, constituting 13.2% of the pool, and have estimated an aggregate loss of $137.9 million (a 53.6% expected loss on average) from these specially serviced and troubled loans. The troubled loan is the Spectra Energy Headquarters Loan ($50.0 million – 13.2% of the pool), which is secured by a by a 614,000 SF office building located within the West Loop submarket of Houston, Texas. The property is 100% leased to Spectra Energy Corporation with a lease expiration in April 2026, however the entire building is dark. The loan did not pay off on its ARD in October 2024 and all excess cash flow is now being applied to principal for the remainder of the loan term. The loan is performing at a NOI DSCR of 2.26X as March 2025, however, due to the lagging performance of the Houston office market, the loan will likely face heightened refinance risk at its final maturity in October 2027. As of the July 2025 remittance statement, cumulative interest shortfalls were $7.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The two non-specially serviced, performing loans represent 27.7% of the pool balance. The largest loan is the CityPlace Loan ($97.9 million – 25.9% of the pool), which is secured by five adjacent office buildings and one mixed-use office building located in the St. Louis suburb of Creve Coeur, Missouri. The collateral is part of a larger 31-acre campus, which includes 1.2 million SF of office space, retail, and residential buildings. The loan transferred to special servicing in July 2024 due to imminent maturity default after the borrower was unable to pay off the loan at its October 2024 maturity date. The loan was modified, brought current and returned to the master servicer in February 2025. The modification terms include a maturity date extension to December 2027, cash sweep for the remainder of the loan term and $2 million excess cash reserve account deposit. The loan is performing with a reported NOI DSCR of 1.33X as of March 2025, however, the property has significant lease rollover risk with approximately 61% of NRA expiring within the next three years. As of March 2025, the property was 80% leased, compared to 81% in 2024 and 85% in 2023. As of the July 2025 remittance, the loan has amortized 10.0% since securitization and is current on P&I payments. Moody's LTV and stressed DSCR are 143% and 0.83X, respectively, compared to 126% and 0.90X at the last review. The other loan is the Market Place Shopping Center Loan ($6.9 million – 1.8% of the pool), which is secured by a 215,000 SF grocery anchored retail shopping center located in the Chicago suburb of Rockford, Illinois. The loan is on the watchlist after passing the ARD in October 2024. As of December 2024, the property was 97% leased, unchanged from 2023. As of the July 2025 remittance, the loan has amortized 21.4% since securitization and is current on P&I payments. Moody's LTV and stressed DSCR are 89% and 1.15X, respectively, essentially unchanged since the last review. KKR CLO 17: Moody's Cuts Rating on $33.6MM Class E-R Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by KKR CLO 17 Ltd. US$33,600,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on Mar 25, 2021 Assigned Ba3 (sf) KKR CLO 17 Ltd., originally issued in March 2017 and refinanced in March 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 transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects deterioration in Over-Collateralization (OC) ratio and the specific risks to the junior notes posed by par loss and spread reduction observed in the underlying CLO portfolio. Based on trustee's June 2025 report[1], the OC ratio for the Class E-R notes is reported at 103.60% compared to 106.52% in June 2024[2]. Also, based on Moody's calculation, the total collateral par balance, including recoveries from defaulted securities, is currently approximately $581.1 million, $18.9 million or 3.15% less than the $600 million Target Initial Par Amount. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[3] is 3.37%, compared to 3.67% in June 2024[4]. No actions were taken on the Class A-R, Class B-R, Class C-1-R, Class C-2-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: $578,021,330 Defaulted par: $6,785,881 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3042 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.13% Weighted Average Recovery Rate (WARR): 45.98% Weighted Average Life (WAL): 4.75 years Par haircut in OC tests and interest diversion test: 1.59% 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. MADISON PARK LXII: Fitch Gives 'BBsf' Rating on Class E-R2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the refinancing notes issued by Madison Park Funding LXII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LXII, Ltd. A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R 55817HAQ2 LT PIFsf Paid In Full AAsf B-R2 LT AA+sf New Rating C-R 55817HAS8 LT PIFsf Paid In Full Asf C-R2 LT A+sf New Rating D-1-R2 LT BBBsf New Rating D-2-R2 LT BBB-sf New Rating D-R 55817HAU3 LT PIFsf Paid In Full BBB-sf E-R 55817JAG0 LT PIFsf Paid In Full BBsf E-R2 LT BBsf New Rating F-R2 LT NRsf New Rating Transaction Summary Madison Park Funding LXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by UBS Asset Management (Americas) LLC. This is the transaction's second refinancing after closing in August 2022 and refinancing in July 2023. 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 leverage loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.27% first lien senior secured loans and has a weighted average recovery assumption of 74.48%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBBsf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXII, 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. MADISON PARK LXII: Moody's Assigns B3 Rating to $250,000 F-R2 Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding LXII, Ltd. (the Issuer): US$256,000,000 Class A-1-R2 Floating Rate Senior Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R2 Deferrable Floating Rate Junior Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of assets that are not senior secured loans. UBS Asset Management (Americas) 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 and credit improve assets. In addition to the issuance of the Refinancing Notes, the other six 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; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3073 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing 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. MADISON PARK LXV: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXV, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXV, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Madison Park Funding LXV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS 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. 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 96.1% first lien senior secured loans and has a weighted average recovery assumption of 72.9%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 metric. 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, 'AA+sf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXV, 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. MAGNETITE LIMITED XX: Moody's Ups Rating on $8MM Cl. F Notes to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Magnetite XX, Limited: US$34,700,000 Class C Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on September 30, 2024 Upgraded to Aa1 (sf) US$33,500,000 Class D Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A1 (sf); previously on September 30, 2024 Upgraded to Baa1 (sf) US$25,300,000 Class E Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on May 4, 2018 Assigned Ba3 (sf) US$8,000,000 Class F Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class F Notes"), Upgraded to B2 (sf); previously on May 4, 2018 Assigned B3 (sf) Magnetite XX, Limited, issued in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2024. The Class A notes have been paid down by approximately 69% or $124.19 million since that time. Based on the trustee's May report[1], the OC ratios for the Class A/B, Class C, and Class D notes are reported at 199.79%, 153.94%, and 126.01%, respectively, versus August 2024 [2] levels of 149.42%, 130.59%, and 116.43%, respectively. No actions were taken on the Class A, Class B and Rated Structured 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: $235,794,457 Defaulted par: $1,738,800 Diversity Score: 49 Weighted Average Rating Factor (WARF): 3091 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.74% Weighted Average Recovery Rate (WARR): 48.15% Weighted Average Life (WAL): 3.25 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 these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MASTR ASSET 2005-WF1: Moody's Ups Rating on Cl. M-9 Certs to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of one bond from one US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by MASTR Asset Backed Securities Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: MASTR Asset Backed Securities Trust 2005-WF1 Cl. M-9, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bond. The bond experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the 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. MCF CLO VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2, A-1L-R2, A-2L-R2, B-R2, B-L-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class X-R2 debt from MCF CLO VII LLC, a CLO managed by Apogem Capital LLC that was originally issued in Sept. 7, 2017, and underwent a refinancing in June 24, 2021. The preliminary ratings are based on information as of July 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 6, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement class A-R2, A-1L-R2, A-2L-R2, B-R2, B-L-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class X-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 20, 2027. -- The reinvestment period will be extended to July 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2037. -- Additional assets will be purchased on and after the Aug. 6, 2025 refinancing date, and the target initial par amount will remain at $300 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be Oct. 20, 2025. -- New class X-R2 debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first 14 payment dates in equal installments of $285,714, beginning on the second payment date on Jan. 20, 2026. -- The required minimum overcollateralization ratios will be amended. -- Additional $6.05 million in subordinated notes will be issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and supported with 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 MCF CLO VII LLC Class X-R2(i), $4.00 million: AAA (sf) Class A-R2, $117.00 million: AAA (sf) Class A-1L-R2, $30.00 million: AAA (sf) Class A-2L-R2, $27.00 million: AAA (sf) Class B-R2, $17.00 million: AA (sf) Class B-L-R2, $13.00 million: AA (sf) Class C-1-R2 (deferrable), $18.00 million: A+ (sf) Class C-2-R2 (deferrable), $6.00 million: A+ (sf) Class D-1-R2 (deferrable), $18.00 million: BBB (sf) Class D-2-R2 (deferrable), $6.00 million: BBB- (sf) Class E-R2 (deferrable), $12.00 million: BB- (sf) Other Debt MCF CLO VII LLC Subordinated notes, $50.83 million: NR NR--Not rated. MFA TRUST 2025-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on B2 Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to MFA 2025-NQM3 Trust. Entity/Debt Rating ----------- ------ MFA 2025-NQM3 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The MFA 2025-NQM3 certificates are supported by 568 nonprime loans with a total balance of approximately $350.3 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending, FundLoans Capital, Inc. and Hometown Equity Mortgage, LLC d/b/a TheLender. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.2% above a long-term sustainable level (vs. 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 the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices increased 2.9% YoY nationally as of February 2025 despite modest regional declines but are still being supported by limited inventory. Non-QM and Non-Prime Credit Quality (Negative): The collateral consists of 568 loans totaling $350.3 million and seasoned at approximately seven months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 737 Fitch model FICO and moderate leverage with a 73.4% sustainable loan-to-value ratio (sLTV). The pool is 47.0% composed of loans for homes in which the borrower maintains as a primary residence, while 53.0% comprises investor properties or second homes. Additionally, 42.4% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types. Fitch's expected loss in the 'AAAsf' stress is 25.75%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 90.9% of loans in the pool were underwritten to less than full documentation and 31.8% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay (ATR) Rule (ATR Rule, or the Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 101.9%, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 300 debt service coverage ratio (DSCR) and 18 property focused investor loans, otherwise known as "no ratio" products in the pool (56.0% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported non-zero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 34.9% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. MFA 2025-NQM3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the principal and interest (P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Clayton, Consolidated Analytics, Evolve, Infinity, IngletBlair and Selene. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 42bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MMP CAPITAL 2025-A: Moody's Assigns Ba3 Rating to Class C Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by MMP Capital 2025-A, LLC (MMP 2025-A). MMP Capital, LLC (MMP), is the sponsor of the transaction, as well as the servicer and originator of the securitized loan pool. GreatAmerica Portfolio Services Group LLC (GreatAmerica) is the subservicer and backup servicer of the assets backing the securitized loan pool. The notes are backed by a pool of loans which are secured primarily by medical aesthetic equipment originated by MMP. This is MMP's first transaction. The complete rating actions are as follows: Issuer: MMP Capital 2025-A, LLC Class A Notes, Definitive Rating Assigned Aa3 (sf) Class B Notes, Definitive Rating Assigned A3 (sf) Class C Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The definitive ratings of the notes are based on (1) the credit quality of the underlying loan pool securitized including the types of equipment and the credit profile of the obligors, (2) Moody's expectations of the pool's credit performance, informed by the historical performance of both MMP's managed portfolio and that of their closest peers; (3) the experience and expertise of MMP as the originator and servicer of the pool securitized (4) the sub-servicing and back-up servicing arrangement with GreatAmerica, (5) the strength of the transaction structure, including the sequential-pay structure and levels of credit enhancement; and (6) the legal aspects of the transaction. Moody's cumulative net loss expectation for the MMP 2025-A collateral pool is 7.25% and loss at a Aaa stress of about 42.00%. Moody's cumulative net loss expectation and loss at a Aaa stress are based on Moody's analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including MMP's managed portfolio and that of their closest peers, the track-record, ability and expertise of MMP to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction. In addition, Moody's expectations factor in the potential change in the pool's composition due to the availability of the prefunding account. At closing the Class A, Class B, and Class C notes benefit from 41.00%, 18.00%, and 11.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination of junior notes (except for Class C), a 1.00% fully funded, non-declining reserve account, and overcollateralization of 10.00% which will build to a target of 14.00% of the outstanding pool balance with a floor of 0.50% of the initial pool balance. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the lessees operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. 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 equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. MORGAN STANLEY 2025-DSC2: S&P Assigns B (sf) Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, and fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, including townhouses, planned unit developments, condominiums, two- to four-family residential properties, and a five- to 10-unit residential property. The pool has 1,280 loans, which are ability-to-replay-exempt loans and backed by 1,403 properties. The 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 (MSMCH) and Morgan Stanley Bank N.A. and the reviewed mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our 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. Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2(i) Class A-1-A, $238,995,000: AAA (sf) Class A-1-B, $39,932,000: AAA (sf) Class A-1, $278,927,000: AAA (sf) Class A-2, $34,741,000: AA- (sf) Class A-3, $40,732,000: A- (sf) Class M-1, $17,969,000: BBB- (sf) Class B-1, $9,384,000: BB (sf) Class B-2, $11,181,000: B (sf) Class B-3, $6,389,964: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,970,314: NR Class PT, $379,353,650: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $399,323,964. N/A--Not applicable. NR--Not rated. MP CLO VIII: Moody's Cuts Rating on $19MM Class E-RR Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by MP CLO VIII, Ltd.: US$19,000,000 Class E-RR Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on June 10, 2021 Assigned Ba3 (sf) US$2,750,000 Class F Secured Deferrable Floating Rate Notes due 2034, Downgraded to Caa1 (sf); previously on June 10, 2021 Assigned B3 (sf) MP CLO VIII, Ltd., originally issued in August 2015 and refinanced in May 2018 and June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in 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 actions on the Class E-RR and F 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 $341.1 million, or $8.9 million less than the $350 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 is 3.19%[1] compared to 3.55% in June 2024[2], failing the trigger of 3.34%. No actions were taken on the Class A-RR, Class B-RR, Class C-RR, and Class D-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: $340,370,896 Defaulted par: $2,002,724 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2808 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.96% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.82% Weighted Average Life (WAL): 5.12 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. NATIONAL COLLEGIATE 2006-3: S&P Affirms 'BB+' Rating on A-5 Notes ----------------------------------------------------------------- S&P Global Ratings raised the ratings on two classes and affirmed the rating on one class of notes from National Collegiate Student Loan Trust 2005-1 and National Collegiate Student Loan Trust 2006-3. The remaining three ratings were previously lowered to 'D (sf)' because the affected classes breached their subordinate interest triggers and have stopped receiving interest payments. The rating actions considered the trusts' collateral performance since its last review and their effect on the available credit enhancement relative to remaining net losses. The rating actions also considered the trusts' relevant structural features--in particular, each trust's cost of funds, capital structure, payment waterfalls, available credit enhancement, and operational risk provisions. Ongoing legal risks remain a concern despite the recent dismissal of the Consumer Financial Protection Bureau lawsuit against the issuers that was initiated in 2017. While that dismissal eliminates the impact of the associated monetary judgment against the trusts, S&P has maintained a rating cap in the 'BB' category due to the operational risk related to the outcome of potential future litigation. Trusts Performance Since S&P's last surveillance review, the pace of increase in cumulative defaults for both the trusts has slowed. Additionally, the percentage of loans in repayment and current statuses has remained stable. This performance indicates that the trusts are likely past their peak default periods. The historical impact of poor collateral performance, as measured by high levels of realized cumulative net losses, has led to significant undercollateralization for both the trusts. Based on the information in the latest servicer report, total parity is 36.6% for the 2005-1 trust and 37.9% for the 2006-3 trust. However, class parity for all of the classes that are not currently rated 'D (sf)' has increased in the past year. The 2005-1 class B parity has increased to 125.5% from 115.8%, while the 2006-3 class A-5 and B parity have increased to 2,119.0% and 105.0%, respectively from 325.6% and 101.2%, respectively. All remaining classes continue to experience declines in parity. Structural Features The transactions' remaining classes are all indexed to one-month term SOFR. Due to breaches of the various transaction performance triggers, the notes are paid sequentially from all available funds (i.e., full turbo) for the transactions' remaining lives. Credit enhancement available to support the classes primarily includes a reserve account and the subordination of lower priority classes of notes. The reserve accounts for both the trusts are currently at their floor. The reserve accounts are available to pay note interest and fees, as well as principal at final maturity. At issuance, the trusts were structured to provide excess spread over the trusts' lives as additional credit enhancement. Excess spread levels have been under pressure for most of the lives of the transactions, primarily because of undercollateralization due to previous collateral performance issues. In addition to subordination of the lower classes of notes in each trust, the senior classes are supported by interest reprioritization triggers. The triggers are generally breached when the senior notes are undercollateralized (i.e., the pool balance is less than the balance of the senior notes). When the pool balance is below 10% (as is currently the case), the pool balance definition for the trigger excludes the reserve account. When this trigger is breached, interest payments to the lower classes are subordinated to principal payments to the senior classes until the trigger is cured. Rationale S&P ran break-even cash flow scenarios on the class B notes from each trust that maximized defaults under various interest rate and rating stresses. Some of the major assumptions it modeled are: -- A five-year flat default curve; -- Recovery rates ranging from 15%-20%, taken evenly over 10 years; -- A constant prepayment speed of 9% for the trusts' lives; -- Non-paying loans (i.e., deferment and forbearance) making up 3% of the loan pool for five years; and -- Two interest rate scenarios for the stress levels commensurate to the ratings of the liabilities created by a credit rating model based on the Cox-Ingersoll-Ross framework of rising then falling interest rates (up/down curve) and falling then rising interest rates (down/up curve). S&P said, "In our break-even cashflow analysis of the 2005-1 transaction, the class B notes were able to withstand (receive full interest and principal) a level of defaults relative to our base case default rate that supports a rating of 'B (sf)'. Additionally, we observed that at very low default levels, class B could build enhancement sufficient to cure the class C interest trigger and allow class C to receive interest payments prior to the class B principal payments in the transaction's waterfall. This would include the repayment of interest amounts previously missed. The upgrade on the 2005-1 class B notes to 'B (sf)' from 'B- (sf)' reflects the results of the break-even cash flow analysis and our view that the class C interest trigger will not likely be cured. "In our break-even cashflow analysis of the 2006-3 transaction, the class B notes were able to withstand (receive full interest and principal) a level of defaults relative to our base case default rate that supports a 'B-(sf)' rating. Accordingly, we raised the rating on this class to 'B-(sf)' from 'CCC (sf)'. We also affirmed the 'BB+ (sf)' ratings on class A-5 based on the improvement in hard credit enhancement since our last review and the fact that the rating is currently at its maximum level permitted by our operational risk assessment." The ratings on the 2005-1 class C notes and the 2006-3 class C and D notes were previously lowered to 'D (sf)' because the trusts' senior interest triggers were breached, resulting in the classes not receiving interest payments. Due to significant undercollateralization, S&P does not expect these classes to receive full interest and principal by legal final maturity. Ratings Raised National Collegiate Student Loan Trust 2005-1 Class B to 'B (sf)' from 'B- (sf)' National Collegiate Student Loan Trust 2006-3 Class B to 'B- (sf)' from 'CCC (sf)' Rating Affirmed National Collegiate Student Loan Trust 2006-3 Class A-5: BB+ (sf) NAVESINK CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Navesink CLO 3 Ltd./Navesink CLO 3 LLC's fixed- and floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ZAIS Leveraged Loan Master Manager LLC. The 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 Navesink CLO 3 Ltd./Navesink CLO 3 LLC Class A-1, $288.00 million: AAA (sf) Class A-2, $9.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C-1 (deferrable), $21.00 million: A+ (sf) Class C-2 (deferrable), $6.00 million: A+ (sf) Class D-1 (deferrable), $22.50 million: BBB (sf) Class D-Ja (deferrable), $2.00 million: BBB- (sf) Class D-Jb (deferrable), $7.00 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $33.00 million: NR NR--Not rated. NEUBERGER BERMAN 61: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and rating outlook to Neuberger Berman Loan Advisers CLO 61, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 61, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Neuberger Berman Loan Advisers CLO 61, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV 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. 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 96.81% first lien senior secured loans and has a weighted average recovery assumption of 72.44%. 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 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 required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, 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-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. 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 Neuberger Berman Loan Advisers CLO 61, 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. NEW RESIDENTIAL 2025-NQM4: S&P Assigns B- (sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to New Residential Mortgage Loan Trust 2025-NQM4's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, a cooperative, and two- to four-family residential properties. The pool consists of 931 loans, which are qualified mortgage safe harbor (average prime offer rate), non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings(i) Assigned New Residential Mortgage Loan Trust 2025-NQM4 Class A-1, $367,267,000: AAA (sf) Class A-1A, $319,006,000: AAA (sf) Class A-1B, $48,261,000: AAA (sf) Class A-2, $25,819,000: AA- (sf) Class A-3, $50,916,000: A- (sf) Class M-1, $15,444,000: BBB- (sf) Class B-1, $11,341,000: BB- (sf) Class B-2, $7,480,000: B- (sf) Class B-3, $4,344,390: NR Class A-IO-S, notional(ii): NR Class XS, 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. NEWARK BSL 1: Moody's Affirms Ba3 Rating on $20MM Class D-R Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Newark BSL CLO 1, Ltd.: US$27.5M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Mar 7, 2025 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$46,472,408) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 7, 2025 Affirmed Aaa (sf) US$60M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 7, 2025 Affirmed Aaa (sf) US$32.5M Class B-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 7, 2025 Upgraded to Aaa (sf) US$20M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Mar 7, 2025 Affirmed Ba3 (sf) Newark BSL CLO 1, Ltd., issued in December 2016, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in January 2022. RATINGS RATIONALE The rating upgrades on the Class C-R notes is primarily a result of the deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A-1-R, Class A-2-R, Class B-R and Class D-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD25.7 million (8%) since the last rating action in March 2025 and USD273.5 million (85.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated June 2025[1] the Class A, Class B and Class C OC ratios are reported at 184.08%, 141.03% and 117.73% compared to March 2025[2] levels of 169.02%, 135.66% and 116.25%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD198.9 million Defaulted Securities: USD3.4 million Diversity Score: 61 Weighted Average Rating Factor (WARF): 2944 Weighted Average Life (WAL): 2.93 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.02% Weighted Average Recovery Rate (WARR): 47.69% Par haircut in OC tests and interest diversion test: 1.737% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NMEF FUNDING 2024-A: Moody's Raises Rating on Class D Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded three classes of notes issued by NMEF Funding 2024-A, LLC (NMEF 2024-A). The transaction is a securitization of fixed-rate loan and lease contracts secured primarily by transportation, medical and construction equipment. North Mill Equipment Finance LLC (North Mill) is the sponsor of the transaction, and the originator and servicer of the assets. The complete rating actions are as follows: Class B Notes, Upgraded to Aa1 (sf); previously on Aug 28, 2024 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to A3 (sf); previously on Aug 28, 2024 Definitive Rating Assigned Baa2 (sf) Class D Notes, Upgraded to Ba1 (sf); previously on Aug 28, 2024 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions were primarily driven by the buildup in credit enhancements owing to structural features including a sequential pay structure, non-declining reserve account and overcollateralization as well as collateral performance. Moody's also considered the level of credit enhancement and the subordinated nature of the junior notes. Other considerations include transactions' high exposures to the cyclical trucking and transportation industry which is currently in a downturn and highly correlated with the health of the overall economy. No action was taken on the remaining rated tranches because there were no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectations of pool losses could decline as a result of a lower number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. NOMURA CRE 2007-2: Moody's Withdraws 'C' Rating on 10 Tranches -------------------------------------------------------------- Moody's Ratings has withdrawn the ratings of eleven classes of Notes issued by Nomura CRE CDO 2007-2 Ltd. as follows: Cl. D, Withdrawn (sf); previously on Mar 30, 2018 Affirmed Ca (sf) Cl. E, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. F, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. G, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. H, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. J, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. K, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. L, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. M, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. N, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) Cl. O, Withdrawn (sf); previously on Mar 30, 2018 Affirmed C (sf) RATINGS RATIONALE Moody's have decided to withdraw the rating(s) because Moody's believes Moody's have insufficient or otherwise inadequate information to support the maintenance of the rating(s). Moody's adopts all necessary measures so that the information Moody's uses in assigning a credit rating is of sufficient quality and from sources. Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's are not an auditor and cannot in every instance independently verify or validate information received in the rating process. NORTH COVE III: Moody's Rates $2.7BB Unfunded 2045 Notes 'Ca(sf)' ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by North Cove CDO III, Ltd: US$2,700,000,000 Unfunded supersenior tranche due 2045, Upgraded to Ca (sf); previously on December 20, 2018 Downgraded to C (sf) NORTH COVE CDO III, LTD., issued in August 2006, 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. NYC COMMERCIAL 2025-300P: Moody's Assigns Ba3 Rating to Cl. E Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities issued by NYC Commercial Mortgage Trust 2025-300P, Commercial Mortgage Pass-Through Certificates, Series 2025-300P. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The certificates are collateralized by a single, fixed-rate loan secured by the borrower's fee simple interest in 300 Park Avenue (the "Property"), a 770,030 SF, Class A office building located in New York, NY. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. Collateral for the loan consists of a 25-story, office tower offering approximately 770,030 SF of net rentable area ("NRA"). Approximately 744,865 SF consists of office space (96.7% of NRA), 23,334 SF is retail (3.0% of NRA) and 1,831 SF is used for storage / property management (0.2% of NRA). As of April 01, 2025, the Property was 98.1% leased by approximately 34 unique tenants. The roster is economically diverse as tenants operate across a variety of industries, including consumer products, financial services, multinational firms, professional services, retail and other corporate businesses. The five largest tenants at the Property are Colgate-Palmolive, Ally Financial, Goldentree Asset Management, Rosenthal & Rosenthal and Peapack Gladstone. Other noteworthy tenants include 3i Group and Lendlease. The Property is well located in Midtown Manhattan, situated on the west side of Park Avenue between 49th Street and 50th Street. The office tower is situated directly opposite the Waldorf Astoria Hotel and approximately three blocks east of Rockefeller Center. The Property is also located only two blocks from the nearest Grand Central Terminal entrance, which grants access to Metro-North Railroad, Long Island Railroad as well as the 4,5,6,7 and S subway lines. Additionally, the property benefits from being proximate to several community amenities including Radio City Music Hall, St. Patrick's Cathedral, the Museum of Modern Art, Bryant Park and Central Park. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.46x, compared to 1.41x at Moody's provisional ratings due to an interest rate decrease. Moody's first mortgage actual stressed DSCR is 0.86x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $330,000,000 represents a Moody's LTV ratio of 103.1% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 98.4%, compared to 97.9% at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 0.50. Notable strengths of the transaction include: the Property's strong location, asset quality, exceptional tenant roster, excellent accessibility, recent lease-up with limited rollover, experienced sponsorship and cash equity. Notable concerns of the transaction include: the high total debt Moody's loan-to-value ratio, office market demand, lack of asset diversification, interest-only mortgage loan profile and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. OBX TRUST 2025-SR1: Fitch Assigns 'BB-sf' Rating on Class A2 Bonds ------------------------------------------------------------------ Fitch Ratings has assigned ratings to OBX 2025-SR1 Trust (OBX 2025-SR1). Entity/Debt Rating ----------- ------ OBX 2025-SR1 A1 LT BBB-sf New Rating A2 LT BB-sf New Rating M LT NRsf New Rating Transaction Summary The transaction is a resecuritization of retained REMICs which include 69 underlying subordinate bonds, excess cash flow bonds (including risk retention), senior interest-only bonds and senior AIOS strip classes. This issuance is structured with a repurchase agreement to align to risk-retention requirements and is the first of this type under the OBX shelf. KEY RATING DRIVERS Structured Repo Structure (Positive) OBX 2025-SR1 is a resecuritization transaction issued by Annaly and supported by 69 Expanded Prime and Non-Prime/Non-QM REMIC tranches with a contributing balance totaling approximately $348.4 million. The class A notes benefit from hard credit enhancement (CE) in the form of an overcollateralization amount equal to the class M balance ($55.6 million). The A1 bond totals $224.9 million (35.45% CE) while A2 totals $67.9 million (15.95% CE). OBX 2025-SR1 is structured as a repurchase (repo) transaction whereby the repo sellers (Annaly Capital Management, Annaly Resi Credit Fund LP and OBX MBS Fund LP) will sell the underlying REMIC tranches to the issuer/repo buyer under the terms of a master repurchase agreement to comply with risk retention requirements. This deal is supported by subordinate tranches, interest-only bonds and servicing fee strips, some of which are risk-retention securities. The notes represent obligations of which the repo seller provides full recourse back to the issuer under the repurchase agreement, which covers legal requirements related to risk-retention tranches. Fitch assigned ratings under the assumption and sensitivity that the repurchase obligations are not executed by the repo sellers and the underlying REMICs are used to pay off the rated notes. The transaction uses a supportive structure where the total remittance amount, defined as total interest and principal collections from the underlying securities less any fees, will first pay prior to the earlier of the maturity or optional call date, current and unpaid interest on the class A1 and A2 notes followed by principal sequentially, starting with class A1 and then to the redemption account. The redemption account will be used to then pay principal on the class A2 followed by any step-up interest on the A1 and A2 notes and, lastly, principal to class M. The deal also features an optional call whereby the notes will be fully repaid in the event it is exercised. The issuer can exercise the option to repurchase the collateral, at which time the principal allocations owed on the A2 will be paid from funds accruing in a redemption account. If the optional call is not exercised, the coupon on the A1 and A2 classes will incur a step-up, which incentivizes the issuer to call the collateral. In its rating analysis, Fitch assumed the redemptions were not executed and proceeds from the underlying collateral pay off the A1 and A2 classes. The step-up interest is paid subordinate to the senior interest payments. There are adequate disclosures in the offering docs and it is not included as an event of default (EoD), so Fitch did not look for these amounts to be repaid. This is consistent with the approach outlined in Fitch's "Global Structured Finance Rating Criteria." As a result, Fitch's rating opinion only addresses the ultimate receipt of all current interest amounts and unpaid current interest amounts and principal payments to which the class A1 and A2 noteholders are entitled. It does not address the subordinated accrued step-up interest amount and accrued carryforward step-up interest amount payments. This structure is highly supportive of the rated A1 and A2 notes. In Fitch's cash flow analysis, a scenario with higher prepays, midloaded losses and declining interest rates was the most strenuous; otherwise, the CE levels on the notes have significant subordination cushion. Fitch expects significant deposits to be held in the redemption account that will ultimately be used to pay down the class A2 and M notes. The deal presents some counterparty risk as it pertains to the collection account bank. Wilmington Savings Fund Society, as paying agent and indenture trustee, is not rated by Fitch and will therefore hold deposits into the redemption account as cash with another entity that meets Fitch's eligible account definition. Fitch will apply a rating cap of 'Asf' for class A2, which is equivalent to the minimum rating within its Eligible Account definition. The counterparty cap is not applicable for this rating action but may be significant in future surveillance of the deal. Strong Performance to Date (Positive) The transaction is backed by 12 underlying pools consisting of seven Non-Prime/NQM and five Expanded Prime across three separate transactions. Two of the underlying securities, OBX 2020-EXP1 and 2020-EXP3, each have two separate collateral groups in which proceeds follow a senior-subordinate shifting-interest Y-structure. All the transactions were issued between 2020 and 2022, and four of the 12 were not previously rated by Fitch at issuance. The total contributing balance from these pools is $348.4 million, while the total original deal balance of all 12 deals was $4.6 billion. The average tranche factor of the underlying base classes is 94.5% with a majority having not yet begun amortizing principal due to their subordinate place in their respective structures. - Expanded Prime The transaction includes 34 classes (18 base classes) across three OBX Expanded Prime transactions, which constitute 35.5% of the allocated debt amount. These classes have an average tranche factor of 88%. All the bonds sit within senior-subordinate shifting interest structures whereby the subordinate trances receive scheduled principal payments on a pro-rata basis and, in some cases, for deals that are passing their respective triggers, unscheduled payments based off their step-down schedule. All the underlying Expanded Prime transactions were reviewed by Fitch during a prior surveillance review and were rated at issuance. Of the 17 expanded prime base-classes, Fitch expects 14 of them to fully pay off without any principal writedowns in the most conservative 'BBB-sf' scenario, which is characterized by backloaded defaults, high prepayments, and declining interest rates. These underlying classes have investment-grade ratings. The B6 classes from OBX 2020-EXP1, 2020-EXP2, and 2020-EXP3 were not rated at issuance, serve as first-loss pieces in their respective structures and have already incurred writedowns. OBX 2020-EXP1 B6 has had the most significant writedown (1.6%), Fitch expects it to be fully written down under the most conservative scenario. On average, the Expanded Prime base tranches are projected to have a principal recovery of approximately 90% under the most punitive 'BBB-' scenario. The EXP underlying pools have an average three-month Conditional Prepayment Rate (CPR) of approximately 8.2%, which is slightly above the Non-Prime sector average of 14.2%. The average expected loss for these deals at 'BBB-sf' is 4.0% and has remained relatively unchanged over the past six months. - Non-Prime/NQM Transactions The transaction also includes 21 base principal and interest (P&I) classes (excluding 14 XS/AIOS classes) from seven Non-Prime/NQM transactions. Fitch did not rate the following four transactions at issuance: OBX 2022-NQM1, OBX 2022-NQM2, OBX 2022-NQM3 and OBX 2022-NQM4. All the NQM transactions were issued between late-2021 and mid-2022. The Non-Prime portfolio is the largest cohort, accounting for the remaining 65.5% of the allocated debt amount. In the most stressful scenario, Fitch expects seven NQM base classes, which are all not rated and are the first-loss piece of their respective structures, to be completely written down in the most stressful scenario. Of those classes, Fitch expects that five will not have any principal recovery in a 'BBB-' scenario. These underlying pools have an average three-month Conditional Prepayment Rate (CPR) of 7.0%, which is slower than the Non-Prime sector average of 14.2%. The expected loss under the 'BBB-sf' stress for the Non-Prime cohort is 5.3%. OBX 2022-NQM5 has an expected loss of 8.3%, the highest of the entire underlying portfolio. However, the deal declined around 180bps over the last six months due to improved borrower performance and de-leveraging. Underlying Bonds and Cash Flows (Positive) In Fitch's stressed scenarios the repayment of the transaction's notes is primarily based on principal and interest cash flows on the underlying subordinate bonds. Of the 38 P&I underlying tranches, 19 pass the most conservative 'BBB-sf' stress with 100% principal recovery expectations and three pass with over 80% principal recovery. The most subordinate and first-loss tranches of the underlying transactions are mostly written off with zero principal recovery in Fitch's given rating stresses. In the most conservative 'BBB-sf' stress, Fitch expects a principal recovery of 55.0% of the underlying principal amount and the A1 tranche of the transaction is to be structured to 35.45% CE. The means the remaining support would be accumulated from excess interest and excess servicing fee collections. Updated Sustainable Home Prices (Negative) Fitch haircuts property values based on overvaluation at a local level to determine long-term sustainable values and determine Sustainable LTV's (sLTV). Fitch views the home price values on a national level as 11.0% above a long-term sustainable level as of 4Q24. The underlying pools in this transaction maintain a current weighted average base-case. Fitch calculated sLTV ratio of 53.0%. Inclusion of Excess Cash Flow and Excess Servicing Fee Strips (Positive) The transaction also includes 10 classes with excess servicing fee strip (AIOS) bonds from all the underlying deals along with seven excess cash flow (XS) tranches from each of the underlying non-QM deals. The interest collected from both the AIOS and XS is included in the total remittance amount at the deal level and can be beneficial outside of the P&I classes. The AIOS notes of the underlying deals receive interest as a result of the spread between the aggregate servicing fees of the underlying deals, primarily structured to 0.25%, and the actual servicing fees paid to the servicers, which is under 5bps. In order to stress the structure's dependency on these cash flows, Fitch ran a servicing fee stress analysis for each of the underlying deal and determined a minimum actual servicing fee of 10bps to reduce the modest AIOS interest. The underlying non-QM transactions generate excess spread due to the spread between the collateral and bond coupons. The excess cash flow in these transactions are typically used to cover any current or periodic losses and then flows to the XS noteholders. In addition, for each of the underlying non-QM deals, Fitch runs a rate modification analysis that reduces some of the excess spread available in the deal. After absorbing its loss and cash flow stress to pay interest and principal on the underlying, and then running rate modification stress, there was modest benefit to the inclusion of the XS classes of approximately 1.4% of the total cash flow in the most conservative scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'BBB-sf' rating, a 10% MVD could result in a downgrade to 'B+sf', while a 20% or 30% MVD could result in a downgrade to a distressed rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. The analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices could result in an upgrade to 'BBB+sf' from 'BBB-sf'. 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 Form ABS Due Diligence-15E was provided at issuance for the underlying transactions but is not applicable 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. OCP CLO 2025-44: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to OCP CLO 2025-44 Ltd./OCP CLO 2025-44 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 Onex Credit Partners LLC, a subsidiary of Onex Corp. The preliminary ratings are based on information as of July 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OCP CLO 2025-44 Ltd./OCP CLO 2025-44 LLC Class A, $315.0 million: AAA (sf) Class B, $65.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $22.5 million: BBB+ (sf) Class D-2 (deferrable), $7.5 million: BBB- (sf) Class D-3 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $48.8 million: NR NR--Not rated. OCTAGON INVESTMENT 50: S&P Cuts Class E-R Notes Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C-RR and D-RR debt from Octagon Investment Partners XXII Ltd., a U.S. CLO managed by Octagon Credit Investors LLC. At the same time, S&P lowered its ratings on the class E-RR and F-RR debt from Octagon Investment Partners XXII Ltd. and the class D-R and E-R debt from Octagon Investment Partners 50 Ltd., another U.S. CLO managed by Octagon Credit Investors LLC, and removed these ratings from CreditWatch negative. S&P also affirmed its ratings on two classes from Octagon Investment Partners XXII Ltd. and three classes from Octagon Investment Partners 50 Ltd. The rating actions follow S&P's review of the transactions' performance using data from their June and July 2025 trustee reports. Although the same portfolio backs all of the tranches in the respective transactions, there can be circumstances such as this, where the ratings on the tranches move in opposite directions due to support changes in the portfolio. The Octagon Investment Partners XXII Ltd. transaction is experiencing opposing rating movements because it experienced both principal paydowns that increased the senior credit support and faced principal losses that decreased the junior credit support. Octagon Investment Partners XXII Ltd. This transaction originally closed in November 2014 and then went through a refinancing in June 2017 and a second refinancing in January 2018 and has exited its reinvesting period in January 2023. As a result, paydowns have been made to the outstanding senior most debt. Taking into account the July 2025 payment date, only 7.65% of the Class A-RR original amount is outstanding. All the overcollateralization (O/C) ratios have improved except for the junior-most O/C, which has dropped, since S&P's August 2024 review. As per the July 2025 trustee report, the class E O/C is failing and the Class F-RR note has deferred its interest due. The decline in the junior-most O/C levels can be attributed to par losses, increase in defaults and 'CCC' category assets, which have offset any benefit for the class E O/C that resulted from the senior debt paydowns. The ratings upgrades for the class C-RR and D-RR debt reflect the improved credit support available to the respective classes at the prior rating levels. S&P's cash flow analysis indicates the potential for a higher rating on the class D-RR debt; however, we believe that the more subordinated position may result in a greater likelihood of rating migration than that of more senior classes in the event of portfolio volatility. We also considered the credit enhancement available for this class under additional sensitivity analyses that considered exposures to 'CCC'-rated collateral and assets with distressed prices." S&P said, "Since our last review, collateral obligations in the 'CCC' rating category rose to 9.51% of the total collateral reported as of the July 2025 trustee report, compared with 7.14% as of the July 2024 trustee report. During the same time period, defaults increased to 2.41% from 0.36%. The portfolio's weighted average recovery and spread declined during this period, contributing to weakened cash flows for the class E-RR and F-RR debt. Given that these classes are positioned lower in the capital structure, they are more sensitive to such changes as the portfolio amortizes. These factors led to a decline in credit support, and a failure of the class E-RR and F-RR cash flows at the previous rating levels, which resulted in downgrades on classes E-RR and F-RR. "Our cash flows indicated lower ratings for both the class E-RR and F-RR debt. For class E-RR, we considered that the 'CCC' bucket has improved from prior report levels and that continued paydowns could potentially improve support levels. Based on its current credit enhancement and the portfolio's exposure to 'CCC'/'CCC-' rated obligors, we believe that the class currently is not dependent on favorable conditions for repayment of its contractual obligations and, hence, does not fit our 'CCC' definitions yet. Although class F-RR interest was deferred on the July 2025 payment date due to the failure of class E O/C, and the cash flow results indicate a lower rating, based on its existing subordination and exposure to 'CCC'/'CCC-' rated assets, we believe that this tranche needs favorable conditions for repayment of its contractual obligations and, hence, downgraded it to the 'CCC' category. We do believe that the class does not represent our definition of 'CC' risk and do not expect default to be a virtual certainty. However, any increase in defaults or par losses could lead to negative rating actions in the future for both the class E-RR and F-RR debt." The affirmations on the class A-RR and B-RR debt reflect the passing cash flows and current credit support. Octagon Investment Partners 50 Ltd. This transaction closed in November 2020 and reset in November 2021 and is in its reinvesting period, which is expected to end in January 2027. As a result, no paydowns have been made to the outstanding debt. S&P said, "Although the O/C ratios are above their respective triggers and passing, they have declined across all classes since we reviewed it at closing in November 2021. This decline can be attributed to par losses and increased defaults since our last review. While collateral obligations in the 'CCC' rating category have remained below the threshold allowed by the indenture, defaulted obligations have increased to 1.25% of the total collateral reported as of the July 2025 trustee report, compared with 0.00% as of our December 2021 trustee report. In addition, the portfolio's weighted average spread and weighted average recovery rates declined during this period." These factors led to a decline in credit support and the Class D-R and E-R cashflows failing at the previous rating level, which resulted in their downgrades. Although the class E-R cash flow results indicated a potentially lower downgrade, we considered the passing O/C test levels, existing credit support, and potential for any 'CC' rated or 'SD' (selective default) obligors returning to performing status in our analysis. However, any further decline in credit quality or a reduction in credit support for the class D-R and E-R debt could result in a downgrade in the future. S&P said, "While our cash flow analysis also indicated the potential for a higher rating for the class B-R debt, our rating actions consider that as the transaction continues to reinvest, the potential for a change in the collateral composition and increased volatility. As a result, we did not consider any upgrades at this time. "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 Octagon Investment Partners XXII Ltd. Class C-RR to 'AA+ (sf)' from 'A+ (sf)' Class D-RR to 'BBB+ (sf)' from 'BBB (sf)' Ratings Lowered And Removed From CreditWatch Negative Octagon Investment Partners XXII Ltd. Class E-RR to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Class F-RR to 'CCC (sf)' from 'B- (sf)/Watch Neg' Octagon Investment Partners 50 Ltd. Class D-R to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners XXII Ltd. Class A-RR: AAA (sf) Class B-RR: AAA (sf) Octagon Investment Partners 50 Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) PIKES PEAK 19: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 19 (2025). Entity/Debt Rating ----------- ------ PIKES PEAK CLO 19 (2025) A-L Loans LT NR(EXP)sf Expected Rating A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 19 (2025) (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO 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 23.51, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.67% 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 19 (2025). 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. PIKES PEAK 9: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 9 reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 9 X-R LT NR(EXP)sf Expected Rating A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-1-R LT A+(EXP)sf Expected Rating C-2-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 9 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO LLC that originally closed in November 2021. The CLO's secured notes will be refinanced on July 28, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-' which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.77 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.48% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'Asf' for class C-1-R, between 'B+sf' and 'BBB+sf' for class C-2-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1-R, 'AA+sf' for class C-2-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. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 9. 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. PIKES PEAK 9: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 9 reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 9 X-R LT NRsf New Rating NR(EXP)sf A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-1-R LT A+sf New Rating A+(EXP)sf C-2-R LT Asf 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 Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Pikes Peak CLO 9 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO LLC that originally closed in November 2021. The CLO's secured notes will be refinanced on July 28, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-' which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.77 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.48% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'Asf' for class C-1-R, between 'B+sf' and 'BBB+sf' for class C-2-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1-R, 'AA+sf' for class C-2-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 Pikes Peak CLO 9. 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. PKHL COMMERCIAL 2021-MF: S&P Lowers D Certs Rating to 'CCC (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from PKHL Commercial Mortgage Trust 2021-MF. This U.S. stand-alone (single-borrower) CMBS transaction is backed by an unhedged floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee-simple interest in Parkhill City, a two-tower apartment complex totaling 538 units in the Jamaica neighborhood of Queens in New York City. The loan has a $225 million principal balance as of the July 15, 2025, trustee remittance report, pays floating interest rate indexed to one-month SOFR + 3.97% spread, and matured July 9, 2023. Rating Actions The downgrades on classes A, B, C, and D primarily reflect: -- S&P's revised net recovery value, which is 10.7% lower than the net recovery value it derived in its last review in July 2024, primarily due to increased loan exposure to date that is higher than S&P anticipated, as well as its projection of an additional $9 million of advances as the special servicer continues to pursue a foreclosure and liquidation of the asset. The current loan exposure build primarily reflects servicer advancing for loan interest. -- S&P's view that the loan's protracted time in special servicing and increases in loan exposure may result in reduced liquidity and eventual recovery to the trust since advances and related accruals sit senior to the outstanding trust debt. These amounts directly reduce the ultimate recoverable proceeds available to the bonds upon the asset's eventual liquidation. -- The downgrade on class D to 'CCC (sf)' also reflects S&P's qualitative consideration that the class's repayment depends on favorable business, financial, and economic conditions and that it is vulnerable to default. While the model-indicated ratings for classes B and C are lower than the rating outcomes, primarily reflecting an interest rate stress applied in our analysis as the loan currently lacks an interest rate cap agreement (IRCA), S&P considered the potential for: -- The loan to be modified with the instatement of a criteria-compliant IRCA; -- The future trajectory of interest rates differing from that embedded in S&P's stressed interest rate analysis; and/or -- The property to liquidate at a price exceeding our long-term sustainable value. S&P downgraded its 'AAA (sf)' rating on the class X-NCP IO certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The class X-NCP notional amount references class A. The loan, which has a reported May 9, 2024, paid-through date, was transferred to special servicing on Feb. 13, 2023, because of payment default. The special servicer, CWCapital Asset Management LLC, stated that a receiver has been appointed and it is pursuing a foreclosure. The special servicer has ordered an updated appraisal report. The May 2024 appraised value of $273.4 million was 15.2% below the issuance appraised value of $322.5 million. Since S&P's July 2024 review, the total loan exposure increased to $253.2 million from $235.0 million, according to the July 2025 trustee remittance report. The $28.2 million total outstanding servicer advances and accruals included $23.4 million for debt service, $1.4 million for other expenses, $1.7 million for taxes and insurance, and $1.7 million for cumulative unpaid advance interest accruals. S&P will continue to monitor the various factors referenced above, as well as any updated external value points (including broker opinions of value and appraisals) and will adjust any component of our analysis, including our long-term sustainable value, as may be determined necessary. Property-Level Analysis Update S&P said, "While updated financials were not available in time for our current review, we expect the multifamily collateral performance to be relatively stable due to its location and recent build date. "To determine recoveries to the bondholders, in our July 2024 review, we assumed a one-year disposition timeframe for the collateral property, with a commensurate level of servicer advances (offset by annual property income) during that period. This reflected an additional $11.1 million atop the $10.0 million already present at that time, for a total of $21.1 million of advances and accruals that are senior to the outstanding trust debt. "As we previously discussed, since then, the loan's exposure build grew to $28.2 million, and the ultimate disposition timeframe remains unclear. In addition, the special servicer indicated that the borrower filed a counterclaim against the special servicer's foreclosure filing, which has already resulted in certain legal fees being incurred, with the potential for more in the future, which could affect cashflow to the rated certificates. "In our current analysis, we forecast an additional year until disposition, along with a commensurate level of future servicer advances (again, offset by anticipated property income). As a result, we expect an additional $9.0 million of advances through disposition. When added to the $28.2 million of exposure build reported to date, this results in $37.1 million of forecasted exposure build sitting senior to the trust debt, which we deducted from our long-term sustainable value of $170.7 million ($317,241 per unit), unchanged from our last review, to arrive at our reduced net recovery value of $133.5 million." Ratings Lowered PKHL Commercial Mortgage Trust 2021-MF Class A to 'AA+ (sf)' from 'AAA (sf)' Class B to 'BB+ (sf)' from 'BBB+ (sf)' Class C to 'B+ (sf)' from 'BB+ (sf)' Class D to 'CCC (sf)' from 'B+ (sf)' Class X-NCP to 'AA+ (sf)' from 'AAA (sf)' PPM CLO 3: Moody's Lowers Rating on $20MM Class E-R Notes to B1 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by PPM CLO 3 Ltd.: US$20,000,000 Class E-R Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on March 25, 2021 Assigned Ba3 (sf) PPM CLO 3 Ltd., originally issued in June 2019 and refinanced in March 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 deterioration in Over-Collateralization (OC) ratio and the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on trustee's May 2025 report, the OC ratio for the Class E notes is reported at 105.42%[1] compared to 107.44%[2] in May 2024. Also, based on Moody's calculations, the total collateral par balance is currently $387.9 million, or $12.1 million less than the $400.0 million initial par amount targeted during the deal's ramp-up. 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: $387,934,618 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2798 Weighted Average Spread (WAS): 3.16% Weighted Average Recovery Rate (WARR): 45.65% 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. PROVIDENT FUNDING 2025-3: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 30 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2025-3, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-3 Cl. A-1, 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 Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.46% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM TRUST 2025-NQM3: Moody's Assigns B3 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 8 classes of residential mortgage-backed securities (RMBS) issued by PRPM 2025-NQM3 Trust, and sponsored by PRP-LB VI AIV, LLC. The securities are backed by a pool of non-prime, non-QM residential mortgages acquired by entities administered by PRPM 2025-NQM3 Trust, originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and Fay Servicing, LLC. The complete rating actions are as follows: Issuer: PRPM 2025-NQM3 Trust Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 5.26%, in a baseline scenario-median is 4.34% and reaches 29.72% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RAD CLO 12: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the RAD CLO 12, Ltd. reset transaction. Entity/Debt Rating ----------- ------ RAD CLO 12, Ltd. A-1a-R LT NRsf New Rating A-1b-R LT AAAsf New Rating A-2-R LT AAsf New Rating B-R LT Asf New Rating C-1-R LT BBBsf New Rating C-2-R LT BBB-sf New Rating D-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RAD CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Redding Ridge Asset Management LLC. The CLO originally closed in November 2021. 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 25.4 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 96.48% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.24% 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-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'Bsf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, and 'Asf' 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 12, 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. RADIAN MORTGAGE 2025-J3: Fitch Assigns Bsf Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Radian Mortgage Capital Trust 2025-J3 (RMCT 2025-J3). Entity/Debt Rating Prior ----------- ------ ----- Radian Mortgage Capital Trust 2025-J3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-19-X LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-21-X LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-23-X LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-24-X LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-25-X LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-27 LT AAAsf New Rating AAA(EXP)sf A-27-X LT AAAsf New Rating AAA(EXP)sf A-28 LT AAAsf New Rating AAA(EXP)sf A-28-X LT AAAsf New Rating AAA(EXP)sf A-29 LT AAAsf New Rating AAA(EXP)sf A-30 LT AAAsf New Rating AAA(EXP)sf A-31 LT AAAsf New Rating AAA(EXP)sf A-32 LT AAAsf New Rating AAA(EXP)sf A-33 LT AAAsf New Rating AAA(EXP)sf A-34 LT AAAsf New Rating AAA(EXP)sf A-34-X LT AAAsf New Rating AAA(EXP)sf A-X LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-A LT AAsf New Rating AA(EXP)sf B-1-X LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2-A LT Asf New Rating A(EXP)sf B-2-X LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-3-A LT BBBsf New Rating BBB(EXP)sf B-3-X LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B LT BBBsf New Rating BBB(EXP)sf B-X LT BBBsf New Rating BBB(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed notes issued by Radian Mortgage Capital Trust 2025-J3, as indicated above. The notes are supported by 398 prime loans with a total balance of approximately $374.0 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.0% on a national level as of 4Q24, down 0.1% qoq, based on Fitch's updated view on sustainable home prices). Housing affordability is currently at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.9% yoy nationally as of February 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately five months in aggregate, calculated by Fitch as the difference between the cutoff date and the origination date. The average loan balance is $939,780. The collateral primarily comprises 76.4% prime-jumbo loans, followed by 171 agency-conforming loans accounting for 23.6% of the unpaid principal balance (UPB). Borrowers in this pool have strong credit profiles (a 774 average model FICO, as calculated by Fitch), in line with comparable prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 80.1%, and the mark-to-market (MtM) combined LTV ratio (cLTV) is 71.1%. Fitch treated approximately 100% of the loans as full documentation collateral, and 100% of the loans are qualified mortgages (QMs). Of the pool, 93.2% are loans for which the borrower maintains a primary residence, while 6.8% are for second homes. Additionally, 53.8% of the loans were originated through a retail channel. Fitch expects losses in the 'AAAsf' stress amount to 7.25%, similar to those of other comparable prime-jumbo shelves. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. This lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.30% of the original balance will be maintained for the senior and subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Incenter and Opus. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 31-bps reduction to the 'AAA' expected loss ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2025-CES7: Fitch Assigns 'Bsf' Rating on Six Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES7 (RCKT 2025-CES7). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES7 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1AR LT AAAsf New Rating A-1B LT AAAsf New Rating AAA(EXP)sf A-1BR LT AAAsf New Rating A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-2R LT AAsf New Rating A-3 LT Asf New Rating A(EXP)sf A-3R LT Asf New Rating A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-1R LT BBsf New Rating B-2 LT Bsf New Rating B(EXP)sf B-2A LT Bsf New Rating B(EXP)sf Transaction Summary The notes are supported by 7,427 closed-end second lien (CES) loans, with a total balance of approximately $647 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure, in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Since Fitch assigned expected ratings for the RCKT 2025-CES7 transaction, the issuer added additional exchangeable note classes for the class A, class M, and class B notes. These ratings are in-line with the respective note ratings. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% above a long-term sustainable level (versus 11% on a national level as of 4Q24). Affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines, but are still supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 7,427 loans totaling approximately $647 million and seasoned at about three months in aggregate, as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 742, a debt-to-income ratio (DTI) of 39.1% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77.0%. Of the pool, 99.3% of the loans are of a primary residence and 0.7% represent investor properties or second homes, and 94.0% of loans were originated through a retail channel. Additionally, 56.2% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 18.7% are higher-priced qualified mortgages (HPQMs). Due to the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180-Day Charge-off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.1% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 19bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES7 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to {DESCRIPTION OF ISSUE/RATIONALE}, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKTL 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by RCKTL 2025-1. Entity/Debt Rating Prior ----------- ------ ----- RCKTL 2025-1 A LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BB-sf New Rating BB-(EXP)sf 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, including tightened credit standards, performance of 2H23 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 exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems 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 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 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', 'BBB+sf', 'BB+sf', 'CCCsf'; Increased default base case by 50%: 'A+sf', 'A-sf', 'BBB-sf', 'BBsf', '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', 'AAsf', 'A-sf', 'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. REALT 2015-1: Fitch Affirms Bsf Rating on Class G Debt ------------------------------------------------------ Fitch Ratings has affirmed two and upgraded three classes of Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-through certificates, series 2015-1. The Rating Outlook for classes D, and E have been assigned as Positive following their upgrade. The Rating Outlooks for classes F, and G have been revised to Positive from Negative following their affirmation. The Rating Outlooks for upgraded classes C remains Stable. All currencies are denominated in Canadian dollars (CAD). Entity/Debt Rating Prior ----------- ------ ----- REAL-T 2015-1 C 75585RME2 LT AAAsf Upgrade AA+sf D 75585RMF9 LT Asf Upgrade BBB+sf E 75585RMG7 LT BBBsf Upgrade BBB-sf F 75585RMH5 LT BBsf Affirmed BBsf G 75585RMJ1 LT Bsf Affirmed Bsf KEY RATING DRIVERS Improved Credit Enhancement (CE); Decreased Loss Expectations: The upgrades of classes C, D and E reflect improved pool performance and increased CE from scheduled amortization, and better-than-expected recoveries from loans paying off at maturity, including a former Fitch Loan of Concern (FLOC) the Alta Vista Manor Retirement Ottawa, which was the largest contributor to loss expectations at the prior rating actions with a base case loss of 20% (prior to concentration adjustments). As of the July 2025 distribution date, the pool's aggregate principal balance was paid down by 90.3% since issuance and 45.3% since Fitch's prior rating action. Fitch's current ratings incorporate a deal-level 'Bsf' rating case loss of 3.0%, down from 3.4% at Fitch's prior rating action. Fitch's affirmations for classes F and G, reflect stable performance and the pool's high concentration. The two largest loans (Place D'Armes Office Kingston and Sobey's St. John's; combined 77% of the total pool balance) have been granted short term extensions from their July 2025 maturity dates to allow additional time to arrange refinancing. The last remaining loans are secured by 10 U-Haul self-storage facilities that are cross-collateralized and have exhibited stable performance since issuance. The loans are fully amortizing and mature in January 2035. The Positive Outlooks on classes D, E, F, and G reflect lower pool loss expectations and the potential for further upgrades with additional paydown or continued performance improvement, along with stable performance on the remaining loans in the pool with continued scheduled amortization. There are no designated Fitch Loans of Concerns (FLOC), down from 25.6% at the last rating action. No loans are in special servicing. Given the highly concentrated nature of the pool, whereby 77.0% of the pool matures by October 2025, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment or loss expectation. This analysis supported the upgrade of classes C, D, and E and the Positive Outlooks on classes D, E, F, and G. Largest Contributors to Loss: The largest contributor to loss expectations is the Place D'Armes Office Kingston loan (46.8% of the pool), which is secured by 207,184-sf single-tenant office property in Kingston, Ontario. The property has maintained a 100% occupancy since issuance. The Government Sponsored Entity tenant, which includes multiple government ministries, has occupied the property since 2000, with lease expiry in September 2025. Per a servicer update, the tenant will relinquish approximately 39,000 SF and renew the rest of the space, resulting in an occupancy of 81.8%. The reported DSCR as of TTM ended November 2023 was 1.91x. The loan was scheduled to mature in July 2025 but will be extended to Oct. 1, 2025, to allow time for the borrower to close on a refinancing and actively lease the vacant space. The loan remains full recourse to the sponsor Luciano Pupolin. Fitch's 'Bsf' rating case loss of 1.2% (prior to concentration adjustments) reflects a 10.0% cap rate, and a 20% stress to the most recent cashflow to account for the downsizing of the single tenant. Canadian Loan Attributes: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors on many loans. Approximately 77.0% of the pool features full or partial recourse to the borrowers and/or sponsors. Changes to Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate balance has been paid down by 90.2% to $32.35 million from $334.8 million at issuance. All 12 loans (100% of the pool) are currently amortizing with 10 loans (23.0% of the pool) that are fully amortizing. No interest shortfalls or realized losses are impacting to the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAAsf' and 'Asf' categories are not likely due to their position in the capital structure and expected paydown from loan repayments and continued amortization. However, downgrades may occur if the loans maturing in 2025, namely Place D'Armes Office Kingston, and Sobey's St. John's do not refinance, and deal-level losses increase significantly. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories could occur if performance of the Place D'Armes Office Kingston and Soby's St. John's loans deteriorate and/or the aforementioned loans do not refinance at their extended maturity dates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'Asf', 'BBBsf', 'BBsf' and 'Bsf' rated classes could occur with significantly increased CE from paydowns from the Place D'Armes Office Kingston and Soby's St. John's loans, coupled with stable or improved performance of the U-Haul loans. 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. REALT 2019-1: Fitch Lowers Rating on Two Tranches to 'B-sf' ----------------------------------------------------------- Fitch Ratings has downgraded four and affirmed one class of Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-pass through certificates, series 2019-1. A Negative Rating Outlook was assigned to classes B, C, D-1 and D-2 following their downgrades. The Outlook remains Negative for class A-2. Entity/Debt Rating Prior ----------- ------ ----- REAL-T 2019-1 A-2 75585RQZ1 LT AAAsf Affirmed AAAsf B 75585RRB3 LT Asf Downgrade AAsf C 75585RRC1 LT BBBsf Downgrade Asf D-1 75585RRD9 LT B-sf Downgrade BBsf D-2 LT B-sf Downgrade BBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Largest Loan in Special Servicing: The deal-level 'Bsf' rating case loss has increased to 10.1% from 6.3% at Fitch's prior rating action. Fitch identified seven loans (34.1% of the pool) as Fitch Loans of Concern (FLOCs), including two (18.2%) loans in special servicing. The downgrades reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by continued performance deterioration, an updated lower appraisal valuation and increasing loan exposure on the largest loan, WSP Place (13.8% of the pool) which transferred to special servicing in December 2023. The loan remains 90+ days delinquent, and the borrower continues to work with the special servicer on a resolution. The expected losses from the WSP Place loan represent 82.5% of total deal-level expected losses. The Negative Outlooks address the potential for further downgrades if expected losses and/or exposure on the WSP Place loan increase more than anticipated or the loan is resolved with higher-than-expected losses, or if a prolonged workout leads to lower recovery prospects. The Negative Outlooks also reflect limited cushion to the senior classes for potential future interest shortfalls. Current interest shortfalls are affecting classes D-1, D-2 and the non-rated classes E through H. The servicer is currently advancing a portion of the principal and interest (P&I) due on the WSP Place loan, which has $4.6 million in P&I advances outstanding as of the July 2025 remittance. If the amount advanced on this loan declines, or if additional loans in the pool default and negatively affect future payments to the trust, interest shortfalls could increase and impact more classes. Specially Serviced Loans: The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action is the WSP Place loan (13.8%), which is secured by a 191,851-sf office property located in the financial district of Edmonton, Alberta. The loan is full recourse to the sponsors, GSRI Ltd., Pacific Plaza LP and George Schluessel, all of which provided full joint and several guarantees on the loan. The loan transferred to special servicing in December 2023 for payment default ahead of its January 2024 maturity. The loan has since been modified via a forbearance agreement extending the maturity through July 2026 with the interest rate increasing to 7% from 4.65% at issuance. As part of the forbearance agreement, the special servicer is forbearing on its right to enforce the recourse provisions in exchange for additional security via assignment of proceeds upon disposition of assets from the borrower's portfolio. In addition, the borrower had agreed to make a principal payment of $1.2 million by July 2025. Per the latest special servicer update, the borrower has sale agreements pending for other assets but sale proceeds have not been received by the borrower, and it is unknown at this time whether any of those proceeds would be assigned to the trust. In addition, the $1.2 million principal payment has not yet been received. The property has experienced significant occupancy declines, and as of June 2025 is 32.5% occupied after the largest tenant, WSP Canada, downsized prior to its June 2026 lease expiration to 17.5% of the NRA from 36.4% at issuance in addition to Her Majesty Queen in Right of Alberta (23.6% of NRA) and Alberta Investment Management Corporation (8.5%) vacating at their lease expiration. The borrower has not reported updated financials since YE 2021. Fitch's 'Bsf' rating case loss of 60.2% (prior to concentration adjustments) reflects the recent appraisal value but with a lower than 100% probability of default to account for the borrower's continued efforts to resolve the loan at or before the extended maturity date in 2026. Fitch also performed a sensitivity analysis which assumed the loan is disposed sooner than currently expected at the most recent appraisal value, which is approximately 74% below the appraisal from issuance, and the total outstanding loan exposure including the advances. In this analysis, expected losses increase to 80.5%. The Negative Outlooks consider this sensitivity analysis. The second specially serviced loan is the Group Guzzo Retail Terrebone loan (4.4%), which is secured by a 101,821-sf mixed-use (retail and office) property located in Terrebonne, Quebec. The loan is full recourse to the sponsor, Cinemas Guzzo, Inc. The 80,418-sf retail space is occupied by a sponsor-owned 14-screen movie theater. The 21,403-sf office space is occupied by Cinemas Guzzo Seige Social (15.0% of the NRA) through February 2038 and Centre de Sante et Service (6.0%) on a lease that expired in January 2024. Fitch requested updated financials, but the special servicer indicated the borrower has not provided them. The loan transferred to special servicing in May 2024 due to delinquent principal and interest payments and has been delinquent for over 90 days as of July 2024. According to a servicer update, the loan has been current since April 2025, including taxes, though legal fees remain outstanding. Due to Guzzo's ongoing court-ordered liquidation, the lender received a land valuation as of March 2025 in excess of the outstanding loan amount. MCAP, IMS (the master servicer), and Ace Mortgage (the second mortgagee) are collaborating with counsel on a remediation plan. On April 1, 2025, ACE purchased the movie theater equipment, with court approval and closing on April 4, 2025, as ACE sees potential value in the land if rezoned and has hired an appraiser and architect for further analysis. ACE acquired the equipment to either bring in a new operator or sell it back to Guzzo if their loan is repaid. Fitch's loss expectations are based on a stress to the October 2023 appraisal value, which is above the loan balance, resulting in a minimal 'Bsf' rating case loss to account for fees and expenses. Recourse Provisions: There are 23 loans (76.4% of the pool) that contain recourse provisions, 22 of which (71.2%) are full recourse to the sponsors. Increasing Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate balance has been paid down by 45.2% to $244.8 million from $446.4 million at issuance. Loan maturities are concentrated in 2028 (12 loans; 47.7% of the pool) and 2029 (12 loans; 33.0%). All loans in the pool are currently amortizing. Interest Shortfalls: Cumulative interest shortfalls totaling approximately $1.6 million are affecting classes D-1, D-2 and the non-rated classes E through H. Classes D-1 and D-2 are receiving a portion of their interest and classes E through H are not receiving their interest. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A downgrade to class A-2, currently rated 'AAAsf' with a Negative Outlook, is possible should performance and/or valuation of the WSP Place loan decline further than anticipated in both the base case and sensitivity analysis, or if interest shortfalls are incurred or expected to be incurred. Downgrades of up to one category on classes B and C are possible if WSP Place loan liquidates at an outsized loss in line with Fitch's sensitivity scenario and/or other FLOCs, namely Residences MGR Bourget, Yarmouth Mall & Shoppes, Eastview Retail and William Street Industrial, experience further performance declines and/or default at or prior to maturity. Further downgrades on classes D-1 and D-2 to distressed levels are possible if the WSP Place loan liquidates at an outsized loss in line with Fitch's sensitivity scenario and/or with further performance declines of the aforementioned FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated B and C are not expected, but are possible with significant increases in CE, better than expected recoveries on the WSP Place loan and with performance improvement of the FLOCs, namely Residences MGR Bourget, Yarmouth Mall & Shoppes, Eastview Retail and William Street Industrial, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' given the likelihood for continued interest shortfalls. Upgrades to classes D-1 and D-2 are unlikely but may occur with better-than-expected recoveries on the specially serviced the WSP place loan and/or significantly higher values on FLOCs, particularly loans with refinance concerns. Upgrades may be limited due to increasing concentration and adverse selection of the remaining pool. 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. SARANAC CLO VIII: Moody's Cuts Rating on $19MM Class E Notes to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Saranac CLO VIII Limited: US$38,500,000 Class B Senior Secured Floating Rate Notes due 2033 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on February 27, 2020 Definitive Rating Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E Secured Deferrable Floating Rate Notes due 2033 (the "Class E Notes"), Downgraded to B2 (sf); previously on February 27, 2020 Definitive Rating Assigned Ba3 (sf) Saranac CLO VIII Limited, issued in February 2020, is a managed cashflow CLO. The debt is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in February 2025. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These upgrade rating action is primarily a result of deleveraging of the senior notes since February 2025. The Class A-Loans, Class A-N, and Class A-F notes have been collectively paid down by approximately 4.3% or $9.6 million since that time. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's June 2025 [1] report, the over-collateralization (OC) ratio for Class E is currently 104.02%, versus June 2024 [2] level of 106.36%. Furthermore, the trustee-reported[3] weighted average rating factor (WARF) has been deteriorating and the current level is 3149, compared to 2887 in June 2024[4]. No actions were taken on the Class A Loans, Class A-N, Class A-F, Class C-N, Class C-F, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $326,471,186 Defaulted par: $3,502,870 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3021 Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 4.1 years Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated debt is subject to uncertainty. The performance of the rated debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated debt. SEQUOIA MORTGAGE 2025-7: Fitch Assigns Bsf Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-7 (SEMT 2025-7). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-7 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf A-IO12 LT AAAsf New Rating AAA(EXP)sf A-IO13 LT AAAsf New Rating AAA(EXP)sf A-IO14 LT AAAsf New Rating AAA(EXP)sf A-IO15 LT AAAsf New Rating AAA(EXP)sf A-IO16 LT AAAsf New Rating AAA(EXP)sf A-IO17 LT AAAsf New Rating AAA(EXP)sf A-IO18 LT AAAsf New Rating AAA(EXP)sf A-IO19 LT AAAsf New Rating AAA(EXP)sf A-IO20 LT AAAsf New Rating AAA(EXP)sf A-IO21 LT AAAsf New Rating AAA(EXP)sf A-IO22 LT AAAsf New Rating AAA(EXP)sf A-IO23 LT AAAsf New Rating AAA(EXP)sf A-IO24 LT AAAsf New Rating AAA(EXP)sf A-IO25 LT AAAsf New Rating AAA(EXP)sf A-IO26 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1A LT AA-sf New Rating AA-(EXP)sf B-1X LT AA-sf New Rating AA-(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2A LT Asf New Rating A(EXP)sf B-2X LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 326 loans with a total balance of approximately $398.6 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included updated balances and five loan drops from the prior pool, four of which were graded "C" or "D" for compliance-related exceptions at the time of expected ratings. Fitch re-ran its asset analysis and its expected loss coverage levels did not change. Additionally, Fitch received an updated structure based off the new deal balance and confirmed there were no changes from its expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 326 loans totaling approximately $398.6 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 37.4% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 78.2% sustainable loan-to-value ratio (sLTV) and a 69.8% mark-to-market combined LTV ratio (cLTV). Overall, 93.2% of the pool loans are for a primary residence, while 6.8% are loans for second homes; 58.1% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.3% above a long-term sustainable level compared to 11.0% nationally as of 4Q24 and down 0.1% since the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices increased 2.7% YoY nationally as of April 2025, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially - first to the super-senior classes (A-9, A-12, and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-7 will feature the servicing administrator (RRAC), following initial reduction in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumed MVDs of 10%, 20%, and 30%, in addition to the model-projected 41.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-7 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational Risk is well controlled for in SEMT 2025-7 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SHACKLETON 2015-VII-R: Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Shackleton 2015-VII-R CLO, Ltd.: US$24.7M Class C-RR Mezzanine Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 18, 2024 Assigned Aa2 (sf) US$30.5M Class D-RR Mezzanine Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Oct 18, 2024 Assigned Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$243.6M (Current outstanding amount US$109,453,890) Class A-RR Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 18, 2024 Assigned Aaa (sf) US$56.2M Class B-RR Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 18, 2024 Assigned Aaa (sf) US$26.5M Class E Junior Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 18, 2024 Upgraded to Ba3 (sf) US$8.1M Class F Junior Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Sep 11, 2020 Downgraded to Caa2 (sf) Shackleton 2015-VII-R CLO, Ltd., originally issued in July 2018 and partially refinanced in May 2021 and October 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class C-RR and D-RR 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-RR, B-RR, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-RR notes have paid down by approximately USD134.2 million (41.8%) since the last rating action in October 2024 and USD211.5 million (65.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated July 2025[1], the Class A/B, Class C, Class D and Class E OC ratios are reported at 144.77%, 129.73%, 114.99% and 104.65% compared to October 2024[2] levels of 130.30%, 121.09%, 111.38% and 104.12%, 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: USD262.88m Defaulted Securities: USD9.17m Diversity Score: 59 Weighted Average Rating Factor (WARF): 3189 Weighted Average Life (WAL): 3.11 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Recovery Rate (WARR): 47.07% Par haircut in OC tests and interest diversion test: 1.89% 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. 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. SIERRA TIMESHARE 2025-2: Fitch Assigns 'BBsf' Rating on Cl. D Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Sierra Timeshare 2025-2 Receivables Funding LLC (2025-2). Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2025-2 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Borrower Risk — Consistent Credit Quality: Approximately 70.17% of Sierra 2025-2 consists of WVRI-originated loans. The remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 742, which is marginally higher than the prior transaction. The collateral pool has nine months of seasoning and comprises 58.12% of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy — Shifting CGDs: Like other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2023 vintages show increasing gross defaults, tracking outside of peak levels experienced in 2008. This is partially driven by an increased usage of paid product exits (PPEs). The 2022-2024 transactions are generally demonstrating weakening default trends relative to improved performance in 2020-2021 transactions, though trending around the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 21.50%, consistent with 21.50% for 2025-1. Given the current economic environment, default vintages reflecting more recent vintage performance were used, specifically of the 2015-2019 vintages. Structural Analysis — Shifting CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 55.80%, 33.90%, 14.60% and 4.50%, respectively. CE is higher for class A, lower for classes B and C and the same for class D, relative to 2025-1, mainly due to differences in subordination compared with the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 9.10% per annum. Default coverage for all notes can support CGD multiples of 3.00x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch believes T+L has demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is evident given the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of up to one rating category for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIXTH STREET 30: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO 30 Ltd./Sixth Street CLO 30 LLC's and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO 30 Management LLC, a subsidiary of Sixth Street Advisors LLC. The preliminary ratings are based on information as of July 25, 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 Sixth Street CLO 30 Ltd./Sixth Street CLO 30 LLC Class A, $270.000 million: AAA (sf) Class B, $67.500 million: AA (sf) Class C (deferrable), $31.500 million: A (sf) Class D (deferrable), $27.000 million: BBB- (sf) Class E (deferrable), $16.875 million: BB- (sf) Subordinated notes, $45.000 million: NR SKYBOX CDO: Moody's Ups Rating on $604MM Senior Swap Notes to Ca ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on notes issued by Skybox CDO, Ltd.: US$604,000,000 Super Senior Swap due 2040 (current balance $12,627,767.05), Upgraded to Ca (sf); previously on April 24, 2009 Downgraded to C (sf) Skybox CDO, Ltd., issued in November 2005, is a collateralized debt obligation backed primarily by a portfolio of structured finance assets. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation. The notes have either incurred a missed interest payment or is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original notes balance. No actions were taken on the other rated classes in the deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Structured Finance CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the 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. SYMPHONY CLO 34-PS: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 underwent a refinancing in July 2023. At the same time, S&P withdrew its ratings on the outstanding class X, A-R, B-1-R, B-2-R, C-R, D-R, and E-R debt following payment in full on the July 24, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R2, A-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt were issued at a lower spread over three-month CME term SOFR than the 2023 debt. -- Additional subordinated notes were issued in the amount of $4.4 million, and the stated maturity of the subordinated notes was extended to July 24, 2038. -- The reinvestment period was extended to Feb. 24, 2030. -- The non-call period was extended to Feb. 24, 2027. -- The outstanding class B-1-R and B-2-R debt were replaced by the replacement class B-R2 debt. -- The outstanding class D-R debt was replaced by the replacement class D-1-R2 and D-2-R2 debt. -- New class X-R2 debt was issued in connection with this refinancing. These notes will 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." 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) Ratings Withdrawn Symphony CLO 34-PS Ltd./ Symphony CLO 34-PS LLC Class X to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA (sf)' Class B-2-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 Symphony CLO 34-PS Ltd./ Symphony CLO 34-PS LLC Subordinated notes, $35.40 million: NR NR--Not rated. SYMPHONY CLO XXVI: S&P Lowers Class E-R Notes Rating to 'B- (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-R and E-R notes from Symphony CLO XXVI Ltd., a U.S. collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC. S&P also removed the class E-R notes from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-R, B-1R, B-2R, and C-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the June 2025 trustee report. S&P had placed the ratings on the class E-R notes on CreditWatch negative due primarily to the decline in their respective overcollateralization (O/C) levels and declining cash flows. Since S&P's March 2021 rating action, the class A-R notes had total paydowns of $67 million that reduced its outstanding balance to 82.50% of its original balance. Additionally, the following are the changes in the reported overcollateralization (O/C) ratios since the March 2021 trustee report: -- The class A-R/B-1R/B-2R O/C ratio declined to 129.32% from 137.88%. -- The class C-R O/C ratio declined to 117.54% from 121.44%. -- The class D-R O/C ratio declined to 109.12% from 113.85%. -- The class E-R O/C ratio declined to 104.04% from 109.20%. Despite the paydown, all the O/C ratios declined. This is attributable to a combination of par losses and increased haircuts in the O/C ratio due to elevated exposure to 'CCC' assets and defaulted assets. S&P said, "Although paydowns have helped the senior classes, the collateral portfolio's credit quality has deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category are at $41 million as of the June 2025 trustee report, compared with $39.3 million reported as of the March 2021 data that we used when the CLO was reset. Given that the pool has been amortizing, this has increased the proportion of the pool constituting 'CCC' assets to 10.50% from 6.50%. The current exposure of the collateral obligations with ratings the 'CCC' category is now in excess of the maximum allowed by the transaction documents." As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess. The trustee also reported an increase in defaulted assets to $9.5 million from $5.2 million over the same time period. As a percentage of this pool, this represents an increase to 1.91% from 0.86%. The lowered ratings reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D-R and E-R notes. In addition, the cash flow runs were failing at their prior respective ratings. There has been some benefit from the seasoning of the pool and decline in the weighted average life to 3.6 years from 4.7 years. The results of the cash flow analysis have declined due to the increase in defaults and par losses. Two other factors, which also contributed to the failing cash flow runs: decline in the weighted average spread (WAS), and decrease in the weighted average recovery rates (WARR) for the portfolio. As market conditions have evolved, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support these junior tranches. Additionally, the decreased WARR for the portfolio further contributed to the lower cash flow implied ratings. S&P said, "Although our cash flow analysis indicated higher ratings for the class B-1R and B-2R notes, our rating actions reflect additional sensitivity runs that considered the exposure to both lower quality assets and to assets with low market prices present in the portfolio. The affirmation of the class A-R, B-1R, B-2R, and C-R notes also considered that the manager, as permitted under the transaction documents, has been retaining part of the unscheduled principal proceeds for further reinvestments. Since such investments could potentially alter the portfolio's characteristics and does not allow for the notes to get paid down, we preferred more cushion. "On a standalone basis, the cash flow results indicate a lower rating for the class E-R notes. However, we expect that the continued paydowns of the class A-R notes are likely to improve the credit support and remediate the cash flow failure of the class E-R notes. It is our view that the class E-R notes are not currently dependent upon favorable business, financial, or economic conditions to meets its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus, does not meet our definition of 'CCC' risk. We limited the downgrade to three notches at this time after considering its credit enhancement, the potential of the O/C ratio to increase following more paydowns, and the transaction's exposure to 'CCC' category rated assets. However, any increase in defaults or par losses could lead to potential negative rating actions in the future." The affirmed ratings reflect adequate credit support at the current rating levels. The lowered rating on the class D-R notes is in line with the results of the cash flow analysis, taking into account the credit deterioration and par losses. Any further deterioration in the credit support available to the notes could result in further rating 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 this rating action. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." Rating Lowered Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC Class D-R to 'BB+ (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Negative Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC Class E-R to 'B- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC Class A-R: AAA (sf) Class B-1R: AA (sf) Class B-2R: AA (sf) Class C-R: A (sf) TCI-FLATIRON 2018-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the TCI-Flatiron CLO 2018-1 Ltd. refinancing notes. Entity/Debt Rating ----------- ------ TCI-Flatiron CLO 2018-1 Ltd. A-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary TCI-Flatiron CLO 2018-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TCI Capital Management LLC. Net proceeds from the second refinancing of the secured notes will provide financing on a portfolio of approximately $248 million (excluding defaults) of primarily first lien senior secured leveraged loans. The subordinated notes are not being refinanced. 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 25.41 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 99.88% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.97% and will be managed to a WARR covenant from a Fitch test matrix. 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 resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction is in a post-reinvestment period; however, limited trading activity is still permissible. 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 'Asf' and 'AA+sf' for class A-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA-sf' for class C-R2, 'BBB+sf' for class D-R2, and 'BBB-sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for TCI-Flatiron CLO 2018-1 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. TRALEE CLO VI: S&P Lowers Class E Notes Rating to 'B (sf)' ---------------------------------------------------------- S&P Global Ratings took various rating actions on seven classes of debt from Tralee CLO VI Ltd., a U.S. CLO managed by Blue Owl Liquid Credit Advisors LLC. S&P raised its ratings on the class B-1-RR and B-J-RR debt and lowered its rating on the class E debt and removed this rating from CreditWatch, where S&P placed it with negative implications on May 1, 2025. At the same time, S&P affirmed its ratings on the class A-1-RR, A-J-R, C-RR, and D-RR debt. The rating actions follow S&P's review of the transaction's performance using data from the June 8, 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 move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns that increased the senior credit support and faced principal losses that decreased the junior credit support. The transaction has paid $57.85 million in paydowns to the class A-1-RR debt since our July 25, 2024, rating actions, when the transaction underwent a partial refinancing. Following are the changes in the reported overcollateralization (O/C) ratios since the June 8, 2024, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 132.11% from 126.28%. -- The class C O/C ratio improved to 119.19% from 116.39%. -- The class D O/C ratio improved to 110.85% from 109.78%. -- The class E O/C ratio declined to 104.98% from 105.01%. The senior O/C ratios experienced positive movements due to the lower balance of senior debt along with improvement in credit quality of the portfolio, which resulted in decreased haircuts in the O/C ratios. Collateral obligations with ratings in the 'CCC' category are at $16.11 million or 5.80% of the portfolio as of the June 2025 trustee report, compared with $20.95 million or 6.20% reported as of June 2024. Defaults in the portfolio have also decreased and are at $3.00 million compared with $6.11 million as of the same report dates. Despite this, the junior O/C ratio declined marginally due to approximately $6.19 million in par losses, which offset any benefit for the class E debt that resulted from the senior debt paydowns and lower O/C ratio haircuts. In addition, the weighted average recovery rates have declined across all rating levels and the weighted average spread has dropped, both of which also contributed to weakened cash flows on the class E debt. Given that the class E debt is lower in the capital structure, it is more sensitive to such changes as the portfolio amortizes. The upgraded ratings reflect the improved credit quality of the underlying portfolio, along with increased credit support available to the class B-1-RR and B-J-RR debt at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the class A-1-RR, A-J-R, C-RR, or D-RR debt could result in further ratings changes. S&P said, "Our cash flow analysis indicates the potential for a higher rating on the class C-RR debt, however, we believe that the more subordinated position may result in a greater likelihood of rating migration than that of more senior classes in the event of portfolio volatility. We also considered the credit enhancement available for this class under additional sensitivity analyses that considered exposures to 'CCC' rated collateral and assets with distressed prices. "Additionally, on a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-RR debt than the rating action reflects. However, we affirmed the rating on class D-RR debt after considering the margin of failure, credit enhancement, and expectation that continued paydowns to the senior debt may further improve the O/C ratio and cash flow results." The lowered rating reflects the decrease in credit support available to the class E debt. In addition, cash flows were failing at the prior rating level due to a decrease in the break-even default rates, which resulted from par losses, decreased weighted average recovery rates and a decrease in the weighted average spread of the portfolio. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support this junior tranche while the lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than previously estimated. The cash flow results, on a standalone basis, showed the class E debt was not passing at the 'B' rating level. At this time, the lowered rating is limited, as S&P feels this tranche is not currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus does not meet our definition of 'CCC' risk. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. 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 we will take rating actions as we deem necessary." Ratings Raised Tralee CLO VI Ltd. Class B-1-RR to 'AA+ (sf)' from 'AA (sf)' Class B-J-RR to 'AA+ (sf)' from 'AA (sf)' Rating Lowered And Removed From CreditWatch Negative Tralee CLO VI Ltd. Class E to 'B (sf)' from 'BB- (sf)/CW Neg' Ratings Affirmed Tralee CLO VI Ltd. Class A-1-RR: AAA sf) Class A-J-R: AAA( sf) Class C-RR: A (sf) Class D-RR: BBB-(sf) TRINITAS CLO XXXII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XXXII Ltd./Trinitas CLO XXXII LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The preliminary ratings are based on information as of July 29, 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. Ratings Assigned Trinitas CLO XXXII Ltd./Trinitas CLO XXXII LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B-1, $52.50 million: AA (sf) Class B-2, $12.50 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $50.00 million: Not rated VERUS SECURITIZATION 2025-R1: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-R1's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,335 loans backed by 1,356 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. Of the 1,335 loans, seven are cross-collateralized loans backed by 28 properties. S&P said, "After we assigned preliminary ratings on July 15, 2025, five loans were removed from the collateral pool, and changes were made to bond sizes to reflect the updated loan balances. The resized bonds reflect a slight increase in credit enhancement levels for the class A-3, M-1 and B-1 notes. The issuer also added initial exchangeable classes A-1A and A-1B notes, which, taken together, can be exchanged for the exchangeable class A-1 notes and vice versa. After analyzing the updated collateral pool, structure, and final coupons, we assigned ratings to the classes that are unchanged from the preliminary ratings we assigned." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Verus Securitization Trust 2025-R1 Class A-1A, $316,436,000: AAA (sf) Class A-1B, $45,205,000: AAA (sf) Class A-1, $361,641,000: AAA (sf) Class A-2, $22,829,000: AA (sf) Class A-3, $39,555,000: A (sf) Class M-1, $10,849,000: BBB (sf) Class B-1, $7,007,000: BB (sf) Class B-2, $5,876,000: B (sf) Class B-3, $4,295,361: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class DA, $2,587,074(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (iii)The initial note amount of the class DA notes represents the aggregate pre-closing deferred amounts as of the cut-off date. NR--Not rated. N/A--Not applicable. WELLFLEET CLO 2020-2: S&P Lowers Cl. E-R Notes Rating to 'B (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-R and E-R debt from Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC and removed the rating on the class E-R debt from CreditWatch with negative implications. The transaction is a U.S. CLO managed by Wellfleet Credit Partners LLC, which was originally issued in August 2020 and underwent a refinancing in August 2021. S&P also affirmed its ratings on the class A-R, B-R, and C-R debt from the same transaction. The CLO is in its reinvestment phase, which is expected to end in August 2026. The rating actions follow our review of the transaction's performance using data from the June 4, 2025, trustee report. Though the trustee-reported overcollateralization (O/C) ratios of all the tranches are currently passing, they have declined since our last rating action in August 2021. Following are the changes in the reported O/C ratios between the June 2025 report and the July 2021 report (when the CLO was refinanced): -- The class A/B O/C ratio declined to 126.83% from 131.77%. -- The class C O/C ratio declined to 117.55% from 122.13%. -- The class D O/C ratio declined to 109.54% from 113.80%. -- The class E O/C ratio declined to 105.06% from 109.15%. S&P said, "The drop in the O/C ratios is primarily due to par losses since our last rating action. In addition, the recovery rates have declined overall and the weighted average spread has dropped, contributing to the weakened cash flows. As a result, credit support has weakened for all the tranches, leading to the downgrade of the class D-R and E-R debt. "On a standalone basis, the results of the cash flow analysis indicated lower ratings on the class C-R and E-R debt than the rating actions reflect. However, we affirmed our rating on the class C-R debt and limited the downgrade for the class E-R debt after considering the margin of failure, the credit support commensurate with the current rating levels, the low defaults, the low exposure to collateral obligations rated 'CCC' and 'CCC-', and passing O/Cs. However, any increase in defaults or par losses could lead to negative ratings in the future." The affirmed ratings reflect adequate credit support at the current rating levels. 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 this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and we will take rating actions as we deem necessary." Rating Lowered Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC Class D-R to 'BB+ (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) WELLS FARGO 2017-C41: Fitch Lowers Rating on Cl. F-RR Certs to Bsf ------------------------------------------------------------------ Fitch Ratings has downgraded eight and affirmed eight classes of Wells Fargo Commercial Mortgage Trust 2017-C42 (WFCM 2017-C42). Classes C, X-B, D and X-D were assigned Negative Outlook following their downgrade. Additionally, the Outlooks for classes A-S and B were revised to Negative from Stable. Fitch also downgraded four and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2017-C41 (WFCM 2017-C41). Classes D, X-D, E-RR and F-RR were assigned Negative Outlook following their downgrade. The Outlook for classes A-S, B and X-B were revised to Negative from Stable. The Outlook for class C remains Negative. Fitch also downgraded the MOA 2020-WC41 E-RR horizontal risk retention pass through certificate (2017 C41 III) and assigned a Negative Outlook following the downgrade. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2017-C41 A-2 95001ABA3 LT AAAsf Affirmed AAAsf A-3 95001ABC9 LT AAAsf Affirmed AAAsf A-4 95001ABD7 LT AAAsf Affirmed AAAsf A-S 95001ABG0 LT AAAsf Affirmed AAAsf A-SB 95001ABB1 LT AAAsf Affirmed AAAsf B 95001ABH8 LT AA-sf Affirmed AA-sf C 95001ABJ4 LT A-sf Affirmed A-sf D 95001AAD8 LT BBBsf Downgrade BBB+sf E-RR 95001AAG1 LT BBsf Downgrade BBB-sf F-RR 95001AAK2 LT Bsf Downgrade B+sf G-RR 95001AAN6 LT CCCsf Affirmed CCCsf X-A 95001ABE5 LT AAAsf Affirmed AAAsf X-B 95001ABF2 LT AA-sf Affirmed AA-sf X-D 95001AAA4 LT BBBsf Downgrade BBB+sf WFCM 2017-C42 A-3 95001GAD5 LT AAAsf Affirmed AAAsf A-4 95001GAE3 LT AAAsf Affirmed AAAsf A-BP 95001GAF0 LT AAAsf Affirmed AAAsf A-S 95001GAK9 LT AAAsf Affirmed AAAsf A-SB 95001GAC7 LT AAAsf Affirmed AAAsf B 95001GAL7 LT AA-sf Affirmed AA-sf C 95001GAM5 LT BBB-sf Downgrade A-sf D 95001GAU7 LT BB-sf Downgrade BBB-sf E 95001GAW3 LT CCCsf Downgrade B-sf F 95001GAY9 LT CCsf Downgrade CCCsf X-A 95001GAG8 LT AAAsf Affirmed AAAsf X-B 95001GAJ2 LT BBB-sf Downgrade A-sf X-BP 95001GAH6 LT AAAsf Affirmed AAAsf X-D 95001GAN3 LT BB-sf Downgrade BBB-sf X-E 95001GAQ6 LT CCCsf Downgrade B-sf X-F 95001GAS2 LT CCsf Downgrade CCCsf MOA 2020-WC41 E E-RR 90215VAA1 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Performance and Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.5% in WFCM 2017-C42 and 5.5% in WFCM 2017-C41, compared to 5.4% and 4.3%, respectively, at Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise nine loans (32.4% of the pool) in WFCM 2017-C42, including four specially serviced loans (11.6%), and 14 loans (39.3%) in WFCM 2017-C41, including three specially serviced loans (4.8%). The downgrades in WFCM 2017-C42 reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by increased expected losses for the 16 Court Street loan (9.9%). The loan is in special servicing and has experienced significant performance and occupancy declines. The Negative Outlooks in WFCM 2017-C42 reflect potential downgrades should the value of the specially serviced loans, including 16 Court Street, continue to decline. Due to the large concentration of loan maturities in 2027 (97% excluding specially serviced loans), as well as the concentration of expected losses from one loan, 16 Court Street, Fitch performed a recovery and liquidation analysis. This analysis grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. The downgrades in WFCM 2017-C41 and MOA 2020-WC41 E reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by increased expected losses for the specially serviced DoubleTree Berkeley Marina loan (2.6%), and FLOCs National Office Portfolio (3.6%) and Cascade Building (1.4%) which are considered to have a higher likelihood of default at or prior to maturity. The Negative Outlooks in WFCM 2017-C41 and MOA 2020-WC41 E reflect refinancing concerns for FLOCs secured by office properties, particularly National Office Portfolio and Cascade Building, as well as the potential for higher-than-currently expected losses on the three specially serviced loans DoubleTree Berkeley Marina, Columbia Park Shopping Center (1.8%) and the Rite Aid Dunmore (0.4%). Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and overall largest contributor to loss in WFCM 2017-C42 is the specially serviced 16 Court Street loan. Expected losses on this loan represent approximately 70% of the total deal-level expected losses. Since Fitch's prior rating action, the loan transferred to special servicing in August 2024 for imminent monetary default as the borrower notified the lender they would be unable to pay debt service due to occupancy declines. Per the March 2025 rent roll, occupancy declined to 52.5% from 70% at March 2024 following the departure of the former largest tenant, The City University of New York (14.5% of NRA; August 2024), at lease expiration. The loan became 30 days delinquent per the May 2025 remittance and 60 days per the June 2025 remittance report. The location was the office of academic affairs for the Continuing Education and Workforce Programs (CEWP) City University of New York. Additionally, the Walgreens location (formerly Duane Reade, 3.5% NRA) closed in March 2025 as part of the company's planned store closings reducing occupancy to approximately 49%. According to CoStar, comparable office properties in the Downtown Brooklyn Office submarket had 27.5% vacancy and 23.1% availability rates and market asking rent of $54.37 compared to 27.4%, 25% and $52.75 at Fitch's prior rating action. The total submarket had 19.6% vacancy and 18.7% availability rates and market asking rent of $50.07 compared to 19.6%, 19% and $50.96 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 47% (before concentration add-ons) reflects an increased probability of default following its recent transfer to special servicing. Fitch's value is approximately $185 psf, reflecting the challenges of re-tenanting the property, as well as the strong location. The largest contributor to overall loss expectations and second largest increase in loss expectations since the prior rating action in WFCM 2017-C41 is the DoubleTree Berkeley Marina loan. The loan transferred to special servicing in February 2025 due to imminent monetary default stemming from the significant decline in NOI since 2019. The subject is a 378-key full-service hotel located on the waterfront in Berkeley, CA, built in 1971 with renovations taking place in 2007 and 2008. The YE 2024 NOI is 64% below YE 2019 and 55% below the Fitch issuance NCF. Since 2022, total expenses have increased 14% while revenue has only increased 8%. Per the most recent STR report for the TTM January 2025, occupancy, ADR and RevPAR were 72% (115% penetration rate), $175 (101% penetration rate) and $126 (115% penetration rate), respectively. Fitch's 'Bsf' rating case loss of 34% (prior to concentration add-ons) reflects a 11.25% cap rate and the YE 2024 NOI with no stress. The second largest contributor to overall loss expectations and largest increase in loss expectations since the prior rating action in WFCM 2017-C41 is the Cascade Building loan. The loan is a FLOC given the low occupancy and submarket concerns and is secured by a 94,859-sf, mixed use property (including a 12-story office building with ground floor retail) in Portland, Oregon built in 1926 and renovated in 2014. Occupancy has declined since 2019. As of March 2025, occupancy was 40%, down from 58% at March 2024 and compared to 75% at YE 2019 and 79% at underwriting. Since the prior rating action, the largest tenant Legal Aid Services of Oregon (12.4% NRA, December 2024) and former third largest tenant Level 3 Communications (9.6% NRA; expiration June 2024) vacated at lease expiration, reducing occupancy. Rollover consists of 6.7% in 2025 and 19.1% in 2026. According to CoStar, comparable office properties in the CBD Office Submarket had 26.2% vacancy and 28.1% availability rates and market asking rent of $26.35 compared to 22.8%, 26.8%, and $26.68 at Fitch's prior rating action. The total submarket had 28.3% vacancy and 30.8% availability rates and market asking rent of $32.05 compared to 25%, 28%, and $32.45 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 35% (prior to concentration add-ons) reflects a 10% cap rate, YE 2024 NOI with a10% stress and an elevated probability of default. The third largest increase in loss expectations since the prior rating action in WFCM 2017-C41 is the National Office Portfolio loan. The loan is a FLOC due to low occupancy and lease rollover concerns in 2025. The portfolio consists of 18 office properties totaling 2,572,700-sf located in Dallas, Atlanta, Phoenix, and Chicago. The properties were constructed between 1973 and 1987 and range in size from 46,769-sf to 381,383-sf. The largest tenants include American Intercontinental University (4.5% of portfolio NRA; lease expiration in May 2033) and Trinity Universal Insurance Co (3.9%; June 2025). Per the servicer, Trinity Universal Insurance Co has not renewed the lease and will be vacating at the end of term in June 2025. Centene Management, the fifth-largest tenant at 1.8% of NRA, has abandoned space across other loans and properties as employees work remotely. The tenant is expected to vacate at lease expiration in December 2025. With these two departures, occupancy is expected to decline to approximately 75% from 80% at YE 2024. CoStar data shows that the subject properties generally have lower asking rents than metro averages and higher vacancy rates than submarket data, likely because the portfolio consists of older product. Fitch's 'Bsf' rating case loss of 10% (prior to concentration add-ons) reflects a 10.5% cap rate, YE 2022 NOI with a10% stress and an elevated probability of default due to concerns with the potential for continued performance declines and challenges in refinancing at the loan's 2027 maturity date. Changes in Credit Enhancement (CE): As of the June 2025 remittance report, the aggregate balances of the WFCM 2017-C42 and WFCM 2017-C41 transactions have been reduced by 9.4% and 9.2%, respectively, since issuance. Respective defeasance percentages in the WFCM 2017-C42 and WFCM 2017-C41 transactions include 2.7% (three loans) and 8% (four loans). Loan maturities are concentrated in 2027 with 34 loans for 97.1% of the pool in WFCM 2017-C42 and 50 loans for 100% of the pool in WFCM 2017-C41. Cumulative interest shortfalls for the WFCM 2017-C42 and WFCM 2017-C41 transactions are $600,000 and $554,000 respectively; in both transactions, they are affecting the non-rated class RRI, H-RR or G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the senior 'AAAsf' rated classes with Stable Outlooks are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAAsf' 'AAsf' and 'Asf' categories, particularly those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 16 Court Street in WFCM 2017-C42 and DoubleTree Berkeley Marina, National Office Portfolio, Cascade Building, Columbia Park Shopping Center and Rite Aid Dunmore in WFCM 2017-C41. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including 16 Court Street in WFCM 2017-C42 and DoubleTree Berkeley Marina, National Office Portfolio, Cascade Building, Columbia Park Shopping Center and Rite Aid Dunmore in WFCM 2017-C41. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-AGLN: Fitch Assigns BB-sf Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-AGLN Commercial Mortgage Pass-Through Certificates, Series 2025-AGLN as follows: - $169,800,000 class A 'AAAsf'; Outlook Stable; - $30,600,000 class B 'AA-sf'; Outlook Stable; - $24,100,000 class C 'A-sf'; Outlook Stable; - $33,900,000 class D 'BBB-sf'; Outlook Stable; - $26,600,000 class E 'BBsf'; Outlook Stable; - $15,000,000a class HRR 'BB-sf'; Outlook Stable; (a) Horizontal risk retention. Transaction Summary The commercial mortgage pass-through certificates from WFCM 2025-AGLN Mortgage Trust represent the beneficial ownership interest in the trust that holds a $300.0 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage is secured by the borrowers' fee simple interests in a portfolio of 28 logistics facilities and one office property, comprising approximately 4.2 million sf across seven states and 10 markets. The borrower sponsor, Agellan Commercial REIT Holdings Inc (Agellan), is a commercial real estate investment firm that manages U.S. industrial assets totaling over 6.4 million sf across 48 properties. The assets are owned by Almadev, a commercial real estate developer, investor and manager that is primarily known for master plan communities and mixed-use properties. Almadev has a portfolio totaling 7.5 million sf of real estate, with another 7 million in various stages of development. The mortgage loan, accompanied by $50.0 million in mezzanine debt, was used to repay existing debt of $277.3 million, return equity of $57.3 million, pay closing costs of $7.0 million, and fund reserves totaling $8.3 million. The loan is originated by Wells Fargo Bank, National Association. KeyBank National Association, a national banking association, is the servicer and special servicer. Deutsche Bank National Trust Company is the trustee. Computershare Trust Company, National Association is the certificate administrator. Pentalpha Surveillance LLC is the acting operating advisor. The certificates follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. To the extent no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. The transaction closed on July 24, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $24.5 million. This is 7.4% lower than the issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of approximately $328.1 million. High Fitch Leverage: The $300.0 million whole loan equates to debt of approximately $72 psf, with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 106.7% and 8.2%, respectively. The loan represents approximately 56.1% of the appraised value of $535.2 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio has strong geographic diversity with 29 properties (4.2 million sf) across seven states and 10 MSAs. The three largest state concentrations are Texas (1,761,592 sf; 14 properties), Florida (914,031 sf; one property), and Georgia (583,444 sf; five properties). The three largest MSAs are Sarasota, FL (22.0% of NRA; 23.9% of ALA), Atlanta, GA (14.0%; 18.6%), and Houston, TX (15.7%; 13.5%). The portfolio also exhibits tenant diversity as it features 169 distinct tenants, with no tenant occupying more than 11.1% of NRA. Institutional Sponsorship: Agellan is a commercial real estate investment firm headquartered in Toronto, Ontario. It was founded in 2013 and specializes in investment in U.S. industrial assets. Agellan manages a portfolio of 48 properties totaling 6.4 million sf across nine states in 11 unique markets. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BB+sf''/BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Rating Action on 10 Bonds from 4 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the ratings of five bonds from four US residential mortgage-backed transactions (RMBS), backed by FHA-VA 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: Structured Asset Securities Corp 2005-RF1 Cl. B-1, Downgraded to C (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp. 2005-RF4 Cl. B1, Upgraded to Caa3 (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) Cl. B2, Downgraded to C (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp. 2005-RF5 Cl. 1-A, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) Cl. 1-AIO*, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) Cl. 2-A, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) Cl. B1, Upgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to C (sf) Cl. B2, Upgraded to Ca (sf); previously on Sep 6, 2011 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-RP1 Cl. II-B-2, Upgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to Caa3 (sf) Cl. II-B-3, Upgraded to Caa2 (sf); previously on Jul 25, 2016 Downgraded to C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation 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 Methodologies The principal methodology used in rating all classes except interest-only classes was "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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 19 Bonds from 12 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds and downgraded the ratings of two bonds from 12 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP2 Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 20, 2018 Upgraded to Caa3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP2 Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 24, 2009 Downgraded to C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Apr 24, 2009 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-SHL1 Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 19, 2017 Upgraded to Caa2 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to C (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2 Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to C (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF3 Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 7, 2019 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on May 24, 2011 Downgraded to C (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2005-CF1 Cl. B, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Affirmed Caa2 (sf) Issuer: GSAMP Trust 2005-SD2 Cl. B-1, Upgraded to Caa2 (sf); previously on Feb 4, 2013 Affirmed Ca (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 20, 2014 Upgraded to B1 (sf) Issuer: GSRPM Mortgage Loan Trust 2006-1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on May 25, 2011 Downgraded to C (sf) Issuer: GSRPM Mortgage Loan Trust 2006-2 Cl. B-1, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-SD1 Cl. M-1, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded to C (sf) Issuer: SBMS VII 1997-HUD1 A-4, Upgraded to Caa1 (sf); previously on Nov 13, 2020 Reinstated to Caa3 (sf) B-1, Upgraded to Caa1 (sf); previously on Jan 28, 2013 Downgraded to Ca (sf) B-2, Upgraded to Caa3 (sf); previously on May 19, 2016 Downgraded to C (sf) Issuer: Truman Capital Mortgage Loan Trust 2006-1 Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of the downgraded bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 26 Bonds From 8 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 24 bonds and downgraded the ratings of two bonds from eight US residential mortgage-backed transactions (RMBS), backed by Option ARM, Prime Jumbo and Subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4 Cl. I-A-1, Upgraded to Baa1 (sf); previously on Aug 27, 2024 Upgraded to Baa2 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-A-1, Upgraded to Aa2 (sf); previously on Aug 27, 2024 Upgraded to Baa2 (sf) Cl. II-A-2A, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. Grantor Trust II-A-2B, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. Underlying II-A-2B, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust Cl. B-2, Upgraded to Caa1 (sf); previously on Apr 20, 2011 Downgraded to Ca (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Apr 20, 2011 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust Cl. B-1, Upgraded to Caa1 (sf); previously on May 7, 2018 Upgraded to Ca (sf) Cl. B-2, Upgraded to Ca (sf); previously on Feb 28, 2011 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR1 Cl. B-1, Upgraded to Caa1 (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. B-2, Upgraded to Ca (sf); previously on Dec 15, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR9 Cl. B-1, Upgraded to Caa2 (sf); previously on May 7, 2018 Upgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR1 Cl. 1A-1B, Upgraded to Caa2 (sf); previously on May 7, 2018 Upgraded to Ca (sf) Cl. 2A-1A, Downgraded to Baa2 (sf); previously on Oct 2, 2024 Downgraded to Baa1 (sf) Cl. 2A-1B, Downgraded to Caa1 (sf); previously on Nov 22, 2016 Upgraded to B1 (sf) Cl. 2A-1C, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR11 Cl. 1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) Cl. 3A-1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. CA-1B2, Upgraded to Ca (sf); previously on Dec 23, 2013 Downgraded to C (sf) Cl. CA-1B4, Upgraded to Ca (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE3 Trust Cl. I-A, Upgraded to A1 (sf); previously on Sep 10, 2024 Upgraded to Baa3 (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Mar 7, 2014 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Jul 16, 2010 Downgraded to C (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Jul 16, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. The rating upgrades on Class I-A of Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE3 Trust, Class I-A-1 and Class II-A-1 of Bear Stearns Mortgage Funding Trust 2007-AR4 are a result of increase in credit enhancement available to these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The rating downgrade on Class 2A-1A of WaMu Mortgage Pass-Through Certificates, Series 2006-AR1 included an assessment of the existing credit enhancement in place to mitigate the potential default of a modified loan at the tail end of this transaction. This loan includes a forborne principal balance that has not yet been passed through to the deal as a realized loss. The rest of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 6 Bonds from 5 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the rating of one bond from five US residential mortgage-backed transactions (RMBS), backed by FHA-VA 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: Reperforming Loan REMIC Trust 2003-R2 Cl. B-1, Upgraded to Ca (sf); previously on Aug 25, 2011 Downgraded to C (sf) Issuer: Structured Asset Securities Corp. 2005-RF2 Cl. B1, Upgraded to Caa3 (sf); previously on Jul 24, 2009 Downgraded to Ca (sf) Cl. B2, Downgraded to C (sf); previously on Jul 24, 2009 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp. 2005-RF3 Cl. B1, Upgraded to Caa3 (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp. 2005-RF6 Cl. B1, Upgraded to Caa3 (sf); previously on Sep 6, 2011 Downgraded to C (sf) Issuer: Structured Asset Securities Corp. 2005-RF7 Cl. B1, Upgraded to Caa3 (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. All of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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 FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 11 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 11 bonds from six US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2005-5 Cl. I-M-2, Upgraded to Caa1 (sf); previously on Jul 2, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12 Cl. M-4, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AC4 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. A-5*, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2005-15 Cl. 1A1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Cl. 1A2, Upgraded to Ca (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. 2A2, Upgraded to Caa2 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Cl. 2A3, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2007-WF1 Cl. M-2, Upgraded to Ca (sf); previously on Oct 23, 2008 Downgraded to C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW1 Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Affirmed C (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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 15 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 15 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by manufactured housing loans issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bombardier Capital Mortgage Securitization Corp 1998-B A, Upgraded to Aaa (sf); previously on Sep 18, 2024 Upgraded to Baa2 (sf) Issuer: Conseco Finance Securitizations Corp. Series 2001-1 Cl. A-5, Upgraded to B1 (sf); previously on Dec 5, 2023 Upgraded to Caa2 (sf) Issuer: Green Tree Financial Corporation MH 1997-05 B-1, Upgraded to Ca (sf); previously on Dec 13, 2004 Downgraded to C (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1999-A M-1, Upgraded to Aa2 (sf); previously on Sep 12, 2024 Upgraded to Baa3 (sf) Issuer: OMI Trust 2000-C Cl. A-1, Upgraded to Aaa (sf); previously on Sep 26, 2024 Upgraded to Baa3 (sf) Issuer: OMI Trust 2000-D Cl. A-4, Upgraded to Ca (sf); previously on Mar 30, 2009 Downgraded to C (sf) Issuer: OMI Trust Series 2001-D Cl. A-1, Upgraded to Caa1 (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: OMI Trust Series 2001-E Cl. A-4, Upgraded to Caa1 (sf); previously on Mar 30, 2009 Downgraded to Caa3 (sf) Issuer: Origen Manufactured Housing Contract Senior/Subordinate Asset-Backed Certificates, Series 2002-A Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 24, 2015 Upgraded to Caa3 (sf) Issuer: Origen Manufactured Housing Contract Trust 2006-A Callable Class A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: Origen Manufactured Housing Contract Trust Collateralized Notes, Series 2007-A Cl. Callable A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: Origen Manufactured Housing Contract Trust Collateralized Notes, Series 2007-B Cl. A, Upgraded to A2 (sf); previously on Sep 26, 2024 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Some of the upgraded bonds benefit from a financial guaranty insurance policy. In all instances, the bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, each of the upgrades reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. 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 45% on average for these bonds upgraded over the past 12 months. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. 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 22 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 22 bonds from 12 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: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE2 Cl. M4, Upgraded to Caa1 (sf); previously on Mar 15, 2013 Affirmed C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE5 Cl. M5, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC7 Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 14, 2017 Downgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Oct 4, 2012 Downgraded to Ca (sf) Issuer: Bear Stearns Mortgage Funding Trust 2007-AR1 Cl. I-A-2, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE4 Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4 Cl. II-A-1, Upgraded to Caa1 (sf); previously on Feb 28, 2014 Downgraded to Caa2 (sf) Cl. II-A-4, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. II-A-5, Upgraded to Caa1 (sf); previously on Feb 28, 2014 Downgraded to Caa2 (sf) Cl. II-A-6*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Cl. II-A-8*, Upgraded to Caa1 (sf); previously on Feb 28, 2014 Downgraded to Caa2 (sf) Cl. II-A-9, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Issuer: GSAA Home Equity Trust 2005-4 Cl. B-1, Upgraded to Ca (sf); previously on May 11, 2010 Downgraded to C (sf) Issuer: Impac CMB Trust Series 2004-4 Collateralized Asset-Backed Bonds, Series 2004-4 Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Dec 4, 2023 Downgraded to Caa2 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Dec 4, 2023 Downgraded to Caa2 (sf) Cl. 2-M-1, Upgraded to Caa1 (sf); previously on Aug 25, 2015 Confirmed at Caa3 (sf) Cl. 2-M-2, Upgraded to Caa1 (sf); previously on Jul 12, 2012 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2005-3 Cl. M-4, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2006-4 Cl. AF-1, Upgraded to Caa1 (sf); previously on Mar 10, 2015 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-3 Cl. A-4, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Securities Corp, Mortgage Pass-Through Certificates, Series 2006-BC3 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 53 Bonds from 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 53 bonds from nine 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: Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 Cl. T2-A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T2-A-2, Upgraded to Caa1 (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2006-3 Cl. 4-A-1-1, Upgraded to Caa1 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 4-A-1-2, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to C (sf) Cl. 4-A-2, Upgraded to Caa1 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 4-A-3-3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-79CB Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-41CB Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-6*, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-9, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-10, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-13, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-14*, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-A-15*, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-PO, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 1-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-5, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-8, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-9*, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-10*, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-11*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. 2-A-12, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-13, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-14, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-15, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-17, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-18, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-A-20, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. 2-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-HY11 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Upgraded to Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA7 Cl. A-1-A, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-1-B, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-2-A, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. A-2-B, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: MASTR Alternative Loan Trust 2004-9 Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 28, 2011 Downgraded to C (sf) Issuer: People's Choice Home Loan Securities Trust 2005-1 Cl. M5, Upgraded to Caa2 (sf); previously on Mar 15, 2013 Affirmed C (sf) Issuer: Saxon Asset Securities Trust 1999-3 BF-1A, Upgraded to Caa1 (sf); previously on Mar 23, 2018 Downgraded to Caa3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation 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. Some of the rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. These bonds have weak interest recoupment mechanisms where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. 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 ***