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250810.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 10, 2025, Vol. 29, No. 221 Headlines A&D MORTGAGE 2025-NQM3:S&P Assigns Prelim 'B-' Rating on B-2 Certs ACCELERATED 2024-1: Fitch Affirms 'BB-sf' Rating on Class D Notes ALLEGRO CLO XIII: Moody's Assigns B3 Rating to $250,000 F-R Notes ALLY BANK 2025-A: Moody's Assigns (P)B2 Rating to Class F Notes AMUR EQUIPMENT 2024-1: S&P Affirms BB+ (sf) Rating on Cl. E Notes APEX CREDIT 2021: S&P Affirms BB- (sf) Rating on Class E Notes ASHFORD 2018-ASHF: S&P Affirms BB (sf) Rating on Class X-EXT Certs BANK 2018-BNK15: Fitch Lowers Rating on Two Tranches to 'B-sf' BANK 2021-BNK36: Fitch Affirms 'B-sf' Final Rating on Two Tranches BANK5 2025-5YR16: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs CASTLELAKE AIRCRAFT: Fitch Assigns 'BB+sf' Rating on Series C Notes CHASE HOME 2025-8: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs CHASE HOME 2025-8: Moody's Assigns B3 Rating to Cl. B-5 Certs COLUMBIA CENT 29: S&P Affirms BB- (sf) Rating on Class E-R Notes CSAIL 2019-C17: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' CSMC 2020-WEST: Fitch Affirms 'BB-sf' Rating on Class HRR Certs CWMBS 2006-R1: Moody's Upgrades Rating on Cl. M Certs to Caa2 DRYDEN 54 SENIOR: Moody's Cuts Rating on $20MM Class E Notes to B1 EATON VANCE 2013-1: S&P Assigns Prelim 'BB-' Rating on E-R4 Notes FIDELIS MORTGAGE 2025-RTL2: DBRS Gives (P) B(low) Rating on B Notes FLATIRON CLO 32: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes FREDDIE MAC 2025-MN11: DBRS Gives Prov. B(low) Rating on B1 Notes GALAXY CLO XX: Moody's Hikes Rating on $31.2MM E-R Notes from Ba2 GALAXY XXVI CLO: Moody's Ups Rating on $24.75MM Cl. E Notes to Ba2 GCAT 2025-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs GLS AUTO 2025-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes GPMT 2021-FL4: DBRS Confirms CCC Rating on Class G Notes GS MORTGAGE 2025-PJ7: Moody's Assigns B2 Rating to Cl. B-5 Certs HARVEST US 2025-2: Fitch Assigns BB-sf Final Rating on Cl. E Notes JP MORGAN 2025-6: Moody's Assigns B2 Rating to Cl. B-5 Certs JP MORGAN 2025-LTV2: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Notes JP MORGAN 2025-LTV2: Fitch Assigns 'B-sf' Final Rating on B-2 Notes JPMDB COMMERCIAL 2017-C7: DBRS Confirms C Rating on FRR Certs KAWARTHA CAD: DBRS Confirms BB(high) Rating on Tranche E KKR CLO 15: Moody's Lowers Rating on $4MM Class F-R Notes to Caa2 LB-UBS COMMERCIAL 2005-C7: S&P Lowers SP-7 Certs Rating to 'CCC-' LONG POINT IV: Fitch Affirms 'BB-sf' Rating on $575MM Cl. A Notes MAGNETITE 50: Fitch Assigns 'BBsf' Rating on Class E Notes MIDOCEAN CREDIT XVIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes MJX VENTURE II: Moody's Cuts Rating on Series A/Cl. E Notes to B1 MORGAN STANLEY 2014-C16: Moody's Cuts Cl. PST Certs Rating to Ba3 MORGAN STANLEY 2025-NQM5: S&P Assigns B (sf) Rating on B-2 Certs NEUBERGER BERMAN 34: Fitch Assigns BB-sf Rating on Class E-R2 Notes NMEF FUNDING 2025-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes OAKTREE CLO 2025-31: S&P Assigns Prelim BB- (sf) Rating on E Notes ONITY LOAN 2025-HB1: DBRS Finalizes B Rating on Class M5 Notes P11 COMMERCIAL 2025-P11: DBRS Gives Prov. BB Rating on E Certs PALMER SQUARE 2025-3: S&P Assigns Prelim BB-(sf) Rating on E Notes PIKES PEAK 19(2025): Fitch Assigns 'BB-sf' Rating on Class E Notes PROGRESS RESIDENTIAL 2024-SFR4: DBRS Confirms BB Rating on F1 Certs RADNOR RE 2024-1: Moody's Upgrades Rating on Cl. M-1B Certs to B1 SALUDA GRADE 2025-LOC4: DBRS Gives Prov. B(low) Rating on B2 Notes SANTANDER 2025-NQM4: S&P Assigns Prelim B (sf) Rating on B-2 Notes SDART 2025-3: Fitch Assigns BBsf Final Rating on E Notes SEQUOIA MORTGAGE 2025-8: Fitch Assigns B(EXP)sf Rating on B5 Certs SOUND POINT III-R: Moody's Affirms B1 Rating on $21MM Cl. E Notes SOUND POINT XXI: Moody's Affirms B1 Rating on $22.5MM Cl. D Notes SUNNOVA AURORA I: DBRS Puts Ratings on 2024-PR1 Debt on Review Neg. TMCL VII HOLDINGS 2025-1H: DBRS Finalizes BB Rating on B Notes TOWD POINT 2025-CES2: DBRS Finalizes B(low) Rating on B2 Notes TRIMARAN CAVU 2025-2: S&P Assigns BB- (sf) Rating on Cl. E Notes TRINITAS CLO IX: Moody's Cuts Rating on $30MM Class E Notes to B1 VDCM COMMERCIAL 2025-AZ: DBRS Finalizes B(high) Rating on F Certs VENTURE CLO XXVII: Moody's Cuts Rating on $29.5MM E Notes to B3 WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs WELLS FARGO 2025-5C5: DBRS Gives (P) BB (high) Rating on E Certs WELLS FARGO 2025-5C5: Fitch Assigns B-sf Final Rating on F-RR Certs WHITEBOX CLO V: Fitch Assigns 'BB+sf' Rating on Class E Notes WP GLIMCHER 2015-WPG: S&P Lowers PR-1 Notes Rating to 'B (sf)' [] DBRS Confirms 36 Credit Ratings From 16 CPS Auto Trust Deals [] DBRS Hikes 9 Credit Ratings From 6 Westlake Automobile Trust [] Moody's Takes Rating Action on 19 Bonds From 7 US RMBS Deals [] Moody's Takes Rating Action on 2 Bonds from 2 US RMBS Deals [] Moody's Takes Rating Action on 26 Bonds From 9 US RMBS Deals [] Moody's Takes Rating Action on 32 Bonds from 14 US RMBS Deals [] Moody's Takes Rating Action on 6 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 12 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 21 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds from 4 US RMBS Deals ********* A&D MORTGAGE 2025-NQM3:S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to A&D Mortgage Trust 2025-NQM3's mortgage-backed certificates. The certificates are backed by first- and second-lien, fixed, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 1,285 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Aug. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. We update our outlook as necessary when these projections change materially." Preliminary Ratings Assigned(i) A&D Mortgage Trust 2025-NQM3 Class A-1A, $254,389,000: AAA (sf) Class A-1B, $44,552,000: AAA (sf) Class A-1, $298,941,000: AAA (sf) Class A-2, $22,944,000: AA- (sf) Class A-3, $78,188,000: A- (sf) Class M-1, $13,142,000: BBB (sf) Class B-1, $13,366,000: BB (sf) Class B-2, $12,920,000: B- (sf) Class B-3, $6,014,770: NR Class A-IO-S, Notional(ii): NR Class X, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. 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 $445,515,770. N/A--Not applicable. NR--Not rated. ACCELERATED 2024-1: Fitch Affirms 'BB-sf' Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Accelerated 2024-1 LLC. The Rating Outlooks on all classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Accelerated 2024-1 LLC A 00440MAA7 LT AAAsf Affirmed AAAsf B 00440MAB5 LT Asf Affirmed Asf C 00440MAC3 LT BBBsf Affirmed BBBsf D 00440MAD1 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The affirmation of the class A, B, C, and D notes reflects default coverage levels consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that default coverage levels will remain supportive of these ratings. As of the July 2025 distribution period, the 61+ day delinquency rate is at 4.09%, the cumulative gross defaults (CGDs) registered at 13.50% and cumulative net losses are at 6.13%, as only a portion of defaults have been repurchased. The option to repurchase defaulted loans is capped at 35%. This transaction is currently within Fitch's initial expectations but is projecting above the initial rating case of 25.50%. To account for recent performance, Fitch revised the lifetime CGD proxy up to 28.00% from 25.50%. The updated rating case default proxy was conservatively derived using extrapolations based on performance to date. The sponsor or DBLV has the right, but not the obligation, to repurchase defaulted loans, which would result in lower losses on the transaction. Fitch's analysis does not give any explicit credit to previously repurchased defaults when deriving the CGD proxies. Under Fitch's stressed cash flow assumptions, default coverages for the class A, class B, class C and class D notes are able to support multiples in excess of 3.00x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Wyndham Consumer Finance, Inc has demonstrated sufficient capabilities as a servicer of timeshare loans. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to one category of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ALLEGRO CLO XIII: Moody's Assigns B3 Rating to $250,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Allegro CLO XIII, Ltd. (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$310,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second-lien loans, unsecured loans and bonds. AXA Investment Managers US Inc. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; changes to benchmark rate replacement provisions; change of Issuer's jurisdiction of incorporation; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2877 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ALLY BANK 2025-A: Moody's Assigns (P)B2 Rating to Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by Ally Bank Auto Credit-Linked Notes, Series 2025-A (ABCLN 2025-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2025-A is the third credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical- financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Auto Credit-Linked Notes, Series 2025-A Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Ally Bank or as a result of a FDIC conservator or receivership. The expected source of principal payments will be the cash proceeds from the initial sale of the notes that will be held in a collateral account with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments and, in the unlikely event that the amount on deposit in the collateral account is less than the outstanding principal amount of the notes, also for the payments of principal. The Letter of Credit will be provided by a third party with a rating of A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Ally (Baa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of Ally as the servicer. Moody's median cumulative net loss expectation for the ABCLN 2025-A reference pool is 1.15% and loss at a Aaa stress of 7.00%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.00%, 7.45%, 5.35%, 4.45%, 3.25%, and 2.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. AMUR EQUIPMENT 2024-1: S&P Affirms BB+ (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on seven classes of notes from Amur Equipment Finance Receivables XII LLC's series 2023-1 and Amur Equipment Finance Receivables XIII LLC's series 2024-1. At the same time, S&P affirmed its ratings on three classes of notes from the transactions. The transactions are ABS deals backed by small- to mid-ticket equipment (primarily trucks and medical and construction equipment) loans and leases originated and serviced by Amur Equipment Finance Inc. (Amur). S&P said, "The rating actions reflect the collateral performance to date and our expectations regarding future performance, as well as the transactions' structure, the growth in credit enhancement levels, and current obligor concentrations. Additionally, we incorporated secondary credit factors, including credit stability and sector- and issuer-specific analyses. Considering all these factors, we believe the creditworthiness of each class of notes is consistent with the raised and affirmed ratings. "As of the July 2025 distribution date, reported cumulative gross losses (CGLs) for series 2023-1 are trending above our revised expectations from our prior October 2024 review but generally in line with our initial expectations at the time of issuance. For series 2024-1, reported CGLs are trending in line with our initial expectations. Amur actively substitutes delinquent contracts, resulting in lower reported CGLs. To determine our revised CGL, we incorporated a portion of the substituted contracts as an additive factor to the reported CGLs, considering that if Amur were no longer substituting delinquent contracts for the remainder of the transaction's life, CGLs would likely be higher. Based on our analysis, we raised our expected CGL range for series 2023-1 to 7.75%-8.25% and maintained our expected CGL range of 7.50%-8.00% for series 2024-1." Table 1 Collateral performance (%) As of the July 2025 distribution date Pool Current 61+ day Series Month factor CGL delinquencies 2023-1 25 53.40 5.32 2.53 2024-1 18 66.93 2.44 2.00 CGL--cumulative gross loss. Table 2 CGL ranges (%) Original Prior Revised lifetime lifetime lifetime Series CGL range CGL range CGL range(i) 2023-1 7.50-8.00 7.00-7.50 7.75-8.25 2024-1 7.50-8.00 N/A 7.50-8.00 (i)As of July 2025. CGL--Cumulative gross loss. S&P said, "Lifetime cumulative recoveries for the transactions under review are trending in line with our original base case expectations. To calculate our stressed cumulative net loss range, we assume a base case recovery rate of 40.00% and stressed recovery rates ranging from approximately 38.00% for 'BB' to 30.00% for 'AAA', the same recovery rates used when we first assigned ratings to both transactions. We apply rating-category-specific haircuts to our 40.00% base case recovery rate assumption to account for potential deterioration that could occur in recoveries if Amur were no longer the servicer of the transactions and to reflect potential downside risk in stressed macroeconomic environments. "Our stressed cumulative net loss ranges for each rating category represent the greater of our blended default assumption and the supplemental largest-obligor default test, reduced by our stressed recovery assumption. In our analysis, the blended default assumption was higher for all classes. Additionally, each individual obligor concentration was below 1.50% of each series' pool balance; therefore, the large obligor default assumption under our blended approach is not applicable. "The transactions have credit enhancement in the form of a non-amortizing reserve account, overcollateralization, and subordination for the more senior classes. The transactions' overcollateralization amounts and specified reserve amounts are at their specified targets. The transactions contain sequential principal payment structures--in which the notes are paid principal by seniority--which increases the credit enhancement for the senior notes as the pool amortizes. Table 3 Hard credit support(i) As of the July 2025 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2023-1 A-2 33.65 57.15 2023-1 B 26.10 43.01 2023-1 C 19.15 30.00 2023-1 D 12.70 17.92 2023-1 E 9.90 12.67 2024-1 A-2 31.00 43.73 2024-1 B 24.40 33.88 2024-1 C 18.35 24.84 2024-1 D 12.10 15.50 2024-1 E 9.25 11.24 (i)Calculated as a percentage of the total gross receivable pool balance, which consists of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We analyzed the current hard credit enhancement compared to the remaining stressed cumulative net loss expectations for the classes where hard credit enhancement alone--without consideration to excess spread--was sufficient, in our view, to affirm the ratings at the 'AAA (sf)' level. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and prepayment speeds that we believe are appropriate given each transaction's performance to date. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base case loss expectations. In our view, the results demonstrated that all the classes have adequate credit enhancement at the raised and affirmed rating levels. "We will continue to monitor the performance of the transactions to evaluate whether the credit enhancement remains consistent with the assigned ratings." RATINGS RAISED Amur Equipment Finance Receivables LLC Rating Series Class To From 2023-1 B AAA (sf) AA+ (sf) 2023-1 C AA+ (sf) A+ (sf) 2023-1 D A- (sf) BBB+ (sf) 2023-1 E BBB- (sf) BB+ (sf) 2024-1 B AA+ (sf) AA (sf) 2024-1 C AA- (sf) A (sf) 2024-1 D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Amur Equipment Finance Receivables LLC Series Class Rating 2023-1 A-2 AAA (sf) 2024-1 A-2 AAA (sf) 2024-1 E BB+ (sf) APEX CREDIT 2021: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-N-R, B-R, and C-R debt from Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC, a CLO managed by Apex Credit Partners LLC that was originally issued in June 2021. At the same time, S&P withdrew its ratings on the class A-N, B, and C debt following payment in full on the Aug. 5, 2025, refinancing date. S&P also affirmed its ratings on the class A-F, D-1, D-2, D-3, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Aug. 5, 2025. -- The non-call period was extended to Feb. 5, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E debt. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our 'BB- (sf)' rating on the class E debt. We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Replacement And March 2021 Debt Issuances Replacement debt -- Class A-N-R notes, $199.00 million: Three-month CME term SOFR + 1.22000% -- Class B-R notes (deferrable), $41.90 million: Three-month CME term SOFR + 1.85000% -- Class C-R notes (deferrable), $21.00 million: Three-month CME term SOFR + 2.25000% June 2021 debt -- Class A-N notes, $199.00 million: Three-month CME term SOFR + 1.47161% -- Class A-F notes, $25.00 million: Three-month CME term SOFR + 2.36400% -- Class B notes (deferrable), $41.90 million: Three-month CME term SOFR + 2.11161% -- Class C notes (deferrable), $21.00 million: Three-month CME term SOFR + 2.71161% -- Class D-1 notes (deferrable), $17.50 million: Three-month CME term SOFR + 3.64161% -- Class D-2 notes (deferrable), $3.50 million: Three-month CME term SOFR + 6.00000% -- Class D-3 notes (deferrable), $2.00 million: Three-month CME term SOFR + 6.50000% -- Class E notes (deferrable), $12.00 million: Three-month CME term SOFR + 7.52161% 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 Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC Class A-N-R, $199.00 million: AAA (sf) Class B-R (deferrable), $41.90 million: AA (sf) Class C-R (deferrable), $21.00 million: A (sf) Ratings Withdrawn Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC Class A-N to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC Class A-F: AAA (sf) Class D-1: BBB+ (sf) Class D-2: BBB- (sf) Class D-3: BBB- (sf) Class E: BB- (sf) Other Debt Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC Subordinated notes, $37.00 million: NR NR--Not rated. ASHFORD 2018-ASHF: S&P Affirms BB (sf) Rating on Class X-EXT Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from Ashford Hospitality Trust 2018-ASHF. This U.S. stand-alone (single-borrower) CMBS transaction is backed by an unhedged, floating-rate (indexed to SOFR plus a 2.73% spread), interest-only (IO) mortgage loan totaling $590.3 million (as of the July 15, 2025, trustee remittance report). The loan is currently secured by the borrower's fee-simple and leasehold interests in 11 full-service lodging properties and seven limited-service hotels totaling 4,954 guestrooms located in 12 U.S. states. Since issuance, the $782.7 million original trust balance paid down 24.6%, or $192.4 million, primarily due to the release of four lodging properties totaling 831 guestrooms at a total release price of $156.6 million in 2019 and early 2025 and the borrower paying down the principal balance by approximately $35.8 million in April 2023 to meet certain performance hurdles to exercise its extension options. Rating Actions The affirmations on classes A, B, C, D, E, and F (despite higher model-indicated ratings on classes B, C, D, and E) primarily reflect: -- S&P's qualitative consideration that while the transaction has benefitted from significant de-leveraging due to property releases and principal paydowns, the remaining properties' reported net cash flows (NCFs) are still materially below pre-pandemic levels and declining. -- S&P's view that the loan's exposure to floating interest rates in conjunction with the remaining properties' potential lowered appraised value may result in reduced liquidity and eventual recovery to the trust. According to the special servicer, updated appraisal reports have been ordered. -- That the loan transferred to special servicing in June 2025 because the borrower failed to pay off the loan in a timely manner. The loan matured in April 2025, and the borrower was granted a two-month forbearance to refinance the loan. -- That the workout strategy is currently unknown and, once finalized, could potentially negatively affect the transaction's liquidity and recovery. According to the special servicer, it is currently evaluating potential resolution strategies while the borrower continues to explore refinancing options. -- The 'CCC (sf)' affirmation on class F further reflects our qualitative consideration that the class remains vulnerable to default and its repayment depends on favorable business, financial, and economic conditions. S&P said, "We affirmed our rating on the class X-EXT IO certificates based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references classes B, C, and D. "We will continue to monitor the performance of the remaining collateral properties and loan and the workout discussions between the borrower and special servicer. If we receive information that substantially differs from our expectations, such as property performance that is below our expectations, appraised values that are below our expected-case value, or a workout strategy that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take rating actions as we determine appropriate." Property-Level Analysis Updates -- S&P said, "In our last published review in June 2022, we noted that the remaining 19 lodging properties' performance was beginning to rebound after declining steeply at the onset of the COVID-19 pandemic. At that time, we adjusted and lowered our long-term sustainable NCF closer to the servicer-reported year-end 2022 figures for the remaining 19 properties. Using a weighted-average S&P Global Ratings capitalization rate of 10.15%, we arrived at an S&P Global Ratings' expected-case value of $604.1 million, or $114,658 per guestroom." -- In January 2025, the 315-room Courtyard by Marriott Boston Downtown was released at 115% of the allocated loan amount. The servicer-reported NCFs for the remaining 18 properties had declined in 2024 and the trailing-12-months (TTM) ending March 31, 2025, after rebounding from effects of the COVID-19 pandemic travel restrictions. The lower reported NCFs is mainly attributable to higher-than-expected expenses and relatively flat revenue per available room (RevPAR). -- S&P said, "In our current property-level analysis, we arrived at a $61.2 million NCF for the remaining 18 properties, assuming a 65.0% occupancy, $180.00 average daily rate, $117.00 RevPAR, and 21.2% NCF margin. Our derived NCF is approximately 14.5% below the NCF achieved in the TTM period ending March 2025. Using a 10.15% S&P Global Ratings capitalization rate for the portfolio, which is a weighted average of the varied-quality lodging properties and is unchanged from last review, we arrived at an S&P Global Ratings' unadjusted expected-case value of $602.7 million. However, it is our understanding that, besides the 300-key Sugar Land Marriott Town Square hotel, which was extensively renovated in 2023, the lodging properties have not had significant capital improvements since they were last renovated between 2012 and 2018. As a result, to arrive at our final expected-case value of $553.2 million, or $111,661 per guestroom, we deducted $49.5 million (about $10,645 per guestroom, excluding Sugar Land Marriott Town Square) to account for the expected property improvement plan work that would be required for these properties to maintain the standards of the franchises and retain their flags. Our expected-case value is 44.1% below the issuance "as-is" appraised value of $989.0 million for the remaining 18 lodging properties and yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 106.7% on the current trust balance. Including the mezzanine loan totaling $153.3 million, the S&P Global Ratings' LTV ratio increased to 134.4%." Table 1 Servicer-reported collateral performance(i) Trailing-12-months ending March 2025(ii) 2024(ii) 2023(ii) 2022(ii) No. of properties 18 18 18 18 Occupancy rate (%) 68.7 68.1 70.0 66.5 Average daily rate ($) 188.71 188.37 185.73 177.67 Revenue per available room ($) 129.63 128.26 130.01 118.17 Net cash flow (mil. $) 71.6 71.3 78.9 67.2 Appraisal value (mil. $)(iii) 989.0 989.0 989.0 989.0 (i)Adjusted to reflect the remaining 18 properties as of the July 15, 2025, trustee remittance report. (ii)Reporting period. (iii)At issuance, as of Feb. 1, 2018, excluding the four released properties to date. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Aug 2025)(i) (June 2022)(i) (May 2018)(i) Trust loan balance (mil. $) 590.3 720.7 782.7 Number of properties(ii) 18 19 22 Number of guestrooms 4,954 5,269 5,785 Occupancy rate (%) 65.0 73.3 73.7 Average daily rate ($) 180.00 158.44 155.05 Revenue per available room ($) 117.00 116.09 114.29 Net cash flow (mil. $) 61.2 61.3 77.9 Capitalization rate (%) 10.15 10.15 9.40 Value (mil. $) 553.2(iii) 604.1 825.6 Value per guestroom ($) 111,661 14,658 142,722 Loan-to-value ratio (%)(iv) 106.7 119.3 94.8 (i)Review period. (ii)The property count at the time of review. (iii)Includes a deduction of $49.5 million for our projected property improvement plan work on the remaining properties. (iv)Based on the trust loan balance at the time of review. Ratings Affirmed Ashford Hospitality Trust 2018-ASHF Class A: AAA (sf) Class B: A+ (sf) Class C: BBB (sf) Class D: BB (sf) Class E: B- (sf) Class F: CCC (sf) Class X-EXT: BB (sf) BANK 2018-BNK15: Fitch Lowers Rating on Two Tranches to 'B-sf' -------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 11 classes of BANK 2018-BNK15, commercial mortgage pass-through certificates, series 2018-BNK15. Classes F and X-F were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes A-S, B, C, D, E, X-B, and X-D were revised to Negative from Stable. Fitch has affirmed 16 classes of BANK 2018-BNK14 Commercial Mortgage Pass-Through Certificates. The Outlook on classes F, G, X-F, and X-G remain Negative. Fitch has also affirmed 13 classes of BANK 2019-BNK19 commercial mortgage pass-through certificates, series 2019-BNK19. The Outlook on classes A-S, B, C, D, and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK19 A-1 06540WBA0 LT AAAsf Affirmed AAAsf A-2 06540WBC6 LT AAAsf Affirmed AAAsf A-3 06540WBD4 LT AAAsf Affirmed AAAsf A-S 06540WBE2 LT AAsf Affirmed AAsf A-SB 06540WBB8 LT AAAsf Affirmed AAAsf B 06540WBF9 LT A-sf Affirmed A-sf C 06540WBG7 LT BBB-sf Affirmed BBB-sf D 06540WAJ2 LT BB-sf Affirmed BB-sf E 06540WAL7 LT CCCsf Affirmed CCCsf F 06540WAN3 LT CCsf Affirmed CCsf X-A 06540WBH5 LT AAAsf Affirmed AAAsf X-B 06540WBJ1 LT A-sf Affirmed A-sf X-D 06540WAA1 LT CCCsf Affirmed CCCsf BANK 2018-BNK14 A-2 06035RAP1 LT AAAsf Affirmed AAAsf A-3 06035RAR7 LT AAAsf Affirmed AAAsf A-4 06035RAS5 LT AAAsf Affirmed AAAsf A-S 06035RAU0 LT AAAsf Affirmed AAAsf A-SB 06035RAQ9 LT AAAsf Affirmed AAAsf B 06035RAV8 LT AA-sf Affirmed AA-sf C 06035RAW6 LT A-sf Affirmed A-sf D 06035RAX4 LT BBBsf Affirmed BBBsf E 06035RAZ9 LT BBB-sf Affirmed BBB-sf F 06035RBB1 LT BB-sf Affirmed BB-sf G 06035RBD7 LT B-sf Affirmed B-sf X-A 06035RBH8 LT AAAsf Affirmed AAAsf X-B 06035RAT3 LT AA-sf Affirmed AA-sf X-D 06035RAA4 LT BBB-sf Affirmed BBB-sf X-F 06035RAC0 LT BB-sf Affirmed BB-sf X-G 06035RAE6 LT B-sf Affirmed B-sf BANK 2018-BNK15 A-3 06036FBB6 LT AAAsf Affirmed AAAsf A-4 06036FBC4 LT AAAsf Affirmed AAAsf A-S 06036FBF7 LT AAAsf Affirmed AAAsf A-SB 06036FBA8 LT AAAsf Affirmed AAAsf B 06036FBG5 LT AA-sf Affirmed AA-sf C 06036FBH3 LT A-sf Affirmed A-sf D 06036FAJ0 LT BBBsf Affirmed BBBsf E 06036FAL5 LT BBB-sf Affirmed BBB-sf F 06036FAN1 LT B-sf Downgrade BB-sf G 06036FAQ4 LT CCCsf Downgrade B-sf X-A 06036FBD2 LT AAAsf Affirmed AAAsf X-B 06036FBE0 LT AAAsf Affirmed AAAsf X-D 06036FAA9 LT BBB-sf Affirmed BBB-sf X-F 06036FAE1 LT B-sf Downgrade BB-sf X-G 06036FAG6 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 4.5% for BANK 2018-BNK15, 3.6% in BANK 2018-BNK14 and 7.7% in BANK 2019-BNK19, compared to 3.5%, 3.4% and 6.6% at the last rating actions, respectively. The BANK 2018-BNK15 transaction includes seven Fitch Loans of Concern (FLOCs; 19.3% of the pool), including two specially serviced loans (3.6%), BANK 2018-BNK14 has eight FLOCs (20.9%), including three specially serviced loans (4.9%), and BANK 2019-BNK19 has eight FLOCs (22.9%), including one REO asset (3.2%). BANK 2018-BNK15: The downgrades on classes F, G, X-F, and X-G reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by increased expected losses on the Starwood Hotel Portfolio (10.2%) and specially serviced Havard Park (3.5%) loan. The Negative Outlooks consider a sensitivity scenario which assumes a higher expected loss on the specially serviced Havard Park loan given the recent transfer to special servicing, as well as the potential for a decline in performance in other FLOCs. BANK 2018-BNK14: The affirmations reflect generally stable pool performance since the prior rating action. The Negative Outlooks reflect concerns with underperforming hotel and office loans, particularly the Starwood Hotel Portfolio (10.2%), specially serviced Doubletree Grand Naniloa Hotel (3.7%) and specially serviced Apple Valley Office (0.6%) loans. BANK 2019-BNK19: The affirmations reflect generally stable pool performance since the prior rating action. The Negative Outlooks reflect potential for downgrades if there are lower than expected recoveries upon resolution of the 29 West 35th Street REO asset, as well as continued performance deterioration of other FLOCs including office loans 445 South Street (4.2%) and One Financial Plaza 3.7%). Office loans comprise 52.2% of the transaction. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2018-BNK15 (10.2%) and BANK 2018-BNK14 (5.2%) is the Starwood Hotel Portfolio loan, which is secured by a portfolio comprised of 22 hotels spread across 12 states. The largest state by key is Missouri (23.3% of keys), followed by Kansas (13.6% of keys) and Illinois (13.0% of keys). The portfolio includes four full-service hotels, six select-service hotels, five extended stay hotels, and seven limited-service hotels and operates under three brands including 15 properties under Marriott, five properties under Hilton, and two properties under the IHG brand family. While portfolio performance saw incremental stabilization following the pandemic, recent performance has trended negative. The YE 2024 NOI is 57.0% below YE 2019 and 31.0% below the Fitch issuance NCF. Fitch's 'Bsf' rating case loss of 14.0% (prior to a concentration adjustment) is based on a 11.50% cap rate to the YE 2024 NOI. The second largest contributor to expected losses in BANK 2018-BNK15 is the Havard Park (3.5%) loan, which is secured by a 289,733-sf suburban office building located in Sacramento, CA. The loan recently transferred to special servicing for imminent monetary default in July 2025. Property occupancy was 60.9% as of the March 2025 rent roll, and the servicer-reported NOI DSCR was 1.15x as of YE 2024. According to the servicer-provided March 2025 rent roll, major tenants include Alta California Regional (35.5% NRA, leased through March 2025), State of California Department of Parks and Recreation (7.7%, through May 2032), and Greybar Electric (5.3%, through February 2027). Per the most recent July 2025 servicer commentary, the property's largest tenant, Alta California Regional vacated in March 2025 which would lead to a decline in occupancy to 25.4%. Per CoStar, the property lies within the Point West office submarket of the Sacramento, CA market. As of 2Q25, submarket asking rents averaged $24.94 psf and the submarket vacancy rate was 20.0%. Fitch's 'Bsf' rating case loss of 35.6% (prior to a concentration adjustment) is based on a 10.0% cap rate to the YE 2024 NOI as well as the heightened probability of default given the transfer to special servicing. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed an outsized loss of 50.0% to reflect a possible prolonged workout and weak submarket fundamentals. The second largest contributor to overall loss expectations in BANK 2018-BNK14 is the Doubletree Grand Naniloa Hotel asset (3.7%), which is a 388-unit lodging property located in Hilo, HI. The loan transferred to special servicing in June 2020 as a result of the Covid-19 pandemic. Foreclosure occurred in February 2024 and the property is REO. Per the April 2025 STR report, occupancy, ADR and RevPAR rates were 69.6%, $189.45 and $131.80, respectively. The RevPAR penetration Index was 88.8% for the same period. According to the most recent servicer updates, sales strategies were explored, and a sale is expected by the 4Q 2025. Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 15.9% is based on a stress to the most recent December 2024 appraisal and reflects a value of approximately $119,587/key. The largest contributor to overall loss expectations in BANK 2019-BNK19 is the specially serviced 29 West 35th Street (3.2%) asset, which is a 94,737-sf office property located in Manhattan, NY. The loan transferred to special servicing in August 2020 for payment default, a foreclosure occurred in September 2024 and the property is REO. The property was 19.0% occupied by two tenants as of the July 2024 rent roll. Occupancy has steadily declined since issuance, primarily due to the loss of major tenant Knotel after bankruptcy filing in 2021 when occupancy declined to 40.0%. Total exposure has increased to $53.5 million compared to the $41.0 million loan balance, primarily due to outstanding servicer advances and interest on advances, as well as the outstanding expenses and cumulative ASER. Per the most recent commentary from the special servicer, the property is under contract for sale. Fitch's 'Bsf' rating case loss of 80.5% (prior to a concentration adjustment) is based on the most recent June 2024 appraisal, the total loan exposure and reflects a stressed value of $211 psf. The second largest contributor to overall loss expectations in BANK 2019-BNK19 is the 445 South Street (4.2%) loan, which is secured by a 320,274-sf suburban office property located in Morristown, NJ. Major tenants include Covanta Holding Corporation (33.8% of NRA, leased through October 2025), Travelers Indemnity Company (17.2%, January 2028), Marsh USA (17.0%, August 2025) and Arch Reinsurance Company (6.7%, March 2026). According to the servicer, Covanta Holding Corporation is vacating the property with a move out date in September 2025, and Marsh USA is renewing its lease at the property. Property occupancy is expected to decline to 52.2% from 86.0% as of March 2025 following the departure of Covanta Holding Corporation in September 2025. The loan reported $5.1 million ($15.8 psf) in total reserves as of the June 2025 loan level reserve report. Per CoStar, the property lies within the Morristown Region office submarket of the New Jersey, NJ market. As of 2Q25, submarket asking rents averaged $34.61 psf and the submarket vacancy rate was 14.4%. Fitch's 'Bsf' rating case loss of 23.3% (prior to a concentration adjustment) is based on a 10.0% cap rate and 25.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the expected low occupancy and loan's heightened term default risk. The third largest contributor to overall loss expectations in BANK 2019-BNK19 is One Financial Plaza (3.7%), which is secured by a 621,830-sf office property located in Hartford, CT. The property's major tenants include Travelers Indemnity Company (11.0% of NRA, leased through December 2024), Virtus Investment Partners (10.2%, April 2030), and Conning & Company (7.5%, July 2029). Fitch requested for an update on the status of the Traveler's Indemnity Company lease, but did not receive a response. Occupancy was 74.4% as of the December 2024 rent roll, 70.1% at YE 2023, down from 86.9% at YE 2022, 88.8% at YE 2021 and 94.1% as issuance. Per CoStar, the property is reported to be 65.3% occupied and lies within the Hartford office submarket of the Hartford, CT market. As of 2Q25, submarket asking rents averaged $20.87 psf and the submarket vacancy rate was 13.5%. Fitch's 'Bsf' rating case loss of 24.0% (prior to a concentration adjustment) is based on a 10.50% cap rate and 10% stress to the YE 2023 NOI, and factors in an increased probability of default due to the deterioration in performance. Increase in Credit Enhancement (CE): As of the July 2025 distribution date, the aggregate pool balances of the BANK 2018-BNK15, BANK 2018-BNK14 and BANK 2019-BNK19 transactions have been reduced by 10.3%, 11.2% and 2.5%, respectively, since issuance. Defeasance across BANK 2018-BNK15, BANK 2018-BNK14 and BANK 2019-BNK19 includes six loans (5.3% of the pool), two loans (2.0%), and five loans (2.6%), respectively, since issuance. Realized principal losses and Interest shortfalls totaling $1.9 million and $189,422, respectively, are impacting classes RRI and H in BANK 2018-BNK15, $1.3 million of interest shortfalls impacting classes RRI and H in BANK 2018-BNK14, and $ 4.0 million of interest shortfalls impacting classes RRI, J, H, and G in BANK 2019-BNK19. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class with a Negative Outlook in In BANK 2018-BNK15 and BANK 2019-BNK19 are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. In BANK 2018-BNK15, downgrades may occur if property performance and/or updated valuations for the specially serviced Havard Park loan and Starwood Hotel Portfolio continue to deteriorate. Downgrades may occur in BANK 2019-BNK19 if there are lower than expected recoveries upon liquidation of the 29 West 35th Street asset and/or performance of the office loans 445 South Street and One Financial Plaza loans continue to deteriorate. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. In BANK 2019-BNK19, downgrades to these classes are also possible with lower than expected recoveries upon liquidation of the 29 West 35th Street asset. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK 2021-BNK36: Fitch Affirms 'B-sf' Final Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 38 classes of BANK 2021-BNK36, commercial mortgage pass-through certificates series 2021-BNK36. Fitch also assigned a final rating and Rating Outlook for class A-5-2. Entity/Debt Rating Prior ----------- ------ ----- BANK 2021-BNK36 A-1 06540DAY1 LT AAAsf Affirmed AAAsf A-2 06540DAZ8 LT AAAsf Affirmed AAAsf A-3 06540DBA2 LT AAAsf Affirmed AAAsf A-4 06540DBC8 LT AAAsf Affirmed AAAsf A-4-1 06540DBD6 LT AAAsf Affirmed AAAsf A-4-2 06540DBF1 LT AAAsf Affirmed AAAsf A-4-X1 06540DBE4 LT AAAsf Affirmed AAAsf A-4-X2 06540DBG9 LT AAAsf Affirmed AAAsf A-5 06540DBH7 LT AAAsf Affirmed AAAsf A-5-1 06540DBJ3 LT AAAsf Affirmed AAAsf A-5-2 06540DBK0 LT AAAsf New Rating A-5-X1 06540DBL8 LT AAAsf Affirmed AAAsf A-5-X2 06540DBM6 LT AAAsf Affirmed AAAsf A-S 06540DCA1 LT AAAsf Affirmed AAAsf A-S-1 06540DCB9 LT AAAsf Affirmed AAAsf A-S-2 06540DCC7 LT AAAsf Affirmed AAAsf A-S-X1 06540DCD5 LT AAAsf Affirmed AAAsf A-S-X2 06540DCE3 LT AAAsf Affirmed AAAsf A-SB 06540DBB0 LT AAAsf Affirmed AAAsf B 06540DBQ7 LT AA-sf Affirmed AA-sf B-1 06540DBR5 LT AA-sf Affirmed AA-sf B-2 06540DBS3 LT AA-sf Affirmed AA-sf B-X1 06540DBT1 LT AA-sf Affirmed AA-sf B-X2 06540DBU8 LT AA-sf Affirmed AA-sf C 06540DBV6 LT A-sf Affirmed A-sf C-1 06540DBW4 LT A-sf Affirmed A-sf C-2 06540DBX2 LT A-sf Affirmed A-sf C-X1 06540DBY0 LT A-sf Affirmed A-sf C-X2 06540DBZ7 LT A-sf Affirmed A-sf D 06540DAJ4 LT BBBsf Affirmed BBBsf E 06540DAL9 LT BBB-sf Affirmed BBB-sf F 06540DAN5 LT BB-sf Affirmed BB-sf G 06540DAQ8 LT B-sf Affirmed B-sf X-A 06540DBN4 LT AAAsf Affirmed AAAsf X-B 06540DBP9 LT AA-sf Affirmed AA-sf X-D 06540DAA3 LT BBB-sf Affirmed BBB-sf X-F 06540DAC9 LT BB-sf Affirmed BB-sf X-G 06540DAE5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action in 2023. Deal-level 'Bsf' rating case loss is 3.6% compared to 3.9% at the prior rating action. The transaction has three Fitch Loans of Concern (FLOCs; 12.1% of the pool), including one loan (0.2%) in special servicing. FLOCs: The largest FLOC is the Corporate Research Center loan (3.6%), which is secured by a 293,292-sf mixed-use (industrial/office) property in Hayward, CA. Amazon.com, Inc. (rated AA-/Stable) occupies 131,896 sf (45.0% of NRA) on a 15-year lease that expires in February 2026. Amazon has been in occupancy at the property since 2011 and has made significant investments to convert their space into a Tier III colocation data center; however, the loan has been designated as a FLOC due to the upcoming rollover. Amazon has three, five-year renewal options and one, four and a half-year renewal option remaining. As of YE 2024, the servicer reported DSCR and occupancy were reported to be 3.02x and 95%, respectively. Fitch's 'Bsf' rating case loss of 6.5% (prior to a concentration adjustment) is based on a 10.25% cap rate and 30% stress to the YE 2024 NOI. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed a higher probability of default due to the significant upcoming lease rollover. The second largest FLOC is the Lake Pointe Corporate Center (2%), which is secured by a 182,121-sf suburban office property located in West Valley City, UT. Occupancy has declined to 54% as of March 2025 from 97% at issuance due to several tenant vacating upon lease expiring including the former largest tenant, Progrexion ASG (31% of NRA), which vacated in 3Q23 prior to its October 2027 lease expiration. Additionally, the property is exposed to upcoming lease rollover of approximately 50% of the NRA by October 2026. As of YE 2024, the servicer reported DSCR was reported to be 1.74x, down from 3.41x at YE 2022. Fitch's 'Bsf' rating case loss of 29.6% (prior to a concentration adjustment) is based on a 10% cap rate and 25% stress to the YE 2024 NOI. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed a higher probability of default due to the significant upcoming lease rollover. The loan in special servicing (4601 S. Indiana Ave; 0.22%) is secured by an 18-unit multifamily property located in Chicago, IL. It transferred to special servicing in February 2025 for payment default and is currently 90+ days delinquent. Property performance has been generally stable since issuance with a DSCR of 1.53x and occupancy of 94% as of YE 2023 compared to 1.42x and 100%, respectively at issuance. Fitch's 'Bsf' rating case loss of 30% (prior to a concentration adjustment) is based on a 8.75% cap rate, a 7.5% stress to the YE 2023 NOI and an elevated probability of default due to the specially serviced status. Minimal Increase in CE: As of the July 2025 remittance reporting, the pool's aggregate principal balance has been reduced by 2% since issuance. Fifty-two loans (71.1%) are full term, interest-only. Ten loans (10.8%) have a partial, interest-only component, of which six loans (7.1%) have begun amortizing. There are no defeased loans. Cumulative interest shortfalls are affecting the risk-retention RRI class and class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades may occur if there are lower than expected recoveries upon the eventual resolution of the specially serviced 801 Barton Springs loan. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, particularly Corporate Research Center and Lake Pointe Corporate Center, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2025-5YR16: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2025-5YR16, Commercial Mortgage Pass-Through Certificates, Series 2025-5YR16 as follows: - $5,283,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $240,769,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $446,052,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $136,205,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $92,396,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAA(EXP)sf'; Outlook Stable - $25,489,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $18,320,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $13,541,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $13,541,0001cd class X-F 'BB-(EXP)sf'; Outlook Stable; - $13,541,000d class D 'BBB-(EXP)sf'; Outlook Stable; - $13,541,000d class F 'BB-(EXP)sf'; Outlook Stable; - $6,372,000df class G-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $21,506,275df class H-RR - $18,828,514ef class RR; a) The exact initial certificate balances or notional amounts of the class A-2, class A-2-X1, class A-2-X2, class A-3, class A 3-X1 and class A-3-X2 trust components (and consequently, the exact initial certificate balance or notional amount of each class of class A-2 exchangeable certificates and class A-3 exchangeable certificates) are unknown and will be determined based on the final pricing of the certificates. However, the initial certificate balances, assumed final distribution dates, weighted average lives and principal windows of the class A-2 and class A-3 trust components are expected by Fitch to be within the applicable ranges: Class A-2 trust component: $0 - $200,000,000; Class A-3 trust component: $240,769,000 - $440,769,000. Fitch expects the aggregate of the initial certificate balances of the class A-2 and class A-3 trust components to be approximately $440,769,000, subject to a variance of plus or minus 5%. The class A-2-X1 and class A-2-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-2 trust component. The class A-3 X1 and class A-3-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-3 trust component. In the event that the class A-3 trust component is issued with an initial certificate balance of $440,769,000, the class A-2 trust component (and, correspondingly, the class A-2 exchangeable certificates) will not be issued. The balances above reflect the highest and lowest respective value of each range. (b) The class A-2, class A-2-1, class A-2-2, class A-2-X1, class A-2-X2, class A-3, class A-3-1, class A-3-2, class A-3-X1, class A-3-X2, class A-S, class A‑S-1, class A-S-2, class A-S-X1, class A-S-X2, class B, class B‑1, class B-2, class B-X1, class B-X2, class C, class C-1, class C-2, class C-X1 and class C-X2 are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Vertical-risk retention interest representing approximately 2.87% of the initial certificate balance of each class. (f) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 40 fixed-rate, commercial mortgage loans with an aggregate principal balance of $ 656,045,790 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 180 commercial properties. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank and Wells Fargo Bank, National Association. The master servicer is expected to be TRIMONT LLC, and the special servicer is expected to be LNR PARTNERS, LLC. Computershare Trust Company, N.A. will act the certificate administrator. Deutsche Bank National Trust Company will act as the trustee. These certificates are expected to follow a sequential paydown structure. The transaction is expected to close on Aug. 27, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 82.5% of the pool by balance, including the largest 18 loans and all of the pari passu loans in the pool. Fitch's resulting net cash flow (NCF) of approximately $73.4 million represents a 14.2% decline from the issuer's underwritten NCF of approximately $85.6 million. The NCF decline is below the 2025 YTD Five-Year average of 15.0% but above the 2024 Five-Year averages of 13.2%. Lower Fitch Leverage: The pool 's Fitch leverage is lower than with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 93.5% is lower than both the 2025 YTD five-year the 2024 five-year multiborrower transaction average of 100.3% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the 2025 YTD and 2024 Five- year averages of 9.6% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 28.4% of the pool balance received an investment-grade credit opinion on a stand-alone basis. ILPT 2025 Portfolio (9.8% of the pool) received a credit opinion of 'A-sf*', The Campus at Lawson Lane (6.9% of the pool) received a credit opinion of 'AA+sf*', The Wharf (6.2% of the pool) received a credit opinion of 'A-sf*', and The Lafayette Hotel (5.5% of the pool) received a credit opinion of 'A-sf*' . The pool's total credit opinion percentage of 28.4% is significantly higher than the YTD 2025 and 2024 Five-year averages of 9.7% and 12.6%, respectively. High Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 33.2% of the pool, higher than the YTD 2025 and 2024 five-year multiborrower averages of 26.8% and 24.9%, respectively. Four of the top ten loans are secured by multifamily properties. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-'/'less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'. - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. CASTLELAKE AIRCRAFT: Fitch Assigns 'BB+sf' Rating on Series C Notes ------------------------------------------------------------------- Fitch Ratings has assigned the following ratings to the issued notes by Castlelake Aircraft Structured Trust 2025-2 (CLAS 2025-2): - A notes 'Asf'. - B notes 'A-sf'. - C notes 'BB+sf'. The Rating Outlook is Stable. Transaction Summary The notes issued by CLAS 2025-2 are secured by lease payments (rent/maintenance) and disposition proceeds on a pool of 26 passenger aircraft operated by third-party lessees. Proceeds from the notes will be used to acquire assets from the seller, fund the initial expense and maintenance reserve accounts, and pay transaction fees and expenses related to the offering. As the servicer, Castlelake Aviation Holdings (Ireland) Limited (Castlelake) will be responsible for managing the aircraft, including aircraft leasing, maintenance and disposition. This is the fourth public Fitch-rated Castlelake transaction, and the fifth public transaction issued since 2018 and serviced by Castlelake. KEY RATING DRIVERS Asset Quality and Tiering: The pool is largely mid-life, with a weighted average age of 12.0 years. The distribution of aircraft ages is quite broad; the youngest aircraft is less than a year old and the oldest is 21 years old. A320-200s make up the largest portion of the pool by maintenance adjusted base value (MABV) (32%). They have an average age of 14 years, with an average remaining lease term of five years. Aircraft models are desirable with Tier 1 narrow-body aircraft representing 72% of the pool by MABV, Tier 2 representing 19%, and Tier 3 aircraft representing 9%. The age-adjusted Tier percentages are 45%, 46%, and 9% for Tiers 1, 2 and 3, respectively. The pool includes two A321Ns and one 737 MAX-8 aircraft (all latest technology, best-in-class aircraft), constituting 18% of the pool by MABV. Pool Concentration: The pool is well diversified across regions and among lessees. There are 26 aircraft in the pool with an effective aircraft count, weighted by aircraft value, of 18. Developed Europe, with three leases, has the highest concentration (25% of MABV), followed by Developed Asia Pacific (21%) and Emerging South and Central America (18%). The other regions make up the remaining share (36%). Lessee concentration is well-diversified. Korean Air, the largest lessee in the pool, represents 17% (three aircraft), followed by EasyJet (9%, three aircraft). Lessee Credit Risk: There are 21 lessees in the pool. By value, 9% are leased to credits that Fitch considers investment grade, 26% to 'B' lessees, and the remaining 65% to 'CCC' and 'CC' credits. The weighted average (WA) credit rating by Fitch Value is between 'B-' and 'CCC+', similar to other aircraft ABS transactions. All the assets are on-lease and current. Operational and Servicing Risk: Fitch has found Castlelake to be an effective servicer with a demonstrated track record in remarketing, underwriting, procuring and managing aircraft maintenance, as well as portfolio management. This is illustrated by the team's experience and servicing of its managed fleet. Transaction Structure: Leverage is acceptable at 69.4% for the class A note, 79.4% for class B notes, and 85.4% for class C using MABV. Notes amortize straight line over varying timeframes based on the aircraft type and age. Narrowbodies less than eight years old amortize over 13 years and those older than that amortize over 12 years. The transaction uses a sequential pay structure with A note interest and principal senior to B notes, and B notes paid before C notes in the waterfall. To mitigate concentration risk near the end of the transaction, a cash sweep activates if the aircraft count drops below eight. Additionally, a partial rapid amortization mechanism increases amortization rate in years six and seven if excess cash is available. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, please refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria". RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit Stress Sensitivity: The central scenario assumes future lessees are 'B' credits. Fitch ran a sensitivity assuming future lessees are rated 'CCC' to test the performance of the transaction in a more stressed environment, considering the historical volatility and cyclicality of the commercial aviation industry. The lower assumed lessee credit quality decreased gross cash flows due to increased downtime resulting from aircraft repossessions and remarketing. The model-implied ratings for the class A and B notes were unchanged. The class C model-implied rating dropped one notch. EOL Stress Sensitivity: Given uncertainties inherent in forecasting end-of-life (EOL) cash flows over the leasable lives of aircraft, Fitch conducted an EOL sensitivity analysis. Fitch adjusted the central scenario by modeling EOL cash flows commensurate with 'Asf' assumptions, which employ lessee default rates that are higher than the base case. This results in a significant EOL haircut as the probabilities increase that a given credit will default and fail to pay the EOL. Switching from the 'CCCsf' (base case) to 'Asf' EOL assumption reduces total net cash flow by $25 million. Model-implied ratings for the class A and B notes remain unchanged, while the class C model-implied rating drops one notch. Combined Credit Stress and Gross Rental Cash Flow Sensitivity: The combined down sensitivities of credit (CCC future lessees) and haircutting gross rental cash flows (5% under performance) resulted in a one notch decrease in the model-implied rating for the class C note. There were no changes in model-implied ratings for the class A and B notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rental Sensitivity: Fitch considered the impact of a 5% over-performance in rental cash flows through the end of the aircraft's 20-to-30-year leasable lives. Under this scenario, the model-implied ratings did not change. Given the Asf rating cap, the A note would not be subject to an upgrade. CRITERIA VARIATION Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the series C notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-8: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-8 (Chase 2025-8). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-8 A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-X1 LT AAAsf New Rating AAA(EXP)sf A-9-X2 LT AAAsf New Rating AAA(EXP)sf A-9-X3 LT AAAsf New Rating AAA(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch assigns final ratings to the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2025-8 (Chase 2025-8) as indicated above. The certificates are supported by 516 loans with a scheduled balance of $651.06 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (vs. 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines but are still being supported by limited inventory). High-Quality Prime Mortgage Pool (Positive): The pool consists of 516 high-quality, fixed-rate, fully amortizing loans with maturities of 15 years to 30 years that total $651.06 million. In total, 100.0% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a WA FICO score of 773, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 771. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 80.8% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 75.3%, which translates to a sustainable LTV ratio (sLTV) of 83.5%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as SHQM APOR loans and 0.00% are rebuttable presumptions QM loans. Of the pool, the borrower for 100% of the loans maintains a primary or secondary residence (91.1% primary and 8.9% secondary). Single-family homes and planned unit developments (PUDs) constitute 89.4% of the pool, condominiums make up 8.1%, co-op's make up 1.6%, and multi-family make up the rest at 0.9%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (83.9%), cashout refinances (2.0%) and rate-term refinances (14.1%). None of the loans are for investment properties and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 24.1% are concentrated in California, followed by Maryland and Texas. The largest MSA concentration is in the New York MSA (11.2%), followed by the San Francisco MSA (8.5%) and the Los Angeles MSA (7.8%). The top three MSAs account for 27.5% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): Mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.95% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.13% at the 'AAAsf' stress due to 56.2% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 56.2% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-8 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-8 and there is strong transaction due diligence. The entire pool is originated by an 'Above Average' originator and all the pool loans are serviced by a servicer rated 'RPS1-' which results a reduction in expected losses, has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-8: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 44 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-8, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.72% by balance) and GSE-eligible (0.28% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-8 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.14% and reaches 4.62% 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. COLUMBIA CENT 29: S&P Affirms BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-RR, and D-1-RR debt from Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp., a CLO managed by Columbia Cent CLO Advisers LLC that was originally issued in August 2020 and underwent a refinancing in November 2021. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, and D-1-R debt following payment in full on the Aug. 1, 2025, refinancing date. S&P also affirmed its ratings on the class D-2-R and E-R 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 May 1, 2026. -- No additional assets were purchased on the Aug. 1, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 20, 2025. -- The outstanding class A-R debt was refinanced into the replacement class A-1-RR and A-2-RR debt. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-1-RR debt (which was refinanced) and the class D-2-R and E-R debt (which were not refinanced). However, we affirmed our 'BBB (sf)', 'BBB- (sf)', and 'BB- (sf)' rating, respectively, on the class D-1-RR, D-2-R, and E-R debt after considering the margin of failure, and the relatively stable overcollateralization ratio since our last rating action on the transaction. "In addition, we believe the payment of principal or interest on the class D-1-RR, D-2-R, and E-R debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, none of these three classes fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1-RR, $247.00 million: Three-month CME term SOFR + 1.18% -- Class A-2-RR, $9.00 million: Three-month CME term SOFR + 1.55% -- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.80% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.15% -- Class D-1-RR (deferrable), $20.00 million: Three-month CME term SOFR + 3.40% Outstanding debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class D-1-R (deferrable), $20.00 million: Three-month CME term SOFR + 3.60% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Class A-1-RR, $247.00 million: AAA (sf) Class A-2-RR, $9.00 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Class D-1-RR (deferrable), $20.00 million: BBB (sf) Ratings Withdrawn Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-1-R (deferrable) to NR from 'BBB (sf)' Ratings Affirmed Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Class D-2-R (deferrable): BBB- (sf) Class E-R (deferrable): BB- (sf) Other Debt Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Subordinated notes, $34.30 million: NR NR--Not rated. CSAIL 2019-C17: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed eight classes of CSAIL 2019-C17 Commercial Mortgage Trust pass-through certificates. A Negative Outlook was assigned to classes C, D, E-RR, X-B and X-D following their downgrades. The Rating Outlooks for affirmed classes A-S, B, and X-A were revised to Negative from Stable. Fitch has also affirmed 14 classes of DBGS 2018-C1 Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Outlooks for classes A-M, B, C, D, E, X-A and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2019-C17 A-2 12597BAR0 LT AAAsf Affirmed AAAsf A-3 12597BAS8 LT AAAsf Affirmed AAAsf A-4 12597BAT6 LT AAAsf Affirmed AAAsf A-5 12597BAU3 LT AAAsf Affirmed AAAsf A-S 12597BAY5 LT AAAsf Affirmed AAAsf A-SB 12597BAV1 LT AAAsf Affirmed AAAsf B 12597BAZ2 LT AA-sf Affirmed AA-sf C 12597BBA6 LT BBB-sf Downgrade A-sf D 12597BAC3 LT BB-sf Downgrade BBB-sf E-RR 12597BAE9 LT B-sf Downgrade BBsf F-RR 12597BAG4 LT CCCsf Downgrade B-sf G-RR 12597BAJ8 LT CCsf Downgrade CCCsf X-A 12597BAW9 LT AAAsf Affirmed AAAsf X-B 12597BAX7 LT BBB-sf Downgrade A-sf X-D 12597BAA7 LT BB-sf Downgrade BBB-sf DBGS 2018-C1 A-2 23307DAX1 LT AAAsf Affirmed AAAsf A-3 23307DAZ6 LT AAAsf Affirmed AAAsf A-4 23307DBA0 LT AAAsf Affirmed AAAsf A-M 23307DBC6 LT AAAsf Affirmed AAAsf A-SB 23307DAY9 LT AAAsf Affirmed AAAsf B 23307DBD4 LT AA-sf Affirmed AA-sf C 23307DBE2 LT A-sf Affirmed A-sf D 23307DAG8 LT BB+sf Affirmed BB+sf E 23307DAJ2 LT B+sf Affirmed B+sf F 23307DAL7 LT CCCsf Affirmed CCCsf G-RR 23307DAN3 LT CCCsf Affirmed CCCsf X-A 23307DBB8 LT AAAsf Affirmed AAAsf X-D 23307DAC7 LT B+sf Affirmed B+sf X-F 23307DAE3 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 10.7% in CSAIL 2019-C17 and 5.4% in DBGS 2018-C1, up from 7.4% and 5.3%, respectively, at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise nine loans (28.7% of the pool) in CSAIL 2019-C17, including three specially serviced loans (17.2%), and 10 loans (22.6%) in DBGS 2018-C1, including three specially serviced loans (8.1%). The downgrades in CSAIL 2019-C17 reflect increased pool loss expectations since Fitch's prior rating action driven primarily by an updated lower appraisal value on the Selig Office Portfolio loan (10.1%), which transferred to the special servicer in February 2025, and continued performance concerns with the specially serviced APX Morristown loan (5.3%). The Negative Outlooks reflect the high concentrations of office loans (30.6%) as well as specially serviced loans, which increased to 17.2% from 5.3% at the prior rating action. The affirmations in DBGS 2018-C1 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the pool's high exposure to office loans and mixed-use properties with an office component (combined, 48.6%), and continued underperformance concerns, particularly with Time Square Office Renton (5.4%) and Trip Advisor HQ (7.7%). Largest Contributors to Loss: The largest contributor to overall loss expectations and largest increase in loss since the prior rating action in CSAIL 2019-C17 is the Selig Office Portfolio, which is securitized by an urban office portfolio consisting of three properties all located in downtown Seattle, WA. The loan transferred to special servicing in February 2025 due to payment default and the borrower indicated that they will not be able to cover future debt service shortfalls. Occupancy has continued to decline, most recently reported at 61% in September 2024 from 70% at YE 2023, 65% at YE 2022, 79% at YE 2021, and 99% at YE 2019. Near-term tenant rollover includes 3.5% of the NRA in 2025 and 0.2% in 2026, with the next largest concentration of leases (20.6%) expiring in 2028. According to the servicer, there has been no new leases signed recently. The servicer-reported NOI debt service coverage ratio (DSCR) was 1.38x as of YE 2024, compared with 1.25x at YE 2023, 1.32x at YE 2022, 1.58x at YE 2021, and 1.76x at YE 2020. Fitch's 'Bsf' rating case loss of 50% (prior to concentration adjustments) is based upon a discount to the most recent appraisal value, reflecting a stressed value of $177 psf. The second largest contributor to overall loss expectations in CSAIL 2019-C17 is the specially serviced APX Morristown loan, which is secured by a 486,742-sf suburban office property located in Morristown, NJ. The loan transferred to special servicing in July 2023 due to imminent monetary default. Occupancy has declined to 59.4% as of September 2024 due to the departure and downsizing of several tenants. The previous largest tenant, Louis Berger (22.3% of NRA), which was acquired by WSP in late 2018, vacated in 2022 ahead of its lease expiration in 2026. The mezzanine lender was the winning bidder at the June 2024 UCC foreclosure sale, and a loan modification with the special servicer was subsequently finalized in May 2025. The loan is being monitored for a potential return to the master servicer. Fitch's 'Bsf' rating case loss of 28% (prior to concentration adjustments) is based upon a stressed cap rate of 10%, reflecting the property's quality and suburban location, to the YE 2023 NOI. Fitch's analysis also factored a higher probability of default to account for the loan's special servicing status, deteriorated occupancy and high submarket vacancy. The largest contributor to overall loss expectations in DBGS 2018-C1 is the specially serviced Time Square Office Renton, which is secured by a suburban office complex consisting of five, two-story buildings totaling 319,767 sf located in Renton, WA, approximately 11 miles southeast of downtown Seattle. The loan transferred to the special servicer in July 2024 for imminent monetary default. As of September 2024, occupancy declined to 47% from 95% at YE 2020. The previous second largest tenant, Microscan Systems (12.7% of NRA) vacated at its May 2024 lease expiration. The NOI DSCR for September 2024 was reported at 0.80x, compared to 1.11 at YE 2023, 1.17x at YE 2022 and 1.73x at YE 2021. Fitch's 'Bsf' rating case loss of 43% (prior to concentration adjustments) is based upon a discount to the most recent appraisal value, reflecting a stressed value of $102 psf. The second largest contributor to overall loss expectations in DBGS 2018-C1 is Trip Advisor HQ, which is secured by a 280,892-sf suburban office property located in Needham, MA. TripAdvisor leases 100% of the building through 2030; however, the tenant is marketing approximately 50% of its space for sublease. Advisor 360 has recently moved its headquarters to this office building, subleasing approximately 83,500 sf. As of YE 2024, the NOI DSCR was reported to be 2.05x. Fitch's 'Bsf' rating case loss of 6% (prior to concentration adjustments) is based on a 10% cap rate and 20% stress to YE 2024 NOI. Increased Credit Enhancement (CE): As of the July 2025 distribution date, the aggregate balances of the CSAIL 2019-C17and DBGS 2018-C1 transactions have been paid down by 7.5% and 8.6%, respectively, since issuance. The CSAIL 2019-C17 transaction includes four loans (6.8% of the pool) that have fully defeased, up from three loans (5.9%) at the prior rating action, while DBGS has three loans (4.7%) that have fully defeased, up from two loans (4.3%) at the prior rating action. Cumulative interest shortfalls of $606,187 are affecting the non-rated class NR-RR in CSAIL 2019-C17 and $2.7 million are affecting classes G-RR and H-RR in DBGS 2018-C1. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' and 'AAsf' category rated classes are possible with prolonged workouts of the specially serviced assets, significantly increased pool expected losses and limited to no improvement in these classes' CE, or if interest shortfalls occur; - Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Of particular concern in the CSAIL 2019-C17 transaction are the specially serviced Selig Office Portfolio and APX Morristown loans and in DBGS 2018-C1 transaction are the Times Square Office Renton and TripAdvisor HQ loans. - Downgrades to in the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; - Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' categories 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 including Selig Office Portfolio and APX Morristown in CSAIL 2019-C17 and Times Square Office Renton and TripAdvisor HQ in DBGS 2018-C1. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected but would be 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. CSMC 2020-WEST: Fitch Affirms 'BB-sf' Rating on Class HRR Certs --------------------------------------------------------------- Fitch Ratings has affirmed all classes of CSMC 2020-WEST, Commercial Mortgage Pass-Through Certificates, Series 2020-WEST. All Rating Outlooks remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSMC 2020-WEST A 12655QAA3 LT AA-sf Affirmed AA-sf B 12655QAE5 LT A-sf Affirmed A-sf C 12655QAG0 LT BBB-sf Affirmed BBB-sf D 12655QAJ4 LT BBsf Affirmed BBsf HRR 12655QAL9 LT BB-sf Affirmed BB-sf X 12655QAC9 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Slow Post Pandemic Recovery: Property net cash flow (NCF) and occupancy were significantly impacted by the pandemic and have been slow to rebound. The affirmations reflect Fitch's stable sustainable NCF since the prior rating action. Fitch's ratings also reflect that the borrower is unlikely to default during the remainder of the loan term given the low interest rate, as well as the collateral quality and stable occupancy year over year. Additionally, reserves, including the cash flow sweep proceeds, are expected to continue to increase. Fitch maintains its expectation that the property will not return to pre-pandemic performance levels. The Negative Outlooks reflect the potential for further downgrades of one category if NCF does not continue to improve in line with Fitch's expectation of future long-term performance. Property performance has slightly improved since 2021. Servicer reported NCF increased to $22.4 million at YE 2024, after remaining relatively flat at approximately $21 million from YE 2021 through YE 2023 but remains well below $40.8 million reported at issuance as of TTM October of 2019. Base rent and expense reimbursements have marginally increased but remain below issuance while operating expenses have increased primarily due to higher payroll and benefit expenses. Occupancy remained stable at approximately 90% as of April 2025 and March 2024, an improvement from 84.7% at YE 2021, but is still below 97% in 2019. Leasing Progress, Fitch Sustainable NCF: The borrower continues to make leasing progress. Several stores including Aroma 360, FP Movement, Rivian and Uniqlo opened in 2025. The mall's website indicates seven additional stores are coming soon between July and October 2025, including Abercrombie & Fitch, Abercrombie Kids, L'artigiano Gelato, Pacsun, Princess Polly, Tempur-Pedic and Mavi. Fitch's sustainable NCF of $27.2 million is based on leases in place as of the April 2025 rent roll and factors in expected continued improvement in performance from recent leasing, normalization of expense reimbursements to approximately 80% of total expenses (compared to recent levels of 60% - 65% vs. 110% at issuance) and continued expense stabilization. Operating expenses, with the exception of management fee and insurance, were inflated by 3% from YE 2024 figures. Fitch capped the management fee at $1.25 million per Fitch's guidelines. Insurance was inflated by 5% from YE 2024. Fitch's sustainable NCF is approximately 22.7% below Fitch issuance expectations of $35.2 million as Fitch does not expect the asset to fully return to pre-pandemic performance levels. Low Interest Rate: Fitch's analysis includes credit for the loan's low fixed rate coupon of 3.25% through loan maturity in 2030. Cash Management: The loan benefits from an active cash trap until the debt service coverage ratio (DSCR) is above 2.0X for two consecutive quarters. As of July 2025, reserves totaled $3.3 million: $545,000 in replacement reserves, $175,000 in rollover reserves and $2.6 million in cash sweep proceeds. Significant Sponsor Investment: The sponsors have invested $59.8 million ($73 psf) since 2015 on common area mall improvements as well as reconfiguring the food hall. The fourth-floor food court was redeveloped into the Savor Westchester Food Hall, a children's play area (PLAY) and a technology lounge (CONNECT). Institutional Sponsorship and Management: The loan is sponsored jointly by Simon Property Group, L.P. (Simon) and Institutional Mall Investors, LLC (IMI), both highly experienced real estate companies and retail operators. The property has been operated and managed by Simon since acquisition in 1997. Fitch Total Leverage: The $400.0 million total mortgage loan has a Fitch stressed DSCR and loan-to-value (LTV) of 0.83x and 106.5%, respectively, and debt of $491 psf. Fitch's cap rate is 7.25%. At issuance, the Fitch stressed DSCR, LTV and cap rate were 1.10x, 79.5%, and 7.0%. Single-Asset Concentration: The transaction is secured by a single regional mall property in White Plains, NY; therefore, it is more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. Full-Term, Interest-Only Loan: The loan matures in 2030 and is interest only for the entire loan term. Default risk during the loan term is less of a concern. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's analysis included an alternative NCF reflecting the potential for continued occupancy and NCF improvement. This NCF is approximately 17.4% higher than Fitch's current sustainable NCF of $27.2 million and assumes additional stabilization from new tenants and expense reimbursement normalization. If Fitch's NCF does not improve in line with Fitch's longer term performance expectations, downgrades of up to one category are possible on all classes. Downgrades of more than a category are possible if performance declines from the current servicer-reported NCF of $22.4 million. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While upgrades are considered unlikely in the near term, a significant and sustained improvement in occupancy, rental rates and sustainable Fitch NCF could lead to upgrades. 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. CWMBS 2006-R1: Moody's Upgrades Rating on Cl. M Certs to Caa2 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds issued by CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1. The collateral backing this deal consists of FHA-VA mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 Cl. A-F-1, Upgraded to Baa1 (sf); previously on Sep 13, 2024 Upgraded to Baa3 (sf) Cl. A-F-2, Upgraded to Baa1 (sf); previously on Sep 13, 2024 Upgraded to Baa3 (sf) Cl. M, Upgraded to Caa2 (sf); previously on Jul 24, 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 structure, Moody's updated loss expectation on the underlying pool, and Moody's revised loss-given-default expectation for each bond. The rating upgrades for Class A-F-1 and Class A-F-2 are a result of an increase in credit enhancement available to the bonds. Class M has incurred a missed disbursement of an interest payment and is currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action was taken on the other rated class in this deal because its expected loss remains commensurate with its current rating, after taking into account the updated performance information, structural features, and credit enhancement. 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. DRYDEN 54 SENIOR: Moody's Cuts Rating on $20MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 54 Senior Loan Fund: US$30M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Feb 6, 2024 Upgraded to A1 (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Oct 18, 2017 Assigned Baa3 (sf) US$20M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Oct 18, 2017 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$276M (Current outstanding amount US$98,838,091) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 22, 2024 Assigned Aaa (sf) US$60M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 22, 2024 Assigned Aaa (sf) Dryden 54 Senior Loan Fund, issued in October 2017, 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 October 2022. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the Class A-R notes following amortisation of the underlying portfolio in the last 12 months. The downgrade of the Class E notes' rating is a result of loss of par. The affirmations on the ratings on the Class A-R, Class B-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD145.05 million (45.33%) in the last 12 months and USD221.16 million (69.11%) 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/B, Class C, and Class D OC ratios are reported at 148.24%, 127.97% and 112.57% compared to July 2024[2] levels of 132.05%, 120.18% and 110.27%, respectively. Moody's note that the July 2025 principal payments are not reflected in the reported OC ratios. Additionally, the underlying portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's June 2025[1] report, reference securities that mature after the notes do currently make up approximately 1.57% of the reference portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. 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: USD251.1m Defaulted Securities: USD1.97m Diversity Score: 69 Weighted Average Rating Factor (WARF): 2806 Weighted Average Life (WAL): 3 years Weighted Average Spread (WAS): 3.02% Weighted Average Recovery Rate (WARR): 47.56% Par haircut in OC tests and interest diversion test: none The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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. 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. EATON VANCE 2013-1: S&P Assigns Prelim 'BB-' Rating on E-R4 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R4, A-R4, B-R4, C-1-R4, C-2-R4, D-1-R4, D-2-R4, and E-R4 debt from Eaton Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC, a CLO managed by Morgan Stanley Eaton Vance CLO Manager LLC that was originally issued in November 2013 and underwent a third refinancing in February 2021 that was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Aug. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 7, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the February 2021 debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may withdraw its preliminary ratings on the replacement debt. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Eaton Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC Class X-R4, $4.00 million: AAA (sf) Class A-R4, $244.00 million: AAA (sf) Class B-R4, $60.00 million: AA (sf) Class C-1-R4 (deferrable), $12.00 million: A+ (sf) Class C-2-R4 (deferrable), $10.00 million: A (sf) Class D-1-R4 (deferrable), $22.00 million: BBB (sf) Class D-2-R4 (deferrable), $5.00 million: BBB- (sf) Class E-R4 (deferrable), $13.00 million: BB- (sf) Subordinated notes, $73.80 million: Not rated FIDELIS MORTGAGE 2025-RTL2: DBRS Gives (P) B(low) Rating on B Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL2 (the Notes) to be issued by Fidelis Mortgage Trust 2025-RTL2 (FID 2025-RTL2 or the Issuer) as follows: -- $121.4 million Class A at (P) BBB (low) (sf) -- $112.0 million Class A-1 at (P) A (low) (sf) -- $9.5 million Class A-2 at (P) BBB (low) (sf) -- $10.1 million Class M-1 at (P) BB (low) (sf) -- $13.0 million Class B at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.35% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.05%, 12.30%, and 3.65% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 308 mortgage loans with a total principal balance of approximately $101,966,142 -- Approximately $48,033,858 in the Funding Account -- Approximately $750,000 in the Interest Reserve Account Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. FID 2025-RTL2 represents the second RTL securitization issued by the Sponsor, Fidelis Investors Mortgage Fund I, LP (Fidelis). Formed in 2020 and headquartered in Cranford, New Jersey, Fidelis Investors LLC (Fidelis Investors) is an alternative asset manager which serves the needs of institutional clients and specializes in investment opportunities in mortgage debt products, structured finance, asset-based lending, and real estate. Fidelis purchases or originates business purpose loans (BPLs) on residential properties, including short-term bridge and fix-and-flip loans (RTLs), long-term rental loans, and ground-up construction loans; transitional multi-family loans; and single family residential whole loans. Loans are purchased from, or originated through, partnerships with regional lenders, white label and table funding programs, broker referrals, and directly with borrowers through Fidelis' wholly owned subsidiary, Unitas Funding, LLC. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of six to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and will include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA loan-to-cost (LTC) ratio of 85.0%. -- A maximum NZ WA as repaired loan-to-value (ARV LTV) ratio of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 0.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the FID 2025-RTL2 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Construction Draw Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the FID 2025-RTL2 eligibility criteria, unfunded commitments are limited to 45.0% of the portfolio by the unpaid principal balance (UPB) of the mortgage loans and amounts in the Funding Account (together, the assets of the Issuer). Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes sequentially. If the Issuer does not redeem the Notes by the payment date in January 2028, the Class A-1 and Class A-2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the servicer or any other party to the transaction. However, the servicer is obligated to fund Servicing Advances, which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A, Class A-1, and Class A-2 Note amounts without duplication. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account, which, during the revolving period, is used to fund draws and purchase additional loans. The Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the revolving period, amounts held in the Funding Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 96.35%, which maintains a minimum CE of approximately 3.65% to the most subordinate rated class. FID 2025-RTL2 incorporates the maximum effective advance rate as a Trigger Event. During the revolving period (and prior to January 2028), if CE is not maintained for all tranches for three consecutive months, a Trigger Event will occur, leading to early amortization. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $750,000. On the payment dates occurring in August, September, and October 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated historical mortgage repayments relative to draw commitments for Fidelis' historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Other Transaction Features Discretionary Sales The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Optional Redemption On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Optional Repurchase of Delinquent Loans Similar to certain other issuers, the Issuer will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. U.S. Credit Risk Retention As the Sponsor, Fidelis, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class P Certificates) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTLs already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. FLATIRON CLO 32: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Flatiron CLO 32 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Flatiron CLO 32 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary 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. Date of Relevant Committee 22 July 2025 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. FREDDIE MAC 2025-MN11: DBRS Gives Prov. B(low) Rating on B1 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Freddie Mac Multifamily Structured Credit Risk Notes, Series 2025-MN11 (the Notes) to be issued by Freddie Mac MSCR Trust MN11 (the Trust): -- Class M-1 at (P) BBB (low) (sf) -- Class M-2 at (P) BB (low) (sf) -- Class B-1 at (P) B (low) (sf) All trends are Stable. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of commercial mortgage loans held in various Federal Home Loan Mortgage Corporation (Freddie Mac or the Company)-guaranteed mortgage-backed securities, and loans owned by Freddie Mac. The transaction consists of the applicable Reference Obligation Percentage of each of 308 fixed-rate mortgage loans, 32 floating-rate mortgage loans, and 35 hybrid adjustable-rate mortgage loans, which have a fixed rate for an initial period and an adjustable rate thereafter, secured by 398 multifamily properties. All commentary in this report will refer to the pool as a 370-loan pool as Morningstar DBRS rolled up five loans as these loans had a first-lien and second lien mortgage loans or a TEL or taxable tail, thus Morningstar DBRS treated them as one loan. The aggregate pool balance is approximately $10,382,333,254. The pool consists of underlying mortgage loans secured by one or more multifamily properties originated through Freddie Mac's Multi PC, K-Series Structured Pass-Through Certificates (SPCs), or small balance (SB) programs. Two hundred and thirty-three loans, representing 75.5% of the total pool balance, were originated through Multi PC; 75 loans, representing 23.1% of the total pool balance, were originated through the K-Series SPCs; and 62 loans, representing 1.5% of the total pool balance, were originated through SB. Morningstar DBRS estimates that Freddie Mac originated the mortgage loans between May 23, 2018, and March 31, 2025. On the Closing Date, the Trust will enter into a Collateral Administration Agreement and a Capital Contribution Agreement with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to pay to the Trust any Transfer Amount, Return Reimbursement Amount, and Capital Contribution Amount. The Trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, on each payment date, the Trust is expected to pay interest on the Notes from the investment earnings on the Eligible Investments. Freddie Mac has strong origination practices, and its programs exhibit strong historical loan performance. Freddie Mac maintains solid approval and monitoring procedures and focused lender quality and loan quality control processes for its counterparties to effectively manage the credit risk and performance of its portfolio. Loans on Freddie Mac's balance sheet, which it originates according to the same policies as those for securitization, had an extremely low delinquency rate of 0.46% as of May 2025. This compares favorably with the delinquency rate of approximately 6.57% for commercial mortgage-backed security (CMBS) multifamily loans over the same period. There are 77 loans, representing 21.5% of the pool, in a Morningstar DBRS Metropolitan Statistical Area (MSA Group 3, which is the best-performing group in terms of historic CMBS default rates among the top 25 MSAs. The MSA Group 3 historical default rate is considerably lower than the overall CMBS historical default rate. The subject pool is diverse based on loan count and size, with an average cut-off date balance of $28,060,360, a concentration profile equivalent to that of a transaction with 144.6 equal-size loans, and a top 10 loan concentration of 17.7%. Increased pool diversity helps insulate the higher-rated classes from event risk. The pool exhibits Morningstar DBRS Weighted-Average (WA) Issuance and Balloon Loan-To-Value Ratios (LTVs) of 63.0% and 60.0%, respectively, both of which are in line with recent Morningstar DBRS-rated Freddie Mac transactions. Furthermore, 134 loans, representing 34.7% of the pool balance, exhibit Morningstar DBRS Issuance LTVs of less than 60.9%, resulting in a decreased probability of default. Given its overall credit metrics, the pool has a WA expected loss of 0.9%, which is lower than the expected loss seen in Morningstar DBRS-rated Fredie Mac transactions throughout 2023 and 2024. The pool's WA expected loss is substantially lower than that of the general multi borrower CMBS universe. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. GALAXY CLO XX: Moody's Hikes Rating on $31.2MM E-R Notes from Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Galaxy XX CLO, Ltd.: US$18,900,000 Class D-1-R Deferrable Mezzanine Floating Rate Notes due 2031, Upgraded to Aaa; previously on December 17, 2024 Upgraded to A1 US$18,900,000 Class D-2-R Deferrable Mezzanine Floating Rate Notes due 2031, Upgraded to Aaa; previously on December 17, 2024 Upgraded to A1 US$31,200,000 Class E-R Deferrable Junior Floating Rate Notes due 2031, Upgraded to Baa3; previously on December 17, 2024 Upgraded to Ba2 Galaxy XX CLO, Ltd., originally issued in June 2015 and refinanced in March 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 March 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 December 2024. The Class A-R notes have been completely paid down and the Class B-R notes have been paid down by approximately 16.5% or $10.3 million since December 2024. Based on the trustee's July 2025 report[1], the OC ratios for the Class D-R and Class E-R notes are reported at 135.55% and 112.74%, respectively, versus November 2024 [2] levels of 122.68% and 109.37%, respectively. Moody's note that the July 2025 trustee-reported OC ratios do not reflect the July 2025 payment distribution, when approximately $37.49 million of principal proceeds were used to pay down the Class A-R and the Class B-R Notes. No actions were taken on the Class B-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published 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: $171,536,489 Diversity Score: 46 Weighted Average Rating Factor (WARF): 2945 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.85% Weighted Average Recovery Rate (WARR): 47.35% Weighted Average Life (WAL): 2.89 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. GALAXY XXVI CLO: Moody's Ups Rating on $24.75MM Cl. E Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Galaxy XXVI CLO, Ltd.: US$27.7M Class D-R Deferrable Mezzanine Floating Rate Notes, Upgraded to Aa3 (sf); previously on Feb 14, 2025 Upgraded to A3 (sf) US$24.75M Class E Deferrable Junior Floating Rate Notes, Upgraded to Ba2 (sf); previously on Feb 14, 2025 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$227.45M (Current outstanding amount US$79,180,455) Class A-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 14, 2025 Affirmed Aaa (sf) US$52M Class B-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 14, 2025 Affirmed Aaa (sf) US$21.6M Class C-R Deferrable Mezzanine Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 14, 2025 Upgraded to Aaa (sf) US$7.45M Class F Deferrable Junior Floating Rate Notes, Affirmed B3 (sf); previously on Feb 14, 2025 Affirmed B3 (sf) Galaxy XXVI CLO, Ltd, issued in December 2018 and refinanced in May 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PineBridge Galaxy LLC. The transaction's reinvestment period ended in November 2023. RATINGS RATIONALE The rating upgrades on the Class D-R and E 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 February 2025. The affirmations on the ratings on the Class A-R, B-R, C-R 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-R notes have paid down by approximately USD67.0 million (29.4%) since the last rating action in February 2025 and USD148.3 million (65.2%) 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 173.5%, 148.9%, 126.1% and 110.9% compared to February 2025[2] levels of 150.1%, 135.4%, 120.2% and 109.3%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. 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: USD227.5 million Defaulted Securities: 0 Diversity Score: 57 Weighted Average Rating Factor (WARF): 2890 Weighted Average Life (WAL): 3.3 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.0% Weighted Average Recovery Rate (WARR): 47.5% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. 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. 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. GCAT 2025-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GCAT 2025-NQM4 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, a cooperative, and two- to four-family residential properties. The pool has 901 loans, which are either qualified mortgage (QM)/non-higher-priced mortgage loans (HPML) (average prime offer rate), QM/HPML, non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty (R&W) framework; -- The mortgage aggregator, Blue River Mortgage V LLC; the transaction-specific review on the mortgage originator, Arc Home LLC; and any S&P Global Ratings-reviewed mortgage originators; and -- S&P's economic outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) GCAT 2025-NQM4 Trust Class A-1A(ii), $323,599,000: AAA (sf) Class A-1B(ii), $48,084,000: AAA (sf) Class A-1(ii), $371,683,000: AAA (sf) Class A-2, $23,320,000: AA (sf) Class A-3, $44,477,000: A (sf) Class M-1, $19,474,000: BBB- (sf) Class B-1, $7,933,000: BB (sf) Class B-2, $8,655,000: B (sf) Class B-3, $5,289,948: NR Class A-IO-S, notional(iii): NR Class X, notional(iii): NR Class R, not applicable: NR (i)The ratings address our expectation for the ultimate payment of interest and principal. (ii)Initial exchangeable certificates can be exchanged for the exchangeable certificates, and vice versa. The class A-1 exchangeable certificates are entitled to receive a proportionate share of all payments otherwise payable to the initial exchangeable A-1A and A-1B certificates. (iii)The notional amount equals the aggregate stated principal balance of the loans. NR--Not rated. GLS AUTO 2025-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.13%, 47.38%, 36.84%, 28.17%, and 24.16% of 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 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of our 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P views of the collateral's credit risk, and our updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Global Lending Services LLC as servicer, and our view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2025-3 Class A-1, $79.90 million: A-1+ (sf) Class A-2, $200.00 million: AAA (sf) Class A-3, $72.62 million: AAA (sf) Class B, $110.19 million: AA (sf) Class C, $104.23 million: A (sf) Class D, $97.15 million: BBB (sf) Class E, $49.14 million: BB (sf) GPMT 2021-FL4: DBRS Confirms CCC Rating on Class G Notes -------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of notes issued by GPMT 2021 2021-FL4, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at CCC (sf) The trends on all classes are Stable except for the trends on Classes E and F, which remain Negative. The credit rating confirmations reflect the increased credit support to the senior notes as a result of successful loan repayment, as there has been collateral reduction of 24.9% since issuance, an increase from the reduction of 16.7% reported in August 2024. While the paydown is a positive development, Morningstar DBRS notes the transaction is exposed to adverse selection as eight of the remaining 17 loans, representing 53.5% of the current trust balance, are secured by office properties. The borrowers of these loans have largely been unable to execute their respective business plans, with varying levels of increased credit risk observed as a result. To account for the increased risks, Morningstar DBRS' analysis for this review considered stressed scenarios to increase the loan-level expected losses (ELs), generally reflective of stressed values for the collateral properties and/or upward probability of default (POD) adjustments based on the level and source of the increased credit risk. While this approach increased the pool's EL by nearly 150 basis points from Morningstar DBRS' prior credit rating action analysis, the transaction benefits from an unrated first-loss note of $41.1 million as well as two below-investment-grade note classes, i.e., Class F and Class G, totaling $64.5 million. These notes provide cushion against potential additional realized losses should the increased credit risks for any loans ultimately result in dispositions. The current balance of the unrated first-loss note reflects the liquidation of the Vista 25 loan. While not reported in the June 2025 Investor Reporting Package, the former loan was liquidated from the trust in December 2024 via a discounted payoff resulting in a loss of $13.3 million. Morningstar DBRS maintained the Negative trends on Classes F and G because of the credit risk surrounding the office concentration described above as well as the increased loss projections stemming from the pool's specially serviced loan, 500 North Michigan Avenue (Prospectus ID#25; 4.8% of the current trust balance). The loan, which is secured by a Class B mixed-use office and retail property on the Magnificent Mile in downtown Chicago, transferred to special servicing in February 2024 for imminent default. The loan remains delinquent since maturing in August 2024. Prior to the transfer, the loan had been modified several times since issuance because of disruptions to its business plan. The most recent modification, which occurred in August 2023, extended the loan to its final maturity of August 2024 and reallocated reserves to fund operating shortfalls. As of the Q1 2025 update from the collateral manager, occupancy remains unchanged year-over-year at 33.5% with the loan reporting a 2.9% debt yield. An updated appraisal completed in September 2024 valued the property at $53.0 million, down from $67.0 million at December 2023 and $94.0 million at closing (September 2022). Morningstar DBRS analyzed the loan with a liquidation scenario based on a 20% haircut to the September 2024 value, inclusive of the outstanding advances and additional expected servicer expenses, resulting in a loan loss severity approaching 60%. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com. As of the June 2025 remittance, the transaction had an outstanding balance of $467.9 million with 17 loans secured by the 22 properties remaining in the trust. Of the original 23 loans from the transaction closing in November 2021, 15 loans, representing 86.5% of the current pool balance, remain in the trust. Since the previous Morningstar DBRS credit rating action in May 2025, the pool count remains unchanged. Beyond the office concentration noted above, five loans, representing 29.9% of the current trust balance, are secured by multifamily properties; two loans, representing 7.9% of the current trust balance, are secured by student housing properties; one loan, representing 5.5% of the current trust balance, is secured by an industrial property; and one loan, representing 3.2% of the current trust balance, is secured by a mixed-use property. Leverage across the pool has decreased slightly from issuance levels as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 70.0%, with a current WA stabilized LTV of 65.7%. In comparison, these figures were 71.5% and 67.9.5%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and may not reflect the current rising interest rate or widening capitalization (cap) rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments to nine loans, representing 65.1% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. As of the June 2025 remittance, 10 loans are on the servicer's watchlist, representing 56.9% of the current trust balance. The loans have generally been flagged for upcoming scheduled maturity dates, low occupancy rates, and/or debt service coverage ratios (DSCRs). The largest loan on the servicer's watchlist, Hurt Building (Prospectus ID15; 10.2% of the current trust balance), is secured by an office building in downtown Atlanta. The loan is being monitored on the servicer's watchlist for maturity risk as it is scheduled to mature in July 2025. While one final 12-month extension option remains available, the loan will likely need to be modified as it will be unable to achieve the required 11.5% minimum debt yield threshold. According to the Q1 2025 collateral manager's report, the property was 63.7% occupied while the loan reported a DSCR of 0.87x and debt yield of 8.2% as of the YE2024 reporting. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments to the loan, resulting in an EL in excess of the EL for the pool. Through March 2025, the lender had advanced $60.1 million in cumulative loan future funding to 13 of the outstanding individual borrowers to aid in property stabilization efforts, including $11.0 million between June 2024 and March 2025. The largest advance to a single borrower ($12.6 million) has been made to the borrower of the 5600 Glenridge loan (Prospectus ID#28; 4.4% of the current trust balance). The borrower's business plan is to use up to $23.2 million of future funding to complete a significant $12.9 million capital improvement program across the property and fund leasing costs. According to the Q1 2025 update from the collateral manager, the borrower has completed the majority of property upgrades to the lobbies, exterior building facade, restrooms, tenant amenities, and parking garage. There remains $10.5 million of future funding for leasing costs, which equates to $43.00 psf of available leasing funds as the property was only 8.2% occupied as of March 2025. The loan has been modified several times since issuance with the most recent modification made in March 2025, extending the loan maturity by six months to September 2025 and providing an additional three-month extension option through December 2025. The modification also reallocated existing leasing reserves to cover debt service and operating shortfalls. Morningstar DBRS notes this loan has increased credit risk from closing given the current occupancy rate and negative cash flow, with the loan's final maturity date occurring in December 2025. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments, resulting in a loan EL in excess of nearly twice the EL for the pool. An additional $46.6 million of loan future funding allocated to 14 individual borrowers remains available. The largest amount ($13.5 million) is available to the borrower of the Lakeside Square loan, which is secured by a Class A office property in Dallas. The remaining funds are for accretive leasing costs as the sponsor has completed all planned capital expenditures. As of March 2025, the property was 68.4% occupied, unchanged since June 2024. The loan matures in November 2025 and includes one 12-month extension option;, however, the loan will need to be modified as the borrower will likely be unable to meet the required 7.5% debt yield threshold. In its analysis, Morningstar DBRS applied increased LTV and POD adjustments, resulting in a loan EL in excess of the EL for the pool. A total of 12 loans, representing 72.9% of the current pool balance, have been modified. The loan modification terms vary from loan to loan, however, common terms have allowed borrowers to extend maturity dates without meeting required property performance tests, property capital expenditure completion dates have been extended, and borrowers have been allowed to waive or defer the requirement to purchase new interest rate cap agreements. In most cases, borrowers have been required to contribute additional equity to the loans in order to secure a loan modification. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-PJ7: Moody's Assigns B2 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ7, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (88.0% by balance) and GSE-eligible (12.0% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 9.0% by loan balance), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ7 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on July 15, 2025, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12% and reaches 4.63% 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. HARVEST US 2025-2: Fitch Assigns BB-sf Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Harvest US CLO 2025-2 Ltd. Entity/Debt Rating Prior ----------- ------ ----- HARVEST US CLO 2025-2 LTD. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary 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 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 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, 'AA+sf' 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. Date of Relevant Committee 21 July 2025 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, 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. JP MORGAN 2025-6: Moody's Assigns B2 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 42 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-6 (JPMMT 2025-6), and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (90.75% by balance) and GSE-eligible (9.25% by balance) residential mortgages aggregated by JPMMAC, mortgages aggregated by JPMorgan Chase Bank, N.A. (JPMCB), originated and serviced by multiple entities The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned 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 0.33%, in a baseline scenario-median is 0.14% and reaches 4.91% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-LTV2: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2025-LTV2 (JPMMT 2025-LTV2). Entity/Debt Rating ----------- ------ JPMMT 2025-LTV2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the RMBS to be issued by JP Morgan Mortgage Trust 2025-LTV2, Series 2025-LTV2 (JPMMT 2025-LTV2), as indicated above. The notes are supported by 411 loans with a balance of $399.13 million as of the cutoff date. This represents the second prime high-LTV transaction on the JPMMT shelf in 2025 and the seventh Fitch-rated JPMMT transaction in 2025. The notes are secured by mortgage loans originated mainly by United Wholesale Mortgage (UWM), which is assessed as an 'Above Average' originator by Fitch. The remaining originators are contributing less than 10% each to the transaction. On and after the closing date, the loans are serviced by the following servicers: United Wholesale Mortgage LLC (52.6%), not rated by Fitch; however, Cenlar, rated 'RPS2' by Fitch, is the subservicer; Nationstar Mortgage LLC d/b/a Rushmore Servicing (22.0%), rated 'RSS2'/Stable by Fitch; PennyMac Loan Services and PennyMac Corp (21.2%), rated 'RPS2-'/Stable by Fitch; and loanDepot.com LLC (4.2%), which is not rated by Fitch. Per the transaction documents, 89.8% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 10.2% are designated as rebuttable presumption (APOR) qualified mortgage loans. Classes A-1A, A-1B, A-2 and A-3 notes are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. The interest rate for class M-1 and B-1 notes will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of notes, determined at the time of pricing, or (ii) the net WAC rate for the related payment date. The class B-2 and B-3 notes are based on the net WAC. Additionally, on any payment date after the step-up date where the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.6% above a long-term sustainable level versus 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality High LTV Loans (Mixed): The collateral consists of 411 fixed-rate, fully amortizing loans totaling $399.13 million. In total, 89.8% of the loans are designated as SHQM and the remaining 10.2% are designated as APOR qualified mortgage loans. The loans were made to borrowers with strong credit profiles but relatively high leverage. The loans are seasoned at approximately five months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 755 FICO and a 39.7% debt-to-income (DTI) ratio, according to Fitch. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 86.3%, which translates to a sustainable loan-to-value ratio (sLTV) of 95.0%. Approximately 44.5% of the loans have an sLTV greater than 100%. Per the transaction documents and Fitch's analysis, conforming loans constitute 7.8% of the pool and non-conforming loans constitute 92.2% of the pool. Additionally, 39.1% of the loans were originated by a retail or non-broker correspondent channel, and 54.2% via a broker channel. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (94.7% primary and 5.3% secondary). Single-family homes and planned unit developments (PUDs) constitute 94.7% of the pool, condominiums make up 4.4% and the remaining 1.0% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (79.4%), cashout refinances (17.2%) and rate-term refinances (3.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. A total of 201 loans in the pool are for over $1.0 million, and the largest loan is approximately $2.65 million. Nine loans in the transaction have an interest rate buy down feature. Fitch did not increase its loss expectations on these loans since they were underwritten to the full interest rate. Of the pool loans, 31.1% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the Los Angeles MSA (16.3%), followed by the Phoenix MSA (4.2%) and the Riverside-San Bernardino MSA (3.8%). The top three MSAs account for 24.3% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, none of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. Additionally, 0.25% of the loans have a junior lien in conjunction with a first-lien mortgage. First-lien mortgages constitute 100% of the pool (no second-lien loans are in the pool). All loans in the pool are current as of the cutoff date. Full Advancing (Mixed): The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. If a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in August 2029, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, starting with the August 2029 payment date, if the aggregate unpaid interest carryover amount for class A notes exceeds zero, payments to the interest carryover reserve account will be prioritized over unpaid interest payments to class B-3 notes in both the interest and principal waterfalls. This feature supports timely interest payments to the step-up coupon rate under Fitch's stresses for 'AAAsf'-rated notes and ultimate interest payments at the step-up coupon rate under Fitch's stresses for classes A-2 and A-3. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. 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 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 SitusAMC, Consolidated Analytics, and Inglet Blair. 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 0.61% 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 Inglet Blair 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 provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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. JP MORGAN 2025-LTV2: Fitch Assigns 'B-sf' Final Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2025-LTV2 (JPMMT 2025-LTV2). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-LTV2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the RMBS to be issued by JP Morgan Mortgage Trust 2025-LTV2, Series 2025-LTV2 (JPMMT 2025-LTV2), as indicated above. The notes are supported by 411 loans with a balance of $399.13 million as of the cutoff date. This represents the second prime high-LTV transaction on the JPMMT shelf in 2025 and the seventh Fitch-rated JPMMT transaction in 2025. The notes are secured by mortgage loans originated mainly by United Wholesale Mortgage (UWM), which is assessed as an 'Above Average' originator by Fitch. The remaining originators are contributing less than 10% each to the transaction. On and after the closing date, the loans are serviced by the following servicers: United Wholesale Mortgage LLC (52.6%), not rated by Fitch; however, Cenlar, rated 'RPS2' by Fitch, is the subservicer; Nationstar Mortgage LLC d/b/a Rushmore Servicing (22.0%), rated 'RSS2'/Stable by Fitch; PennyMac Loan Services and PennyMac Corp (21.2%), rated 'RPS2-'/Stable by Fitch; and loanDepot.com LLC (4.2%), which is not rated by Fitch. Per the transaction documents, 89.8% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 10.2% are designated as rebuttable presumption (APOR) qualified mortgage loans. Classes A-1A, A-1B, A-2 and A-3 notes are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. The interest rate for class M-1 and B-1 notes will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of notes, determined at the time of pricing, or (ii) the net WAC rate for the related payment date. The class B-2 and B-3 notes are based on the net WAC. Additionally, on any payment date after the step-up date where the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.6% above a long-term sustainable level versus 11% on a national level as of 4Q24, down 0.1% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.9% YoY nationally as of February 2025 despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality High LTV Loans (Mixed): The collateral consists of 411 fixed-rate, fully amortizing loans totaling $399.13 million. In total, 89.8% of the loans are designated as SHQM and the remaining 10.2% are designated as APOR qualified mortgage loans. The loans were made to borrowers with strong credit profiles but relatively high leverage. The loans are seasoned at approximately five months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 755 FICO and a 39.7% debt-to-income (DTI) ratio, according to Fitch. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 86.3%, which translates to a sustainable LTV ratio (sLTV) of 95.0%. Approximately 44.5% of the loans have an sLTV greater than 100%. Per the transaction documents and Fitch's analysis, conforming loans constitute 7.8% of the pool and non-conforming loans constitute 92.2% of the pool. Additionally, 39.1% of the loans were originated by a retail or non-broker correspondent channel, and 54.2% via a broker channel. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (94.7% primary and 5.3% secondary). Single-family homes and planned unit developments (PUDs) constitute 94.7% of the pool, condominiums make up 4.4% and the remaining 1.0% are multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (79.4%), cashout refinances (17.2%) and rate-term refinances (3.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. A total of 201 loans in the pool are for over $1.0 million, and the largest loan is approximately $2.65 million. Nine loans in the transaction have an interest rate buy down feature. Fitch did not increase its loss expectations on these loans since they were underwritten to the full interest rate. Of the pool loans, 31.1% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the Los Angeles MSA (16.3%), followed by the Phoenix MSA (4.2%) and the Riverside-San Bernardino MSA (3.8%). The top three MSAs account for 24.3% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, none of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. Additionally, 0.25% of the loans have a junior lien in conjunction with a first-lien mortgage. First-lien mortgages constitute 100% of the pool (no second-lien loans are in the pool). All loans in the pool are current as of the cutoff date. Full Advancing (Mixed): The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. If a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in August 2029, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, starting with the August 2029 payment date, if the aggregate unpaid interest carryover amount for class A notes exceeds zero, payments to the interest carryover reserve account will be prioritized over unpaid interest payments to class B-3 notes in both the interest and principal waterfalls. This feature supports timely interest payments to the step-up coupon rate under Fitch's stresses for 'AAAsf'-rated notes and ultimate interest payments at the step-up coupon rate under Fitch's stresses for classes A-2 and A-3. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. 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 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 SitusAMC, Consolidated Analytics, and Inglet Blair. 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 0.61% 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 Inglet Blair 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 provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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. JPMDB COMMERCIAL 2017-C7: DBRS Confirms C Rating on FRR Certs ------------------------------------------------------------- DBRS Limited confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C7 issued by JPMDB Commercial Mortgage Securities Trust 2017-C7 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at BB (high) (sf) -- Class D at BB (sf) -- Class E-RR at CCC (sf) -- Class F-RR at C (sf) All trends are Stable, with the exception of Classes E-RR and F-RR, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS changed the trends on classes B, X-B, C, D, and X-D from Negative to Stable. Classes E-RR and F-RR have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) ratings. All other classes have Stable trends. The credit rating confirmations reflect the relatively stable performance for the majority of the loans in the transaction since the previous Morningstar DBRS credit rating action in July 2024. Based on the most recent year-end financial reporting, the pool has a weighted-average (WA) debt service coverage ratio (DSCR) of 2.03 times (x) and a WA debt yield above 10.0%. In July 2024, Morningstar DBRS downgraded the credit rating on Classes D, E-RR, F-RR, and X-D because of increased loss projections to two loans in special servicing, which represent 8.7% of the current pool. In its current analysis of these loans, Morningstar DBRS' updated its liquidation analysis based on the updated collateral appraised values with cumulative projected losses of approximately $38.0 million. The updated liquidation analysis remains in line with Morningstar DBRS' loss projection at the previous credit rating action, suggesting losses would erode the entirety of the unrated Class V-RR and approximately 35.0% of unrated Class G-RR. The pool is concentrated by loans secured by office properties, representing 28.1% of the pool balance and includes the two specially serviced loans noted above. Morningstar DBRS previously placed Negative trends on Classes B, C, and D due to potential credit deterioration for the office loans; however, as most of the office properties in the pool are performing as expected. Morningstar DBRS does note select loans secured by office collateral, including 245 Park Avenue (Prospectus ID#15, 3.5% of the pool), Capital Centers II & III (Prospectus ID#18, 2.5% of the pool), and 18301 Von Karman (Prospectus ID#20, 2.7% of the pool) continue to exhibit credit deterioration. Morningstar DBRS accounted for the elevated credit risk by increasing the probability of default (POD) and/or making loan-to-value (LTV) adjustment for loans of concern. Morningstar DBRS determined the credit support to Classes B, X-B, C, X-D, and D remains sufficient inclusive of the credit adjustments, supporting the trend changes to Stable on. As of the June 2025 remittance, 33 of the original 41 loans remained in the trust, with an aggregate balance of $924.2 million, representing a collateral reduction of 16.4% since issuance. There are four fully defeased loans, representing 9.5% of the current pool balance. Three loans, representing 13.7% of the pool balance are in special servicing and nine loans, representing 33.8% of the pool balance are currently being monitored on the servicer's watchlist. The largest loan in special servicing, First Stamford Plaza (Prospectus ID#6, 5.9% of the pool), is secured by a Class A office complex in Stamford, Connecticut. The pari passu loan is securitized across five CMBS transactions, including the subject transaction as well as JPMCC 2017-JP7 and BANK 2017-BNK7, which are also rated by Morningstar DBRS. The loan was transferred to special servicing in December 2023 for payment default and has remained in special servicing. The most recent special servicer commentary from May 2025 notes the trust took title to the collateral via a Strict Foreclosure with leasing efforts to stabilize the property underway. The servicer confirmed the occupancy rate is 74.0% as of May 2025, relatively unchanged since YE2023 figure and below the issuance occupancy rate of 91.0%. According to the February 2025 rent roll, near-term lease rollover risk includes tenants representing 7.5% of the net rentable area (NRA), which have scheduled lease expirations within the next 12 months. Overall, property performance has deteriorated since issuance with the loan reporting a debt service coverage ratio (DSCR) at 1.19x as of YE2023 reporting, compared with the YE2022 DSCR of 1.57x, and the Morningstar DBRS DSCR of 2.38x derived at issuance. Updated YE2024 performance figures for the property were not provided for the current review. The property was most recently appraised in January 2025 at a value of $53.9 million, a substantial decline from the February 2024 appraised value of $135.9 million and an 81.1% decline from the issuance appraised value of $285.0 million. In the current review, Morningstar DBRS liquidated the loan based on a 30% haircut to the January 2025 appraised value resulting in a loss severity of 49.0%, or approximately $28.0 million. The second-largest loan in special servicing, Starwood Capital Group Hotel Portfolio (Prospectus ID#9, 5.1% of the pool), is secured by a portfolio of 65 limited-service and extended-stay hotel properties across 21 states, totaling in 6,366 rooms. The loan has 12 different pari passu components, including pieces in the subject transaction as well as JPMCC 2017-JP7 and BANK 2017-BNK6, which are also rated by Morningstar DBRS. The loan transferred to special servicing in February 2025 due to imminent monetary default; however, the loan remains current. According to the servicer, the current resolution strategy a modification with negotiations between the borrower and servicer currently ongoing. According to the YE2024 financial reporting, the combined occupancy rate across the portfolio decreased to 65.0% from the prior year (2023) figure of 67.0%. The portfolio generated net cash flow (NCF) of $28.3 million at YE2024, down from $37.4 million at YE2023 and a significant decline from the issuance NCF figure of $71.3 million. The resulting YE2024 a debt service coverage ratio (DSCR) of 1.08 times (x), decreased from the YE2023 DSCR of 1.43x. While the ongoing modification negotiations indicate the sponsor may be committed to the loan, given the prolonged decline in performance since issuance and the unlikelihood cash flow will materially improve prior to loan maturity in 2027, Morningstar DBRS determined the loan exhibits increased credit risk. In its current analysis, Morningstar DBRS applied an increased probability of default penalty to the loan, resulting in a loan expected loss in excess of 7.0%. The smallest loan in special servicing, Preston Plaza (Prospectus ID#17, 2.7% of the pool), is secured by a 259,000-sf office property in Dallas. The loan transferred to special servicing in September 2023 due to imminent default. The most recent servicer commentary notes marketing efforts to sell the property launched in July 2024 with foreclosure completed in April 2025. According to the most recent financial reporting for the trailing nine-month period ended September 30, 2024, (T-9) property occupancy continued a downward trend to 29.0% from 54.0% at YE2023 and 91% from issuance. The most recent decline in occupancy is related to the departures of two large tenants (formerly 20.2% of NRA), which vacated the property in 2024 at lease expiration. As a result of the continued decline in occupancy, the T-9 NCF was $0.2 million compared with $1.1 million at YE2023. The most recent property appraisal dated February 2025 of $21.0 million represents a significant decline compared with the issuance appraisal of $41.8 million. Morningstar DBRS believes the current property value has declined further due to building's high availability rate in a currently challenged office landscape. As a result, Morningstar DBRS applied a 20.0% haircut to the February 2025 appraised value, resulting in an implied loan loss severity of approximately 45.0%. At issuance, Morningstar DBRS shadow-rated Moffett Place Building 4 (Prospectus ID#1, 7.2% of the pool) and General Motors Building (Prospectus ID#10, 4.9 of the pool) as investment-grade. With this review, Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. KAWARTHA CAD: DBRS Confirms BB(high) Rating on Tranche E -------------------------------------------------------- DBRS, Inc. confirmed the following provisional credit ratings on the Senior Tranche, the Tranche B, the Tranche C, the Trance D, and the Tranche E (collectively, the Tranche Amounts) of Kawartha CAD Ltd. (the Issuer) pursuant to Schedule 1 of the executed Junior Loan Portfolio Financial Guarantee (the Financial Guarantee) dated April 15, 2024, between the Issuer as Guarantor and the Bank of Montreal (BMO) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO (rated AA with a Stable trend by Morningstar DBRS): -- Senior Tranche at (P) AAA (sf) -- Tranche B at (P) AA (low) (sf) -- Tranche C at (P) A (sf) -- Tranche D at (P) BBB (low) (sf) -- Tranche E at (P) BB (high) (sf) The provisional credit ratings on the Tranche Amounts address the likelihood of a reduction to the respective tranche notional amounts resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date. For obligors within the guaranteed portfolio, default events are limited to payment default, insolvency, and restructuring events. The provisional credit ratings on the Tranche Amounts take into consideration only the creditworthiness of the reference portfolio. The provisional credit ratings neither address counterparty risk nor the likelihood of any event of default or termination event under the agreement occurring. BMO bought protection under the Financial Guarantee for certain issued notes in respect of such Protected Tranche (as defined in the Financial Guarantee). Morningstar DBRS' provisional credit ratings on the Tranche Amounts are expected to remain provisional until there is an executed Financial Guarantee agreement covering the payment obligations and exchange of risk in respect of such Tranche Amounts. BMO may have no intention of executing such a Financial Guarantee. Morningstar DBRS will maintain and monitor the provisional credit ratings throughout the life of the transaction or while it continues to receive performance information. Morningstar DBRS also confirmed the following credit rating on the Boreal 2024-1 Class E Notes (the Class E Notes) issued by Kawartha CAD Ltd. referencing the Financial Guarantee dated April 15, 2024, between the Issuer with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO: -- Class E Notes at BB (high) (sf) Morningstar DBRS' credit rating on the Class E Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the timely payment of interest (the Guarantee Fee Amount) and ultimate payment of principal on or before the Scheduled Termination Date. To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024). Morningstar DBRS confirmed the credit ratings on the Tranche Amounts and on the Class E Notes as a result of the transaction's current performance. Kawartha CAD Ltd., Boreal 2024-1 is a synthetic risk transfer transaction with BMO as the Beneficiary. The Scheduled Termination Date is May 20, 2029. The Replenishment Period End Date is November 20, 2026. Morningstar DBRS analyzed the reference obligations in the reference pool as reported in the portfolio report on May 30, 2025. As of May 30, 2025, certain Replenishment Criteria were not met. Morningstar DBRS considered these failures in its analysis. Morningstar DBRS analyzed the transaction using its CMBS Insight Model and CLO Insight Model, based on certain reference portfolio characteristics, including Eligibility Criteria and Replenishment Criteria, as defined in the Financial Guarantee. The reference portfolio consists of well-diversified CRE secured loans across various obligors. The model-based analysis produced satisfactory results. Considering the transaction performance, as well as its legal aspects and structure, Morningstar DBRS confirmed its credit ratings on the Tranche Amounts and Notes. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Financial Guarantee, dated as of April 15, 2024. (2) The integrity of the transaction structure and the form and sufficiency of available credit enhancement. (3) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (4) The ability of the Tranche Amounts to withstand projected collateral loss rates under various stress scenarios. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. (6) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO. Notes: All figures are in U.S. dollars unless otherwise noted. KKR CLO 15: Moody's Lowers Rating on $4MM Class F-R Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 15 Ltd.: US$19,750,000 Class C-R2 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on August 14, 2024 Assigned A1 (sf)c US$24,250,000 Class D-R2 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Baa2 (sf); previously on August 14, 2024 Assigned Baa3 (sf) Moody's have also downgraded the rating on the following note: US$4,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2032, Downgraded to Caa2 (sf); previously on September 1, 2021 Upgraded to Caa1 (sf) KKR CLO 15 Ltd., issued in September 2016 and refinanced in November 2018 and August 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the classes C-R2 and D-R2 notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2024. The Class A-1-R2 notes have been paid down by approximately 39.2% or $81.6 million since then. Based on Moody's calculations, the OC ratios for the Class C-R2 and D-R2 notes are currently 132.62% and 118.40%, versus August 2024 levels of 125.80% and 115.89%, respectively. Moody's OC ratios do not incorporate par haircuts included in the trustee reported numbers. The downgrade rating action on the Class F-R notes reflects the specific risks to the junior note posed by par loss and spread deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the transaction has incurred par loss of approximately 2.2% or $7.7 million since the payment in July 2024. Furthermore, weighted average spread (WAS) has been deteriorating and based on Moody's calculations, the weighted average spread (WAS) is currently 3.40%, compared to 3.78% in August 2024. No actions were taken on the Class A-1-R2, Class A-2-R2, Class B-R2 and Class E-R2 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: $266,256,781 Defaulted par: $3,570,242 Diversity Score: 63 Weighted Average Rating Factor (WARF): 3119 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 46.86% Weighted Average Life (WAL): 3.65 years Par haircut in OC tests and interest diversion test: 3.20% 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. LB-UBS COMMERCIAL 2005-C7: S&P Lowers SP-7 Certs Rating to 'CCC-' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven Station Place I loan-specific classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2005-C7, a U.S. CMBS transaction. The nonpooled SP classes in this U.S. CMBS conduit transaction are backed by the $63.0 million subordinate component (as of the July 17, 2025, trustee remittance report) of a 20-year, 5.531% fixed interest rate, 30-year partially amortizing (interest-only [IO] payments for the last three years) mortgage whole loan currently totaling $136.0 million. The whole loan matures Sept. 11, 2025, and is secured by the borrower's fee-simple interest in Station Place I, a 2004-built, 11-story, 707,483-sq.-ft. class A office building in the NoMa office submarket of Washington, D.C. Rating Actions The downgrades on classes SP-1, SP-2, SP-3, SP-4, SP-5, SP-6, and SP-7 primarily reflect: -- S&P's lower revised value, which is 32.1% below the valuation it derived in its last review in September 2023. This is primarily driven by its dark value analysis reflecting the uncertainty surrounding the sole office tenant's, the U.S. Securities and Exchange Commission (SEC), long-term intent at the property. The SEC's lease currently expires Sept. 30, 2028, and, according to the special servicer, the borrower is working with the tenant to potentially extend the lease. -- The loan, which matures in September 2025, has a current payment status and was recently transferred to special servicing on June 2, 2025, because of imminent maturity default. The borrower has indicated that it is currently unable to refinance the loan by its maturity date. The special servicer has ordered an updated appraisal report and is in discussions with the borrower to resolve the special servicing transfer. Although the model-indicated ratings were lower than the current ratings for classes SP-3 and SP-5, S&P tempered its downgrades on these classes because S&P qualitatively considered the following: -- The potential for the SEC to extend its lease beyond September 2028. There is currently about $18.0 million in leasing reserves. The tenant has successfully extended its lease --from 2019 to 2023 and then again to 2028. -- That the workout strategy continues to sweep excess cash flow into a lender-controlled reserve account. As of year-end 2024, the reported debt service coverage was 2.61x. According to the special servicer, about $21.2 million is currently held in lender-controlled debt service and excess accounts. -- The closeness of these two classes' cumulative balances to the rating outcomes relative to the model-indicated ratings. S&P said, "The downgrade on class SP-7 to 'CCC- (sf)' further reflects our qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions and that this class is vulnerable to default. According to the July 2025 trustee remittance report, class SP-7 incurred $12,688 in interest shortfalls this month primarily due to special servicing fees. If the interest shortfalls remain outstanding for a prolonged timeframe or are not repaid by the borrower timely, we may further lower our rating on class SP-7 to 'D (sf)'. "We will continue to monitor the performance of the property and loan, as well as the ongoing workout discussions between the borrower and special servicer. If we receive information that differs materially from our expectations, such as an updated appraisal value and/or property performance that is below our expectations, or a special servicing workout that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take further rating actions as we determine appropriate." Property-Level Analysis Updates S&P said, "In our September 2023 review, we noted that the sole office tenant, the SEC, extended its lease term by five years to September 2028 with no termination or contraction options; however, the collateral property's office submarket had softened, like most central business district office submarkets. At that time, we assumed an 85.0% occupancy rate, a $47.24 per sq. ft. S&P Global Ratings' gross rent, and a 47.9% operating expense ratio to arrive at an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $13.0 million. Utilizing a 6.75% S&P Global Ratings' capitalization rate and adding $21.0 million of upfront leasing reserves, we derived an S&P Global Ratings' value of $214.3 million or $303 per sq. ft. "Since then, we considered the current administration's emphasis on reducing the scope of the federal government and have concerns with the tenant's longer-term intent at the property. In addition, the NoMa office submarket, where the property is located, continues to experience elevated vacancy and availability rates for 4- and 5-star office properties. According to CoStar, the vacancy rate was 14.8%, the availability rate was 19.3%, and the market asking rent was $52.42 per sq. ft. as of July 2025. CoStar projects vacancy and asking rent for 4- and 5-star office properties to be relatively the same at 15.1% and $52.40 per sq. ft., respectively, in 2028, when the SEC lease expires. "In our current review, we assessed the property as if it was vacant and used a dark value analysis. We assumed an 80.0% stabilized occupancy, a $52.62 per sq. ft. S&P Global Ratings' gross rent (in line with the current submarket fundamentals), a 45.6% operating expense ratio, and higher tenant improvement costs to arrive at an S&P Global Ratings' NCF of $13.4 million. Utilizing an S&P Global Ratings' capitalization rate of 7.50% (up 75 basis points from our September 2023 review to reflect our credit view of the quality of the office property in a weak office submarket, as well as the transitional nature of the property assuming it leases up to an 80.0% occupancy after the SEC fully moves out), deducting net lease-up costs of $38.7 million for additional tenant improvements and leasing commissions, and a two-year downtime (offset by the $18.0 million upfront leasing reserves) to arrive at our as-dark value of $145.5 million ($205 per sq. ft.), 32.1% lower than our last review value of $214.3 million." Table 1 Servicer-reported collateral performance 2024(i) 2023(i) 2022(i) Occupancy rate (%) 100.0 100.0 100.0 Net cash flow (mil. $) 23.4 21.1 20.5 Debt service coverage (x) 2.61 2.35 1.82 Appraisal value (mil. $)(ii) 350.0 350.0 350.0 (i)Reporting period. (ii)At issuance, as of June 21, 2005. Table 2 S&P Global Ratings' key assumptions Current review Last review (August 2025)(i) (Sep 2023)(i) Whole loan balance (mil. $) 136.0 159.9 Occupancy rate (%) 80.0 85.0 Net cash flow (mil. $) 13.4 13.0 Capitalization rate (%) 7.50 (ii) 6.75 Net add/deduct to value (mil. $)(iii) (38.7) 21.0 Value (mil. $) 145.5 214.3 Value per sq. ft. ($) 205 303 Loan-to-value ratio (%)(iii) 93.5 74.6 (i)Review period. (ii)Reflects an S&P Global Ratings' base capitalization rate of 7.25% plus 25 basis points for our assumed transitional nature of the property via the dark value analysis. (iii)The deduction from value in the July 2025 review reflects our projected net additional costs to lease up the property in about two years at 80.0% occupancy assuming the sole office tenant, the SEC, fully vacates. The add-to-value in our September 2023 review includes $21.0 million of upfront leasing reserves. (iv) Based on the whole loan balance at the time of our review. Ratings Lowered LB-UBS Commercial Mortgage Trust 2005-C7 Class SP-1 to 'A+ (sf)' from 'AA (sf)' Class SP-2 to 'BBB+ (sf)' from 'A+ (sf)' Class SP-3 to 'BBB- (sf)' from 'A- (sf)' Class SP-4 to 'BB+ (sf)' from 'BBB+ (sf)' Class SP-5 to 'BB (sf)' from 'BBB (sf)' Class SP-6 to 'B+ (sf)' from 'BB+ (sf)' Class SP-7 to 'CCC- (sf)' from 'B- (sf)' LONG POINT IV: Fitch Affirms 'BB-sf' Rating on $575MM Cl. A Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings for the $575 million series 2022-1 class A Principal At-Risk Variable Rate notes due June 1, 2026, issued by Long Point Re IV Ltd., a registered special purpose insurer in Bermuda. Entity/Debt Rating Prior ----------- ------ ----- Long Point Re IV Ltd. $575 million Series 2022-1 Class A Principal At-Risk Variable Rate Notes due June 1, 2026 54279PAA3 LT BB-sf Affirmed BB-sf Repayment of principal and payment of interest on the notes will be linked to the occurrence of one or more Covered Events. In the event of a significant Covered Event, the notes may be extended to a final redemption date of June 1, 2030 (if there is an extension, the Risk Interest Spread will be reduced). Transaction Summary The series 2022-1 class A notes provide, per occurrence, indemnity coverage to various insurance subsidiaries or affiliates of Travelers (IFS: AA/Stable) for Covered Events due to tropical cyclones, earthquakes, severe thunderstorms and winter storms. The Covered Area is restricted to the northeast U.S. and includes Connecticut, Delaware, District of Columbia, Maine, Maryland, Massachusetts, New Hampshire, New Jersey, New York, Pennsylvania, Rhode Island, Virginia, Vermont and all contiguous waters thereto. There has not been any principal reduction to the notes despite significant insured losses due to natural catastrophes in 2024 (estimated around $135 billion) and in the first half of 2025 (estimated around $85 billion). However, the notes are exposed only to Covered Events that occur in the Fourth Annual Risk Period, which began May 25, 2025 and lasts until May 24, 2026. KEY RATING DRIVERS The rating on the Notes is determined by using a weakest link approach amongst the Covered Event risk, ceding insurer counterparty risk and permitted investments credit risk. For Long Point Re IV, the implied rating of the Covered Event remains the weakest link. Covered Event Fitch received an updated risk analysis report produced by Verisk (the Reset Agent) using the sequestered catastrophe model and updated property exposures provided by Travelers. The report corresponds to the Fourth Annual Risk Period. The updated Trigger Amount was raised to $2,877,000,000, such that the Modeled Expected Loss remained unchanged at 1.127%. The Risk Interest Spread is unchanged at 4.25%, which is formula-driven based on any changes to the Modeled Expected Loss. The updated Insurance Percentage is unchanged at 100%, which establishes the updated Exhaustion Amount at $3,462,000,000. The updated Modeled Exhaustion Probability is 1.000%. The updated Trigger Probability was 1.280%, which indicates an implied rating of the insurance risk of 'BB-'. The calibration matrix in Fitch's "Insurance-Linked Securities Rating Criteria" indicates the 'BB-' range is between 0.737% to 1.989%. Ceding Insurer Counterparty Travelers (and subsidiaries) is one of the more highly rated insurers in Fitch's P&C universe. Travelers is responsible for the periodic payment of the Risk Interest Spread to Long Point Re IV Ltd., which in turn, is used to pay a portion of the variable rate to noteholders. Permitted Investments Credit Assets held in the Reinsurance Trust Account are U.S. money market funds. Any nominal yield produced by these investments, in addition to the Risk Interest Spread, constitutes the variable rate of this note. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - The rating is sensitive to the occurrence of a qualifying natural catastrophe events. If such an event occurs which results in a loss of principal, Fitch will downgrade the notes to reflect an effective default. - To a lesser extent, the notes may be downgraded if Travelers' credit ratings, or the permitted investments were significantly downgraded to a level commensurate to the implied rating of the natural catastrophe risk. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - It is unlikely that an upgrade will occur since then note is expected to mature on June 1, 2026 (absent any qualifying natural catastrophe event). 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The rating assigned to the notes is linked the Travelers Indemnity Company's Long-Term Issuer Default Rating (IDR), based on its commitment to pay the premium payment. A change in the Long-Term IDR may result in a change in the notes' rating. Any changes to Fitch's view of the transaction agreements, deterioration of the counterparties' credit quality or deterioration in the catastrophe risk assessment may result in a downgrade of the notes. MAGNETITE 50: Fitch Assigns 'BBsf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite 50, Limited. Entity/Debt Rating ----------- ------ Magnetite 50, Limited 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 BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite 50, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.35% first-lien senior secured loans and has a weighted average recovery assumption of 73.32%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets 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 Magnetite 50, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MIDOCEAN CREDIT XVIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XVIII. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XVIII A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating D-3 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary MidOcean Credit CLO XVIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.39, 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 95.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 2.2-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 'BBB-sf' and 'A+sf' for class B, between 'BBsf' and 'BBB+sf' for class C, between 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3, and between less than 'B-sf' and '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, 'Asf' for class D-2, 'BBB+sf' for class D-3, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XVIII. 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. MJX VENTURE II: Moody's Cuts Rating on Series A/Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by notes issued by Venture XXVII CLO, Limited: US$1,525,000 Series A/Class C Notes due 2030, Upgraded to Aaa (sf); previously on August 23, 2023 Upgraded to Aa1 (sf) Moody's have also downgraded the rating on the following notes: US$1,475,000 Series A/Class E Notes due 2030, Downgraded to B1 (sf); previously on October 24, 2024 Downgraded to Ba3 (sf) The Series A/Class C Notes and Series A/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXVII CLO, Limited (the "Underlying CLO"). The Rated Notes were issued in May 2017 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Series A/Class C notes is primarily a result of deleveraging of the senior notes of the Underlying CLO and an increase in the transaction's over-collateralization (OC) ratios since October 2024. The Class A-R notes of the Underlying CLO have been paid down by approximately 78% or $207.2 million since then. Based on Moody's calculations, the OC ratios for the Class C-R notes of the Underlying CLO is currently 140.98% versus October 2024 level of 121.19%. The downgrade rating action on the Series A/Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes of the Underlying CLO is 100.28% versus October 2024 level of 102.90%. Furthermore, Moody's calculated weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 3420 compared to 2969 in October 2024. No actions were taken on the Series A/Class A, Series A/Class B and Series A/Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions in relation to the Underlying CLO: Performing par and principal proceeds balance: $233,827,822 Defaulted par: $7,529,822 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3420 Weighted Average Spread (WAS) (before accounting for reference rate floors)]: 3.46% Weighted Average Coupon (WAC): 8.0% Weighted Average Recovery Rate (WARR): 46.92% Weighted Average Life (WAL): 2.7 years Par haircut in OC tests and interest diversion test: 3.20% 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. MORGAN STANLEY 2014-C16: Moody's Cuts Cl. PST Certs Rating to Ba3 ----------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the rating on one class in Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16, Commercial Mortgage Pass-Through Certificates, Series 2014-C16 as follows: Cl. C, Affirmed Ba3 (sf); previously on Oct 15, 2024 Downgraded to Ba3 (sf) Cl. PST, Downgraded to Ba3 (sf); previously on Oct 15, 2024 Downgraded to Ba2 (sf) RATINGS RATIONALE The rating on the P&I class, Cl. C, was affirmed based on Moody's expectations of principal recovery from the remaining loan in the pool. Cl. C has already paid down 80% from its original balance and will benefit from priority of principal proceeds from further loan paydowns or liquidations. The rating on the exchangeable class, Cl. PST, was downgraded due to a decline in the credit quality of its referenced classes as a result of principal paydowns from higher quality reference classes. Cl. PST originally referenced classes A-S, B and C, however, Classes A-S and B have previously paid off in full and Cl. C is the only outstanding referenced class. 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. The transaction's Issuer Profile Score (IPS) is S-4 and the Credit Impact Score is CIS-4. Moody's rating action reflects a base expected loss of 63.5% of the current pooled loan balance, compared to 50.4% at Moody's last review. Moody's base expected loss plus realized losses is now 9.1% of the original pooled balance, compared to 10.1% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 18% of the pool is in special servicing and Moody's have identified additional troubled loans representing 82% 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 class(es). FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in 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 17th, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 86% to $177 million from $1.27 billion at securitization. The certificates are collateralized by six mortgage loans and the deal is currently under-collateralized by approximately $1.2 million as a result of a prior loan modification for the Outlets of Mississippi. Three of the remaining loans, for an aggregate 18% of the pooled certificate balance, are in special servicing and have been deemed non-recoverable by the master servicer. The remaining loans have passed their original anticipated repayment (ARD) or maturity dates. As of the July 2025 remittance date the cumulative interest shortfalls were $9.8 million impacting up to Cl. E. Moody's anticipates interest shortfalls will continue due to the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's anticipates shortfalls to continue and potential increase if additional loans transfer to special servicing. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $3.7 million (for a loss severity of 69%). The largest specially serviced loan is the Cascade Station I & II Loan ($20.4 million – 11.6% of the pool), which is secured by a 128,000 SF, two-building, office property located in the airport submarket of Portland, Oregon. The loan transferred to special servicing in April 2024 and failed to pay off at its May 2024 maturity. After the departure of several tenants, the property's occupancy was only 32% in December 2024 and the property's 2024 cash flow was insufficient to cover its operating expense. The asset became REO in June 2024. According to servicer commentary, the Cascade II property is listed for sale or lease and they are working on lease-up for the Cascade I property. As of the July 2025 remittance statement, the loan was last paid through June 2024 with approximately $681,215 of aggregate advances outstanding. Due to the performance trends, Moody's expects a significant loss on this loan. The second largest specially serviced loan is the Park Place Plaza Loan ($5.3 million – 3.0% of the pool), which is secured by a 125,515 SF unanchored retail shopping center in Vineland, New Jersey. The loan transferred to special servicing in October 2024 after passing its June 2024 maturity date. The property was 95% leased as of March 2025. According to servicer commentary, the special servicer is moving forward with enforcements actions while continuing discussions with the borrower. As of the July 2025 remittance statement was last paid through June 2025. The third specially serviced loan is the Carlisle Medical Loan ($5.2 million – 2.9% of the pool), which is secured by a 46,768 SF medical office property, located in Carlisle, Pennsylvania. The loan transferred to special servicing in May 2024 and the borrower was unable to refinance at the maturity date in June 2024. The property was 52% leased as of March 2024 and as of the July 2025 remittance statement was last paid through May 2024 with approximately $264,352 of loan advances outstanding. Moody's have also assumed a high default probability for two remaining non-specially serviced loan exposures, representing 82% of the pool balance, and have estimated an aggregate loss of $112 million (a 64% expected loss on average) from these specially serviced and troubled loans. The largest exposure is the State Farm Portfolio Loan ($83.3 million – 47.4% of the pool), which represents a pari passu portion of a $319.5 million mortgage loan. There is also $86.5 million of mezzanine financing. The loan was originally secured by fee simple interests in 14 suburban office properties across 11 states. At securitization, all the properties were 100% leased and occupied by State Farm pursuant to individual leases executed by State Farm in November 2013. All leases have a 15-year term and run until November 2028, except the leases for Greeley South property and the Greeley North property. The loan passed its ARD in April 2024 and as a result, all excess cash flow after debt service is swept and applied to pay down principal. The loan has a final maturity date in April 2029. It is reported that State Farm has vacated all of the properties and offered up many of the locations for sublease. State Farm has no lease termination rights and continues to pay rent and perform its obligations under the lease. In September 2023, the loan transferred to special servicing due to non-monetary default ahead of the April 2024 maturity date. The loan was recently returned to the master servicer in January 2025 after the sale and release of the Tulsa location which resulted in a principal paydown. The loan will remain in a cash sweep through the final maturity date. As of the July 2025 remittance, the loan was current on debt service payments and had amortized 16.7% since securitization, mainly due to the paydown from the Tulsa property sale. Given the tenancy profile, the loan may face heightened refinance risk at its final maturity, however, the loan is expected to amortize further and may further paydown if there are additional asset sales. The second and third largest exposure is the Outlets of Mississippi A-note ($28.0 million -- 15.9% of the pool) and Outlets of Mississippi B-note ($33.7 million -- 19.2% of the pool) which are secured by a 300,000 SF outlet mall located in Pearl, Mississippi. The B-note is a hope note that was created as part of a loan modification in December 2020. The loan transferred to special servicing in November 2018 for imminent default due to cash flow issues. The property's NOI has remained significantly below levels at securitization and due to declining rental revenues the reported 2024 NOI was 76% lower than in 2014. The property was 85% leased as of December 2024 compared to 81% in December 2019 and 100% in December 2015. If performance does not materially improve from its current levels, Moody's anticipates it may have heightened refinance risk at its previously extended maturity date in June 2026. MORGAN STANLEY 2025-NQM5: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned unit developments, condominiums, and two- to four-family residential properties. The pool consists of 831 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including reviewed originator Hometown Equity Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, which is updated if necessary, when these projections change materially. Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5 Class A-1-A, $223,602,000: AAA (sf) Class A-1-B, $33,574,000: AAA (sf) Class A-1, $257,176,000: AAA (sf) Class A-2, $19,305,000: AA- (sf) Class A-3, $31,056,000: A- (sf) Class M-1, $11,416,000: BBB- (sf) Class B-1, $6,043,000: BB (sf) Class B-2, $6,715,000: B (sf) Class B-3, $4,029,075: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,789,875: NR Class PT, $318,950,200: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $335,740,075. NR--Not rated. NEUBERGER BERMAN 34: Fitch Assigns BB-sf Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 34, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 34, Ltd X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-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 Neuberger Berman Loan Advisers CLO 34, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers LLC that originally closed in December 2019 and was first refinanced in February 2022. The CLO's secured notes will be refinanced on Aug. 5, 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 $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 23.82, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.33% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.44% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class 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 X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are '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 '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 Neuberger Berman Loan Advisers CLO 34, 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. NMEF FUNDING 2025-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to the NMEF Funding, LLC 2025-B (NMEF 2025-B) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by North Mill Equipment Finance, LLC (NMEF). It is the second Fitch-rated transaction of the equipment contract backed notes issued under the NMEF platform. Entity/Debt Rating ----------- ------ NMEF Funding 2025-B A-1 ST F1+(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 LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Diverse Segment Mix: The 2025-B transaction primarily consists of contracts secured by the following equipment types: all other (24.67%), medical (21.19%), vocational (11.66%), construction (11.27%) and franchise (11.02%). The medical equipment segment was first included in the 2019-A transaction and is the strongest performing segment to date. Similarly, 2025-B has also experienced a positive shift in credit tiers with approximately 82.84% in the best credits, tiers 1 and 2, compared with 81.32% in 2025-A. The weighted average (WA) FICO score is 746, the highest to date for the platform. Given the generally low obligor concentrations, the stress loss approach is the primary rating driver. Forward-Looking Approach to Derive Rating Case Loss Proxy: While default performance has been volatile historically, North Mill's managed portfolio and securitizations, net losses have largely improved due to shifts in collateral mix and improved credit tiering. Recent vintages have experienced marginally higher losses, attributable to the recent stress in the transportation sector. Fitch accounted for this volatility by assuming a stressed recovery rate and incorporating the performance of recent 2019-2021 vintages in its forward-looking rating case cumulative net loss (CNL) proxy derivation of 7.50%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 18.88% exposure to the transportation sector, higher than 18.42% for 2025-A, which has been under stress for over a year. The top 10 obligors represent 8.80% of the 2025-B pool, down from 11.46% in 2025-A; no obligors represent more than 1.44% of the pool. Initial credit enhancement (CE) to class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors, respectively, on a net coverage basis at close, under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2025-B is highest for the platform since 2019-A. Total initial hard CE for NMEF 2025-B class A, B, C, D, and E notes is 38.90%, 31.40%, 24.20%, 17.10%, and 11.70%, respectively, comprising subordination, a nondeclining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 10.70% of the initial discounted pool balance. Additionally, all classes benefit from 0.26% per annum of excess spread. At a 7.50% rating case CNL proxy, the transaction structure can support 5.0x, 4.0x, 3.0x, 2.0x, and 1.5x loss multiples for class A, B, C, D, and E notes, respectively. 2025-B is the first transaction for the platform to include a 'AAsf' tranche. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes North Mill has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. The 2025-B collateral pool also includes about 21% of Pawnee-originated assets. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 5.50%, based on its global economic outlook and asset class outlook and North Mill's managed pool and historical securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage available to the notes. Unanticipated decreases in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch increases the rating case CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. These analyses are intended to indicate the rating sensitivity of notes to an unexpected deterioration in a transaction'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 CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for class B, C, and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 100 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through via the link contained at the bottom of the related rating action commentary. 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. OAKTREE CLO 2025-31: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings Oaktree CLO 2025-31 Ltd./Oaktree CLO 2025-31 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree Capital Management L.P. The preliminary ratings are based on information as of July 31, 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 Rating Assigned Oaktree CLO 2025-31 Ltd. Class A, $256.00 million: AAA (sf) Class B, $48.00 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, $35.00 million: Not rated ONITY LOAN 2025-HB1: DBRS Finalizes B Rating on Class M5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2025-HB1 issued by Onity Loan Investment Trust 2025-HB1 as follows: -- $261.3 million Class A at AAA (sf) -- $22.6 million Class M1 at AA (low) (sf) -- $16.1 million Class M2 at A (low) (sf) -- $12.9 million Class M3 at BBB (low) (sf) -- $9.7 million Class M4 at BB (low) (sf) -- $14.5 million Class M5 at B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The AAA (sf) credit rating reflects 19.0% of credit enhancement (CE). The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 12.0%, 7.0%, 3.0%, 0.0%, and -4.5% of CE, respectively. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (April 30, 2025), the collateral has approximately $322.54 million in unpaid principal balance (UPB) from 1,091 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate owned (REO) assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 2002 and 2021. Of the total assets, 115 have a fixed interest rate (16.48% of the balance), with a 5.41% weighted-average (WA) interest rate. The remaining 976 assets have floating-rate interest (83.52% of the balance) with a 6.78% WA interest rate, bringing the entire collateral pool to a 6.55% interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides CE in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (August 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4 and M5 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Payment Amount, Cap Carryover Amount, and Note Amount. Notes: All figures are in U.S. dollars unless otherwise noted. P11 COMMERCIAL 2025-P11: DBRS Gives Prov. BB Rating on E Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-P11 (the Certificates) to be issued by P11 Commercial Mortgage Trust 2025-P11: -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (sf) -- Class HRR at (P) BB (low) (sf) All trends are Stable. The P11 Commercial Mortgage Trust 2025-P11 single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in PENN 11, a 26-story, 1.2 million-square-foot (sf) office tower. Located in Midtown Manhattan (Midtown), on Seventh Avenue between West 31st Street and West 32nd Street, the collateral is directly across the street from Madison Square Garden and Pennsylvania Station, in the heart of the PENN District. The office tower was constructed in 1926 but has since seen major renovations to bring the property to Class A office quality standards. The most recent renovations -- started in 2017 and completed in 2023 for a total cost of $16.7 million -- consist of refurbishment to the limestone facade, remodeling of the building's entrances, installation of a 560-sf display screen in the lobby for digital art, addition of crown lighting, and esthetic upgrades to the elevators. The collateral includes 15,263 sf of retail space that is supported by the bustling neighborhood foot traffic provided by Pennsylvania Station, the busiest transportation hub in the Western Hemisphere, which is just steps away from the subject property. As of March 31, 2025, the property was 96.6% leased to 10 unique tenants. The largest tenant, Apple, representing 460,629 sf of space or 39.9% of the total net rentable area (NRA), occupies space that is leased to Macy's through 2035. In lieu of a traditional sublease, Apple is a direct tenant at PENN 11 via a bilateral recapture lease with Vornado Realty Trust (Vornado or the Sponsor), in which Apple pays rent directly to Vornado and Macy's is responsible for any overage rent. Macy's vacated the property in 2020, and Apple moved into the property in 2021 where it has since doubled its initial footprint, most recently renewing its lease through April of 2035, which lines up with Macy's lease expiration. The remaining 181,698 sf under the Macy's lease is subleased to the Sparc Group LLC (Sparc) through April 2029. Of the $38.2 million of base rent under the Macy's lease, Macy's remains responsible for approximately $2.8 million, which is the difference remaining after the Apple and Sparc leases and subleases are accounted for. The second-largest tenant at the property, AMC Networks Inc. (AMC; representing 323,922 sf of space or 28.1% of the total NRA), has a May 2027 lease expiration; however, it is anticipated that AMC will give notice to give back two floors upon their lease expiration at their upcoming lease renewal date on November 30, 2025. In total, 29.5% of the NRA will roll through 2030, which is the final year of the fully extended loan maturity. The loan lacks any upfront reserves to combat tenant turnover; however, it is structured with a trigger period whereby excess cash will be swept into a reserve for re-leasing the approximately 325,000 sf of office space occupied by AMC (if necessary), subject to a cap of $125 per sf (psf) or $40.5 million, which can be adjusted proportionately by any space renewed by AMC. The Sponsor for this transaction is one of the largest publicly traded real estate investment trusts (REITs) in the U.S. Vornado reported approximately $950 million in cash and cash equivalents and $1.5 billion in additional liquidity as of December 31, 2024. The REIT is an owner, manager, and developer of real estate, with the majority of its holdings in Midtown. Vornado has a vested interest in the success of the PENN District as exhibited by its extensive long-term ownership and recent $2.7 billion cash investment to transform the submarket. The $450.0 million loan equates to a Morningstar DBRS Loan-to-Value (LTV) of 85.9%, which is indicative of high leverage financing. To account for the high leverage, Morningstar DBRS reduced its LTV benchmark targets for this transaction. The high leverage point, combined with a lack of scheduled amortization, poses a potentially elevated refinance risk at maturity in the event that the appraised value does not remain stable. The loan would be able to withstand an implied market value decline of more than 46.1% based on the estimated market as-is value appraisal of the property of $972.0 million. The Morningstar DBRS value per unit of $454 psf is 38.5% below the appraiser's comparable sales at an average of $738 psf, and is 29.8% below the low end of the comparable range at $647 psf. The property's largest tenant, Apple (representing 39.9% of the total NRA and 41.9% of the total Morningstar DBRS base rent), is considered a long-term credit tenant by Morningstar DBRS with the lease on the majority of its space expiring in April 2035. Apple has expanded its footprint in the building since 2021 and uses the property to house its global media platforms, including Apple TV, Apple Podcast, and Apple Music. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the related classes. Notes: All figures are in U.S. dollars unless otherwise noted. PALMER SQUARE 2025-3: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2025-3 Ltd./Palmer Square CLO 2025-3 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 Palmer Square Capital Management LLC. The preliminary ratings are based on information as of July 31, 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 Palmer Square CLO 2025-3 Ltd./Palmer Square CLO 2025-3 LLC Class A-L(i), $163.50 million: AAA (sf) Class A, $156.50 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $43.25 million: Not Rated (i)All or a portion of the class A-L loans may be converted into class A notes. No portion of the class A notes may be converted into class A-L loans. Any such amount of class A-L loans converted will decrease the balance of class A-L loans and be associated with a corresponding increase to class A notes. PIKES PEAK 19(2025): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 19 (2025). Entity/Debt Rating Prior ----------- ------ ----- PIKES PEAK CLO 19 (2025) A-L Loans LT NRsf New Rating NR(EXP)sf A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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, 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 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. Date of Relevant Committee 24 July 2025 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. PROGRESS RESIDENTIAL 2024-SFR4: DBRS Confirms BB Rating on F1 Certs ------------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes from two U.S. single-family rental transactions as follows: AMSR 2024-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (sf) Progress Residential 2024-SFR4 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F1 confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class F2 confirmed at BB (low) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in U.S. dollars unless otherwise noted. RADNOR RE 2024-1: Moody's Upgrades Rating on Cl. M-1B Certs to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from mortgage insurance-linked notes issued by Radnor Re 2024-1 Ltd. The transaction was issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Radnor Re 2024-1 Ltd. Cl. M-1A, Upgraded to Ba1 (sf); previously on Sep 24, 2024 Definitive Rating Assigned Ba3 (sf) Cl. M-1B, Upgraded to B1 (sf); previously on Sep 24, 2024 Definitive Rating Assigned B2 (sf) Cl. M-1C, Upgraded to B2 (sf); previously on Sep 24, 2024 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transaction Moody's reviewed continues to display strong collateral performance, with cumulative losses under .01% and a small percentage of loans in delinquency. In addition, enhancement levels for all tranches upgraded have grown, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average 1.1x for the tranches upgraded. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. SALUDA GRADE 2025-LOC4: DBRS Gives Prov. B(low) Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Saluda Grade Alternative Mortgage Trust Asset-Backed Securities, Series 2025-LOC4 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2025-LOC4 (GRADE 2025-LOC4 or the Trust): -- $247.4 million Class A-1A at (P) AAA (sf) -- $35.6 million Class A-1B at (P) AAA (sf) -- $16.5 million Class M-1 at (P) AA (low) (sf) -- $14.8 million Class M-2 at (P) A (low) (sf) -- $13.5 million Class M-3 at (P) BBB (low) (sf) -- $13.2 million Class B-1 at (P) BB (low) (sf) -- $7.6 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 20.45% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 15.80%, 11.65%, 7.85%, 4.15%, and 2.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 2,932 loans with a total unpaid principal balance (UPB) of $355,660,960 and a total current credit limit of $433,256,273 as of the Cut-Off Date (May 31, 2025). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 27 months. All the HELOCs are current and 97.5% have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2025-LOC4 represents the sixth securitization of 100% HELOCs by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). The performance of the previous transactions to date has been satisfactory. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from five to 25 years and are no longer allowed to draw. All HELOCs in this transaction are floating-rate loans with interest-only (IO) payment periods aligned with their draw periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 93.2% after three months of seasoning on average. Transaction and Other Counterparties The mortgages were originated by Homebridge Financial Services, Inc. and its affiliates (49.9%), Better Mortgage Corporation (18.2%) and Angel Oak Mortgage Solutions LLC (14.6%) as well as other originators each comprising less than 10.0% of the pool by balance. Shellpoint will service all loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. WSFS Bank will also serve as the Custodian along with Wilmington Trust, National Association. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), Goldman Sachs Bank USA (rated A (high) with a Stable trend by Morningstar DBRS), as the VFL Lender, will be required to advance any such Net Draw up to the amount of $20,000,000 (VFL Commitment Amount) until June 2030. If the VFL Lender is not obligated to advance such amount, or after June 2030, the holder of the Issuer Trust Certificate will be required to fund any such portion of Net Draws. The Certificate Principal Balance of the Class G Certificates will increase by any such amount remitted by the VFL Lender or the holder of the Issuer Trust Certificate, as applicable. Saluda Grade, as holder of the Issuer Trust Certificates, will have an ultimate responsibility to ensure draws are funded as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the creditworthiness of the VFL Lender and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged off. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 20% of the Cut-Off Date UPB, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. Notes: All figures are in US dollars unless otherwise noted. SANTANDER 2025-NQM4: S&P Assigns Prelim B (sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2025-NQM4's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, a cooperative, two- to four-family units, and manufactured housing residential properties. The pool consists of 682 loans, which are qualified mortgage (QM) safe-harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM /ability-to-repay-compliant (ATR-compliant), or ATR-exempt loans. The preliminary ratings are based on information as of Aug. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers 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) Santander Mortgage Asset Receivable Trust 2025-NQM4 Class A-1, $224,092,000: AAA (sf) Class A-1A, $192,507,000: AAA (sf) Class A-1B, $31,585,000: AAA (sf) Class A-2, $22,583,000: AA (sf) Class A-3, $31,426,000: A (sf) Class M-1, $14,214,000: BBB (sf) Class B-1, $9,949,000: BB (sf) Class B-2, $8,370,000: B (sf) Class B-3, $5,211,501: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class PT, $315,845,501: 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 net weighted average coupon shortfall 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. SDART 2025-3: Fitch Assigns BBsf Final Rating on E Notes -------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-3. Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2025-3 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 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 KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2025-3 is backed by collateral consistent with that of prior SDART series, with a weighted average (WA) FICO score of 602 and an internal WA loan funded score (LFS) of 536. While the WA FICO score is the lowest on the platform since the 2023-6 transaction, the WA LFS score remains consistent with that of prior transactions over the past five years. WA seasoning is 4.11 months, a decrease from 4.48 months for 2025-2 and the lowest on the platform since 2024-3. New vehicles total 29.8% of the pool, up from 27.7% in 2025-2. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 93.2%, and greater than 72-month term loans total 20.2%, slightly up from 20.0% in 2025-2. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2025-3, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-3 is 15.00%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 37.85%, 29.55%, 20.50%, 10.20% and 5.40% for classes A, B, C, D and E, respectively, all slightly up from 2025-2. After a trend of declining hard CE over the past several transactions, initial hard CE increased in 2025-3. Excess spread is expected to be 10.04% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: SC has adequate abilities as the originator and underwriter and SBNA as the servicer, as evidenced by their historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/'F1'/Stable/. Fitch deems SBNA capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00% based on Fitch's "Global Economic Outlook — June 2025" report and transaction-based forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of hybrid and electric vehicles of approximately 5.6% did not have an impact on Fitch's ratings analysis or conclusion for this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2025-8: Fitch Assigns B(EXP)sf Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-8 (SEMT 2025-8). Entity/Debt Rating ----------- ------ SEMT 2025-8 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 445 loans with a total balance of approximately $550.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 445 loans totaling approximately $550.3 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 36.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 79.1% sustainable loan-to-value (sLTV) and a 71.2% mark-to-market combined LTV (cLTV). Overall, 94.0% of the pool loans are for a primary residence, while 6.0% are loans for second homes; 71.6% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as safe-harbor APOR qualified mortgage (QM) loans as determined by Fitch. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level compared to 10.5% nationally as of 1Q25 and down 0.5% 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 2.3% YoY nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period if losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially: first to the super-senior classes (A-9, A-12, A-18, and A-26F), concurrently on a pro-rata basis, and then to the senior-support A-21 certificate. In SEMT 2025-8, the servicing administrator (RRAC) will be obligated to advance delinquent P&I to the trust for all loans serviced by Select Portfolio Servicing (SPS) until deemed nonrecoverable, following initial reductions in the class A-IO-S strip and servicing administrator fees. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.4% 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, made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 22-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-8 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to strong counterparties and well-controlled operational considerations, which have a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOUND POINT III-R: Moody's Affirms B1 Rating on $21MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Sound Point CLO III-R, Ltd.: US$32.8M (Current outstanding amount US$17,221,487) Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 31, 2024 Upgraded to Aa1 (sf) Moody's have also affirmed the ratings on the following notes: US$21M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Oct 31, 2024 Affirmed B1 (sf) US$10M (Current outstanding amount US$11,285,813) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Ca (sf); previously on Oct 31, 2024 Downgraded to Ca (sf) Sound Point CLO III-R, Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2021. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the 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 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. Since October 2024, the Classes B and C notes have been fully repaid. The senior notes have paid down by approximately USD56.3 million, including USD15.6 million (47.5%) of Class D notes since the last rating action in October 2024 and cumulatively USD422.0 million since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated June 2025[1] the Class D and Class E OC ratios are reported at 184.29% and 101.39% compared to October 2024[2] levels of 141.74% and 103.51%, respectively. Moody's notes that the July 2025 principal payments are not reflected in the reported OC 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 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: USD42.9m Defaulted Securities: USD0.3m Diversity Score: 16 Weighted Average Rating Factor (WARF): 3792 Weighted Average Life (WAL): 2.44 years Weighted Average Spread (WAS): 4.07% Weighted Average Recovery Rate (WARR): 43.41% Par haircut in OC tests and interest diversion test: 9.5% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SOUND POINT XXI: Moody's Affirms B1 Rating on $22.5MM Cl. D Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO XXI, Ltd.: US$55M Class A-2 Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 22, 2023 Upgraded to Aa1 (sf) US$30M Class B Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Oct 10, 2018 Definitive Rating Assigned A2 (sf) Moody's have also affirmed the ratings on the following notes: US$315M (Current outstanding amount US$174,761,154) Class A-1A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 15, 2024 Assigned Aaa (sf) US$27.5M Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 21, 2020 Confirmed at Baa3 (sf) US$22.5M Class D Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Aug 22, 2023 Downgraded to B1 (sf) Sound Point CLO XXI, Ltd., issued in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class A-2 and Class B notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in May 2024. The affirmations on the ratings on the Class A-1A-R, Class C and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1A-R notes have paid down by approximately USD140.2 million (44.5%) since the last rating action in May 2024. As a result of the deleveraging, over-collateralisation (OC) has increased for the upgraded tranche. According to the trustee report dated July 2025[1] the Class A and Class B OC ratios are reported at 132.01% and 118.09% compared to April 2024[2] levels of 127.17% and 117.87%, respectively. Moody's note that the July 2025 principal payments are not reflected in the reported OC 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 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: USD331.93m Defaulted Securities: USD3.5m Diversity Score: 65 Weighted Average Rating Factor (WARF): 3212 Weighted Average Life (WAL): 3.13 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.53% Weighted Average Recovery Rate (WARR): 46.31% Par haircut in OC tests and interest diversion test: 3.2% 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, such as account bank, 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. 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. 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. SUNNOVA AURORA I: DBRS Puts Ratings on 2024-PR1 Debt on Review Neg. ------------------------------------------------------------------- DBRS, Inc. placed its credit ratings on three securities in the Sunnova Aurora I Issuer, LLC asset-backed securities (ABS) transaction, Series 2024-PR1, under review with negative implications. Debt Rating ---- ------ Series 2024-PR1 Class A Notes AA(low)(sf) Series 2024-PR1 Class B Notes A(sf) Series 2024-PR1 Class C Notes BB(sf) The credit rating actions are based on the following analytical considerations: -- On June 8, 2025, the Sunnova Energy International Inc. (Company) and certain of its subsidiaries voluntarily filed petitions for Chapter 11 relief in the United States bankruptcy court in the Southern District of Texas to facilitate a sale process for certain of the Company's assets and business operations. The Company intends to continue operating its business in the ordinary course throughout the sale process. -- On June 12, 2025, the bankruptcy court conditionally approved a debtor-in-possession financing (the "DIP Financing") of $90 million by a group including some of the company's bondholders to fund an in-court marketing process. Separately, the Company entered into a Stalking Horse purchase agreement with the DIP lenders to sell substantially all of its assets to the DIP lenders if no superior bid is received during its marketing process. The Stalking Horse agreement sets a minimum bid for an auction of the company's assets and is expected to be finalized by the end of July 2025. The execution of the Stalking Horse agreement is subject to the outcome of the sales process and will not be known until the end of July. -- If the Company executes the Stalking Horse purchase agreement, a new named successor servicer and manager will assume servicing of the lease contracts and management of the solar systems. The new named successor servicer is expected to subcontract certain servicing responsibilities to third parties. Additionally, the new named successor servicer is expected to maintain contractual relationships with existing Operations & Maintenance managers. -- Given the uncertain outcome of the bankruptcy and potential impact of the proposed servicing transfer on the transaction, all classes of notes have been placed on Under Review with Negative Implications. Morningstar DBRS will continue to monitor the bankruptcy process, the servicing transfer and evaluate asset performance following the servicer transfer. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. TMCL VII HOLDINGS 2025-1H: DBRS Finalizes BB Rating on B Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Fixed Rate Asset Backed Notes, Series 2025-1H (the Offered Notes) to be issued by TMCL VII Holdings Limited (the Issuer): -- $400,000,000 Class A Notes at BBB (sf) -- $50,000,000 Class B Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Offered Notes are based on Morningstar DBRS' review of the following considerations: (1) The Offered Notes are collateralized by the residual cashflows from seven marine container ABS transactions (Underlying Notes) issued by Textainer Marine Containers VII Limited (TMCL VII). Each series of Underlying Notes are secured by a specified collateral pool but can share funds to cover deficiencies at the bottom of the respective priority of payments for each series. (2) The cash flow scenarios run by Morningstar DBRS for the Offered Notes incorporate the (a) asset cash flows for each Underlying Transaction after application of the utilization, per diem rate, residual realization, and operating expense stresses commensurate with a BBB (sf) rating and a BB (sf) rating for each of the Class A and Class B Notes, respectively; (b) the priority of payments and salient structural provisions for each Underlying Transaction, including the effect from (in the case of each series, as applicable) (i) items in the priority of payments for the Underlying Transaction which are subordinated to interest and principal payments on the Offered Notes, subject to the Subordination Agreement, (ii) Early Amortization Events, (iii) Cash Sweep Events, (iv) Anticipated Repayment Dates (ARD), and (v) Advance Rates; (c) interest, fees, scheduled and supplemental principal payments, and other expenses due in connection with each series of the Underlying Notes; and (d) the priority of payments and salient structural features outlined in the Indenture for the Offered Notes. -- The cash flow scenarios assume the start of the first recessionary environment at the onset of this transaction and add the fourth recessionary period at the late stage of this transaction because of the extended sales curve assumed for disposition of older containers. (3) The transaction's capital structure and the form and sufficiency of available credit enhancement. -- Subordination (in the case of the Class A Notes), overcollateralization (OC), and the Restricted Cash Account, which covers six months of interest on the Offered Notes, create credit enhancement levels and liquidity that are commensurate with the ratings. -- The cash flow scenarios run by Morningstar DBRS confirmed the sufficiency of the credit enhancement and other structural provisions to facilitate ultimate payment of interest (other than Additional Interest and Default Interest) and ultimate repayment of principal of the Offered Notes by the Legal Final Maturity Date from the cash flows attributable to the TMCL VII Equity Interest which would be generated in the Underlying Transactions in a stressed environment commensurate with a BBB (sf) and a BB (sf) credit rating for the Class A and Class B Notes, respectively. (4) The assets of TMCL VII primarily comprise a pool of intermodal marine containers owned by it and managed by Textainer Equipment Management Limited (TMCL VII Manager or TEML) and TMCL VII's interest in the associated leases of such containers. Notable characteristics of the collateral owned by TMCL VII include the following: -- Collateral includes the most representative types of marine containers, with 76.9% of Net Book Value (NBV) of the underlying containers being standard dry freight containers. In addition, 94.9% of the collateral by NBV is subject to either long-term leases or finance leases, thus locking in per diem rates on and ensuring utilization of the collateral for longer periods of time. The weighted average remaining lease term (by NBV) for the outstanding leases is approximately 4.0 years. -- Approximately 75.2% (by NBV) of the containers were manufactured in 2020 or earlier. -- As is typical for the industry, the obligor mix is relatively concentrated, with the five largest lessees accounting for approximately 62.1% of the collateral pool (by NBV). The lessees primarily represent some of the leading container shipping liners. Container shipping liners' recent financial performance has been relatively strong, with record high profits achieved as recently as in 2021, and another solid year of financial performance expected for 2025. While such outstanding performance may not be sustainable in the long term, it bodes well for the near- to medium-term credit performance outlook for container lessors. (5) Structural features of this transaction trigger an accelerated principal amortization of the Offered Notes (a) if the Interest Coverage Ratio is out of compliance or (b) if credit enhancement deteriorates (Asset Base Deficiency). The Transaction also incorporates gradual scheduled deleveraging of the Offered Notes, with principal amortization switching to "full turbo" after the ARD in April 2029. (6) Textainer's capabilities with regard to managing the fleet of marine containers. Textainer is an experienced manager of marine container lease collateral, having started operations in 1979. Textainer has 13 offices worldwide and maintains a network of approximately 400 independent depot facilities in major port areas and inland locations around the world to perform services such as container storage, maintenance, repairs, handling and inspection. -- Morningstar DBRS has performed an operational review of Textainer and considers the entity to be an acceptable manager of the marine container leasing fleet as well as servicer for this transaction. (7) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (8) The legal structure and legal opinions that address true sale, enforceability, nonconsolidation, and security interest perfection issues, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the Offered Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the associated Note Interest Payment, Aggregate Note Principal Balance, and interest on unpaid interest. Notes: All figures are in US dollars unless otherwise noted. TOWD POINT 2025-CES2: DBRS Finalizes B(low) Rating on B2 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2025-CES2 (the Notes) issued by Towd Point Mortgage Trust 2025-CES2 (TPMT 2025-CES2 or the Trust): -- $349.0 million Class A1 at AAA (sf) -- $28.8 million Class A2 at AA (high) (sf) -- $20.1 million Class M1 at A (sf) -- $18.5 million Class M2 at BBB (low) (sf) -- $12.5 million Class B1 at BB (low) (sf) -- $6.9 million Class B2 at B (low) (sf) -- $28.8 million Class A2A at AA (high) (sf) -- $28.8 million Class A2AX at AA (high) (sf) -- $28.8 million Class A2B at AA (high) (sf) -- $28.8 million Class A2BX at AA (high) (sf) -- $28.8 million Class A2C at AA (high) (sf) -- $28.8 million Class A2CX at AA (high) (sf) -- $28.8 million Class A2D at AA (high) (sf) -- $28.8 million Class A2DX at AA (high) (sf) -- $20.1 million Class M1A at A (sf) -- $20.1 million Class M1AX at A (sf) -- $20.1 million Class M1B at A (sf) -- $20.1 million Class M1BX at A (sf) -- $20.1 million Class M1C at A (sf) -- $20.1 million Class M1CX at A (sf) -- $20.1 million Class M1D at A (sf) -- $20.1 million Class M1DX at A (sf) -- $18.5 million Class M2A at BBB (low) (sf) -- $18.5 million Class M2AX at BBB (low) (sf) -- $18.5 million Class M2B at BBB (low) (sf) -- $18.5 million Class M2BX at BBB (low) (sf) -- $18.5 million Class M2C at BBB (low) (sf) -- $18.5 million Class M2CX at BBB (low) (sf) -- $18.5 million Class M2D at BBB (low) (sf) -- $18.5 million Class M2DX at BBB (low) (sf) The AAA (sf) credit rating on the Notes reflects 21.75% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 15.30%, 10.80%, 6.65%, 3.85%, and 2.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2025-CES2 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CES2 (the Notes). The Notes are backed by 4,835 mortgage loans with a total principal balance of $445,988,972 as of the Cut-Off Date. The portfolio, on average, is 3 months seasoned, though seasoning ranges from one to 35 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 747, a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 75.4%, and are 100.0% originated with Issuer-defined full documentation. All the loans are current and 98.3% of the mortgage pool has been clean for the last 24 months or since origination. TPMT 2025-CES2 represents the tenth CES securitization by FirstKey Mortgage, LLC and second by CRM 2 Sponsor, LLC. Spring EQ, LLC (Spring EQ; 67.4%) and Rocket Mortgage, LLC (Rocket; 32.2%) are the main originators for the mortgage pool, with another 0.4% by other originator(s). Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 67.8%) and Rocket (32.2%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Administrative Trustee and Administrator. U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Custodians. CRM 2 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2025-CES2 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 17.9% of the loans are designated as non-QM, 16.4% are designated as QM Rebuttable Presumption, and 63.9% are designated as QM Safe Harbor. Approximately 1.9% of the mortgages are loans made to investors for business purposes or were originated by a Community Development Financial Institution (CDFI) and were not subject to the QM/ATR rules. The Servicers (except servicers servicing the Actual Serviced Mortgage Loans) will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the related servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in June 2028 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Notes minus the Class AX payment amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. TRIMARAN CAVU 2025-2: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trimaran CAVU 2025-2 Ltd./Trimaran CAVU 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC. The 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 Trimaran CAVU 2025-2 Ltd./Trimaran CAVU 2025-2 LLC Class A, $244.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $39.35 million: NR NR--Not rated. TRINITAS CLO IX: Moody's Cuts Rating on $30MM Class E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Trinitas CLO IX, Ltd.: US$28.2M Class C-RR Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded to Aa2 (sf) US$37.8M Class D Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Jul 20, 2021 Upgraded to Baa3 (sf) US$30M Class E Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Jul 20, 2021 Upgraded to Ba3 (sf) US$12M Class F Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Aug 3, 2020 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$224.1M (Current outstanding amount US$60,607,799) Class A-RRR Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 2, 2024 Assigned Aaa (sf) US$72M Class B-RRR Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 2, 2024 Assigned Aaa (sf) Trinitas CLO IX, Ltd., originally issued in November 2018 and later refinanced in 2020, 2021 and 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Trinitas Capital Management, LLC. The transaction's reinvestment period ended in November 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C-RR and D notes are primarily a result of the deleveraging of the Class A-RRR notes following amortisation of the underlying portfolio since the last rating action in August 2024. The Class A-RRR notes have paid down by approximately USD163.5 million (73.0%) in the last 12 months. 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 170.61%, 143.90%, 118.94% and 104.55% compared to August 2024[2] levels of 137.27%, 125.33%, 112.25% and 103.66%, respectively. Moody's notes that the July 2025 principal payments are not reflected in the reported OC ratios. The downgrades to the ratings on the Class E and F notes are due to the deterioration of the key credit metrics of the underlying pool since the last rating action in August 2024. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated July 2025[1], the WARF was 3586, compared with 3159 in the August 2024[2] report. Securities with ratings of Caa1 or lower currently make up approximately 18.6% of the underlying portfolio, versus 10.7% in August 2024. The affirmations on the ratings on the Class A-RRR and B-RRR 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 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: USD246.1m Defaulted Securities: USD3.17m Diversity Score: 46 Weighted Average Rating Factor (WARF): 3506 Weighted Average Life (WAL): 3.08 years Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 46.11% Par haircut in OC tests and interest diversion test: 3.15% 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. 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. VDCM COMMERCIAL 2025-AZ: DBRS Finalizes B(high) Rating on F Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-AZ (the Certificates) issued by VDCM Commercial Mortgage Trust 2025-AZ: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION VDCM Commercial Mortgage Trust 2025-AZ is a securitization collateralized by the borrower's fee-simple interest in three data center properties in Goodyear, Arizona. Morningstar DBRS generally takes a positive view on the overall transaction's credit profile based on the portfolio's strong credit tenancy profile, favorable property quality, institutional sponsorship and management, and affordable power rates. Retained Vantage Data Centers, LP (Vantage) is one of the largest data center owners globally with a portfolio of 35 campuses across five continents totaling more than 2.6 gigawatts (GW) of potential critical IT load capacity. Vantage's data center campuses are in top-tier markets such as Northern Virginia; Phoenix; Santa Clara; Frankfurt; the UK; and Hong Kong. Additionally, Vantage has committed to net zero operational carbon emissions by 2030 for scope 1 and 2 emissions and has committed to neutralizing all of its emissions (including scope 3) by 2040. Morningstar DBRS' credit ratings on the certificates reflect the transaction's elevated leverage, the long-term investment-grade tenant, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the quality of service provided by Vantage and the technology that can maintain the data center's relevance into the future. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence (AI) applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and colocation data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large-capacity storage and processing of information, whereas colocation centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Principal Distribution Amounts and Interest Distribution Amounts for the Class A, Class B, Class C, Class D, Class E, Class F, and Class HRR. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE CLO XXVII: Moody's Cuts Rating on $29.5MM E Notes to B3 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture XXVII CLO, Limited: US$30,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on August 23, 2023 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$29,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B3 (sf); previously on October 24, 2024 Downgraded to B1 (sf) Venture XXVII CLO, Limited, originally issued in May 2017 and partially refinanced in February 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2024. The Class A-R notes have been paid down by approximately 78% or $207.2 million since then. Based on Moody's calculations, the OC ratio for the Class C-R notes is currently 140.98% versus October 2024 level of 121.19%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes is 100.28% versus October 2024 level of 102.90%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3420 compared to 2969 in October 2024. No actions were taken on the Class A-R, Class B-R, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $233,827,822 Defaulted par: $7,529,822 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3420 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.46% Weighted Average Coupon (WAC): 8.0% Weighted Average Recovery Rate (WARR): 46.92% Weighted Average Life (WAL): 2.7 years Par haircut in OC tests and interest diversion test: 3.20% 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. WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LC22 issued by Wells Fargo Commercial Mortgage Trust 2015-LC22 as follows: -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class X-A at AAA (sf) -- Class X-E at BB (sf) -- Class X-F at B (high) (sf) -- Class PEX at A (low) (sf) Morningstar DBRS changed the trends on Classes D, X-E, and E to Stable from Negative. The trends on Classes F and X-F remain Negative. The trends on all other classes are Stable. The credit rating confirmations reflect pool performance that remains in line with Morningstar DBRS' expectations as evidenced by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of 1.57 times (x) and WA debt yield of 12.5% based on the most recent year-end financials. Previously, Morningstar DBRS cited specific concerns with the 40 Wall Street loan (Prospectus ID#1, 13.3% of the pool balance) regarding performance declines and increased maturity risk, previously supporting the Negative trends on Classes D, E, F, X-E, and X-F. The servicer confirmed the loan was repaid on June 13, 2025, and is expected to be reflected in the July 2025 remittance. Given confirmation of successful repayment, the pool's exposure to loans that Morningstar DBRS had identified as being at increased maturity risk has decreased, supporting the trend changes on Classes D, E, and X-E to Stable from Negative. Although a positive development for 40 Wall Street, Morningstar DBRS continues to monitor an additional eight loans, representing 27.5% of the pool for elevated maturity risk. These loans have been flagged given recent performance challenges, weakening submarket fundamentals, and generally less liquidity available for this property type. Notably, this includes the largest loan in the pool, The Meadows (Prospectus ID#2, 16.6% of the pool), which transferred to the special servicer in May 2025, discussed below. For the loans with elevated refinance risk, Morningstar DBRS applied an elevated probability of default (POD) penalty and/or a stressed loan-to-value ratio (LTV) in the analysis to increase the loan-level expected losses (ELs) for this review. Should these or other loans default, or should performance for the specially serviced loans deteriorate further, Morningstar DBRS' projected losses for the pool could increase, supporting the Negative trends on Classes X-F and F. As of the June 2025 remittance, 61 of the original 100 loans remain in the trust, with an aggregate balance of $509.9 million, representing a collateral reduction of 47.1% since issuance. The pool benefits from four loans, representing 2.6% of the pool balance, that have been fully defeased. An additional four loans, representing 20.3% of the pool, are in special servicing, one of which was analyzed under a liquidation scenario, HIE Natchez (Prospectus ID#45, 1.0% of the pool), resulting in an implied loss of $2.2 million, well contained in the unrated Class G. The largest loan in the pool, The Meadows, is secured by two Class A office buildings totaling 603,000 square feet in Rutherford, New Jersey. The loan transferred to special servicing in May 2025 and, according to the previous servicer commentary, the borrower requested the transfer to facilitate a loan modification. In recent years, the subject's occupancy and performance have declined with the YE2024 reporting noting a DSCR of 1.28x compared with 1.49x in YE2023. As of the April 2025 rent roll, occupancy declined to 79.0% from 85% at YE2023 with leases comprising a total of 12.0% of the net rentable area are expected to roll in the next 12 months. According to Reis, Inc., the submarket vacancy for the Rutherford/Lyndhurst submarket was 10.4% in Q1 2025; however, it is expected to increase to 17.1% by 2030. Given the recent declines in performance and expected softening of the submarket, Morningstar DBRS expects that the property's value has declined from the $128.0 million at issuance. In light of those concerns, coupled with the loan's transfer to special servicing, Morningstar DBRS stressed the LTV, applying a conservative cap rate to the YE2024 net cash flow, and increased the loan's POD. The resulting loan level EL was nearly triple the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C5: DBRS Gives (P) BB (high) Rating on E Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C5 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-5C5 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) A (high) (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class X-D at (P) BBB (high) (sf) -- Class X-E at (P) BBB (low) (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (high) (sf) -- Class F-RR at (P) B (high) (sf) All trends are Stable. The collateral for the Trust consists of 32 loans secured by 46 commercial and multifamily properties with an aggregate cut-off date balance of approximately $596.0 million. Two loans, representing 9.2% of the pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow (NCF) and their respective constants, the initial Morningstar DBRS weighted-average (WA) debt service coverage ratio (DSCR) of the pool was 1.38 times (x). Excluding the two shadow-rated loans, the DSCR drops to 1.28x. Of the 32 loans, 22, representing 59.7% of the pool, have a Morningstar DBRS DSCR of below 1.37x, which have historically had higher default frequencies. The WA Morningstar DBRS Issuance loan-to-value ratio (LTV) of the pool was 56.0% and the pool is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 55.6% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a moderate WA Morningstar DBRS Issuance LTV of 57.6% and a WA Morningstar DBRS Balloon LTV of 57.2%. Four of the 32 loans, representing 14.0% of the pool, have Morningstar DBRS issuance LTV ratios above 67.6%, which have historically had higher default frequencies. The transaction has a sequential-pay pass-through structure. Two loans, representing 9.2% of the pool, exhibited credit characteristics consistent with investment-grade shadow credit ratings. The Wharf, which makes up 8.4% of the pool, exhibited credit characteristics consistent with an investment-grade shadow credit rating of A (high). Making up 0.8% of the pool, 1535 Broadway exhibited credit characteristics consistent with an investment-grade shadow credit rating of AAA. Both conduit contributions are pari passu with Morningstar DBRS-rated single-asset/single-borrower transactions (WHARF Commercial Mortgage Trust 2025-DC and BWAY Trust 2025-1535, respectively). The pool's Morningstar DBRS issuance LTV is 56.0% (57.6% excluding shadow-rated loans), and it has a Morningstar DBRS Balloon LTV of 55.6% (57.2% excluding shadow-rated loans). Loans with Issuance LTVs below 67.6% have historically experienced below average default frequency. There are only four loans (14.0% of the pool) with Morningstar DBRS issuance LTVs above 67.6%. Representing 29.4% of the pool, 14 are within Morningstar DBRS market ranks of 6 or 7, which are indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Additionally, 17 loans, representing 51.3% of the pool, are in Metropolitan Statistical Area (MSA) Group 3, which represents the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. The property quality assessment of 11 loans, representing 66.8% of the sample and 55.8% of the pool, was Above Average or Average +. There were only two loans, representing 6.5% of the sample and 5.4% of the pool, that received a property quality assessment of Average -. The remaining loans in the pool received a property quality assessment of Average. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Morningstar DBRS conducted a cash flow underwriting review and cash flow stability and structural review on 19 of the 32 loans in the pool, representing 83.6% of the pool. The Morningstar DBRS sample has an average NCF variance of -16.3% that ranged from -2.3% to -38.4%. Representing 90.1% of the pool, 27 loans are being used to refinance existing debt. Additionally, two loans, representing 7.2% of the pool, are recapitalizations. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lender's, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. The refinance and recapitalization loans in the pool exhibit moderate leverage, with a WA Morningstar DBRS issuance LTV of 55.4% and a WA Morningstar DBRS Balloon LTV of 55.0%. The pool includes 28 loans, representing 86.4%, with interest-only (IO) payment structures throughout the loan term, meaning that the principal balance of these loans will remain unchanged unless a principal paydown is made. Loans with IO payment structures potentially face refinance risk at maturity in the event that the appraised values do not remain stable. The pool's IO loans generally exhibit low leverage, with a WA Morningstar DBRS issuance LTV of 56.4%. The pool also includes 24 loans, representing 69.6% of the pool, that exhibit negative leverage, defined as the issuer's implied cap rate (issuer's NCF divided by the appraised value), less the current interest rate. On average, the transaction exhibits -1.07% of negative leverage. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests borrowers are willing to have their equity returns reduced to secure financing. In the longer term, should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance its loans. Six loans, representing 26.1% of the pool, were assigned a Morningstar DBRS sponsor strength of weak, which increases the probability of default (POD) in Morningstar DBRS' model. Morningstar DBRS generally applied this to sponsors who had lower net worth and liquidity, a history of prior defaults, or a lack of experience in commercial real estate. These loans have a WA Morningstar DBRS issuance LTV of 62.1%, representing a moderate leverage point that has historically seen lower rates of default. Properties in New York City secure 13 loans, representing 24.4% of the pool. Conduit pools generally benefit from location diversity in case there is an adverse event affecting a certain location. Changes in New York and New York City government policy or local economic trends could negatively affect around a quarter of the loans in the pool secured by properties in New York City. All of the loans in New York City have an MSA group of 3 and a market rank of 6 or 7, which have historically seen lower default rates. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C5: Fitch Assigns B-sf Final Rating on F-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C5, commercial mortgage pass-through certificates, series 2025-5C5 as follows: - $4,000,000 class (a) A-1 'AAAsf'; Outlook Stable; - $150,000,000 (a) class A-2 'AAAsf'; Outlook Stable; - $263,191,000 (a) class A-3 'AAAsf'; Outlook Stable; - $417,191,000 (a)(b) class X-A 'AAAsf'; Outlook Stable; - $52,149,000 (a) class A-S 'AAAsf'; Outlook Stable; - $29,800,000 (a) class B 'AA-sf'; Outlook Stable; - $23,839,000 (a) class C 'A-sf'; Outlook Stable; - $105,788,000 (a)(b) class X-B 'A-sf'; Outlook Stable; - $22,350,000 (a)(c) class D 'BBB-sf'; Outlook Stable; - $22,350,000 (a)(b)(c) class X-D 'BBB-sf'; Outlook Stable; - $14,900,000 (a) (c) class E 'BB-sf'; Outlook Stable; - $14,900,000 (a)(b)(c) class X-E 'BB-sf'; Outlook Stable; - $10,429,000 (a)(c)(d) class F-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $25,330,459 (a)(c)(d) class G-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 3.05% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes F-RR, and G-RR certificates comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of July 8, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 46 commercial properties having an aggregate principal balance of $595,988,460 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., UBS AG New York Branch, Bank of Montreal, Greystone Commercial Mortgage Capital LLC, Zions Bancorporation, N.A., BSPRT CMBS Finance, LLC, and Natixis Real Estate Capital LLC. The master servicer is expected to be Trimont LLC, the special servicer is expected to be Argentic Services Company LP, and the operating advisor is expected to be Park Bridge Lender Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. Since Fitch published its expected ratings on July 8, 2025, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0 to $150,000,000, and the initial aggregate certificate balance of the class A-3 was expected to be in the range of $263,191,000 to $413,191,000. The final class balances for classes A-2 and A-3 are $150,000,000 and $263,191,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans totaling 92.1% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $57.1 million represents a 16.3% decline from the issuer's aggregate underwritten NCF of $68.3 million. Fitch Leverage: The pool 's Fitch leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.1% is lower than the 2025 YTD five-year multiborrower transaction average of 100.9% and higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.6% is in line with the 2025 YTD average of 9.6% and lower than the 2024 average of 10.2%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 67.1% of the pool, which is worse than both the 2025 YTD five-year multiborrower average of 61.5% and the 2024 average of 60.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.5. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/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'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WHITEBOX CLO V: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Whitebox CLO V LTD. Entity/Debt Rating ----------- ------ Whitebox CLO V LTD A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf 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 Notes LT NRsf New Rating Transaction Summary Whitebox CLO V LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Whitebox Capital 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. 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 99.75% first-lien senior secured loans and has a weighted average recovery assumption of 77.77%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1, between 'A-sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-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, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Whitebox CLO V 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. WP GLIMCHER 2015-WPG: S&P Lowers PR-1 Notes Rating to 'B (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from WP Glimcher Mall Trust 2015-WPG, a U.S. CMBS transaction. At the same time, S&P discontinued its ratings on four classes from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is currently backed by a portion ($105.0 million as of the July 8, 2025, trustee remittance report) of a 3.53% fixed-rate, interest-only (IO) mortgage whole loan totaling $225.0 million secured by the borrower's fee simple and leasehold interests in Pearlridge Center, a 1.14-million-sq.-ft. enclosed regional mall (903,692 sq. ft. of which serves as collateral for the whole loan) located about nine miles northwest of downtown Oahu in Aiea, Hawaii. The mall, built in 1972 and 1976, and renovated in 1996, is majorly subject to two ground leases that expire on Dec. 31, 2078, and Dec. 31, 2031, respectively. The $46.0 million subordinate component of the Pearlridge Center whole loan supports the loan specific certificate classes PR-1 and PR-2. The other loan in the transaction, Scottsdale Quarter, totaling $38.0 million, paid off in full, according to the July 2025 trustee remittance report. Rating Actions The downgrades on classes B, C, PR-1, and PR-2 primarily reflect: -- S&P's revised expected-case valuation for the mall property, which is 11.0% lower than the value it derived in its last published review in September 2022, primarily driven by our observed higher risk premium for class B malls. -- The loan transferred to special servicing on May 6, 2025, due to imminent maturity default. The loan matured on June 1, 2025, and the borrower was unable to pay it off. According to the special servicer, the borrower plans to turn the property over to the lender. -- The downgrade on the loan-specific class PR-2 to 'CCC (sf)' further reflects S&P's qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions, and that this class is vulnerable to default. -- The downgrade on the class X IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of class X references classes A, B, and C. S&P said, "We discontinued our ratings on classes A, SQ-1, SQ-2, and SQ-3 because these classes' balances have been repaid in full (albeit with a de minimis loss of $108 on class SQ-3) following the payoff of the Scottsdale Quarter loan, as noted in the July 2025 trustee remittance report. "We will continue to monitor the performance of the collateral mall and loan, as well as the eventual liquidation of the specially serviced loan. If we receive information that differs materially from our expectations, such as reported negative changes in the collateral performance beyond what we already considered, or a lower-than-expected appraisal value that negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Updates S&P said, "In our Sept. 21, 2022, review, we noted that Pearlridge Center's performance was relatively stable. At that time, we assumed an occupancy rate of 94.7%, an S&P Global Ratings' gross rent of $43.18 per sq. ft., and an operating expense ratio of 56.9% to arrive at an S&P Global Ratings long-term sustainable net cash flow (NCF) of $18.3 million. Using an S&P Global Ratings capitalization rate of 7.50% and adding to value the present value of the difference between our assumed and actual ground rent amounts and other adjustments of $12.0 million, we arrived at an expected-case value of $256.5 million." Since then, the servicer continued to report relatively stable performance with the collateral property's occupancy, after adjusting for known tenant movements, at about 93.9%, according to the March 31, 2025, rent roll. The property has manageable (less than 10% of net rentable area [NRA]) tenant rollover through 2035, except in 2026 and 2027 when 13.7% and 36.3% of the NRA rolls, respectively, or 18.0% and 16.5% of S&P Global Ratings' gross rent rolls, respectively. According to the March 2025 tenant sales report, the mall had in-line sales of about $487 per sq. ft. and an occupancy cost of 13.2%, as calculated by S&P Global Ratings. S&P said, "In our current property-level analysis, using a 93.9% occupancy rate, a $45.45-per-sq.-ft. S&P Global Ratings average gross rent, and a 57.1% operating expense ratio, we derived an S&P Global Ratings long-term sustainable NCF of $18.3 million (unchanged from our last published review). Using an S&P Global Ratings capitalization rate of 8.25%, up 75 basis points from our last published review of 7.50%, to account for our observed higher market risk premium for class B malls and adding to value $6.0 million for the present value of the difference between our assumed and actual ground rents, we arrived at an S&P Global Ratings expected-case value of $228.2 million, which is 46.6% lower than the issuance appraisal value of $427.5 million and an 11.0% decline from our last review value. This yields an S&P Global Ratings loan-to-value ratio of 98.6% on the whole loan balance." Table 1 Servicer-reported collateral performance Trailing-12-months ending March 31, 2025(i) 2024(i) 2023(i) 2022(i) Occupancy rate (%)(ii) 80.3 79.3 90.6 76.6 Net cash flow (mil. $) 20.8 21.8 22.8 20.1 Debt service coverage (x) 2.58 2.71 2.83 2.49 Appraisal value (mil. $)(iii) 427.5 427.5 427.5 427.5 (i)Reporting period. (ii)The servicer reported occupancy includes the noncollateral square footage in 2025, 2024, and 2022. The 2023 occupancy is on the collateral sq. ft. (iii)At issuance, as of April 15, 2015. Table 2 S&P Global Ratings' key assumptions Last published Current review review At issuance (August 2025)(i) (Sep 2022)(i) (July 2015)(i) Occupancy rate (%) 93.9 94.7 92.7 Net cash flow (mil. $) 18.3 18.3 18.3 Capitalization rate (%) 8.25 7.50 6.75 Add to Value (mil. $) (ii) 6.0 12.0 18.2 Value (mil. $) 228.2 256.5 289.8 Value per sq. ft. ($) 253 284 321 Loan-to-value ratio (%) (iii)98.6 87.7 77.6 (i)Review period. (ii)Primarily reflects the present value of the difference between the scheduled ground rent payments and our assumed ground rent expense (10 years beyond the loan term). (iii)On the whole loan balance of $225.0 million. Ratings Lowered WP Glimcher Mall Trust 2015-WPG Class B to 'BBB+ (sf)' from 'A+ (sf)' Class C to 'BB (sf)' from 'BBB (sf)' Class X to 'BB (sf)' from 'BBB (sf)' Class PR-1 to 'B (sf)' from 'BB- (sf)' Class PR-2 to 'CCC (sf)' from B+ (sf)' Ratings Discontinued WP Glimcher Mall Trust 2015-WPG Class A to NR from 'AA (sf)' Class SQ-1 to NR from 'BB- (sf)' Class SQ-2 to NR from 'B- (sf)' Class SQ-3 to NR from 'CCC (sf)' NR--Not rated. [] DBRS Confirms 36 Credit Ratings From 16 CPS Auto Trust Deals --------------------------------------------------------------- DBRS, Inc. confirmed 36 credit ratings, upgraded 21 credit ratings, and discontinued two credit ratings from 16 CPS Auto Receivables Trust transactions. The Affected Ratings are available at https://bit.ly/4lX3G3j The Issuers are: CPS Auto Receivables Trust 2021-B CPS Auto Receivables Trust 2022-B CPS Auto Receivables Trust 2024-D CPS Auto Receivables Trust 2022-D CPS Auto Receivables Trust 2022-C CPS Auto Receivables Trust 2023-D CPS Auto Receivables Trust 2023-C CPS Auto Receivables Trust 2023-B CPS Auto Receivables Trust 2023-A CPS Auto Receivables Trust 2024-C CPS Auto Receivables Trust 2021-C CPS Auto Receivables Trust 2024-B CPS Auto Receivables Trust 2021-D CPS Auto Receivables Trust 2024-A CPS Auto Receivables Trust 2025-A CPS Auto Receivables Trust 2022-A The credit rating actions are based on the following analytical considerations: -- For CPS Auto Receivables Trust 2021-B and CPS Auto Receivables Trust 2021-C, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2021-D through CPS Auto Receivables Trust 2024-A, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2024-B through CPS Auto Receivables Trust 2025-A, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectations. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] DBRS Hikes 9 Credit Ratings From 6 Westlake Automobile Trust --------------------------------------------------------------- DBRS, Inc. upgraded nine credit ratings and confirmed twenty-nine credit ratings from six Westlake Automobile Receivables Trust transactions as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/4lZh3jC The Issuers are: Westlake Automobile Receivables Trust 2022-2 Westlake Automobile Receivables Trust 2021-3 Westlake Automobile Receivables Trust 2024-2 Westlake Automobile Receivables Trust 2023-1 Westlake Automobile Receivables Trust 2025-1 Westlake Automobile Receivables Trust 2023-3 The credit rating actions are based on the following analytical considerations: -- For Westlake Automobile Receivables Trust 2021-3, Westlake Automobile Receivables Trust 2022-2, Westlake Automobile Receivables Trust 2023-1, and Westlake Automobile Receivables Trust 2023-3, although losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiples of coverage commensurate with the credit ratings. -- Westlake Automobile Receivables Trust 2022-2 has amortized to a pool factor of 24.04% and has a current CNL to date of 15.51%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.10%. Consequently, the revised base-case loss expectation was increased to 18.75%. As of the June 2025 payment date, the current overcollateralization amount is 0.00% relative to the target of 4.75% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account of 1.00% of the initial aggregate pool balance. As of the June 2025 payment date, as a result of the weaker than expected collateral performance, a capital contribution amount of $30,000,000 was made to the reserve account. Consequently, the end of period reserve account balance is $43,432,651.24 as of the current payment date compared to $15,214,633.92 as of the previous payment date. -- For Westlake Automobile Receivables Trust 2024-2 and Westlake Automobile Receivables Trust 2025-1, losses are tracking either in line with or below the Morningstar DBRS initial base-case CNL expectations. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Takes Rating Action on 19 Bonds From 7 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds and downgraded the ratings of two bonds from seven US residential mortgage-backed transactions (RMBS), backed by subprime and prime jumbo mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE4 Cl. M8, Upgraded to Caa1 (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-AB1 Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: Long Beach Mortgage Loan Trust 2006-5 Cl. I-A, Upgraded to Baa1 (sf); previously on Oct 11, 2024 Upgraded to Ba3 (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Nomura Home Equity Loan Trust 2006-FM1 Cl. II-A-4, Upgraded to Baa1 (sf); previously on Oct 9, 2024 Upgraded to Ba1 (sf) Issuer: Renaissance Home Equity Loan Trust 2004-1 AV-1, Upgraded to Baa1 (sf); previously on Oct 3, 2024 Downgraded to Ba1 (sf) AV-3, Upgraded to Baa1 (sf); previously on Oct 3, 2024 Downgraded to Ba1 (sf) M-2, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf) M-3, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) M-4, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) M-5, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust Cl. M-4, Downgraded to Caa1 (sf); previously on Jun 27, 2017 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 23, 2009 Downgraded to C (sf) Issuer: Wells Fargo Mortgage Backed Securities 2008-AR1 Trust Cl. A-1, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B1 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Jun 5, 2009 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Jun 5, 2009 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Jun 5, 2009 Downgraded to Ca (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Jun 5, 2009 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 on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade of Class M-4 from Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond 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. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Specifically, Class II-A-4 from Nomura Home Equity Loan Trust 2006-FM1, credit enhancement grew by 8% over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in 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 ou Moody's r 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 2 Bonds from 2 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has affirmed the rating of one bond and downgraded the rating of one bond from two US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: AFC Mtg Loan AB Notes 2000-4 Cl. 1A, Downgraded to Caa2 (sf); previously on May 23, 2025 Upgraded to Caa1 (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-4XS Cl. A-6A, Affirmed Caa2 (sf); previously on Oct 23, 2024 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating actions are driven by the fact that the collateral pools backing these transactions have decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's do not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, these classes have the benefit of support provided by a certificate guarantee. For structured finance securities with third party support, the rating applied is the higher of the support provider's rating and the rating without any consideration of the third-party support. The ratings reflect the rating of the support provider, MBIA Insurance Corporation. Given that these bonds do not currently carry underlying ratings, Moody's used the methodology "Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology," published in July 2022, to monitor the outstanding ratings on the notes. Principal Methodologies The methodologies used in these ratings were Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: An upgrade or downgrade of the support provider's rating could lead to the upgrade or downgrade of the rating. [] Moody's Takes Rating Action on 26 Bonds From 9 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 21 bonds and downgraded the ratings of five bond from nine 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: Ameriquest Mortgage Securities Inc., Series 2003-11 Cl. AF-5, Upgraded to Aa2 (sf); previously on Mar 29, 2011 Downgraded to A2 (sf) Cl. AF-6, Upgraded to Aa1 (sf); previously on Feb 14, 2019 Downgraded to Aa3 (sf) Cl. AV-1, Upgraded to Aa1 (sf); previously on Mar 29, 2011 Downgraded to A1 (sf) Cl. AV-2, Upgraded to Aa2 (sf); previously on Apr 16, 2013 Upgraded to A2 (sf) Cl. AV-4, Upgraded to Aa2 (sf); previously on Apr 16, 2013 Upgraded to A2 (sf) Cl. M-1, Downgraded to B1 (sf); previously on Feb 14, 2019 Downgraded to Ba3 (sf) Cl. M-4B, Upgraded to Caa1 (sf); previously on May 11, 2012 Downgraded to C (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on May 11, 2012 Downgraded to C (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on May 11, 2012 Downgraded to C (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC4 Cl. A, Downgraded to Caa1 (sf); previously on Aug 30, 2016 Downgraded to B2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 17, 2012 Downgraded to Ca (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 24, 2011 Downgraded to Ca (sf) Issuer: BNC Mortgage Loan Trust 2006-1 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A4, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 12, 2009 Downgraded to C (sf) Issuer: Option One Mortgage Loan Trust 2005-5 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: Option One Mortgage Loan Trust 2006-1 Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2005-CTX1 Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2006-BNC3 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corporation Mortgage Pass-Through Certificates, Series 2006-BC4 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A5, Upgraded to Ca (sf); previously on Mar 20, 2009 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 for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrades of the Classes AV-1, AV-2, AV-4, AF-5 and AF-6 from Ameriquest Mortgage Securities Inc., Series 2003-11 are a result of the improving performance of the related pool, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 3% on average over the past 12 months for the upgraded bonds. The rating downgrade of the Class M-1 is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. 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 32 Bonds from 14 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 18 bonds and downgraded the ratings of 14 bonds from 14 US residential mortgage-backed transactions (RMBS), backed by jumbo, subprime, Alt-A and option arm mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B2 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R10 Cl. M-3, Downgraded to Caa1 (sf); previously on May 12, 2015 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to B2 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3 Cl. M-8, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8 Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 18, 2016 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Argent Securities Inc., Series 2004-W11 Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2016 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to B2 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Bear Stearns ALT-A Trust 2004-11 Cl. I-M-1, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B3 (sf) Cl. I-M-2, Upgraded to Caa2 (sf); previously on Mar 14, 2011 Downgraded to C (sf) Issuer: Bear Stearns ARM Trust 2006-1 Cl. A-1, Downgraded to Caa1 (sf); previously on Dec 15, 2022 Downgraded to B2 (sf) Cl. A-2, Downgraded to B3 (sf); previously on Dec 15, 2022 Downgraded to B1 (sf) Cl. A-3, Downgraded to Caa1 (sf); previously on Dec 15, 2022 Downgraded to B2 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jul 29, 2013 Confirmed at Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-FS1 Cl. I-A-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE6 Cl. I-A-2, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-A, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Caa3 (sf) Issuer: BNC Mortgage Loan Trust 2007-1 Cl. A1, Upgraded to Caa1 (sf); previously on Aug 21, 2015 Upgraded to Caa3 (sf) Cl. A5, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA22 Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Cl. A-3, Upgraded to Ca (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FFH1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Mar 16, 2016 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 5, 2018 Upgraded to Caa3 (sf) Issuer: Fremont Home Loan Trust 2005-2 Cl. M-3, Downgraded to Caa1 (sf); previously on Jul 2, 2015 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Most of the downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 6 Bonds From 3 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds from three US residential mortgage-backed transactions (RMBS), backed by option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Structured Products Trust 2007-EMX1 Cl. M-3, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: RALI Series 2007-QO3 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 13, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: RALI Series 2007-QO4 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 13, 2013 Confirmed at Caa3 (sf) Cl. A-1-a, Upgraded to Caa1 (sf); previously on Sep 13, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 1, 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 for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 12 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 12 bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A and Option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2007-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Issuer: MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1 Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-A-1-1, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-A-1-2, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Cl. 2-A-1-3, Upgraded to Caa2 (sf); previously on Apr 17, 2014 Downgraded to Ca (sf) Cl. 2-A-1-4, Upgraded to Caa3 (sf); previously on Apr 17, 2014 Upgraded to Ca (sf) Cl. 2-A-1-6, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Issuer: RALI Series 2007-QA3 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Caa3 (sf) Issuer: RALI Series 2007-QA4 Trust Cl. A-1-A, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. A-1-B, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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 21 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 21 bonds from 10 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: Accredited Mortgage Loan Trust 2005-4 Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Cl. M-4, Upgraded to Ca (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4 Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5 Cl. M-5, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1 Cl. M-2, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-1 Cl. AF-5, Upgraded to B3 (sf); previously on Oct 19, 2016 Upgraded to Caa3 (sf) Cl. AF-6, Upgraded to B1 (sf); previously on Jun 26, 2017 Upgraded to Caa1 (sf) Cl. MV-1, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4 Cl. M-1, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-80CB Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. 1-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Confirmed at Caa2 (sf) Cl. 3-A-1, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. 3-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. 4-A-1, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. 4-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WWF1 Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW1 Cl. M-4, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW3 Cl. M-4, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 27 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 27 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2021-INV2 Cl. B-3, Upgraded to A2 (sf); previously on Sep 17, 2024 Upgraded to A3 (sf) Cl. B-3-IO*, Upgraded to A2 (sf); previously on Sep 17, 2024 Upgraded to A3 (sf) Cl. B-3-IOW*, Upgraded to A2 (sf); previously on Sep 17, 2024 Upgraded to A3 (sf) Cl. B-3-IOX*, Upgraded to A2 (sf); previously on Sep 17, 2024 Upgraded to A3 (sf) Cl. B-3W, Upgraded to A2 (sf); previously on Sep 17, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 16, 2023 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 17, 2024 Upgraded to Ba2 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2020-EXP1 Cl. B-1, Upgraded to Aa3 (sf); previously on Sep 17, 2024 Upgraded to A1 (sf) Issuer: OBX 2023-J2 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Nov 9, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Nov 9, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X-8*, Upgraded to Aaa (sf); previously on Nov 9, 2023 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 10, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Sep 10, 2024 Upgraded to A1 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Sep 10, 2024 Upgraded to A1 (sf) Issuer: OBX 2024-J1 Trust Cl. A-22, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-25, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 19, 2024 Definitive Rating Assigned B1 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .01% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 2.38x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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. 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