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250817.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 17, 2025, Vol. 29, No. 228 Headlines A&D MORTGAGE 2025-NQM3: S&P Assigns B-(sf) Rating on Cl. B-2 Certs ABPCI DIRECT 21: S&P Assigns BB- (sf) Rating on Class E Notes AGL CLO 13: S&P Affirms 'BB- (sf)' Rating on Class E Notes AGL CLO 26: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes ANCHORAGE CAPITAL 33: Fitch Assigns 'BB-sf' Rating on Class E Notes ANCHORAGE CAPITAL 6: Fitch Assigns 'BBsf' Rating on Cl. E-R4 Notes ARBOR REALTY 2022-FL1: DBRS Confirms B Rating on G Notes ARES LXIII: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes ARINI US II: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BAIN CAPITAL 2020-1: S&P Assigns BB- (sf) Rating on E-RR Notes BAIN CAPITAL 2023-2: Fitch Assigns 'BB-sf' Rating on Class ER Notes BALBOA BAY 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes BALBOA BAY 2025-1: Moody's Assigns B3 Rating to $200,000 F Notes BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs BANK 2018-BNK13: DBRS Confirms B Rating on Class X-F Certs BARINGS CLO 2025-III: Fitch Assigns 'BB-sf' Rating on Class E Notes BATTALION CLO 18: S&P Affirms B (sf) Rating on Class E-R Notes BBCMS MORTGAGE 2025-5C36: Fitch Assigns B- Rating on Cl. J-RR Certs BCC MIDDLE 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes BDS 2025-FL15: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on 360D Certs BENCHMARK 2025-B41: Fitch Assigns B-(EXP)sf Rating on Two Tranches BENCHMARK 2025-V16: Fitch Assigns 'B-sf' Final Rating on F-RR Certs BENEFIT STREET 42: S&P Assigns Prelim BB- (sf) Rating on E Notes BRIDGECREST LENDING 2025-3: DBRS Gives Prov. BB Rating on E Notes BSPRT 2021-FL7: DBRS Confirms BB Rating on Class H Notes BX TRUST 2025-VLT7: DBRS Finalizes BB Rating on Class HRR Certs CALIFORNIA STREET IX: S&P Affirms B- (sf) Rating on F-R2 Notes CARLYLE US 2021-5: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CHASE HOME 2025-9: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR Certs COMM MORTGAGE 2025-180W: Moody's Assigns B3 Rating to Cl. HRR Certs COREVEST AMERICAN 2022-P2: Fitch Lowers Rating to 'BBsf' on E Debt CPS AUTO 2025-C: DBRS Gives Prov. BB Rating on Class E Notes CSMC 2021-GATE: DBRS Confirms CCC Rating on 3 Classes DGWD TRUST 2025-INFL: Fitch Assigns B(EXP)sf Rating on Cl. F Certs DIAMETER CAPITAL 11: S&P Assigns Prelim BB- (sf) Rating on E Notes DK TRUST 2025-LXP: Fitch Assigns B-(EXP)sf Rating on Cl. HRR Certs DRYDEN 107: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes DRYDEN 130: S&P Assigns BB- (sf) Rating on Class E Notes DRYDEN 87: Fitch Assigns 'BB-sf' Rating on Class E-R Notes EATON VANCE 2013-1: S&P Assigns BB- (sf) Rating on Cl. E-R4 Notes ELARA HGV 2023-A: Fitch Affirms 'BBsf' Rating on Class D Notes EXETER AUTOMOBILE 2025-4: S&P Assigns Prelim BB- Rating on E Notes FIDELIS MORTGAGE 2025-RTL2: DBRS Finalizes B(low) Rating on B Debt FIGRE TRUST 2025-FL1: Moody's Assigns B2 Rating to Cl. B-2 Certs FREDDIE MAC 2025-MN11: DBRS Finalizes B(low) Rating on B1 Notes FRTKL 2021-SFR1: DBRS Confirms BB Rating on Class F Certs GENERATE CLO 12: S&P Assigns BB- (sf) Rating on Class E-R Notes GOLDENTREE LOAN 26: Fitch Assigns 'B-sf' Rating on Class F Notes GSAT TRUST 2025-BMF: DBRS Finalizes B(low) Rating on Class F Certs HOMES 2025-NQM4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs JAMESTOWN CLO IX: S&P Assigns BB- (sf) Rating on Cl. D-R3 Notes JAMESTOWN CLO XI: Moody's Cuts Rating on $8MM Cl. E Notes to Caa3 JPMBB COMMERCIAL 2015-C32: DBRS Cuts Rating on 2 Classes to D KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches KRR CLO 45A: Fitch Assigns 'BBsf' Rating on Class E-R Notes MCF CLO VII: S&P Assigns BB- (sf) Rating on Class E-R Notes MF1 2021-FL5: DBRS Confirms B Rating on Class G Notes MF1 2022-FL9: DBRS Confirms B(low) Rating on 3 Tranches MFA 2025-NQM3: Fitch Gives 'B-sf' Rating on Class B2 Certificates MORGAN STANLEY 2025-NQM5: DBRS Gives Prov. BB Rating on B1 Trust MORGAN STANLEY 2025-NQM6: S&P Assigns B (sf) Rating on B-2 Certs NEUBERGER BERMAN 40: S&P Assigns Prelim 'BB-' Rating on E-R Notes OCTAGON 73: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ONNI COMMERCIAL 2024-APT: DBRS Confirms BB(high) Rating on E Certs OPORTUN 2025-C: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Debt PALMER SQUARE 2021-3: Fitch Assigns 'B-(EXP)sf' Rating on F-R Notes RCKT MORTGAGE 2025-CES8: Fitch Gives B(EXP) Rating on 5 Tranches SALUDA GRADE 2025-LOC4: DBRS Finalizes B(low) Rating on B2 Notes SILVER POINT 11: Fitch Assigns 'BB+sf' Rating on Class E Notes SIXTH STREET 30: S&P Assigns BB- (sf) Rating on Class E Notes SIXTH STREET XIX: Fitch Assigns 'BBsf' Rating on Class E-R Notes SIXTH STREET XIX: S&P Assigns B- (sf) Rating on Cl. F-R Notes SIXTH STREET XIX: S&P Assigns Prelim B- (sf) Rating on F-R Notes SOUND POINT XVI: Moody's Cuts Rating on $40MM Class E Notes to B3 SUNBIT ASSET 2025-1: DBRS Gives Prov. BB Rating on D Notes SYCAMORE TREE 2025-7: S&P Assigns Prelim BB-(sf) Rating on E Notes SYMPHONY CLO XXIX: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TOWD POINT 2025-CES3: Fitch Assigns B-(EXP)sf Rating on 5 Tranches VELOCITY COMMERCIAL 2025-P1: DBRS Gives Prov. B Rating on 3 Classes VERUS SECURITIZATION 2025-7: S&P Assigns Prelim B (sf) on B-2 Notes WORLDWIDE PLAZA 2017-WWP: DBRS Keeps B(low) Rating Under Review WSTN TRUST 2023-MAUI: DBRS Confirms BB Rating on Class HRR Certs [] DBRS Confirms 21 Credit Ratings From 5 Lendmark Trusts [] DBRS Reviews 310 Classes From 25 US RMBS Transactions [] DBRS Reviews 365 Classes From 46 US RMBS Transactions [] Fitch Affirms 'Dsf' Rating on Two US CMBS Conduit Transactions [] Moody's Takes Action on 16 Bonds from 6 US RMBS Deals [] Moody's Takes Rating Action on 22 Bonds from 9 US RMBS Deals [] Moody's Upgrades Ratings on 3 Bonds from 3 US RMBS Deals ********* A&D MORTGAGE 2025-NQM3: S&P Assigns B-(sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its 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 qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-replay (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 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." 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 ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount equals 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. ABPCI DIRECT 21: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to ABPCI Direct Lending Fund CLO 21 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC, a subsidiary of AllianceBernstein. 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 ABCPI Direct Lending Fund CLO LLC Class A-1, $148.00 million: AAA (sf) Class A-1L-A(i), $50.00 million: AAA (sf) Class A-1L-S(ii), $150.00 million: AAA (sf) Class A-2, $24.00 million: AAA (sf) Class B-1, $36.50 million: AA (sf) Class B-2, $8.50 million: AA (sf) Class C (deferrable), $42.00 million: A (sf) Class D (deferrable), $33.00 million: BBB- (sf) Class E (deferrable), $36.00 million: BB- (sf) Subordinated notes, $75.10 million: NR (i)The class A-1L-A loans are convertible into class A-1 notes. (ii)The class A-1L-S loans are not convertible into notes. NR--Not rated. AGL CLO 13: S&P Affirms 'BB- (sf)' Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-1-R, and D-2-R debt (where class D-1-R is senior to class D-2-R) from AGL CLO 13 Ltd./AGL CLO 13 LLC, a CLO managed by AGL CLO Credit Management LLC that was originally issued in October 2021. At the same time, S&P withdrew its ratings on the original class A-1, B, C, and D debt following payment in full on the Aug. 8, 2025, refinancing date. S&P also affirmed its ratings on the class A-2 and E debt which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to Feb. 8, 2026. -- No additional assets were purchased on the Aug. 8, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $362.00 million: Three-month CME term SOFR + 1.10% -- Class B-R, $84.00 million: Three-month CME term SOFR + 1.65% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 1.80% -- Class D-1-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.90% -- Class D-2-R (deferrable), $6.00 million: Three-month CME term SOFR + 4.10% Original debt -- Class A-1, $362.00 million: Three-month CME term SOFR + 1.42% -- Class B, $84.00 million: Three-month CME term SOFR + 1.91% -- Class C (deferrable), $36.00 million: Three-month CME term SOFR + 2.31% -- Class D (deferrable), $36.00 million: Three-month CME term SOFR + 3.41% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E debt. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our rating on the class E debt. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future. "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 AGL CLO 13 Ltd./AGL CLO 13 LLC Class A-1-R, $362.00 million: AAA (sf) Class B-R, $84.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Ratings Withdrawn AGL CLO 13 Ltd./AGL CLO 13 LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Ratings Affirmed AGL CLO 13 Ltd./AGL CLO 13 LLC Class A-2: 'AAA (sf)' Class E (deferrable): 'BB- (sf)' Other Debt AGL CLO 13 Ltd./AGL CLO 13 LLC Subordinated notes, $49.675 million: NR NR--Not rated. AGL CLO 26: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to AGL CLO 26 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 26 Ltd. X-R LT NRsf New Rating NR(EXP)sf A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary AGL CLO 26 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC. The transaction originally closed in August 2023 and was not rated by Fitch. On Aug. 12, 2025, all of the existing secured notes will be paid in full by net proceeds from the issuance of the secured and subordinated notes that 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 23.52 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 (CE) and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.8% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.99% 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch Rating'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 (P&I) waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 06 August 2025 ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 26 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ANCHORAGE CAPITAL 33: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 33, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 33, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Anchorage Capital CLO 33, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.31 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.96% 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 33, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ANCHORAGE CAPITAL 6: Fitch Assigns 'BBsf' Rating on Cl. E-R4 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 6, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 6, Ltd. X-R4 LT NRsf New Rating A-R4 LT NRsf New Rating B-R3 03328QBN0 LT PIFsf Paid In Full AAsf B-R4 LT AAsf New Rating C-R3 03328QBQ3 LT PIFsf Paid In Full Asf C-R4 LT Asf New Rating D-R3 03328QBS9 LT PIFsf Paid In Full BBB-sf D-R4 LT BBB-sf New Rating E-R3 03328RAS8 LT PIFsf Paid In Full BB-sf E-R4 LT BBsf New Rating F-R4 LT NRsf New Rating Additional Subordinated Notes LT NRsf New Rating Transaction Summary Anchorage Capital CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. The CLO's secured notes will be refinanced on Aug. 11, 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 $399 million of primarily first lien senior secured leveraged loans excluding defaulted obligations or current pay obligations, if any. 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 98.19% first-lien senior secured loans and has a weighted average recovery assumption of 72.49%. 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 11.5% 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 4.9-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 'BB+sf' and 'AAsf' for class B-R4, between 'B+sf' and 'A-sf' for class C-R4, and between less than 'B-sf' and 'BBB-sf' for class D-R4 and between less than 'B-sf' and 'BBsf' for class E-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R4, 'AAsf' for class C-R4, and 'A-sf' for class D-R4 and 'BBB+sf' for class E-R4. 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 Anchorage Capital CLO 6, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ARBOR REALTY 2022-FL1: DBRS Confirms B Rating on G Notes -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the transaction's favorable collateral composition, as the trust continues to be solely secured by multifamily collateral, and the increased credit support provided to the bonds as a result of collateral reduction. Morningstar DBRS previously reviewed the transaction in May 2025 as part of a bulk credit rating action, which resulted in upgrades across the Class B through Class G notes, stemming from increased collateral reduction totaling 17.3% since issuance. Since then, eight additional loans totaling $133.3 million have repaid in full, resulting in an overall collateral reduction of 23.8% as of the June 2025 reporting. Morningstar DBRS determined that the majority of individual borrowers are progressing with their business plans to increase property cash flow and value; however, many additional borrowers have incurred stress between increased construction costs, slowed rent growth, and increased debt service costs, which has increased the execution risk on select business plans and loan exit strategies. The unrated, first-loss bond of $187.1 million serves as a mitigant to this increased risk to the transaction. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 44 floating-rate mortgages secured by 59 transitional multifamily properties with a cut-off date balance totaling $1.61 billion. Most loans were in a period of transition with plans to stabilize performance and improve the asset value. The transaction was a managed vehicle with a 30-month reinvestment period that expired with the August 2024 payment date. The loans are primarily secured by properties in suburban markets as 35 loans, representing 79.5% of the pool, have a Morningstar DBRS Market Rank of 3, 4, or 5. An additional five loans, representing 9.6% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 1 and 2, denoting rural and tertiary markets, while four loans, representing 10.9% of the pool, are secured by a property with a Morningstar DBRS Market Rank of 6 or 7, denoting an urban market. At issuance, properties in suburban markets represented 89.5% of the collateral, properties in tertiary and rural markets represented 8.3% of the collateral, and properties in urban markets represented 2.2% of the collateral. As of the June 2025 remittance, the pool comprised 44 loans secured by 51 properties with a cumulative trust balance of $1.56 billion. Since issuance, 45 loans with a former cumulative trust balance of $1.30 billion have been successfully repaid from the pool. An additional two loans, totaling $237.2 million, have been added to the trust since Morningstar DBRS' previous credit rating action in May 2025. Leverage across the pool has decreased since issuance as the current weighted-average (WA) as-is appraised loan-to-value (LTV) ratio is 75.8%, with a current WA stabilized LTV ratio of 69.7%. In comparison, these figures were 78.5% and 72.3%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization (cap) rate environments. In the analysis for this review, Morningstar DBRS applied LTV adjustments to 11 loans, representing 47.2% of the current pool balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. While the servicer did not report any loans on the servicer's watchlist as of the June 2025 reporting, the transaction had an elevated number of loan modifications. Through June 2025, 24 of the outstanding loans, representing 87.6% of the current trust balance, were modified. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions, the requirement to purchase new interest rate cap agreements, changes to interest rate structures, and reallocations of loan future funding dollars. Loan modifications have often required additional equity commitments from borrowers in the form of upfront principal curtailments, deposits into reserve accounts, and/or increased loan payments guarantees. Throughout 2025, 22 loans, representing 52.1% of the current pool balance, have scheduled maturity dates. Morningstar DBRS expects the borrower and lender to negotiate mutually beneficial loan modifications to extend loans, which would likely include fresh sponsor equity to fund principal curtailments, fund carry reserves, or purchasing a new interest rate cap agreement. According to the June 2025 remittance, there are four loans, representing 8.3% of the current pool balance, in special servicing. The largest loan in special servicing, Gainesville Portfolio (Prospectus ID#19, 2.8% of the current pool balance) is secured by a portfolio of two multifamily properties totaling 380 units in Gainesville, Florida. The loan transferred to special servicing in December 2023 for payment default but was current as of the June 2025 reporting. The loan was ultimately modified in January 2024, which included a $1.4 million equity injection to bring the loan current and purchase a new interest rate cap agreement. In April 2024, the borrower and lender entered into a second loan modification deferring ongoing monthly tax, insurance, and replacement escrows for a period of four months as property cash flow remained stressed. Most recently, the loan was modified for a third time in March 2025 to implement a pay/accrue payment structure through June 30, 2025, and defer replacement reserve funding, insurance, and taxes until August 2025. According to the February 2025 rent roll, the portfolio was 72.1% occupied compared with 84.0% in March 2024. The drop in occupancy was due to delays in awning installations for 20 units that were required before leasing could commence. According to the Q1 2025 collateral manager report, the awning installation was completed in December 2024 and efforts to rent the vacant units are underway. Through Q1 2025, the lender advanced $4.7 million of loan future funding to the borrower to complete the planned renovations as the borrower has made significant progress in this facet of its business plan. All 300 unit upgrades have been completed, with 297 renovated and leased units achieving an average rental rate of $1,196 per unit, in line with the appraiser's projected stabilized rent of $1,202 per unit. Although the borrower has completed the majority of the capital expenditures plan, efforts to complete the full renovation of the 16 fire-damaged units at the Piccadilly property were supposed to have been completed in Q2 2025. The loan was appraised in May 2025 for $40.3 million, a notable decline from the $49.5 million appraised value at issuance. As a result of the loan's status as a specially serviced asset and recent decline in occupancy, Morningstar DBRS maintained a probability of default (POD) in the analysis for the loan. The resulting expected loss (EL) is approximately double the pool average. The second largest loan in special servicing is Highlander Pointe (Prospectus ID24; 2.0% of the current pool balance), which is secured by a 143-unit multifamily property in Riverside, California. The loan transferred to special servicing in December 2024 for payment default and remained delinquent as of January 2025. The missed payments are in part due to increased debt service costs and the borrower's inability to make debt service payments, although the property is performing in line with the appraiser's projections at stabilization. As of the Q1 2025 collateral manager report, the property was 99.0% occupied with an average per-unit rental rate of $1,928, compared with the issuance figures of 95.0% and $1,492 per unit, respectively, and in line with the appraiser's projections at property stabilization. As of March 2025, 94.7% of the planned unit renovations had been completed and the remaining $720,000 in future funding was repurposed to pay down the loan balance. The current workout strategy is a full payoff of the loan, although no timeline was outlined. As a result of ongoing payment delinquencies, Morningstar DBRS applied a stressed POD adjustment, resulting in an EL that was slightly higher than the pool average. The two remaining loans in special servicing, Parkview Village Apartments (Prospectus ID72; 1.9% of the pool balance) and The Columns (Prospectus ID86; 1.6% of the pool) transferred to special servicing in November 2024 and June 2025, respectively, for payment default. The Parkview loan is current and the borrower is executing according to the original business plan. The loan is scheduled to mature in December 2027. The Columns loan is delinquent and due for the March 2025 loan payment. The borrower is actively dealing with liens on the property, which have increased financial strain and ultimately contributed to the payment delinquencies. According to the collateral manager, the borrower is actively raising capital to bring the loan current. At this time, the Parkview loan is slated to return to the master servicer in the short term while the workout strategy for The Columns loan has not yet been determined given the recent transfer. The Parkview loan EL was slightly below the pool average while The Columns loan was analyzed with an elevated POD adjustment, resulting in an EL that was approximately 50.0% higher than the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LXIII: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ares LXIII CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares LXIII CLO Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Ares LXIII CLO Ltd. (the issuer), which originally closed in April 2022 but was not rated by Fitch at that time, is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.19 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.23% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXIII CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARINI US II: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings today assigned its preliminary ratings to Arini US CLO II Ltd./Arini US CLO II 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 Arini Loan Management US LLC - Management Series. The preliminary ratings are based on information as of Aug. 12, 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 Arini US CLO II Ltd./Arini US CLO II LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $47.225 million: NR NR--Not rated. BAIN CAPITAL 2020-1: S&P Assigns BB- (sf) Rating on E-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, B-RR, C-1-RR, C-F-RR, D-RR, and E-RR debt from Bain Capital Credit CLO 2020-1 Ltd./Bain Capital Credit CLO 2020-1 LLC, a CLO managed by Bain Capital Credit U.S. CLO Manager LLC that was originally issued in March 2020 and underwent a refinancing in April 2024. At the same time, S&P withdrew its ratings on the outstanding class A-1-R, A-L-R, B-R, C-1-R, C-F-R, D-R, and E-R debt following payment in full on the Aug. 7, 2025, refinancing date. S&P also affirmed its rating on the class A-2F debt, which was not refinanced. Bain Capital Credit CLO 2020-1 Ltd. refinanced its class A-1-R, A-L-R, B-R, C-1-R, C-F-R, D-R, and E-R debt on Aug. 7, 2025, through an optional redemption and replacement debt issuance. 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 April 18, 2026. -- No additional assets were purchased on the Aug. 7, 2025, refinancing date. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 18, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The outstanding class A-1-R and A-L-R debt were combined into the replacement class A-1-RR debt. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class C-1-RR, C-F-RR, D-RR, and E-RR debt. Since our last rating action in April 2024, there has been some par loss leading to a decline in overcollateralization (O/C) levels, slight decline in weighted average recovery and weighted average spread, as well as recent increases in 'D' rated assets. Despite those changes, we view the refinancing as an overall positive for the transaction on a standalone basis. As such, we assigned our 'A (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)'ratings to the class C-1-RR, C-F-RR, D-RR, and E-RR debt, respectively, after considering the margin of failure; the O/C tests, which are all passing; and considering that the transaction has entered its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future. "In addition, we believe the payment of principal or interest on the class E-RR debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1-RR, $281.86 million: Three-month CME term SOFR + 0.99% -- Class B-RR, $55.00 million: Three-month CME term SOFR + 1.50% -- Class C-1-RR (deferrable), $25.50 million: Three-month CME term SOFR + 1.80% -- Class C-F-RR (deferrable), $7.00 million: 5.374% -- Class D-RR (deferrable), $27.50 million: Three-month CME term SOFR + 3.00% -- Class E-RR (deferrable), $20.00 million: Three-month CME term SOFR + 6.25% Outstanding debt -- Class A-1-R, $205.00 million: Three-month CME term SOFR + 1.25% -- Class A-L-R, $100.00 million: Three-month CME term SOFR + 1.25% -- Class B-R, $55.00 million: Three-month CME term SOFR + 1.80% -- Class C-1-R (deferrable), $25.50 million: Three-month CME term SOFR + 2.35% -- Class C-F-R (deferrable), $7.00 million: 6.76% -- Class D-R (deferrable), $27.50 million: Three-month CME term SOFR + 3.70% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 7.15% 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 Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-1-RR, $281.86 million: AAA (sf) Class B-RR, $55.00 million: AA (sf) Class C-1-RR (deferrable), $25.50 million: A (sf) Class C-F-RR (deferrable), $7.00 million: A (sf) Class D-RR (deferrable), $27.50 million: BBB- (sf) Class E-RR (deferrable), $20.00 million: BB- (sf) Ratings Withdrawn Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-1-R to NR from 'AAA (sf)' Class A-L-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-1-R (deferrable) to NR from 'A (sf)' Class C-F-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Rating Affirmed Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-2F: AAA (sf) Other Debt Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Subordinated notes, $47.90 million: NR NR--Not rated. BAIN CAPITAL 2023-2: Fitch Assigns 'BB-sf' Rating on Class ER Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2023-2, Limited. RESET. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2023-2, Limited X-R LT AAAsf New Rating A-1 05684GAA4 LT PIFsf Paid In Full AAAsf A-1R LT AAAsf New Rating A-2 05684GAC0 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B-1 05684GAE6 LT PIFsf Paid In Full AAsf B-2 05684GAL0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 05684GAG1 LT PIFsf Paid In Full Asf C-2 05684GAN6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 05684GAJ5 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E 05685DAA0 LT PIFsf Paid In Full BB-sf ER LT BB-sf New Rating Transaction Summary Bain Capital Credit CLO 2023-2, Limited. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Bain Capital Credit U.S. CLO Manager II, LP originally that closed in 2023. This is the first refinancing of the notes where all the existing notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499.27 million (excluding ~$0.73 million of defaulted assets) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.17, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.33% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.06% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2023-2, Limited. 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. BALBOA BAY 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Balboa Bay Loan Funding 2025-1 Ltd. Entity/Debt Rating ----------- ------ Balboa Bay Loan Funding 2025-1 Ltd A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Balboa Bay Loan Funding 2025-1 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pacific Investment Management Company LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $435 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 98.16% first-lien senior secured loans and has a weighted average recovery assumption of 74.28%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Balboa Bay Loan Funding 2025-1 Ltd In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALBOA BAY 2025-1: Moody's Assigns B3 Rating to $200,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Balboa Bay Loan Funding 2025-1 Ltd (the Issuer or Balboa Bay 2025-1): US$274,050,000 Class A Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$200,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Balboa Bay 2025-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of senior unsecured loans, first lien last out loans, senior secured bond, senior unsecured bond or a senior secured floating rate note. The portfolio is approximately 80% ramped as of the closing date. Pacific Investment Management Company LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $435,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2958 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10 issued by BANK 2018-BNK10 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance, which remains in line with Morningstar DBRS' expectation since the previous credit rating action in July 2024. Overall, the pool continues to exhibit healthy credit metrics as evidenced by the strong weighted-average (WA) debt service coverage ratio (DSCR) of 2.2 times (x) and the healthy WA loan-to-value ratio (LTV) of 57.4% based on the most recent financial reporting available. In addition, the 15 largest loans, representing 60.3% of the current pool balance, continue to report stable to improving cash flows with a WA debt yield of 11.4%. As of the June 2025 remittance, 64 of the original 68 loans remained in the trust with an aggregate principal balance of $1.21 billion, representing a collateral reduction of 6.2% since issuance. To date, two loans, representing 7.6% of the current pool balance, have been defeased. There are 15 loans, representing 32.7% of the current pool balance, on the servicer's watchlist; however, only nine of those loans, representing 18.8% of the pool balance, are being monitored for upcoming tenant rollover risk or performance-related concerns. Loans secured by office collateral represent 25.5% of the current pool balance followed by retail, self-storage, hotel, and multifamily representing 22.8%, 14.9%, 13.0%, and 12.2%, respectively. Although the pool has a meaningful concentration of loans secured by office properties, two of those loans, representing 11.1% of the current pool balance, are shadow-rated investment grade and continue to benefit from long-term, investment-grade tenancy and healthy performance metrics with DSCRs higher than 2.5x. In addition, the transaction benefits from a sizable unrated first loss certificate with a remaining balance of almost $40.0 million. To date, the trust has incurred a total loss of $1.3 million, contained to the unrated Class G certificate. The largest loan on the servicer's watchlist that is being monitored for a performance-related reason is Wisconsin Hotel Portfolio (Prospectus #4; 5.2% of the current pool balance), which comprises 11 limited-service and extended-service hotels totaling 1,225 rooms across Wisconsin. Operating performance continues to lag pre-pandemic levels, and the loan was most recently added to the servicer's watchlist in March 2025 for a low DSCR. According to financial reporting for the trailing 12-month (T-12) period ended March 31, 2025, the portfolio reported an average daily rate, revenue per available room (RevPAR), and occupancy rate of $112.81, $63.41, and 56.44%, respectively--largely unchanged from YE2023. However, net cash flow (NCF) increased to $4.8 million with a DSCR of 0.88x in the T-12 period ended March 31, 2025, an increase of approximately 62% from the NCF of $2.9 million with a DSCR of 0.54x at YE2023. The increase in NCF was primarily driven by a decrease in total operating expenses. According to the servicer, the sponsor's plan for additional performance improvement is to further reduce operating expenses rather than to increase occupancy and daily rates. Although the portfolio's performance improved year over year, cash flows remain significantly below issuance expectations; as such, Morningstar DBRS applied a probability of default (POD) adjustment in its analysis, resulting in an expected loss (EL) that is approximately 2.0x higher than the pool's EL. The One Newark Center loan (Prospectus ID#12; 2.6% of the current pool balance) is secured by a 417,932-square foot (sf) Class A office tower and an adjacent 10-story parking garage in Newark, New Jersey. The loan was added to the servicer's watchlist in May 2022 following a decline in DSCR and occupancy levels after several tenants vacated or reduced their footprints at or prior to their respective lease expiration dates. The property generated NCF of $3.4 million with a DSCR of 0.87x as of YE2024 compared with the NCF of $3.9 million with a DSCR of 1.0x at YE2023 and $6.0 million with a DSCR of 1.52x at issuance. The decline in cash flow was driven by reduced revenue and increased operating expenses. According to the YE2024 rent roll, the property was 71.8% occupied, which is relatively unchanged since 2021. Although the sponsor signed several new leases and the occupancy rate is expected to increase to 75.9% in the near to moderate term, there is upcoming tenant rollover risk with leases representing slightly more than 13.0% of the net rentable area scheduled to roll within the next 12 months. Per Reis, the Newark office submarket had a vacancy rate of 17.2% as of Q1 2025. Given the upcoming tenant rollover risk and the borrower's historical challenges with backfilling vacant space at the property--a factor that is further exacerbated by soft submarket fundamentals--Morningstar DBRS analyzed this loan with stressed LTV and POD assumptions, resulting in a loan EL more than 4.0x higher than the pool's EL. In addition to these loans, Morningstar DBRS identified several other loans exhibiting increased credit risk due to performance declines since issuance. The 2020 Southwest 4th Avenue loan (Prospectus ID #8; 3.7% of the current pool balance) is secured by a 226,815-sf Class A office facility in Portland, Oregon. The property's occupancy decreased to 69.1% at YE2024, down from 87.3% at issuance, primarily because the largest tenant, CH2M Hill, reduced its space by 35,304 sf. The loan continues to cover debt service obligations with a DSCR of 2.02x as of YE2024. The servicer contacted the borrower for a leasing update and, as of the date of this press release, a response remains pending. The Courtyard Los Angeles Sherman Oaks loan (Prospectus ID #14; 2.3% of the current pool balance) is secured by a 213-key full-service hotel property in Sherman Oaks, California. This loan is currently on the servicer's watchlist for a low DSCR. The YE2024 RevPAR and DSCR figures of $132.31 and 0.88x, respectively, lag the pre-pandemic figures and are lower than the previous year's figures of $154.84 and 1.56x, respectively. As a result, Morningstar DBRS applied an elevated POD penalty to both 2020 Southwest 4th Avenue and Courtyard Los Angeles Sherman Oaks loans leading to ELs nearly 5.0x and 3.0x higher, respectively, than the pool's EL. At issuance, Morningstar DBRS shadow-rated two loans, Apple Campus 3 (Prospectus ID#1; 7.8% of the current pool balance) and Moffett Towers II (Prospectus ID#10; 3.3% of the current pool balance), as investment grade. With this review, Morningstar DBRS maintained the shadow ratings on these loans as they continue to perform in line with investment-grade 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. BANK 2018-BNK13: DBRS Confirms B Rating on Class X-F Certs ---------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK13 issued by BANK 2018-BNK13 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S 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 (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) -- Class X-D at BBB (sf) -- Class X-E at BB (sf) -- Class X-F at B (sf) The trends on Classes D, E, F, X-D, X-E, and X-F are Negative. The trends on all remaining classes are Stable. The credit rating confirmations and Stable trends reflect the relatively stable performance of the majority of the loans in the pool since the previous credit rating action in August 2024, as indicated by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of 2.15 times (x), per the June 2025 remittance report, which is a slight increase from the July 2024 remittance report figure of 2.06x. The Negative trends for Classes D, E, F, X-D, X-E, and X-F reflect the increased credit risk tied to the specially serviced loan, Regal Cinemas Lincolnshire (Prospectus ID#17, 1.8% of the pool), which Morningstar DBRS analyzed with a liquidation scenario, resulting in a full loss to the loan. Morningstar DBRS' liquidated losses eroded nearly half of the balance of the unrated Class G certificate, reducing the credit support to the junior bonds in the transaction. As of the June 2025 remittance report, 58 of the original 62 loans remain in the pool, representing a collateral reduction of 15.0% since issuance, with two loans, representing 0.7% of the pool, that are fully defeased. There are seven loans, representing 10.9% of the pool, that are currently being monitored on the servicer's watchlist and one loan, representing 1.8% of the pool, in special servicing. With this review, Morningstar DBRS analyzed loans exhibiting declining performance trends with elevated probabilities of default (PODs) and/or stressed loan-to-value ratios (LTVs) to increase the expected loss (EL) at the loan level, as applicable. The pool is concentrated by property type with retail, office, and multifamily properties representing 39.9%, 39.2%, and 11.1% of the pool, respectively. The majority of office properties secured in this transaction continue to perform as expected, reporting a WA DSCR of 2.34x as of the June 2025 remittance report. However, two of the eight nondefeased loans secured by office properties exhibited lower net cash flows (NCFs) since issuance. Morningstar DBRS analyzed both of these loans with an additional stress in this review. The only loan in special servicing, Regal Cinemas Lincolnshire, is secured by a 75,000-square-foot movie theater complex in Lincolnshire, Illinois. The property's former movie theater tenant, Regal Cinemas, vacated in February 2023 after filing for bankruptcy the year prior. This led to the loan's transfer to special servicing in May 2023 because of imminent monetary default. The borrower has not made any loan payments since the loan's transfer. Per servicer commentary, the trust successfully bid for the property in a foreclosure sale in February 2025, with deed transfer completed in May 2025. The property was re-appraised in May 2024 at $2.7 million, representing a 90% decline from the issuance value of $26.3 million. In the analysis for the review, Morningstar DBRS liquidated the loan with a haircut to the most recent appraisal value, resulting in a full loss. The Ditson Building loan (Prospectus ID#11, 4.7% of the pool) is secured by a Class B office property in Midtown, New York. The loan has been monitored on the servicer's watchlist since January 2021 for low DSCR primarily driven by a continuous decline in occupancy. Multiple tenants vacated the property at their respective lease expirations, including the former largest tenant, TTC USA Consulting (47.2% of net rentable area (NRA)), which vacated in June 2022. Furthermore, VR World NYC LLC (15.1% of NRA), which had a scheduled lease expiration in March 2028, has reportedly gone dark according to the April 2024 rent roll, resulting in the occupancy rate declining to 28.3% from 43.4%. The property is currently occupied by two tenants, Research Foundation of CUNY (18.9% of NRA, lease expires September 2026) and Modernus Walls, LLC (9.4% of NRA, lease expires February 2027). The sponsor is marketing the property for lease, but as of the most recent servicer commentary, the borrower has yet to secure a new tenant. The property is well located in the Grand Central submarket of Manhattan, which reported a Q1 2025 vacancy rate of 12.0%, per Reis; however, given the subject's Class B construction and lack of significant leasing activity to date, Morningstar DBRS does not anticipate better performance in the near term. As a result of the substantial decline in occupancy, the loan reported negative NCF through YE2024, compared with the YE2023 NCF of $612,244 and DSCR of 0.30x. Given the persistent performance challenges, Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV, resulting in an EL that was almost 9x greater than the pool's average. At issuance, Morningstar DBRS assigned investment-grade shadow ratings for the 1745 Broadway loan (Prospectus ID#1, 11.7% of the pool). With this review, Morningstar DBRS confirms that the performance remains consistent with investment-grade characteristics; therefore, Morningstar DBRS has maintained the associated shadow rating on this loan. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2025-III: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2025-III. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2025-III A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2025-III (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.9, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.9% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.78% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2025-III. 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. BATTALION CLO 18: S&P Affirms B (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, and C-RR debt from Battalion CLO 18 Ltd./Battalion CLO 18 LLC, a CLO managed by Brigade Capital Management L.P. that was originally issued in October 2020 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the outstanding class A loans, and class A-R, B-R, C-R notes following payment in full on the Aug. 8, 2025, refinancing date. S&P also affirmed its ratings on the class D-R and E-R notes, 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 8, 2026. -- The reinvestment period and maturity dates were not extended. -- The class A-R notes and A loans were combined to make the new class A-RR debt. The balance of the new A-RR debt will be $245.00 million, which is $7.00 million lower than the combined balance of the previous class A-R notes and A loans of $252 million. The new class B-RR debt will be $59.00 million, which is an increase of $7.00 million from $52.00 million. -- 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 E-R notes (which was not refinanced). However, we affirmed our 'B (sf)' rating on the class E-R notes after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-RR, $245.00 million: Three-month CME term SOFR + 1.18% -- Class B-RR, $59.00 million: Three-month CME term SOFR + 1.80% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.15% Outstanding debt -- Class A-R, $34.00 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class A loans, $218.00 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class B-R, $52.00 million: Three-month CME term SOFR + 3.45% + CSA(i) -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 6.71% + 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 Battalion CLO 18 Ltd./Battalion CLO 18 LLC Class A-RR, $245.00 million: AAA (sf) Class B-RR, $59.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Ratings Withdrawn Battalion CLO 18 Ltd. Battalion CLO 18 LLC Class A loans to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Battalion CLO 18 Ltd./Battalion CLO 18 LLC Class D-R: BBB- (sf) Class E-R: B (sf) Other Debt Battalion CLO 18 Ltd./Battalion CLO 18 LLC Subordinated notes, $36.60 million: NR NR--Not rated. BBCMS MORTGAGE 2025-5C36: Fitch Assigns B- Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C36, commercial mortgage pass-through certificates, series 2025-5C36 as follows: - $2,086,000 class A-1 'AAAsf'; Outlook Stable; - $60,000,000 class A-2 'AAAsf'; Outlook Stable; - $367,341,000 class A-3 'AAAsf'; Outlook Stable; - $429,427,000a class X-A 'AAAsf'; Outlook Stable; - $55,213,000 class A-S 'AAAsf'; Outlook Stable; - $31,440,000 class B 'AA-sf'; Outlook Stable; - $86,653,000ab class X-B 'AA-sf'; Outlook Stable; - $23,772,000bc class C 'A-sf'; Outlook Stable; - $0bc class C-1 'A-sf'; Outlook Stable; - $0bc class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $13,036,000bc class D 'BBBsf'; Outlook Stable; - $0bc class D-1 'BBBsf'; Outlook Stable; - $0bc class D-2 'BBBsf'; Outlook Stable; - $0bc class D-X1 'BBBsf'; Outlook Stable; - $0bc class D-X2 'BBBsf'; Outlook Stable; - $9,202,000bd class E-RR 'BBB-sf'; Outlook Stable; - $8,435,000bd class F-RR 'BBsf'; Outlook Stable; - $6,135,000bd class G-RR 'BB-sf'; Outlook Stable; - $9,969,000bd class J-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $8,435,000bd class K-RR; - $18,404,549bd class L-RR. a) Notional amount and interest only. b) Privately placed and pursuant to Rule 144a. c) Classes C, C-1, C-2, C-X1, C-X2, D, D-1, D-2, D-X1 and D-X2 certificates will constitute the exchangeable certificates. Any class C certificate may be exchanged for either (i) classes C-1 and C-X1 certificates or (ii) classes C-2 and C-X2 certificates, and any class D certificate may be exchanged for either (i) class D-1 and D-X1 certificates or (ii) class D-2 and D-X2 certificates, in each case with an outstanding certificate balance or notional amount corresponding to the certificate balance of the class exchanged. d) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 163 commercial properties with an aggregate principal balance of $613,468,550 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., German American Capital Corporation, Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, LMF Commercial, LLC, UBS AG New York Branch, and Zions Bancorporation, N.A. The master servicer is Trimont LLC, the special servicer is K-Star Asset Management LLC, and the operating advisor is Park Bridge Lender Services LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will follow sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 84.5% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $52.3 million represents a 13.8% decline from the issuer's aggregate underwritten NCF of $60.7 million. Fitch Leverage: The pool's Fitch leverage is higher than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 106.9% is higher than the 2025 YTD and 2024 five-year multiborrower transaction averages of 100.9% and 95.2%, respectively. 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 other recent Fitch-rated transactions. The top 10 loans represent 67.5% of the pool, which is more concentrated than both the 2025 YTD and 2024 five-year multiborrower averages of 61.5% and 60.2%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 19.6. 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 attributed mainly 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'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'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. BCC MIDDLE 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from BCC Middle Market CLO 2023-1 LLC, a CLO managed by Bain Capital Senior Loan Program LLC, a subsidiary of Bain Capital that was originally issued in August 2023. At the same time, S&P withdrew its ratings on the outstanding class A, B-1, B-2, C, D, and E debt following payment in full on the Aug. 13, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The non-call period was extended to July 20, 2027. -- The reinvestment period was extended to July 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes was extended to July 20, 2037. -- No additional assets were purchased on the Aug. 13, 2025 refinancing date, and the target initial par amount was lowered to $325.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. 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 BCC Middle Market CLO 2023-1 LLC Class A-1-R, $188.500 million: AAA (sf) Class A-2-R, $9.750 million: AAA (sf) Class B-R, $22.750 million: AA (sf) Class C-R (deferrable), $27.625 million: A (sf) Class D-R (deferrable), $17.875 million: BBB- (sf) Class E-R (deferrable), $19.500 million: BB- (sf) Ratings Withdrawn BCC Middle Market CLO 2023-1 LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt BCC Middle Market CLO 2023-1 LLC Subordinated notes, $45.635 million: NR NR--Not rated. BDS 2025-FL15: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the BDS 2025-FL15 LLC notes as follows: - $647,038,000 class A 'AAAsf'; Outlook Stable; - $122,187,000 class A-S 'AAAsf'; Outlook Stable; - $77,756,000a class B 'AA-sf'; Outlook Stable; - $0b class B-E 'AA-sf'; Outlook Stable; - $0c class B-X 'AA-sf'; Outlook Stable; - $61,093,000a class C 'A-sf'; Outlook Stable; - $0b class C-E 'A-sf'; Outlook Stable; - $0c class C-X 'A-sf'; Outlook Stable; - $40,267,000a class D 'BBBsf'; Outlook Stable; - $0b class D-E 'BBBsf'; Outlook Stable; - $0c class D-X 'BBBsf'; Outlook Stable; - $18,050,000a class E 'BBB-sf'; Outlook Stable; - $0b class E-E 'BBB-sf'; Outlook Stable; - $0c class E-X 'BBB-sf'; Outlook Stable; - $37,489,000d class F 'BB-sf'; Outlook Stable; - $26,382,000d class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $80,532,947de Income notes. (a) Exchangeable Notes: The class B, class C, class D and class E notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions; provided that at the time of the exchange, such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the exchangeable notes, received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (b) MASCOT P&I notes. (c) MASCOT Interest-Only notes. (d) Retained notes. (e) Horizontal risk retention interest, estimated to be 7.25% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $914,794,948 and does not includes future funding. Transaction Summary The primary assets of the trust are 23 loans secured by 23 commercial properties with an aggregate principal balance of $914,794,948, including two delayed-close loans totaling $48.75 million, as of the cut-off date. The pool includes ramp-up collateral interest of approximately $196,000,000. The pool includes $47,322,241 of future funding. The loans were contributed to the trust by BDS V Loan Seller LLC. Trimont LLC is expected to be the master and special servicer. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed net cash flow (NCF) analysis on 18 loans totaling 69.9% of the pool by balance. Fitch's resulting NCF of $41.8 million represents an 8.8% decline from the issuer's underwritten NCF of $45.8 million, excluding loans for which Fitch conducted an alternate value analysis. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 136.0% is lower than the 2025 YTD CRE CLO average and 2024 CRE CLO average of 140.4% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.3% is lower than the 2025 YTD CRE CLO and 2024 CRE CLO average of 6.4% and 6.5%, respectively. Average Pool Concentration: The pool's concentration is comparable to that of recently rated Fitch CRE CLO transactions. The top 10 loans account for 68.4% of the pool, which is slightly lower than the 2024 CRE CLO average of 70.5%, but higher than the 2025 YTD average of 57.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 14.4 (given partial credit to the ramp cash-collateral interest). Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.0%, as 100.0% of the pool consists of interest‐only loans. The pool's percentage paydown of 0.0% is worse than the 0.4% 2025 YTD CRE CLO average and the 0.6% 2024 CRE CLO average. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf' /'BBBsf'/'BB+sf'/'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 in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf' /'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on 360D Certs ------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2021-B23 issued by Benchmark 2021-B23 Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-4A1 at AAA (sf) -- Class A-4A2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class 360A at A (low) (sf) -- Class 360B at BBB (low) (sf) -- Class 360C at BB (low) (sf) -- Class 360D at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the continued healthy performance of the transaction since issuance as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 3.68 times (x) as of the most recent reporting. The transaction also benefits from three loans in the top 10, representing 14.9% of the pool balance, being shadow-rated as investment grade by Morningstar DBRS. At closing, the transaction consisted of 53 fixed-rate loans secured by 65 properties, with the pooled certificates totaling $1.53 billion. Per the June 2025 reporting, all 53 loans remain in the pool; however, one loan, totaling 1.2% of the pool, has been defeased since Morningstar DBRS' last review. There has been minimal amortization, with only 1.5% collateral reduction since issuance. Amortization will be limited through the life of the deal as 34 loans, representing 77.3% of the pool, are interest-only (IO) for the full term. As noted at issuance, the pool is expected to pay down by only 3.6% prior to maturity. The pool is concentrated with loans backed by office properties, which represent 42.7% of the pool, followed by mixed-use and industrial properties, which represent 23.7% and 12.0% of the pool, respectively. Although the office sector continues to face significant challenges in the current economic environment, the majority of the office properties secured in this transaction continue to perform as expected, reporting a WA DSCR of 2.62x as of the most recent year-end financials in line with the previous year's WA DSCR figure. As of the June 2025 reporting, there is one loan, Selig Office Portfolio (Prospectus ID#18, 2.4% of the pool) currently in special servicing. Additionally, there are 10 loans on the servicer's watchlist, representing 18.2% of the pool, including one loan in the top 10 being monitored for credit-related reasons in Millennium Corporate Park (Prospectus ID#2, 7.0% of the pool). The Millennium Corporate Park loan is a five-year IO loan and secured by a 537,000-square-foot (sf) office complex consisting of six, two-, and three-story buildings about 15 miles east of Seattle in Redmond, Washington. The loan was added to the watchlist in June 2024 following a site inspection that indicated much of the space has gone dark, with a large portion of employees working from home. The property's largest tenant, Microsoft Corporation (Microsoft), accounting for 89.2% of the net rentable area, has a lease expiration in April 2028. While property occupancy was reported at 89% as of YE2024, servicer commentary and media reports indicate that Microsoft, which has no available termination options, is actively attempting to sublease all or nearly of its space. The $132.0 million fixed-rate whole loan along with $95.2 million of borrower equity was used to purchase the property. The property resides in the Kirkland/Redmond/Bothell submarket of Seattle, which reported a vacancy rate of 10.3% as of Q1 2025, with an average asking rental rate of $34.90 per square foot (psf), according to Reis, Inc. (Reis). For the August 2024 credit rating action, Morningstar DBRS conducted a dark-value exercise to reflect the increased credit risk surrounding future tenancy and the potential refinance risk, which resulted in a loan-to-value ratio (LTV) of 165.0%. Given the lack of subleasing traction since 2023 when the marketing efforts for subleasing the Microsoft space began, for this review, Morningstar DBRS maintained the stressed LTV resulting in an expected loss (EL) for the loan that is more than double the pool average. The sole loan in special servicing is the Selig Office Portfolio, which is secured by a portfolio of nine office buildings totaling 1.6 million sf throughout Seattle. The subject loan of $34.1 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated GSMS 2015-GC30 and CGCMT 2015-GC31 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. According to the servicer, the lender granted a 90-day forbearance while the parties continue to negotiate a loan modification. The occupancy rate has been on a steady decline since YE2019 and was most recently reported at 65.0% as of Q1 2025, compared with the issuance occupancy rate of 92.3%. For the same time periods, the loan reported a DSCR of 1.15x and 2.44x, respectively. Office properties within the Central Seattle submarket reported an average vacancy rate of 21.0% in Q1 2025, according to a Reis report. Given the low in-place occupancy rate, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for similar Seattle office properties (also owned by the subject loan sponsor) in other Morningstar DBRS-rated CMBS transactions. Based on those comparable values, a haircut of 67% was applied to the October 2020 appraisal for the subject portfolio of $741.0 million, with the analyzed liquidation scenario resulting in a loss severity of nearly 40%, or approximately $13.8 million. Three additional loans, 360 Spear (Prospectus ID#3, 5.9% of pool), MGM Grand & Mandalay Bay (Prospectus ID#5, 5.0% of pool), and the Grace Building (Prospectus ID#9, 4.0% of pool), were assigned investment-grade shadow ratings at issuance. With this review, Morningstar DBRS confirms that the characteristics of these loans remain consistent with investment-grade loan characteristics. Class 360A, Class 360B, Class 360C, and Class 360D are loan-specific certificates (rake bonds) collateralized by the subordinate companion note for the 360 Spear whole loan. The loan-specific certificates will be entitled to receive distributions only from, and will incur losses only with respect to, the trust subordinate companion loan. The trust subordinate companion loan is included as an asset of the issuing entity but is not part of the mortgage pool backing the pooled certificates. No class of pooled certificates will have any interest in the trust subordinate companion loan. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-B41: Fitch Assigns B-(EXP)sf Rating on Two Tranches ------------------------------------------------------------------ Fitch has assigned expected ratings and Rating Outlooks to Benchmark 2025-B41 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-B41. - $8,398,000 class A-1 'AAAsf'; Outlook Stable; - $85,000,000a class A-4 'AAAsf'; Outlook Stable; - $321,600,000a class A-5 'AAAsf'; Outlook Stable; - $11,430,000 class A-SB 'AAAsf'; Outlook Stable; - $426,428,000b class X-A 'AAAsf'; Outlook Stable; - $122,599,000b class X-B 'A-sf'; Outlook Stable; - $73,864,000 class A-S 'AAAsf'; Outlook Stable; - $28,936,000 class B 'AA-sf'; Outlook Stable; - $19,799,000 class C 'A-sf'; Outlook Stable; - $17,514,000b,c class X-D 'BBB-sf'; Outlook Stable; - $12,184,000b,c class X-F 'BB-sf'; Outlook Stable; - $9,137,000b,c class X-G 'B-sf'; Outlook Stable; - $11,422,000c class D 'BBBsf'; Outlook Stable; - $6,092,000c class E 'BBB-sf'; Outlook Stable; - $12,184,000c class F 'BB-sf'; Outlook Stable; - $9,137,000c class G 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $21,322,228c,d class J-RR; - $21,898,574e class VRR a. The initial certificate balance of classes A-4 and A-5 are unknown but expected to be $406,600,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those certificates. The expected class A-4 balance range is $0-$170,000,000 and the expected class A-5 balance range is $236,600,000 -$406,600,000. Fitch's certificate balances for classes A-4 and A-5 reflect the midpoint of each range. b. Notional Amount and interest only. c. Privately Placed and pursuant to Rule 144A. d. Horizontal risk Retention. e. Vertical risk retention interest Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 43 loans secured by 55 commercial properties having an aggregate principal balance of $631,082,802 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, UBS AG, German American Capital Corporation, National Cooperative Bank, N.A. and Citi Real Estate Funding Inc. The master servicers are expected to be Midland Loan services, a Division of PNC Bank, National Association and National Cooperative Bank, N.A. The special servicers are expected to be CWCapital Asset Management LLC and National Cooperative Bank, N.A. Computershare Trust Company, National Association is expected to be the trustee and certificate administrator. Park Bridge Lender Services LLC is expected to be the operating advisor and asset representation reviewer. The certificates are expected to follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 85.9% of the pool by balance, including the largest 17 loans and all pari passu loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of approximately $97.7 million represents a 15.1% decline from the issuer's aggregate underwritten NCF of approximately $115.1 million. The NCF decline is greater than both the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 12.7% and 13.2%, respectively. Lower Fitch Leverage: The pool's Fitch leverage is lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 79.7% is lower than both the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 88.3% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 15.5% is higher than both the 2025 YTD and 2024 10-year averages of 13.8% and 14.1%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 28.2% of the pool by balance received an investment-grade credit opinion. BioMed MIT Portfolio (10.0% of pool) received an investment-grade credit opinion of 'A-sf*' on a standalone basis, Rentar Plaza (9.5%) received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis, and Washington Square (8.7%) received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 23.0% and 21.4%, respectively. The pool also contains non-credit opinion co-op loans totaling 15.0% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 99.9% and 9.8%, respectively, compared with the equivalent conduit 10-year 2025 YTD LTV and DY averages of 97.3% and 10.0%, respectively Higher Pool Concentration: The pool is more concentrated than in other recent Fitch-rated transactions. The top 10 loans represent 67.1% of the pool, which is worse than both the 2025 YTD 10-year multiborrower average of 63.3% and the 2024 average of 63.0%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/ below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2025-V16: Fitch Assigns 'B-sf' Final Rating on F-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2025-V16 Mortgage Trust commercial mortgage pass-through certificates, series V16 as follows: - $559,000 class A-1 'AAAsf'; Outlook Stable; - $115,000,000 class A-2 'AAAsf'; Outlook Stable; - $313,659,000 class A-3 'AAAsf'; Outlook Stable; - $70,515,000 class A-S 'AAAsf'; Outlook Stable; - $429,218,000b class X-A 'AAAsf'; Outlook Stable; - $27,592,000 class B 'AA-sf'; Outlook Stable; - $23,761,000 class C 'A-sf'; Outlook Stable; - $121,868,000a class X-B 'A-sf'; Outlook Stable; - $19,928,000b class D 'BBB-sf'; Outlook Stable; - $19,928,000ab class X-D 'BBB-sf'; Outlook Stable; - $11,497,000bc class E-RR 'BB-sf'; Outlook Stable; - $7,664,000bc class F-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $22,994,480bc class G-RR; - $11,493,805bd class V-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. (d) Vertical risk retention. Since Fitch published its expected ratings on July 17, 2025, several changes have occurred. The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$175,000,000, subject to a variance of plus or minus 5%. The final class balance for class A-2 is $115,000,000. The initial aggregate certificate balance of the A-3 class was expected to be in the range of $253,659,000-$428,659,000, subject to a variance of plus or minus 5%. The final class balance for class A-3 is $313,659,000. The final ratings are based on information provided by the issuer as of Aug. 13, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 157 commercial properties with an aggregate principal balance of $624,663,285, as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., and Bank of Montreal. Trimont LLC is to serve as the master servicer. LNR Partners, LLC is to serve as the special servicer. Wilmington Savings Fund Society, FSB is to be the trustee. Citibank, N.A. is the certificate administrator. Park Bridge Lender Services LLC is the operating advisor. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 88.3% by balance. Fitch's resulting net cash flow (NCF) of $61.7 million represents a 17.5% decline from the issuer's underwritten NCF of $74.8 million. Fitch Leverage: The pool leverage is in line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 99.2% is in line with the 2025 YTD and higher than the 2024 averages of 100.9% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is in line with the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 25.9% of the pool received an investment-grade credit opinion. The ILPT 2025 portfolio (9.6% of the pool) received a standalone credit opinion of 'A-sf*', 841-853 Broadway (9.0% of the pool) received a standalone credit opinion of 'AAsf*', and The Wharf (7.2% of the pool) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is higher than the 2025 YTD and 2024 averages of 9.6% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 111.9% and 8.4%, respectively, are worse than the equivalent conduit YTD 2025 LTV and DY averages of 104.0% and 9.4%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically mostly included loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 42: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 42 Ltd./Benefit Street Partners CLO 42 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC. The preliminary ratings are based on information as of Aug. 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO 42 Ltd./ Benefit Street Partners CLO 42 LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $57.00 million: Not Rated BRIDGECREST LENDING 2025-3: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------------- DBRS, Inc assigned provisional credit ratings to the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2025-3 (BLAST 2025-3 or the Issuer): -- $60,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $95,000,000 Class A-2 Notes at (P) AAA (sf) -- $63,350,000 Class A-3 Notes at (P) AAA (sf) -- $51,970,000 Class B Notes at (P) AA (sf) -- $65,180,000 Class C Notes at (P) A (sf) -- $96,250,000 Class D Notes at (P) BBB (sf) -- $37,750,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2025-3 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.25% based on the expected pool composition. (4) 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. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. Underwriting is performed in the DriveTime dealerships by specially trained DriveTime employees. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. BSPRT 2021-FL7: DBRS Confirms BB Rating on Class H Notes -------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by BSPRT 2021-FL7 Issuer, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F at BBB (sf) -- Class G at BBB (low) (sf) -- Class H at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying loans, which remain primarily secured by traditional multifamily collateral (20 loans, representing 74.4% of the current pool balance). Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. Additionally, most borrowers are progressing with the stated business plans to increase property cash flows and stabilize operations to increase the respective asset values. In conjunction with this press release, Morningstar DBRS 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 $553.7 million with 28 loans secured by 34 properties remaining in the trust. There has been a collateral reduction of 38.5% since the transaction became static in January 2024, following the post-closing, 24-month Reinvestment Period. Of the original 26 loans from the transaction closing in December 2021, 13 loans, representing 66.1% of the current pool balance, remain in the trust. Since August 2024, participations across four separate loans, representing 0.8% of the current pool balance, have been added to the trust via the transaction's exchange collateral interest feature while whole loans or participations of loans with a former cumulative trust balance of $241.9 million were successfully paid in full. Beyond the multifamily concentration noted above, four loans, representing 13.7% of the current trust balance, are secured by hotel properties and one loan, representing 5.9% of the current trust balance, is secured by a student-housing property. In comparison with the pool as of August 2024, multifamily collateral represented 82.5% of the trust balance while hotel collateral represented 9.4% of the trust balance. Leverage across the pool has remained similar since issuance as the current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 70.9% with the current WA stabilized LTV of 62.4%. In comparison, these figures were 70.8% and 64.4%, respectively, at issuance. Morningstar DBRS recognizes these appraised values may be inflated as the individual property appraisals were completed in 2021 or 2022 and do not reflect the current higher interest rate or widening capitalization rate environments. In the analysis for this review, Morningstar DBRS applied LTV adjustments to 22 loans, representing 86.7% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. One loan, Cedar Grove Multifamily Portfolio (Prospectus ID#59; trust balance of $87,043) is delinquent and specially serviced. At closing, the $126.6 million initial loan was collateralized by 15 properties across North Carolina, South Carolina, and Oklahoma. The original borrower's business plan was to complete unit interior and property-wide upgrades across the portfolio, financed by loan future funding of $26.2 million. The loan transferred to the special servicer in January 2024 for payment default; however, $20.8 million of future funding had been advanced through October 2023. In September 2024, the sponsor executed a deed-in-lieu of foreclosure action with the lender. Since that time, the collateral manager has successfully sold 10 properties and of the five properties that were foreclosed on, only the Cobb House property remains as loan collateral. The asset is located in Rock Hill, South Carolina, and has an outstanding senior loan balance of $0.8 million. The property was reappraised in April 2025 at $2.5 million, representative of an LTV of 32.0%. Morningstar DBRS applied a haircut to the appraised value in its analysis given the property is currently not cash flowing; however, Morningstar DBRS ultimately expects the loan to be resolved with no loss. According to the collateral manager, the asset is expected to be sold in Q3 or Q4 2025. Six loans, representing 24.2% of the current trust balance, are on the servicer's watchlist as of the June 2025 reporting. The loans have generally been flagged for low debt service coverage ratios (DSCRs). The largest loan on the servicer's watchlist, The Hudson at Cane Bay (Prospectus ID3; 10.9% of the current trust balance), is secured by a 2021 vintage multifamily property in Summerville, South Carolina. The borrower's business plan is to complete the initial lease-up phase and burn off concession loss, which has taken longer than initially anticipated. The loan has a current maturity date of November 2025 as the borrower exercised two of up to three 12-month extension options. In total, the borrower has paid down the loan by $2.3 million in conjunction with the maturity extensions and purchased multiple new interest rate cap agreements with a 2.0% strike price. According to Q1 2025 reporting provided by the collateral manager, the property was 88.3% occupied with an average rental rate of $1,650 per unit. While rental rates have remained consistent, property occupancy has declined from 94.2% as of March 2024. Net cash flow (NCF) of $3.3 million for the trailing 12 months (T-12) ended March 31, 2025, equated to a DSCR of 0.96x and is below the issuer's stabilized NCF of $3.6 million. Morningstar DBRS expects the borrower to exercise the final extension option if it is unable to increase NCF throughout 2025 in order to sell the property at a desired list price. As of June 2025 reporting, the borrowers of 23 loans, representing 93.8% of the current trust balance, have received forbearances or loan modifications. These actions have provided relief to borrowers, most often in the form of maturity extensions with the waiver of performance tests and temporary reductions in debt service. In exchange, borrowers have been required to invest fresh equity into transactions to fund principal curtailments, fund carry reserves, and/or purchase a new interest rate cap agreement. Throughout 2025, 14 loans, representing 57.4% of the current trust balance, have scheduled maturity dates. All loans have at least one extension option available to the respective borrowers. In the instance individual property performance does not qualify to exercise an extension option, Morningstar DBRS expects the borrower and lender to negotiate mutually beneficial loan modifications to extend the loans. Through June 2025, the lender had advanced $81.1 million in cumulative loan future funding to 20 of the outstanding individual borrowers to aid in property stabilization efforts, including $9.5 million since June 2024. Excluding the Cedar Grove Multifamily Portfolio loan, the largest advance to a single borrower ($9.9 million) since respective loan closing has been made to the Sage at 1825 & Cottages loan (Prospectus ID#62, trust balance of $199,942). The loan has a current senior note balance of $60.0 million and is secured by a multifamily property in Pflugerville, Texas. The original business plan contemplated renovating all 455 units; however, the loan was assumed in January 2025 and subsequently extended to February 2027. Prior to the assumption, 321 unit upgrades were completed and $7.9 million of loan future funding had been advanced. The updated business plan involves the completion of the remaining unit renovations budgeted at $1.1 million to be financed out of pocket by the sponsor and to enter into an affordable housing agreement to qualify for a full real estate tax exemption. As of the annualized T-11 period ended March 31, 2025, property NCF was $2.6 million, equating to a DSCR of 0.63x; however, the figure includes the full $1.7 million annual real estate tax payment. An update regarding the affordable housing agreement was not provided to Morningstar DBRS in conjunction with this review. An additional $27.2 million of loan future funding allocated to nine individual borrowers remains available. The largest amount ($6.6 million) is available to the borrower of the Copperfield Apartments loan (Prospectus ID#69, trust balance of $356,023), which is secured by a multifamily property in Fort Worth, Texas. The loan has a current senior note balance of $22.8 million. The borrower's business plan is to use $9.5 million of future funding to finance the upgrade of the property with $6.0 million budgeted for the renovation of all 323 units. Since loan closing in March 2024, the borrower has upgraded 74 units with achieved monthly rental rate premiums of $95 per month, below the Morningstar DBRS projected premium of $193 per unit. The borrower has two additional years to complete the property upgrades with a completion date in the loan agreement of March 2027. Based on the current pace of renovations and future funding draws, the borrower appears to be behind in its business plan. As of the T-12 period ended March 31, 2025, the property generated NCF of $1.5 million, equating to a DSCR of 1.42x based on the funded loan balance of $21.5 million at that time. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2025-VLT7: DBRS Finalizes BB Rating on Class HRR Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VLT7 (the Certificates) issued by BX Trust 2025-VLT7: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (sf) All trends are Stable. BX Trust 2025-VLT7 is a securitization collateralized by the borrower's fee-simple interest in one data center property in Virginia and one in Atlanta. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, and desirable efficiency metrics. QTS is one of the largest data center owners globally with a portfolio containing more than 70 data centers across 20 global markets, totaling more than 1,000 customers with 99% leased capacity, including the subject portfolio. Founded in 2003, QTS started with a single data center in Kansas, but it continued acquiring data centers and, by 2008, QTS had presence in Atlanta, Georgia; Silicon Valley; and Florida. Based on QTS' Sustainability Report, QTS' Freedom standard data center design, which standardizes every element of the data center, further supports QTS' advanced purchasing model. Using consistent equipment across QTS' portfolio of Freedom Design facilities, QTS can lean in and buy hundreds of megawatts worth of equipment. Freedom Design data centers are a water-free cooling system that delivers a Water Usage Effectiveness of 0 for data center operations, and it provides access to electric vehicle charging stations. Morningstar DBRS' credit ratings on the certificates reflect the elevated leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the quality of service provided by QTS, the access to key fiber nodes, and the technology that can maintain the data centers' relevance into the future. The data centers backing this financing are recently built and benefit from Tier 1 market network densities and direct fiber route to Europe and South America. QTS is responsible for servicing a diverse tenant base, with more than 1,200 customers around the world. The well-seasoned QTS management team boasts at least 20 years of operating history and a relatively strong track record. Additionally, QTS is committed to providing an environment of sustainability within its operations. It has committed to designing 100% of its buildings to green building standards, recycling 90% of operational waste by 2025, and making 100% of new builds reliant on zero water for cooling. Delivered in 2024, both ATL1DC4 and RIC1DC3 data centers use QTS' Freedom Design with a water-free cooling system. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Principal Distribution Amounts and Interest Distribution Amounts for Class A, Class B, Class C, Class D, Class E, and Class HRR. Notes: All figures are in U.S. dollars unless otherwise noted. CALIFORNIA STREET IX: S&P Affirms B- (sf) Rating on F-R2 Notes -------------------------------------------------------------- S&P Global Ratings placed 119 ratings from 52 broadly syndicated CLO transactions and two middle market CLO transactions on CreditWatch. Of these 119 CreditWatch placements, 35 were with positive implications and 84 were with negative implications. These CreditWatch placements are based on the classes' performance and changes in metrics. S&P may place ratings on CreditWatch to reflect its opinion that there is at least a one-in-two likelihood of a rating change. Such a CreditWatch placement does not mean a rating change is inevitable. Thirty-one of these transactions are reinvesting, while 23 are in their amortizing phase. Nearly all the CLOs involved in the actions are backed by broadly syndicated loans. There are two CLOs backed by middle market loans. The positive CreditWatch placements are primarily due to the increase of the credit support for these classes at their current rating levels, which is reflected in an increase in their overcollateralization (OC) ratios and improved cash flow results. The increase in OC ratios are mostly a result of paydowns to the senior notes. The negative CreditWatch placements are primarily due to a decline of the credit support for these classes at their current rating levels, which is reflected in a drop in their overcollateralization (OC) ratios and weakened cash flow results. Though the trustee-reported OC ratios of reinvesting CLOs could be above their minimum required level, these have declined since the respective transactions went effective. While the decline in the OC ratios of reinvesting CLOs is likely due to par losses, the weakened cash flow results of these reinvesting CLOs are likely due to a combination of par losses and decreases in key metrics of the underlying collateral, such as recovery rates and spreads. The amortizing CLOs could have additional issues--such as increased concentration and higher exposure to 'CCC' rated collateral, etc.--as the portfolio decreases following paydowns. Some amortizing CLOs have senior tranches placed on CreditWatch positive, while, simultaneously, some of their junior tranches were placed on CreditWatch negative. Although the same portfolio backs all of the tranches of each CLO, these CLOs might have opposing rating movements because they experienced both principal paydowns, which increased the senior credit support, and principal losses, which decreased the junior credit support. S&P intends to resolve these CreditWatch placements within 90 days, following a committee review. S&P will continue to monitor the transactions it rates and takes rating actions, including CreditWatch placements, as S&P deems appropriate. Ratings List Rating Issuer Class CUSIP To From BlueMountain CLO 2015-3 Ltd. A-2-R 09628JAN1 AA (sf)/Watch Pos AA (sf) BlueMountain CLO 2015-3 Ltd. B-R 09628JAQ4 A (sf)/Watch Pos A (sf) CIFC Funding 2013-II Ltd. A-2L-2 12549BBA5 AA (sf)/Watch Pos AA (sf) CIFC Funding 2013-II Ltd. A-3L-R 12549BAU2 A (sf)/Watch Pos A (sf) CIFC Funding 2013-II Ltd. B-3L-R 12548YAK5 B- (sf)/Watch Neg B- (sf) CIFC Funding 2014 Ltd. B-R2 12549JBC4 AA (sf)/Watch Pos AA (sf) CIFC Funding 2014 Ltd. C-R2 12549JBE0 A (sf)/Watch Pos A (sf) CIFC Funding 2014 Ltd. F-R2 12549LAJ5 B- (sf)/Watch Neg B- (sf) Carlyle Global Market Strategies CLO 2014-4-R Ltd. A-2 14316CAG8 AA (sf)/Watch Pos AA (sf) Carlyle Global Market Strategies CLO 2014-4-R Ltd. B 14316CAJ2 A (sf)/Watch Pos A (sf) Octagon Investment Partners 26 Ltd. B-R 67590YAQ3 AA (sf)/Watch Pos AA (sf) Octagon Investment Partners 26, Ltd. C-R 67590YAS9 A (sf)/Watch Pos A (sf) Octagon Investment Partners 26 Ltd. E-R 675714AE9 B+ (sf)/Watch Neg B+ (sf) Voya CLO 2013-2 Ltd. A-2a-R 92916WAC3 AA (sf)/Watch Pos AA (sf) Voya CLO 2013-2 Ltd. A-2b-R 92916WAE9 AA (sf)/Watch Pos AA (sf) Voya CLO 2013-2 Ltd. B-R 92916WAG4 A (sf)/Watch Pos A (sf) Woodmont 2019-6 L.P. B-R 97988UAS4 AA (sf)/Watch Pos AA (sf) Woodmont 2019-6 L.P. B-R2 97988UBC8 AA (sf)/Watch Pos AA (sf) Woodmont 2019-6 L.P. C-R 97988UAU9 A (sf)/Watch Pos A (sf) Woodmont 2019-6 L.P. C-R2 97988UBE4 A (sf)/Watch Pos A (sf) Garrison MML CLO 2019-1 L.P. A-2F 36656RAM3 AA (sf)/Watch Pos AA (sf) Garrison MML CLO 2019-1 L.P. A-2T 36656RAK7 AA (sf)/Watch Pos AA (sf) Garrison MML CLO 2019-1 L.P. B 36656RAP6 A (sf)/Watch Pos A (sf) Atlas Senior Loan Fund XII Ltd. B 04942UAG1 AA (sf)/Watch Pos AA (sf) Atlas Senior Loan Fund XII Ltd. C 04942UAJ5 A (sf)/Watch Pos A (sf) Fortress Credit BSL III Ltd. B-1-R 34960NAN6 AA (sf)/Watch Pos AA (sf) Fortress Credit BSL III Ltd. B-2-R2 34960NAW6 AA (sf)/Watch Pos AA (sf) Fortress Credit BSL III Ltd. C-R 34960NAS5 A (sf)/Watch Pos A (sf) Fortress Credit BSL III Ltd. D-R 34960NAU0 BBB (sf)/Watch Pos BBB (sf) Madison Park Funding XL Ltd B-R-2 55821CAC8 AA (sf)/Watch Pos AA (sf) Madison Park Funding XL Ltd C-R-2 55821CAE4 A (sf)/Watch Pos A (sf) BlueMountain CLO XXII Ltd. B 09629PAE6 AA (sf)/Watch Pos AA (sf) BlueMountain CLO XXII Ltd. C 09629PAG1 A (sf)/Watch Pos A (sf) BlueMountain CLO XXII Ltd. E 09629QAA2 BB- (sf)/Watch Neg BB- (sf) Carlyle Global Market Strategies CLO 2014-5 Ltd. B-RR 14311AAW2 AA (sf)/Watch Pos AA (sf) Carlyle Global Market Strategies CLO 2014-5 Ltd. C-RR 14311AAY8 A (sf)/Watch Pos A (sf) Carlyle Global Market Strategies CLO 2014-5 Ltd. E-RR 14311BBG4 B+ (sf)/Watch Neg B+ (sf) Carlyle Global Market Strategies CLO 2014-5 Ltd. F-RR 14311BBJ8 B- (sf)/Watch Neg B- (sf) MidOcean Credit CLO II D-R 59863KAQ0 A- (sf)/Watch Pos A- (sf) Mountain View CLO 2013-1 Ltd. B-RR 62431UBD3 AA (sf)/Watch Pos AA (sf) Mountain View CLO 2013-1 Ltd. C-RR 62431UBE1 A (sf)/Watch Pos A (sf) Mountain View CLO 2013-1 Ltd. E-R 62431VAJ9 B- (sf)/Watch Neg B- (sf) Signal Peak CLO 3 Ltd. E-R3 82672PAA7 BB-p (sf)/Watch Neg BB-p (sf) Signal Peak CLO 5 Ltd. E-R 82666WAA0 BB-p (sf)/Watch Neg BB-p (sf) Bain Capital Credit CLO 2020-2 Ltd. E-R 05683JAJ0 BB- (sf)/Watch Neg BB- (sf) Bain Capital Credit CLO 2022-1 Ltd. D 05684UAJ4 BBB- (sf)/Watch Neg BBB- (sf) Bain Capital Credit CLO 2021-4 Ltd. D 05685AAL2 BBB- (sf)/Watch Neg BBB- (sf) Dryden 87 CLO Ltd. E 26246HAA9 BB- (sf)/Watch Neg BB- (sf) Dryden 97 CLO Ltd. E 26251RAA9 BB- (sf)/Watch Neg BB- (sf) Sound Point CLO XXVII Ltd. E-R 83613KAJ9 BB- (sf)/Watch Neg BB- (sf) Elmwood CLO 16 Ltd. E-R 29003DAE7 BB- (sf)/Watch Neg BB- (sf) Elmwood CLO 33 Ltd. E-R 29001FAA2 BB- (sf)/Watch Neg BB- (sf) Elmwood CLO IV Ltd. E-R 29002KAE2 BB- (sf)/Watch Neg BB- (sf) Elmwood CLO VI Ltd. E-RR 29001WAJ6 BB- (sf)/Watch Neg BB- (sf) Elmwood CLO VIII Ltd. E-R 290021AL8 BB- (sf)/Watch Neg BB- (sf) Invesco U.S. CLO 2024-1 Ltd. D-2-R 46148JAJ3 BBB- (sf)/Watch Neg BBB- (sf) Invesco U.S. CLO 2024-1 Ltd. E-R 46148KAA9 BB- (sf)/Watch Neg BB- (sf) LCM 31 Ltd. E-R 50200UAE6 BB- (sf)/Watch Neg BB- (sf) 610 Funding CLO 2 Ltd. D-R-2 83004MAA1 BB- (sf)/Watch Neg BB- (sf) ICG US CLO 2017-1 Ltd. D-RR 449259AQ3 BBB- (sf)/Watch Neg BBB- (sf) ICG US CLO 2017-1 Ltd. E-RR 449254AD3 B+ (sf)/Watch Neg B+ (sf) ICG US CLO 2021-1 Ltd. D 449303AJ5 BBB- (sf)/Watch Neg BBB- (sf) ICG US CLO 2021-1 Ltd. E 449289AA5 BB- (sf)/Watch Neg BB- (sf) ICG US CLO 2022-1(i) Ltd. E 44933PAA2 BB- (sf)/Watch Neg BB- (sf) Recette CLO Ltd. D-RR 75620TAZ1 BBB- (sf)/Watch Neg BBB- (sf) Recette CLO Ltd. E-RR 75620RAF9 BB- (sf)/Watch Neg BB- (sf) Recette CLO Ltd. F-RR 75620RAG7 B- (sf)/Watch Neg B- (sf) Magnetite XXI Ltd. E-R 55954QAJ1 BB- (sf)/Watch Neg BB- (sf) Riserva CLO Ltd. D-RR 76761RBE8 BBB- (sf)/Watch Neg BBB- (sf) Riserva CLO Ltd. E-RR 76761TAG0 BB- (sf)/Watch Neg BB- (sf) Riserva CLO Ltd. F-RR 76761TAJ4 B- (sf)/Watch Neg B- (sf) RR 2 Ltd. D-R 78109RAJ5 BB- (sf)/Watch Neg BB- (sf) RR 15 Ltd. D 74980WAA6 BB- (sf)/Watch Neg BB- (sf) Wind River 2022-1 CLO Ltd. D-2 97316YAQ3 BBB- (sf)/Watch Neg BBB- (sf) Wind River 2022-1 CLO Ltd. E 97316YAJ9 BB- (sf)/Watch Neg BB- (sf) Romark CLO - IV Ltd. D 77588MAA7 BB- (sf)/Watch Neg BB- (sf) Marble Point CLO XX Ltd. E 566063AA1 BB- (sf)/Watch Neg BB- (sf) KKR CLO 33 Ltd. E 48254TAA6 BB- (sf)/Watch Neg BB- (sf) Symphony CLO XXVIII Ltd. E 87168DAA4 BB- (sf)/Watch Neg BB- (sf) Kings Park CLO Ltd. E 496097AA4 BB- (sf)/Watch Neg BB- (sf) RRX 7 Ltd. D 40256JAA3 BB- (sf)/Watch Neg BB- (sf) Post CLO 2022-1 Ltd. E 73743AAA4 BB- (sf)/Watch Neg BB- (sf) Ballyrock CLO 19 Ltd. D 05876AAA5 BB- (sf)/Watch Neg BB- (sf) Octagon Investment Partners 27 Ltd. E-R 67591CAE7 B+ (sf)/Watch Neg B+ (sf) Octagon Investment Partners 27 Ltd. F-R 67591CAG2 B- (sf)/Watch Neg B- (sf) Wellfleet CLO X Ltd. D-R 94949VAE8 BB- (sf)/Watch Neg BB- (sf) Wellfleet CLO X Ltd. E-R 94949VAF5 B- (sf)/Watch Neg B- (sf) BlueMountain CLO 2018-3 Ltd. E 09629YAA5 BB- (sf)/Watch Neg BB- (sf) BlueMountain CLO 2018-3 Ltd. F 09629YAC1 B- (sf)/Watch Neg B- (sf) Octagon Investment Partners 40 Ltd. D-R 67592BAS7 BBB- (sf)/Watch Neg BBB- (sf) Octagon Investment Partners 40 Ltd. E-R 67592EAE2 BB- (sf)/Watch Neg BB- (sf) Mountain View CLO 2016-1 Ltd. E-R 62432EAE7 BB- (sf)/Watch Neg BB- (sf) California Street CLO IX L.P. D-2-1 13079WCB2 BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-1X BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-2 13079WCC0 BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-2X BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-3 13079WCD8 BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-3X BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-4 BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-4X BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. D-2-R2 13079WBA5 BBB- (sf)/Watch Neg BBB- (sf) California Street CLO IX L.P. E-1 B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-1X B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-2 B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-2X B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-3 B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-3X B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-4 B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-4X B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. E-R2 13078XAA5 B+ (sf)/Watch Neg B+ (sf) California Street CLO IX L.P. F-1 B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-1X B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-2 B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-2X B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-3 B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-3X B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-4 B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-4X B- (sf)/Watch Neg B- (sf) California Street CLO IX L.P. F-R2 13078XAC1 B- (sf)/Watch Neg B- (sf) CARLYLE US 2021-5: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-5, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2021-5, Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2021-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. that originally closed in July 2021. This is the first refinancing of the deal. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.66 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 95.02% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.22% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'Asf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2021-5, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CHASE HOME 2025-9: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-9 (Chase 2025-9). Entity/Debt Rating ----------- ------ Chase 2025-9 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase 2025-9 as indicated above. The certificates are supported by 391 loans with a scheduled balance of $491.14 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 9.9% above a long-term sustainable level, versus 10.5% on a national level as of 1Q25, down 0.5% from the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 391 high-quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $491.14 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 767, 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 74.2% 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 75.1%, which translates to a sustainable loan-to-value ratio (sLTV) of 82.5%. 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 in the pool are designated as SHQM APOR loans and 0.00% are rebuttable presumption QM loans. Of the pool, 100% of the loans are to borrowers of a primary or secondary residence (85.0% primary and 15.0% secondary). Single-family homes and planned unit developments (PUDs) constitute 90.7% of the pool, condominiums make up 8.3, co-ops make up 0.5% and multifamily units represent the remaining 0.5%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (85.8%), cashout refinances (2.0%) and rate-term refinances (12.1%). None of the loans are for investment properties and most of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 29.7% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the San Francisco MSA (10.1%), followed by the Los Angeles MSA (8.3%) and the New York MSA (7.4%). The top three MSAs account for 25.7% 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 1.60% 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 1.25% 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 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 0.15% at the 'AAAsf' stress due to 61.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 61.1% 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 2025-9 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-9 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. CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all Commercial Mortgage Pass-Through Certificates, Series 2020-420K issued by Citigroup Commercial Mortgage Trust 2020-420K as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) Morningstar DBRS changed the trends on Classes B, C, D, and E to Positive from Stable. The trends on the remaining classes are Stable. The credit rating confirmations and Positive trends reflect the overall stable-to-improving performance of the underlying collateral, as evidenced by the year-over-year growth in net cash flow (NCF) and steady residential occupancy rates that have remained above 90.0% since issuance. The loan is secured by the borrower's fee-simple interest in two 22-story luxury residential towers, 416 Kent and 420 Kent, located along the waterfront in the Williamsburg neighborhood of Brooklyn, New York. The high-rise buildings consist of 857 residential units and 18,827 square feet of commercial space with extensive amenities, including two parking garages consisting of 429 parking spaces. The sponsor and guarantor for the mortgage loan is Eliot Spitzer, the former governor of New York and the head of Spitzer Enterprises. Spitzer Enterprises has a 60-plus year history of developing, owning, and managing real estate in New York City and Washington, D.C. The residential portion of the development benefits from significant 421-a tax exemptions during the loan term and, in return, the developer has designated between 20% and 25% of the units at each address as affordable housing (65 units at 416 Kent and 121 units at 420 Kent). The market-rate units at 416 Kent are generally not subject to any restrictions on rental rates, while the market-rate component at 420 Kent is subject to limitations on rental rate increases set by the New York City Rent Guidelines Board during the 25-year exemption period. The tax abatements exempt each of the properties from 100.0% of the taxes on the improvements and will extend beyond loan maturity. The $388.0 million whole loan consists of a mortgage loan totaling $298.0 million and a mezzanine loan totaling $90.0 million. The mortgage loan comprises $216.9 million in senior notes and $81.1 million in junior notes. The 10-year, fixed-rate, interest-only (IO) loan matures in November 2030 with no extension options. As of the YE2024 financial reporting, the collateral was 98.5% occupied, generally in line with the prior year's occupancy rate of 96.9% and above the issuance occupancy rate of 83.3%. Similarly, NCF continues to trend upward with the YE2024 figure of $29.7 million (a debt service coverage ratio (DSCR) of 2.01 times (x)), higher than the YE2023 and YE2022 figures of $28.8 million (DSCR of 1.95x) and $24.4 million (DSCR of 1.66x), respectively. According to Reis, the Kings County submarket reported average asking rents of $3,240 per unit and an average vacancy rate of 3.8% as of Q1 2025. The underlying collateral continues to outperform the submarket given its above-average property quality and finishes, with in-place rental rates for market units averaging $4,914 and $4,482 for 416 Kent and 420 Kent, respectively. The in-place rent for the smaller subset of affordable units averages $1,135 and $996 as of the March 2025 rent roll. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the prior review in August 2024. At that time, Morningstar DBRS analyzed the collateral under both a base-case and stressed scenario to evaluate the potential for credit rating upgrades given the overall healthy performance of the underlying collateral, as evidenced by the sustained increase in cashflow from issuance. In both scenarios, a 6.25% capitalization rate was applied. The base-case scenario, which was based on a standard surveillance haircut to the YE2023 NCF, resulted in a base-case Morningstar DBRS Value of $452.1 million (loan-to-value ratio (LTV) of 65.9%). In the stressed scenario, which included a 20% haircut to the YE2023 NCF, Morningstar DBRS derived a value of $369.0 million (LTV of 80.8%), a -43.0% variance from the appraised value at issuance of $647.0 million and a 5.9% variance from the Morningstar DBRS Value derived at issuance. The LTV sizing benchmarks resulting from the stressed analysis indicated that credit rating upgrades were not warranted. However, should cash flow continue to trend upward, Morningstar DBRS notes that credit rating upgrades may be warranted in the future, as suggested by the Positive trends. As a result of the collateral's strong rental-rate growth, above-average property quality, and location in a high-growth market, Morningstar DBRS maintained positive qualitative adjustments totaling 10.0% to the final LTV sizing benchmarks to account for cash flow volatility, property quality, and market fundamentals. 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. COMM MORTGAGE 2025-180W: Moody's Assigns B3 Rating to Cl. HRR Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by COMM 2025-180W Mortgage Trust, Commercial Mortgage Pass-Through Certificates Cl. C, Definitive Rating Assigned A3 (sf) Cl. X*, Definitive Rating Assigned Baa2 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interest in 180 Water Street, a 29-story, Class A multifamily property consisting of 581 apartment units and 13,868 SF of grade-level retail in the Financial District of New York, NY ("180 Water Street" or the "Property"). Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Property is a former office building located on the south side of John Street between Water Street and Pearl Street. In July 2017, the Property underwent a gut renovation and conversion to multifamily use totaling approximately $176.5 million ($308,000/unit). The collateral's residential component offers approximately 377,321 SF of net rentable area with a unit mix consisting of 260 studios (44.8% of residential units), 219 one-bedrooms (37.7% of units), 54 two-bedrooms (9.3% of units) and 48 three-bedroom apartments (8.3% of units). All apartments include high-end finishes and open-concept floor plans with abundant natural light. The Property includes 17,184 SF of amenity space, featuring a roof top residents' lounge, rooftop pool, landscaped and furnished rooftop terrace, fitness center, personal and bike storage units, common laundry room, 24-hour doorman and on-site valet services for residents. The securitization consists of the $133,000,000 (the "trust loan") of a five-year, interest-only, first lien mortgage loan with an outstanding principal balance of $280,000,000 (the "whole loan" or the "loan"). The trust loan will contain senior and junior note components. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.01x (as compared to 1.00x in place at Moody's provisional ratings due to an interest rate decrease on the whole loan) and Moody's first mortgage actual stressed DSCR is 0.69x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $280,000,000 represents a Moody's LTV ratio of 117.7% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 113.0% as compared to 112.4% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Total debt MLTV ratio of 180.8% inclusive of mezzanine and mezz-like preferred equity debt held outside the trust. The adjusted MLTV ratio for the total debt is 173.6% as compared to172.6% in place at Moody's provisional ratings. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's quality grade is 1.0. Notable strengths of the transaction include: asset quality, strong location, submarket performance and experienced sponsorship Notable concerns of the transaction include: high LTV, interest-only loan profile, lack of asset diversification The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. COREVEST AMERICAN 2022-P2: Fitch Lowers Rating to 'BBsf' on E Debt ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed seven classes of CoreVest American Finance 2022-P2 Trust (CAF 2022-P2). Class E has been assigned a Negative Outlook following its downgrade. The Rating Outlook on class D remains Negative. Fitch has also affirmed nine classes of CoreVest American Finance 2023-P1 Trust (CAF 2023-P1). The Rating Outlooks on classes D, E, F, and G remain Negative and five classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CAF 2022-P2 A-1 21872DAA0 LT AAAsf Affirmed AAAsf A-2 21872DAB8 LT AAAsf Affirmed AAAsf B 21872DAC6 LT A+sf Affirmed A+sf C 21872DAD4 LT A-sf Affirmed A-sf D 21872DAE2 LT BBBsf Affirmed BBBsf E 21872DAF9 LT BBsf Downgrade BBB-sf F 21872DAG7 LT CCCsf Downgrade B-sf G 21872DAJ1 LT CCCsf Affirmed CCCsf X 21872DAM4 LT A-sf Affirmed A-sf CAF 2023-P1 A-1 21872YAA4 LT AAAsf Affirmed AAAsf A-2 21872YAB2 LT AAAsf Affirmed AAAsf B 21872YAC0 LT Asf Affirmed Asf C 21872YAD8 LT A-sf Affirmed A-sf D 21872YAE6 LT BBBsf Affirmed BBBsf E 21872YAF3 LT BBB-sf Affirmed BBB-sf F 21872YAG1 LT BB-sf Affirmed BB-sf G 21872YAH9 LT B-sf Affirmed B-sf X 21872YAM8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 15.0% in CAF 2022-P2 and 13.1% in CAF 2023-P1, compared to 12.8% and 11.5%, respectively, at Fitch's last rating action. The downgrades of classes E and F in CAF 2022-P2 reflect the increased pool loss expectations, driven primarily by the performance deterioration and updated lower appraisal valuations on the Florio Cushman 22-2 and Razjooyan DC IV loans, as well as the higher concentration of delinquent and specially serviced loans in the pool since Fitch's last rating action. The affirmations in CAF 2023-P1 reflect an increase in credit enhancement (CE) since the last rating action which has offset the higher 'Bsf' rating case losses. The Negative Outlooks in CAF 2022-P2 and CAF 2023-P1 reflect these transactions' elevated concentration of delinquent and specially serviced loans, and possible downgrades if losses exceed Fitch's expectations, or if performance or valuations decline further. Increase in Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate balance in CAF 2023-P1 has been paid down by 21% to $219.3 million from $277.9 million at issuance. CAF2022-P2 has been paid down by 11% to $242.7 million from $274.2 million at issuance. Delinquent and Specially Serviced Loans: As of the July 2025 remittance, CAF 2022-P2 has a delinquency rate of 18.2% and CAF 2023-P1 has a delinquency rate of 11.9%. Each of the delinquent loans are in special servicing: specially serviced loans comprise 18.2% and 11.9% of these transactions, respectively. The largest specially serviced loan and largest increase in loss since the last rating action in CAF 2022-P2 is Florio Cushman 22-2 (8.7% of pool), which is secured by an 11-building, 168-unit apartment complex located in Atlanta, GA. The loan was transferred to special servicing in December 2023 for monetary default. Per the special servicer, the property was approximately 63% physically occupied, but approximately 61% economically occupied due to non-paying tenants. Crime and economic changes in the submarket have also contributed to the performance declines at the property. A purchase contract on the property has been recently signed and the special servicer is in process of reviewing the sale. Fitch's 'Bsf' rating case loss of 56.3% (prior to concentration adjustments) reflects a stress to the most recent appraisal value, which is 56.1% lower than the appraisal value at issuance, equating to a value of $71,250 per unit. There are four sponsor-affiliated loans securitized in CAF 2022-P2 and CAF 2023-P1 that have transferred to special servicing due to payment default. These loans, which are all 90 days or more delinquent, include three loans securitized in CAF 2022-P2 (Razjooyan DC IV [1644 West Street], Razjooyan DC III [5058 Astor Place SE] and Razjooyan DC II [4647 Hillside Road SE]), representing a combined 4.6% of the pool, and the largest specially serviced loan in CAF 2023-P1 (Razjooyan DC 10 [2912-2920 Langston Place SE]), comprising 3% of the pool. These four loans are secured by multifamily properties located in Washington, D.C. Per the special servicer, the borrower has failed to comply with initial attempts to resolve via a reinstatement or forbearance agreement and has not remitted any rents or financial statements. The court has appointed a receiver, and the receiver has taken control of four properties. The special servicer is preparing a liquidation strategy for these properties. The second-largest specially serviced loan in CAF 2023-P1 is SAI RE Holdings 6 (2%), which is secured by 29 rental properties, totaling 35 units, located across four cities in Florida. The loan was transferred to special servicing for monetary default. Per the special servicer, the borrower and the lender entered into a forbearance agreement that expired in June 2025. The borrower has requested an extension of the forbearance period to provide additional time to liquidate or refinance the loan. Fitch's 'Bsf' rating case loss of 32.9% (prior to concentration adjustments) reflects a stress to the cash flow at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Classes with Stable Outlooks, including the senior classes, continue to benefit from increasing CE through loan payoffs and amortization and downgrades are not expected. However, downgrades are possible with significant declines in performance and valuations of the FLOCs, or if additional loans default. The Negative Outlooks indicate the possibility of downgrade to certain classes. Downgrades are possible with significant and sustained decline in portfolio performance or cash flow, including increases in 60+ day delinquencies and higher-than-expected losses on the delinquent and specially serviced loans, particularly Florio Cushman 22-2 in CAF 2022-P2, SAI RE Holdings 6 in CAF 2023-P1, and the Razjooyan-sponsored loans in CAF 2022-P2 and CAF 2023-P1. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - For classes rated 'AAAsf', upgrades are not possible. - For non-'AAAsf' rated classes, upgrades would be possible with lower delinquency rates and material increases in CE from additional loan repayments. However, upgrades may be limited by increasing pool concentration and limited financial reporting received for the loans USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations CAF 2022-P2 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited financial reporting, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. CAF 2023-P1 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited financial reporting, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CPS AUTO 2025-C: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by CPS Auto Receivables Trust 2025-C (CPS 2025-C or the Issuer): -- 184,450,000 Class A Notes at (P) AAA (sf) -- 57,440,000 Class B Notes at (P) AA (sf) -- 72,390,000 Class C Notes at (P) A (sf) -- 47,690,000 Class D Notes at (P) BBB (sf) -- 56,360,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- CPS 2025-C will not include a CNL trigger. -- CPS 2025-C will not include a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 18.90% based on the Cutoff Date pool composition. -- 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's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The capabilities of CPS with regards to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 58.45% of initial hard credit enhancement provided by the subordinated notes in the pool (53.95%), the reserve account (1.00%), and OC (3.50%). The ratings on the Class B, C, D, and E Notes reflect 45.20%, 28.50%, 17.50%, and 4.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC 2021-GATE: DBRS Confirms CCC Rating on 3 Classes ----------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-GATE issued by CSMC 2021-GATE as follows: -- Class A at AA (high) (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Classes A, B, and C to Stable from Negative. Although Classes D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions, Morningstar DBRS elected to assign a Positive trend to Class D for the purposes of this credit rating action. Additional details are outlined below. The transaction is secured by three Class A office buildings totaling 1.7 million square feet (sf), including Gateway Center I, Gateway Center II, and Gateway Center IV; a 86,400-sf retail concourse, two parking garages and a surface lot in downtown Newark, New Jersey. The properties are part of a larger complex known as the Gateway Center with proximity to the Prudential Center arena and the New Jersey Performing Arts Center, and access to Newark Penn Station, which serves as a hub for Amtrak, NJ Transit, and the PATH trains to Manhattan. The credit rating confirmations reflect Morningstar DBRS' overall outlook for the transaction, which remains relatively unchanged since the prior credit rating action, in July 2024. At that time, Morningstar DBRS downgraded its credit ratings on the Class D and E certificates to reflect the accumulation of interest shortfalls, which exceeded the maximum Morningstar DBRS shortfall tolerance for the associated credit rating categories. Morningstar DBRS also assigned Negative trends to the Class A, B, and C certificates given those classes were deemed more susceptible to additional interest shortfalls. Since that time, cumulative interest shortfalls on the Class D certificate were repaid in full with the January 2025 remittance and there have been no new shortfalls for that class. The shortfall repayment and view that shortfalls are unlikely to recur in the near term based on the outlook for interest rates form Morningstar DBRS' primary rationale for the assignment of a Positive trend on that class. Although cumulative interest shortfalls on the Class E certificate have increased to $1.7 million from $1.1 million at the prior review, that class began receiving partial interest repayments in February 2025, at a rate of approximately $145,000 per month. The servicer began shorting interest on the transaction as part of the loan modification executed in December 2023, which reduced the interest rate on the underlying loan. While the borrower's pay rate was reduced to 4.1% in Year 1 and 5.0% in Year 2, interest continues to accrue at the floating index rate (based on the Secured Overnight Financing Rate) as set forth in the original loan agreement. Morningstar DBRS notes that the full repayment of shorted interest on Class D and the partial repayment of shorted interest on Class E are likely due to a reduction in the index rate, which has declined by approximately 100 basis points between July 2024 and July 2025. Given Morningstar DBRS' forward-looking interest rate outlook, shortfalls are not expected to affect Classes A, B, and C in the near to moderate term, further supporting the trend changes to Stable from Negative on those classes. Should the Class D certificate continue to receive full interest due, and in the event interest shortfalls on the Class E certificate are further paid down or eliminated entirely, Morningstar DBRS notes it could change trends and/or credit rating upgrades may be warranted in the future. Whole-loan proceeds of $325.0 million consist of the $285.0 million trust loan and a $40.0 million mezzanine loan held outside of the trust. The trust loan had an initial two-year term with an initial maturity in December 2023 and three 12-month extension options, with a fully extended maturity date in December 2026. The loan transferred to special servicing in November 2023 for maturity default in connection with the loan's December 9, 2023, maturity date. The borrower failed to satisfy the conditions required to exercise the first extension option. A loan modification, which included a 24-month maturity extension to December 2025 with an option to extend the loan to December 2026, closed in December 2023. The borrower was also required to purchase an interest rate cap agreement (rate cap) with a strike price no less than 4.10% and a minimum term of 12 months, compared with the original loan terms where the required strike price was 3.0%. In addition, the borrower's Year 1 and Year 2 pay rate was reduced as noted above. The resulting shortfalls will be accrued and deferred for repayment on the loan's maturity date, or any earlier date on which the debt is repaid in full. Lastly, the borrower contributed approximately $45.0 million of additional equity into a leasing reserve at closing of the modification, with those funds earmarked to cover leasing expenses related to the New Jersey Transit Corporation (NJTC) lease. The loan was returned to the master servicer in April 2024 but is on the servicer's watchlist and will be cash managed until maturity. To exercise the final extension option through 2026, the borrower is required to purchase a rate cap that would yield a debt service coverage ratio (DSCR) of 1.05 times (x), in addition to resuming making monthly payments of interest only at the full floating interest rate. According to the YE2024 financial reporting, the portfolio generated a net cash flow (NCF) of $13.8 million (resulting in a DSCR of 1.53x) compared with the YE2023 figure of $9.5 million (reflecting a DSCR of 0.37x). The increase in cash flow is primarily driven by an increase in base rent and a decrease in operating expenses. The considerable improvement in the DSCR is attributed to the loan's reduced pay rate, as outlined above. Morningstar DBRS notes that the property's cash flow is expected to increase considerably as the free rent period for a number of major tenants continues to burn off. The borrower secured a 25-year lease with NJTC for approximately 407,000 sf (23.9% of the net rentable area (NRA)) with staggered commencement dates that began in January 2024. Approximately 80.0% of NJTC's space has rent abatements ending in July 2025. In addition, rent abatement for the third-largest tenant, WebMD (8.9% of the NRA, lease expiration date (LXD) of January 2033) have concluded. The second largest tenant, Broadridge Securities (9.1% of the NRA, LXD of September 2032) has less than $2.0 million of free rent staggered through the end of its lease term. According to the March 2025 rent roll, the collateral was approximately 77.0% occupied, compared with the YE2023 figure of 56.1%. The property has minimal rollover risk over the next 12 months. The Newark office submarket has an average submarket vacancy rate of 17.2% as of Q1 2025 compared with 18.2% in Q1 2024 per Reis, Inc. For purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the prior review. At that time, Morningstar DBRS reanalyzed the collateral's NCF to reflect NJTC's lease. The concluded Morningstar DBRS Value of $255.1 million resulted from a Morningstar DBRS NCF of $22.3 million and a capitalization rate of 8.75%, unchanged from the prior review. Morningstar DBRS also applied a negative value adjustment totaling $18.4 million to account for the rent abatements owing to a few tenants, most notably NJTC, that were not being funded from a reserve account. As part of this credit rating action, Morningstar DBRS reduced the negative value adjustment to $5.2 million to reflect the remaining rent abatements, as outlined above. The final Morningstar DBRS Value of $250.0 million is 20.1% below the March 2024 appraised value of $314.7 million, and 45.1% below the issuance appraised value of $455.2 million. The implied trust loan-to-value ratio (LTV) based on the updated Morningstar DBRS Value against the trust debt is 114.0%. A positive qualitative adjustment totaling 0.5% was maintained from issuance to account for property quality. The credit ratings on Classes B and C are three or more notches lower than the results implied by the LTV sizing benchmarks. The variances are warranted given the uncertain loan-level event risk. Although NJTC recently signed a long-term lease at the property, Morningstar DBRS has concerns with the high submarket vacancy rate, accruing interest shortfalls and the borrower's ability to secure replacement financing, or to exercise the final extension option through 2026, which will require the purchase of a rate cap and the resumption of interest at the contract floating interest rate. Notes: All figures are in U.S. dollars unless otherwise noted. DGWD TRUST 2025-INFL: Fitch Assigns B(EXP)sf Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to DGWD Trust 2025-INFL commercial mortgage pass through certificates: - $202,825,000 class A 'AAAEXPsf'; Outlook Stable; - $32,680,000 class B 'AA-EXPsf'; Outlook Stable; - $25,650,000 class C 'A-EXPsf'; Outlook Stable; - $36,100,000 class D; 'BBB-EXPsf'; Outlook Stable; - $55,385,000 class E; 'BB-EXPsf'; Outlook Stable; - $34,485,000 class F; 'BEXPsf'; Outlook Stable; - $20,375,000a class VRR. 'NREXPsf'; Outlook Stable; (a) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $407.5 million, two-year, floating-rate, interest-only mortgage loan with three, one-year extension options. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of 50 industrial properties and one land parcel, comprising approximately 3.7 million sf located across five states and six markets. TPG Real Estate (TPG), acquired 38 assets (known as the Dogwood Portfolio) located across Boise, ID, El Paso, TX, Austin, TX, Spokane, WA and Winston-Salem, MA in a series of transactions during 2022 and 2023. TPG will be acquiring the remaining 13 assets known as the Nashville portfolio with the closing of this loan. Mortgage loan proceeds along with $56.7 million of sponsor equity are being used to refinance $298.1 million of existing debt (secured by the Dogwood portfolio), acquire the Nashville portfolio for $156.2 million, fund $1.6 million of outstanding landlord obligations, and pay closing costs. Goldman Sachs Bank USA and Bank of America, N.A. are co-originating the mortgage loan. They will act as mortgage loan sellers and sponsors of the trust. Midland Loan Services is expected to be the servicer and KeyBank National Association will act as the special servicer. Computershare Trust Company, N.A will serve as the trustee and certificate administrator. The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on Aug. 22, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $27.6 million. This is 9.4% lower than the issuer's NCF and 4.9% lower than the trailing 12 months (TTM) ended May 2025 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of approximately $368.1 million. High Fitch Leverage: The $407.5 million mortgage loan equates to debt of approximately $110 psf with a Fitch-stressed LTV ratio and debt yield of 110.7% and 6.8%, respectively. The Fitch market LTV at the lowest rated tranche, 'Bsf', is 87.8%, based on a blend of the Fitch cap rate (7.50%) and the weighted average (WA) appraisal cap rate (5.63%). The loan represents approximately 68.3% of the appraised value of $596.4 million (inclusive of a 2.0% portfolio premium). Fitch applied a penalty to the LTV hurdles of 2.50% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 50 properties, all primarily industrial, and one land parcel (3.7 million sf) located across five states and six MSAs. The three largest state concentrations are Idaho (1,748,861 sf; 30 properties), Tennessee (1,004,192 sf; 13 properties), and Texas (630,759 sf; six properties). The three largest MSAs Boise, ID (47.3% of NRA; 49.2% of allocated loan amount, ALA), Nashville, TN (27.2% of NRA; 27.6% of ALA) and El Paso, TX (13.9% of NRA; 12.5% of ALA). The portfolio also exhibits significant tenant diversity as it features over 120 distinct tenants, with no tenant occupying more than 4.4% of NRA. Institutional Sponsorship: Founded in 2009, TPG Real Estate is a diversified real estate investor with offices in New York, San Francisco, and London. focuses on opportunistic, value-add real estate investments primarily in North America and Europe. The platform invests across property types by acquiring assets, portfolios, and real estate-heavy companies. They seek to create value through active management, repositioning, and strategic capital improvements. According to its website, TREP has executed numerous transactions, and it currently manages a portfolio with $18 billion of AUM. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf'/BBsf'/'Bsf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf''/BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCooper 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. DIAMETER CAPITAL 11: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 11 Ltd./Diameter Capital CLO 11 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 managed by Diameter CLO Advisors LLC. The preliminary ratings are based on information as of Aug. 6, 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 Diameter Capital CLO 11 Ltd./Diameter Capital CLO 11 LLC Class A, $154.00 million: AAA (sf) Class A-L loans: $161.00 million: AAA (sf) Class B: $65.00 million: AA (sf) Class C (deferrable): $30.00 million: A (sf) Class D-1 (deferrable): $30.00 million: BBB- (sf) Class D-2 (deferrable): $5.00 million: BBB- (sf) Class E (deferrable): $15.00 million: BB- (sf) Subordinated notes: $43.85 million: Not rated DK TRUST 2025-LXP: Fitch Assigns B-(EXP)sf Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to DK Trust 2025-LXP commercial mortgage pass-through certificates, series 2025-LXP. - $173,500,000a class A 'AAAsf'; Outlook Stable; - $32,100,000a class B 'AA-sf'; Outlook Stable; - $25,200,000a class C 'A-sf'; Outlook Stable; - $35,500,000a class D 'BBB-sf'; Outlook Stable; - $54,300,000a class E 'BB-sf'; Outlook Stable; - $36,600,000a class F 'Bsf'; Outlook Stable; - $18,800,000ab class HRR 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. The ratings are based on information provided by the issuer as of Aug. 11, 2025. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $376.0 million, two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple and/or leasehold interests in a portfolio of 20 single-tenanted industrial facilities, including 11 manufacturing and distribution properties, four warehouse and distribution properties, three manufacturing, distribution and warehouse properties, and two cold storage properties comprising approximately 6.3 million square feet (sf) located across 11 states. The mortgage loan is expected to be used to pay down the existing debt of $345.5 million, return $15.9 million in equity to the sponsor, fund $5.8 million of upfront reserves and cover the closing cost of $9.8 million. The loan is sponsored by a joint venture between affiliates of Davidson Kempner Capital Management LP and LXP Industrial Trust. The loan was co-originated by JPMorgan Chase Bank, National Association and Morgan Stanley Bank, N.A., which will assign its interest before the closing date to Morgan Stanley Mortgage Capital Holdings LLC. KeyBank National Association is expected to be the servicer and the special servicer. Deutsche Bank National Trust Company is expected to act as the trustee. Computershare Trust Company, N.A. is expected to act as the certificate administrator. BellOak, LLC will act as operating advisor. The certificates will follow a sequential-pay structure, and the transaction is scheduled to close on Aug. 27, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $27.5 million. Fitch applied an 8.0% cap rate to derive a value of approximately $305.4 million. High Fitch Leverage: The $376.0 million whole loan equates to debt of approximately $59.88 per sf (psf) with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 123.1% and 7.3%, respectively. The loan represents approximately 74.8% of the appraised value of $503.0 million. Fitch increased the LTV hurdles by 2.50% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio shows moderate geographic diversity, with 20 single tenanted industrial properties (6.3 million sf) located across 11 states and 16 markets. The three largest state concentrations are Kentucky (1.7 million sf; five properties), Alabama (442,275 sf; two properties) and Texas (449,895 sf; two properties). The three largest metropolitan statistical areas (MSAs) by allocated loan amount (ALA) are Houston, TX (7.2% of net rentable area (NRA); 13.2% of the ALA), Chicago IL (3.0% of NRA; 12.0% of ALA) and Columbus, GA (2.6% of NRA; 10.1% of ALA). No other MSA accounts for more than 8.8% of ALA. Institutional Sponsorship: The sponsorship is a joint venture between affiliates of Davidson Kempner Capital Management LP and LXP Industrial Trust. Davidson Kempner is a private investment firm focused on global real estate with AUM of approximately $35 billion. LXP Industrial is a public REIT specializing in industrial real estate. As of June 2025, the company owns and operates 56.4 million sf across 116 properties in the U.S. 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'/ 'Bsf'/ 'B-sf'; - 10% NCF Decline: 'AAsf'/ 'A-sf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'/ 'CCC+sf'/ '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 in one variable, Fitch NCF: - Original Rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/ 'BB-sf'/ 'Bsf'/ 'B-sf'; - 10% NCF Increase: 'AAAsf'/ 'AAsf'/ 'A+sf'/ 'BBBsf'/ 'BBsf'/ 'B+sf'/ '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 the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DRYDEN 107: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings today assigned its preliminary ratings to the replacement class A-L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Dryden 107 CLO Ltd./Dryden 107 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in August 2023. The preliminary ratings are based on information as of Aug. 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 15, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A-1, B, C, D, and E debt and assign ratings to the replacement class A-L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Aug. 15, 2027. -- The reinvestment period will be extended to Aug. 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Aug. 15, 2038. -- No additional assets will be purchased on the Aug. 15, 2025, refinancing date, and the target initial par amount will remain at $400,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Nov. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- Of the identified underlying collateral obligations, 99.94% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 92.78% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Dryden 107 CLO Ltd./Dryden 107 CLO LLC Class A-L-R, $256.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $22.00 million: BBB- (sf) Class D-2-R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Other Debt Dryden 107 CLO Ltd./ Dryden 107 CLO LLC Subordinated notes, $33.76 million: NR NR--Not rated. DRYDEN 130: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 130 CLO Ltd./Dryden 130 CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc. The 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 Dryden 130 CLO Ltd./Dryden 130 CLO LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1a (deferrable), $27.00 million: BBB+ (sf) Class D-1b (deferrable), $6.00 million: BBB- (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $19.50 million: BB- (sf) Subordinated notes, $51.53 million: NR NR—Not rated. DRYDEN 87: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 87 CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Dryden 87 CLO, Ltd. X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Dryden 87 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PGIM, Inc that originally closed in July 2021. This is the first reset where the existing secured notes will be refinanced on Aug. 8, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.51 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 95.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.19% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Dryden 87 CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. EATON VANCE 2013-1: S&P Assigns BB- (sf) Rating on Cl. E-R4 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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, which 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 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." 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 ELARA HGV 2023-A: Fitch Affirms 'BBsf' Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Elara HGV Timeshare Issuer (Elara) 2019-A, 2021-A and 2023-A notes. The Rating Outlooks for the notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Elara HGV Timeshare Issuer, 2019-A LLC A 28416TAA3 LT AAAsf Affirmed AAAsf B 28416TAB1 LT Asf Affirmed Asf C 28416TAC9 LT BBBsf Affirmed BBBsf Elara HGV Timeshare Issuer, 2021-A LLC Class A 28416LAA0 LT AAAsf Affirmed AAAsf Class B 28416LAB8 LT Asf Affirmed Asf Class C 28416LAC6 LT BBBsf Affirmed BBBsf Class D 28416LAD4 LT BBsf Affirmed BBsf Elara HGV Timeshare Issuer 2023-A, LLC A 28415AAA5 LT AAAsf Affirmed AAAsf B 28415AAB3 LT A-sf Affirmed A-sf C 28415AAC1 LT BBB-sf Affirmed BBB-sf D 28415AAD9 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects default coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, Elara 2019-A has performed weaker than Fitch's initial expectations but has remained relatively stable over the past year. Elara 2021-A's performance has also been stable and generally in line with Fitch's expectation. In contrast, Elara 2023-A has underperformed relative to initial expectations, with its performance deteriorating over the past year. As of the June 2025 collection period, the 61+ day delinquency rates for Elara 2019-A, 2021-A and 2023-A are 1.83%, 2.81% and 2.64%, respectively. Cumulative gross defaults (CGD) are currently 19.40%, 16.51% and 11.61% for Elara 2019-A, 2021-A and 2023-A, respectively. When adjusting for cumulative substitutions (for defaults, upgrades and ineligible loans), CGDs for Elara 2019-A, 2021-A and 2023-A are 16.35%, 12.90% and 9.56%, respectively. All transactions, with the exception of Elara 2021-A, are tracking above their initial base cases of 14.40% (2019-A) and 17.00% (2023-A). Due to optional repurchases and substitutions made by the seller, none of the transactions have experienced net losses to date. Hard credit enhancement (CE) for each transaction has built to its target from close. To account for recent performance, Fitch maintained the lifetime CGD proxy at 18.50% and 16.50% for Elara 2019-A and 2021-A, respectively, given the stabilizing performance trends for these transactions. The CGD proxy for Elara 2023-A was increased to 18.50% from the prior 17.00% to reflect recent performance. Under Fitch's stressed cash flow assumptions, default coverage for 2019-A class A, B, and C notes is below the 3.50x, 2.50x, and 1.75x multiples for 'AAAsf', 'Asf', and 'BBBsf', respectively, but is within the one category tolerance permitted by Fitch's timeshare criteria. For 2021-A, default coverage for the class A, B, C, and D notes are able to support multiples in excess of 3.50x, 2.50x, 1.75x, and 1.25x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf', respectively. For 2023-A, default coverage for the class A and B notes is marginally below the 3.50x and 2.25x multiples for 'AAAsf' and 'A-sf', respectively, but is within ranges of multiples for each rating category per Fitch's timeshare criteria. For 2023-A, default coverage for the class C and D notes are able to support multiples in excess of 1.58x and 1.25x for 'BBB-sf' and 'BBsf', respectively. The shortfalls are considered nominal and are within the range of the multiples for the current ratings. 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 base case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect the 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 base case loss expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the base case loss 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 base case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories 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. EXETER AUTOMOBILE 2025-4: S&P Assigns Prelim BB- Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2025-4'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. 13, 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 56.16%, 49.90%, 41.64%, 31.25%, and 25.08% 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 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P's expected cumulative net loss of 20.75% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, our updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2025-4 Class A-1, $117.990 million: A-1+ (sf) Class A-2, $266.480 million: AAA (sf) Class A-3, $266.461 million: AAA (sf) Class B, $138.261 million: AA (sf) Class C, $143.195 million: A (sf) Class D, $190.320 million: BBB (sf) Class E, $120.995 million: BB- (sf) FIDELIS MORTGAGE 2025-RTL2: DBRS Finalizes B(low) Rating on B Debt ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on Fidelis Mortgage Trust 2025-RTL2 (FID 2025-RTL2 or the Issuer) as follows: -- $121.4 million Class A at BBB (low) (sf) -- $112.0 million Class A-1 at A (low) (sf) -- $9.5 million Class A-2 at BBB (low) (sf) -- $10.1 million Class M-1 at BB (low) (sf) -- $13.0 million Class B at B (low) (sf) The A (low) (sf) credit rating reflects 25.35% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and 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. FIGRE TRUST 2025-FL1: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 6 classes of residential mortgage-backed securities (RMBS) issued by FIGRE Trust 2025-FL1, and sponsored by Figure Lending LLC. The securities are backed by a pool of predominantly first-lien, performing, simple interest, fixed rate, fully amortizing, and open-ended Home Equity Lines of Credit (HELOCs), originated by Figure Lending LLC and various other originators and serviced by Figure Lending LLC. The complete rating actions are as follows: Issuer: FIGRE Trust 2025-FL1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the HELOCs, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. The definitive ratings for Class A-2, Class B-1 and Class B-2 notes of Aa2 (sf), Ba2 (sf) and B2 (sf) are one notch higher than the provisional ratings of (P)Aa3 (sf), (P)Ba3 (sf) and (P)B3 (sf) respectively. This difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. Moody's expected loss for this pool in a baseline scenario-mean is 1.87%, in a baseline scenario-median is 1.35% and reaches 14.78% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. FREDDIE MAC 2025-MN11: DBRS Finalizes B(low) Rating on B1 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Freddie Mac Multifamily Structured Credit Risk Notes, Series 2025-MN11 (the Notes) issued by Freddie Mac MSCR Trust MN11 (the Trust): -- Class M-1 at BBB (low) (sf) -- Class M-2 at BB (low) (sf) -- Class B-1 at 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 and 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 Statistiscal 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. FRTKL 2021-SFR1: DBRS Confirms BB Rating on Class F Certs --------------------------------------------------------- DBRS, Inc. reviewed 23 classes from three U.S. single-family rental transactions. Of the 23 classes reviewed, Morningstar DBRS confirmed 17 credit ratings and upgraded six credit ratings. FRTKL 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to AA (low) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (high) (sf) AMSR 2022-SFR3 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (high) (sf) from AA (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (high) (sf) from A (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) AMSR 2023-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (low) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F-1 confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class F-2 confirmed at BB (low) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating upgrades reflect a positive performance trend and/or an increase in credit support sufficient to withstand stresses at the new credit rating level. 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 US Dollars unless otherwise noted. GENERATE CLO 12: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-2R, and E-R debt and new class X-R and D-1R debt from Generate CLO 12 Ltd., a CLO managed by Generate Advisors LLC that was originally issued in September 2023. At the same time, S&P withdrew its ratings on the original class B, C, D, and E debt following payment in full on the Aug. 13, 2025, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, B-R, C-R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- The replacement class D-2R debt was issued at a fixed coupon. -- The class A loans and class A debt, which were not rated by S&P Global Ratings, were replaced with new class X-R and D-1R debt, which each has a floating spread over three-month SOFR. -- The stated maturity, reinvestment period, and non-call periods were each extended by two years to July 2038, July 2027, and July 2030, respectively. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 2038. -- No additional assets were purchased on the 2025 refinancing date, and the target initial par amount remained at $400.00 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is in January 2026. -- 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. " -- S&P said, "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." S&P will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Ratings Assigned Generate CLO 12 Ltd./Generate CLO 12 LLC Class X-R, $2.00 million: AAA (sf) Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $20.00 million: BBB (sf) Class D-2R (deferrable), $7.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Generate CLO 12 Ltd./Generate CLO 12 LLC Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Generate CLO 12 Ltd./Generate CLO 12 LLC Subordinated notes, $38.00 million: NR NR--Not rated. GOLDENTREE LOAN 26: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 26, Ltd. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 26, Ltd. X LT NRsf New Rating NR(EXP)sf A LT AAAsf New Rating AAA(EXP)sf A-J 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 BBB-sf New Rating BBB-(EXP)sf D-J LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B-sf New Rating B-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary GoldenTree Loan Management US CLO 26, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.17, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.04% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, between 'BBB+sf' and 'AA+sf' for class A-J, 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, between less than 'B-sf' and 'BB+sf' for class D-J, and between less than 'B-sf' and 'BB-sf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A and class A-J 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, 'A-sf' for class D-J, and 'BBB+sf' for class E and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 26, 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. GSAT TRUST 2025-BMF: DBRS Finalizes B(low) Rating on Class F Certs ------------------------------------------------------------------ DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-BMF (the Certificates) issued by GSAT Trust 2025-BMF (the Trust): -- Class A 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 (low) (sf) All trends are Stable. The Trust is secured by the borrower's fee-simple interest in a portfolio of seven Class A and B garden-style multifamily properties totaling 2,381 market-rate units located across the Louisville, Kentucky, Atlanta, Nashville, Carmel, Indiana, and Cincinnati markets. Transaction proceeds of $330.0 million refinanced $237.1 million of debt across the portfolio, cashing out $85.4 million to the borrower, covering an anticipated prepayment penalty of $941,401, and covering closing costs. The sponsor developed four of the assets between 1999 and 2020 and acquired the remaining assets in several transactions between August 2018 and January 2020 for a total cost basis of $386.7 million. The portfolio assets are generally stabilized and in good condition. All seven properties have many amenities, with all properties offering clubhouses and fitness centers, and four of the seven offering swimming pools. The WA year built of the portfolio is 1997, with no property built before 1982. Five of the seven properties, totaling 1,754 units, were constructed prior to 2002. Since 2018, the borrower has successfully completed unit renovations on the majority of units and common areas at the more dated properties in the portfolio. Excluding the Nashville assets, Whetstone Flats I & II, which were built in 2016 and 2020, respectively, the borrower has renovated 79.6% of units, inclusive of 45 units renovated by prior ownership. Cost per renovated unit averaged $16,506, and total capex spend per unit across the entire portfolio averages $19,362, including both unit renovations and other capex. Across the five properties that have undergone unit renovations, average rent premiums of $165 or 13.7% per unit have been achieved thus far. The borrower's considerable investment in improving properties in the portfolio evidences its commitment to the portfolio. As of the May 2025 rent roll, the portfolio was 93.5 % occupied with an average rent of $1,499 per unit. The properties are in suburban areas of their respective markets, generally about 15 to 20 minutes outside of downtown central business districts (CBDs). The portfolio has exhibited consistent rent growth year over year since 2019, bolstered by the borrower's renovations across the portfolio. Despite a track record of rent growth, Morningstar DBRS notes the portfolio net operating income (NOI) dipped in 2024 and T-12 ended March 2025 periods because of elevated concessions and expenses on the portfolio level. The concessions, which are concentrated at the Nashville assets, are serving as a means to preserve occupancy and maintain the properties' competitive positions in the market as new supply in the immediate areas reaches stable occupancy and allows concession to burn off. The generally favorable market conditions are evidenced by relatively tight submarket vacancy rates, which, by vintage, averaged 5.4% across the portfolio in Q1 2025, per Reis. All of the properties have a Morningstar DBRS Market Rank of 3 or 5, designations assigned to more suburban locations. These suburban markets are quite popular as shown by CBRE's local demographics data. The three-mile radius surrounding each property demonstrated strong population growth between 2020 and 2024, averaging annual growth of 1.7% across the portfolio, which is 2.8x higher than the U.S. average per census data. Further, the three-mile radius average median income is $88,912, more than 10% higher than the U.S. median household income. The portfolio is generally in statistically desirable markets across the U.S., positioning it well to continue to attract renters in the near term. The Morningstar DBRS Loan-To-Value (LTV) on the full debt load of $330.0 million is high at 103.2%. To account for the high leverage, Morningstar DBRS programmatically reduced its LTV benchmark targets for the transaction by 1.50% across the capital structure. The high leverage point combined with a lack of scheduled amortization pose potentially elevated refinance risk at loan maturity in the event that the appraised values do not remain stable. Furthermore, the Morningstar DBRS Net Cash Flow (NCF) of $22.8 million results in a Morningstar DBRS Debt Service Coverage Ratio (DSCR) of 1.03 times (x), indicating any cash flow decline or disruption of operations within the portfolio puts the overall portfolio at risk of not being able to service its debt service payments as they come due. Morningstar DBRS took a conservative approach in its cash flow analysis, which includes no rental rate appreciation over the course of the loan term, elevated economic vacancy conclusions, and elevated operating expenses when compared against the Issuer's cash flow figure. The sponsor for the mortgage loan is Buckingham Multifamily Fund I, LP, Buckingham Companies' (Buckingham) flagship value-add fund. Buckingham is a full-service, vertically integrated real estate company founded more than 40 years ago. Buckingham currently manages a portfolio valued at more than $3.0 billion. Buckingham has other experience in the same submarkets as the portfolio and developed four of the seven subject assets, representing 47.3% of the collateral portfolio unit count. In the subject financing, the sponsor will cash out approximately $85.4 million, 25.9% of the total loan amount. Based on the appraised value of $482,450,000, the sponsor will still have approximately $157.0 million of implied equity remaining. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2025-NQM4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HOMES 2025-NQM4 Trust's series 2025-NQM4 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only features, secured by single-family residences, townhouses, planned-unit developments, condominiums, cooperatives, two- to four-family homes, and condotel properties to both prime and nonprime borrowers. The pool has 789 loans, which are qualified mortgage (QM) safe harbor, QM rebuttable presumption, ability-to-repay (ATR) exempt, and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of Aug. 6, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) HOMES 2025-NQM4 Trust Class A-1, $304,964,000: AAA (sf) Class A-1A, $265,047,000: AAA (sf) Class A-1B, $39,917,000: AAA (sf) Class A-2, $17,963,000: AA (sf) Class A-3, $40,316,000: A (sf) Class M-1, $14,170,000: BBB (sf) Class B-1, $9,380,000: BB (sf) Class B-2, $7,585,000: B (sf) Class B-3, $4,790,143: 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 payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance as of the first day of the related due period. NR--Not rated. N/A--Not applicable. JAMESTOWN CLO IX: S&P Assigns BB- (sf) Rating on Cl. D-R3 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R3, A-2-R3, B-R3, C-R3, and D-R3 debt from Jamestown CLO IX Ltd./Jamestown CLO IX Corp., a CLO managed by Investcorp Credit Management US LLC that was originally issued in Sept. 2016 and underwent a refinancing in Aug. 2021. At the same time, S&P withdrew its ratings on the outstanding class A-1-RR, A-2-RR, B-RR, C-RR, and D-RR debt following payment in full on the Aug. 7, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Oct. 25, 2025. -- The non-call period was extended to Feb. 7, 2026. -- No additional subordinated notes were issued on the refinancing date. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-R3 debt. S&P said, "However, given the improved cash flow results following the refinancing, the overall credit quality of the portfolio, the relatively low exposure to 'CCC/CCC-' assets, and the passing coverage tests, we assigned a 'BB- (sf)' rating to the class D-R3 debt (the same rating as the class D-RR debt prior to withdrawal). 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 Outstanding Debt Issuances Replacement debt -- Class A-1-R3 notes, $247.50 million: Three-month CME term SOFR + 1.18000% -- Class A-2-R3 notes, $47.70 million: Three-month CME term SOFR + 1.70000% -- Class B-R3 notes (deferrable), $29.70 million: Three-month CME term SOFR + 2.00000% -- Class C-R3 notes (deferrable), $23.10 million: Three-month CME term SOFR + 3.25000% -- Class D-R3 notes (deferrable), $15.30 million: Three-month CME term SOFR + 6.50000% Outstanding debt -- Class A-1-RR notes, $247.50 million: Three-month CME term SOFR + 1.50161% -- Class A-2-RR notes, $47.70 million: Three-month CME term SOFR + 2.11161% -- Class B-RR notes (deferrable), $29.70 million: Three-month CME term SOFR + 2.81161% -- Class C-RR notes (deferrable), $23.10 million: Three-month CME term SOFR + 4.16161% -- Class D-RR notes (deferrable), $15.30 million: Three-month CME term SOFR + 7.37161% -- Subordinated notes, $61.83 million: Not applicable 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 Jamestown CLO IX Ltd./Jamestown CLO IX Corp. Class A-1-R3, $247.50 million: AAA (sf) Class A-2-R3, $47.70 million: AA (sf) Class B-R3 (deferrable), $29.70 million: A (sf) Class C-R3 (deferrable), $23.10 million: BBB- (sf) Class D-R3 (deferrable), $15.30 million: BB- (sf) Ratings Withdrawn Jamestown CLO IX Ltd./Jamestown CLO IX Corp. Class A-1-RR to NR from 'AAA (sf)' Class A-2-RR to NR from 'AA (sf)' Class B-RR to NR from 'A (sf)' Class C-RR to NR from 'BBB- (sf)' Class D-RR to NR from 'BB- (sf)' Other Debt Jamestown CLO IX Ltd./Jamestown CLO IX Corp. Subordinated notes, $61.83 million: NR NR--Not rated. JAMESTOWN CLO XI: Moody's Cuts Rating on $8MM Cl. E Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Jamestown CLO XI Ltd.: US$44,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on June 9, 2023 Upgraded to Aa1 (sf) US$19,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on June 9, 2023 Upgraded to A1 (sf) US$23,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Baa1 (sf); previously on September 11, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the rating on the following notes: US$8,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on September 11, 2020 Downgraded to Caa1 (sf) Jamestown CLO XI Ltd., issued in July 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since the payment date in July 2024. The Class A notes have been paid down by approximately 54.3% or $117.58 million since that time. Based on the trustee's June report[1], the OC ratios for the Class A, Class B, Class C, and Class D notes are reported at 148.53%, 133.38%, 118.78%, and 108.20%, respectively, versus July 2024 [2]levels of 133.12%, 124.32%, 115.15% and 108.03% respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. In particular, the trustee-reported [3]weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 3365 and 3.40%, respectively, compared to 3097 and 3.60%, respectively, in July 2024[4]. No actions were taken on the Class A-1 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: $227,459,928 Defaulted par: $1,084,268 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3155 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.22% Weighted Average Recovery Rate (WARR): 46.11% Weighted Average Life (WAL): 3.19 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in 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. JPMBB COMMERCIAL 2015-C32: DBRS Cuts Rating on 2 Classes to D ------------------------------------------------------------- DBRS Limited downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C32 issued by JPMBB Commercial Mortgage Securities Trust 2015-C32 as follows: -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on the aforementioned classes. The credit rating downgrades were due to a loss to the trust that was reflected with the June 2025 remittance. The transaction incurred a loss of $27.8 million, wiping out the unrated Class NR, Class G, and eroding into Class F. The loss was tied to non-recoverable advances for the largest four loans in the pool, all of which are in special servicing. For more information on these loans, please see the press release dated January 20, 2025, on the Morningstar DBRS website. Notes: All figures are in U.S. dollars unless otherwise noted. KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by KREF 2021-FL2 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 F-E BB (low) (sf) -- Class F-X at BB (low) (sf) -- Class G at B (low) (sf) -- Class G-E at B (low) (sf) -- Class G-X at B (low) (sf) The trends on the Classes F, G, F-E, F-X, G-E, and G-X remain Negative. The trends on all other classes are Stable. The Negative trends continue to reflect the increased credit risk given the transaction's exposure to adverse selection. Five of the remaining loans, representing 57.2% of the current trust balance, are secured by office collateral, including the three largest loans in the pool (39.0% of the current trust balance), which have reported declines in occupancy and cash flow year-over-year. As a result of the in-place performance declines and the declining demand for office space in the post-pandemic environment, Morningstar DBRS believes property values have declined from their respective issuance appraisals. As such, Morningstar DBRS analyzed these three loans with increased loan-to-value ratios (LTVs), resulting in individual expected losses that are between 12.5% to 86.9% greater than the pool's weighted-average (WA) expected loss. In aggregate, the WA expected loss for all office loans in the pool was approximately 30.0% greater than the pool's WA expected loss. The credit rating confirmations reflect the otherwise stable performance and generally positive outlook for the majority of the remaining loans in the pool, which reported updated performance metrics that surpass Morningstar DBRS' projections derived at issuance, as the respective borrowers have generally been able to progress toward the completion of their stated business plans to date. 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. Over the next 12 months, nine loans, representing 83.6% of the current trust balance, are scheduled to mature. Four of these loans, representing 45.1% of the current trust balance, are secured by office properties, including the largest loan in the pool, Boston South End Life Science Campus (Prospectus ID#4; 14.2% of the pool), which has surpassed its May 2025 maturity date. Per the Q1 2025 collateral report, the borrower will be exercising the loan's second and final 12-month extension option. The second largest loan, Fifth Street Towers (Prospectus ID#31; 12.8% of the pool), has a final maturity date in July 2025; however, given the property's sustained low occupancy and lack of leasing activity, Morningstar DBRS expects the borrower will continue to face challenges in executing exit strategies in the near term and will likely pursue a loan modification to extend the loan maturity. For the majority of the remaining loans that have final maturities scheduled over the next 12 months, the underlying properties have reached stabilization and reported improved cash flow, rental rates and/or occupancy rates relative to issuance levels. At issuance, the transaction consisted of 20 floating-rate mortgages secured by 29 mostly transitional commercial real estate properties totaling approximately $1.0 billion, excluding approximately $260.5 million of future funding commitments. The Issuer then added additional proceeds into the proposed structure to bring the total transaction structure from $1.0 billion to $1.3 billion. The transaction had a Reinvestment Period that expired with the August 2023 payment date and is now paying sequentially. As of the June 2025 remittance, the pool consists of 11 loans secured by 16 properties with a cumulative trust balance of $940.8 million, representing a collateral reduction of 27.6% since issuance. Since Morningstar DBRS' credit rating action in July 2024, six loans with a former trust balance of $344.8 million were repaid in full, including one loan that was repaid following the May 2025 credit rating action. Beyond the office concentration noted above, the transaction also comprises four loans, representing 30.0% of the current trust balance, secured by multifamily properties, one loan, representing 8.5% of the pool, secured by a hotel portfolio, and the remaining loan, representing 4.3% of the pool, secured by a mixed-use property. The loans are primarily secured by properties in suburban markets with seven loans, representing 55.0% of the current trust balance, in locations with Morningstar DBRS Market Ranks of 3, 4, and 5. The remaining four loans, representing 45.0% of the pool, are secured by properties in urban markets, with Morningstar DBRS Market Ranks of 6, 7, and 8. Based on the original as-is appraised values from individual loan closing dates, leverage across the pool has decreased from issuance, with a current WA LTV of 60.6%, down from 68.2% at issuance. Similarly, the projected WA as-stabilized LTV has also decreased to 46.3% from 65.4% at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed from 2021 through 2023 and may not reflect the current rising interest rate or widening capitalization rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV and/or probability of default (POD) adjustments across nine loans, representing 82.9% of the current trust balance. Through May 2025, the lender advanced a cumulative $131.8 million in loan future funding allocated to six individual borrowers to aid in property stabilization efforts. The largest advance of $65.9 million was made to the borrower of Legacy Central (Prospectus ID#11; 8.9% of the pool), which is secured by a portfolio of four Class A office properties in Plano, Texas. The borrower used loan future funding for various capital improvement projects and toward covering leasing and carry costs. According to the Q1 2025 reporting, the property has stabilized, with occupancy reported at 93.5% and a debt yield of 10.7%. There are nine tenants occupying the property with a WA lease term of 6.5 years and minimal rollover over the next 24 months. The remaining vacant space is being marketed between $23 per square feet (psf) and $25 psf, in line with the property's current base rent. The loan was modified in February 2025, which extended its maturity date to August 2026 and included a $10.0 million paydown and a 5.7% interest rate cap purchase. An additional $3.2 million of loan future funding allocated to only two individual borrowers remain available. The largest unadvanced portion of $2.9 million is allocated to the borrower of the aforementioned Boston South End Life Science Campus. The loan is secured by two office and laboratory (lab) properties in Boston and the borrower's business plan focuses on covering leasing costs and ongoing capital improvement projects, including the conversion of one of the two properties from a traditional office building to lab space. As of Q1 2025, one of the two properties has become fully vacant following the departure of its largest tenant, previously representing 50.2% of the property's net rentable area, bringing down the aggregate occupancy rate to 47.0%. In its analysis for this review, Morningstar DBRS applied an upward POD adjustment, resulting in a loan-level expected loss 86.9% greater than the pool's WA expected loss. As of the June 2025 remittance, there are no loans in special servicing. Two loans, Boston South End Life Science Campus and Fifth Street Towers, collectively representing 26.9% of the pool, are being monitored on the servicer's watchlist for upcoming loan maturities. Nine loans, representing 86.4 % of the pool, have been modified. In general, the modifications have allowed borrowers to bifurcate loans, reduce the floating interest rate spread, or exercise or modify loan extension options by amending loan terms. In return, borrowers have been required to make loan curtailment payments, deposit funds into reserves, or purchase new interest rate cap agreements. Notes: All figures are in U.S. dollars unless otherwise noted. KRR CLO 45A: Fitch Assigns 'BBsf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the KKR CLO 45a Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 45a Ltd. X LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating A-LR LT NRsf New Rating B-1 48190AAC0 LT PIFsf Paid In Full AAsf B-2 48190AAE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 48190AAG1 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 48190AAJ5 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E 48190CAA0 LT PIFsf Paid In Full BB-sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary KKR CLO 45a Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by KKR Financial Advisors II, LLC. The original transaction closed in April 2024 and is undergoing its first refinancing. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $399 million (excluding defaulted obligations) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.27% first-lien senior secured loans and has a weighted average recovery assumption of 74.43%. 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 4.9-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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 45a, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MCF CLO VII: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, A-1L-R2, A-2L-R2, B-R2, B-L-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 debt and new class X-R2 debt from MCF CLO VII LLC, a CLO managed by Apogem Capital LLC that was originally issued in Sept. 7, 2017, and underwent a refinancing in June 24, 2021. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Aug. 6, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2027. -- The reinvestment period was extended to July 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2037. -- Additional assets were purchased on and after the Aug. 6, 2025, refinancing date, and the target initial par amount remains at $300 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- New class X-R2 debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first 14 payment dates in equal installments of $285,714, beginning from the second payment date on Jan. 20, 2026. -- The required minimum overcollateralization ratios were amended. -- An additional $6.05 million in subordinated notes was issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and supported with transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned MCF CLO VII LLC Class X-R2(i), $4.00 million: AAA (sf) Class A-R2, $117.00 million: AAA (sf) Class A-1L-R2, $30.00 million: AAA (sf) Class A-2L-R2, $27.00 million: AAA (sf) Class B-R2, $17.00 million: AA (sf) Class B-L-R2, $13.00 million: AA (sf) Class C-1-R2 (deferrable), $18.00 million: A+ (sf) Class C-2-R2 (deferrable), $6.00 million: A+ (sf) Class D-1-R2 (deferrable), $18.00 million: BBB (sf) Class D-2-R2 (deferrable), $6.00 million: BBB- (sf) Class E-R2 (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn MCF CLO VII LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt MCF CLO VII LLC Subordinated notes, $50.83 million: NR NR--Not rated. MF1 2021-FL5: DBRS Confirms B Rating on Class G Notes ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by MF1 2021-FL5, Ltd. as follows: -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying loans. The pool benefits from its 100% concentration in multifamily property types. At the prior credit rating action in May 2025, Morningstar DBRS upgraded the credit ratings for Classes C through G, largely as a result of the significant collateral reduction of 54.3% since issuance. Although most individual borrowers are progressing in their stated business plans as expected, some efforts have lagged for a variety of factors, including increased construction costs, slowed rent growth, and increased debt service costs. While these exposures are noteworthy, Morningstar DBRS notes the transaction continues to benefit from a large first-loss piece balance of $86.3 million that remains above the Morningstar DBRS expected loss figure for the transaction. Furthermore, there is an additional $89.4 million in below-investment-grade rated bonds, Classes F and G. As of June 2025, four loans, representing 19.5% of the current pool balance, have transferred to the special servicer for maturity default. Morningstar DBRS analyzed all four loans with liquidation scenarios that considered haircuts ranging from 20% to 40% to the latest appraised values. The resulting implied liquidated losses totaled $15.7 million. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The transaction closed in March 2021 with an initial collateral pool of 35 floating-rate mortgage loans secured by 49 multifamily properties and five senior housing properties totaling $1.2 billion, excluding $298.0 million of future funding commitments and $599.1 million of pari passu debt. The transaction was also structured with a Replenishment Period that expired with the March 2024 Payment Date. Since issuance, 24 loans with cumulative trust balance of $793.5 million have repaid in full. As of the June 2025 remittance, the pool comprised 11 loans secured by 25 properties with a cumulative trust balance of $496.0 million. Most of the loans are in a period of transition with plans to stabilize operations and performance and ultimately improve asset value. The loans are primarily secured by properties in suburban markets with five loans, representing 35.8% of the current trust balance, in locations with Morningstar DBRS Market Ranks of 3, 4, and 5. An additional five loans, representing 51.4% of the pool, are secured by properties in urban markets, with a Morningstar DBRS Market Rank of 6, 7, and 8; and one loan, representing 12.8% of the pool, is secured by properties in tertiary markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 2. 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 environment of rising interest rates or widening capitalization rates faced by borrowers and lenders. In the analysis for this review, Morningstar DBRS applied upward loan-to-value ratio (LTV) adjustments across all remaining loans with the resting adjusting LTV above 100.0%, suggesting the borrowers may need to contribute fresh equity to refinance the existing debt or execute a loan modification. Through June 2025, the lender advanced a cumulative $27.5 million in loan future funding allocated to seven individual borrowers to aid in property stabilization efforts. The largest advance, $9.4 million, was made to the borrower of the LA Multifamily Portfolio II loan, which is secured by nine properties in the West Los Angeles area. The funds were advanced to complete unit interior and property exterior upgrades across the portfolio. To date, the borrower has completed renovations across 91 units while an additional eight units are under renovation. As per the collateral report for Q1 2025, the consolidated occupancy rate across the portfolio was 86.8% as of March 2025. The average rental rate across the portfolio is 27.1% higher than the average rental rate at the time of closing. An additional $67.0 million of loan future funding allocated to eight individual borrowers remains available. The largest unadvanced portion of $32.6 million is allocated to the borrower of the aforementioned LA Multifamily Portfolio II loan. In addition to this loan, Morningstar DBRS identified a number of loans that are lagging in their original business plans; Morningstar DBRS applied upward cap rate adjustments to these loans, resulting in elevated LTVs; however, the analyzed property value shortfall is contained to below-investment-grade classes and the unrated first loss piece. All of the outstanding loans are scheduled to mature by January 2027; however, almost all of the loans have remaining extension options. As the terms for those modifications may not be achievable, Morningstar DBRS expects the collateral manager will continue to work with those affected sponsors to negotiate loan modifications to address those issues, with borrowers typically being required to inject additional capital as part of the terms. As of June 2025, six loans, representing 68.4% of the current trust balance, are being monitored on the servicer's watchlist; these loans are primarily flagged for performance-related concerns as the borrowers execute their business plans. Occupancy rates and cash flow may remain depressed at select properties as the borrowers work toward property stabilization. Of the watch listed loans, Morningstar DBRS is most concerned about the CA Ventures loan (Prospectus ID#7, 11.7% of the current pool balance), which is secured by a portfolio of three assisted-living and memory-care properties. The loan is discussed in detail within the Surveillance Performance Update report. 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. MF1 2022-FL9: DBRS Confirms B(low) Rating on 3 Tranches ------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all the classes of notes issued by MF1 2022-FL9 LLC as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (high) (sf) -- Class F-E Notes at BB (high) (sf) -- Class F-X Notes at BB (high) (sf) -- Class G Notes at BB (low) (sf) -- Class G-E Notes at BB (low) (sf) -- Class G-X Notes at BB (low) (sf) -- Class H Notes at B (low) (sf) -- Class H-E Notes at B (low) (sf) -- Class H-X Notes at B (low) (sf) The trends on the Class F, F-E, F-X, G, G-E, G-X, H, H-E, and H-X Notes are Negative. The trends on the remaining classes are Stable. The credit rating confirmations reflect the overall stable outlook for the ultimate resolution for most of the pool's underlying loans, with just more than $285.0 million in unrated and below investment grade credit rated classes in the $1.75 billion structure. The transaction also benefits from its full concentration of loan secured by multifamily property types, which have historically performed better than other property types in times of economic disruption and/or property value declines. The individual borrowers in the subject pool are generally progressing as expected with their respective business plans; there are some instances where credit risks have increased because of stalls in the stated business plans, and in those cases, the Morningstar DBRS analysis was stressed to reflect those characteristics. The Negative trends maintained for the lowest three principal classes in the capital stack (and the corresponding interest-only (IO)classes) reflect Morningstar DBRS' ongoing concerns with select loans in the pool, which are showing increased credit risks. Morningstar DBRS notes many borrowers continue to face execution risk with their respective business plans because of a combination of factors, including decreased property values, increased construction costs, slower rent growth, and the exposure to a higher interest rate environment for the floating-rate loans, which collateralize the transaction. As a result of lagging business plans and loan exit strategies, the borrowers of 18 loans, representing 49.3% of the current trust balance, have received loan modifications and/or forbearances. Terms for the modifications vary from loan to loan, but common terms include interest deferrals via a hard and soft pay structure and a waiver of interest rate cap agreement requirements. Forbearance agreements have been executed to facilitate further modification discussions between the lender and borrowers. Additionally, the transaction faces a heighted maturity risk as 40 loans, representing 87.9% of the current trust balance, have maturity dates in the past or are scheduled to mature within the next 12 months. While all of those loans have built-in extension options, Morningstar DBRS notes most loans will not qualify to exercise the related options based on current collateral performance and will likely need to be modified. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with an in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 45 loans secured by 61 transitional multifamily and one manufactured housing community (MHC) properties, totaling $1.74 billion. The transaction had a maximum funded balance of $1.80 billion and was formerly a managed vehicle as the 24-month reinvestment period expired with the May 2024 Payment Date. As of the June 2025 remittance, the pool comprises 46 loans secured by 97 properties with a cumulative trust balance of $1.75 billion, reflecting a collateral reduction of 3.0% since issuance. Since the previous Morningstar DBRS credit rating action in September 2024, one $10.4 million loan has been repaid in full. All but three loans are secured by traditional multifamily property types in apartment complexes and apartment buildings. The remaining three loans are secured by MHC properties (7.5% of the current trust balance). The pool is primarily secured by properties in suburban markets, with 30 loans, representing 61.2% of the pool, assigned a Morningstar DBRS Market Rank of 3, 4, or 5. An additional 11 loans, representing 33.8% of the pool, are secured by properties in urban markets, with a Morningstar DBRS Market Rank of 6, 7, or 8. The remaining loans are backed by properties with a Morningstar DBRS Market Rank of 1 or 2, denoting tertiary markets. These property-type and market-type concentrations remain generally in line with both the pool composition and the August 2024 credit rating action. Leverage across the pool has remained consistent as of June 2025 reporting when compared with issuance metrics, as the current weighted-average (WA), as-is, appraised loan-to-value ratio (LTV) is 75.8%, with a current WA stabilized LTV of 63.4%. In comparison, these figures were 71.8% and 63.3%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not fully reflect the effects of increased interest rates and/or widening capitalization (cap) rates in the current environment. Morningstar DBRS applied upward LTV adjustments in the analysis for 28 loans, representing 23.2% of the current trust balance, generally reflective of higher cap rate assumptions as compared with the implied cap rates based on the appraisals. As of the June 2025 reporting, five loans, representing 7.4% of the pool balance, are in special servicing. The Highline Lofts (Prospectus ID#31; 1.3% of the current trust balance) loan is secured by a 112-unit Class B, multifamily property in Aurora, Colorado. The loan transferred to special servicing in May 2024 following a maturity default and, according to the June 2025 remittance, is more than 12 months delinquent and a receiver is in place, with the servicer working to foreclose. As of February 2025, the property was 77.7% occupied, with more than 90.0% of the $2.0 million capital improvement plan to upgrade 111 unit interiors and property common areas and exteriors completed. At loan closing, the property was valued at $29.8 million ($266,000 per unit). In the analysis for this review, Morningstar DBRS identified comparable sales transactions near the subject since the start of 2023, which sold for a median price per unit of approximately $210,000 per unit, and an average price per unit of approximately $230,000, suggesting a sale price achieved in the near to moderate term for the subject would likely be less than the issuance as-is appraised value. Given these dynamics, Morningstar DBRS assumed a stressed value of $26.2 million in the liquidation scenario considered for this review, resulting in a loan level loss severity of approximately 10%. There are 36 loans on the servicer's watchlist, representing 81.5 of the current trust balance, which have primarily been flagged for lower than-breakeven debt service coverage ratios and upcoming maturity dates. The largest loan on the servicer's watchlist and in the trust, LA Lofts Portfolio (Prospectus ID #1; 13.0% of current trust balance), is secured by a portfolio of five properties totaling 1,037 units in downtown Los Angeles. The loan has been on the servicer's watchlist for multiple years for low net cash flow, which was most recently reported as $1.3 million as of YE2024. The original borrower's business plan was to use up to $18.5 million of loan future funding to complete a significant capital expenditure (capex) plan focused on unit renovations, property exterior and amenity upgrades, and the correction of deferred maintenance. For more information on this loan and the analytical approach for this review, please see the Surveillance Performance Update report, referenced above. Through June 2025, the lender had advanced cumulative loan future funding of $263.6 million to 36 of the outstanding individual borrowers. The largest advance, $62.5 million, was made to the borrower of The 600 (Prospectus ID#54; 2.9% of the current trust balance), which is secured by a 30-story, 404-unit multifamily tower in Birmingham, Alabama. The borrower's business plan is focused on the conversion of the former office property to multifamily use and as of the Q1 2025 update from the collateral manager, the capex project was nearly complete and borrower has begun leasing up the property. There is no more future funding available to the borrower for that loan, which matured in July 2024 and was modified to allow the borrower to exercise the first 12-month extension option. Terms of the modification included reduction in the floating interest rate spread to 4.50% from 5.90%. The borrower was required to purchase an interest rate cap agreement with a 5.25% strike rate and deposit $5.4 million into a shortfall reserve with the obligation to replenish the reserve to $3.0 million if it falls below $1.0 million. An additional $84.7 million of loan future funding allocated to 29 of the outstanding individual borrowers remains available. The largest portion of available funding ($10.8 million) is allocated to the borrower of The Reserve at Brandon loan (Prospectus ID#2; 5.2% of the current trust balance), which is secured by a 982-unit multifamily complex in Brandon, Florida. The funds are available to fund the borrower's significant capex program originally budgeted at $27.6 million, with $15.4 million allocated for unit upgrades and the remaining funds allocated for property wide improvements. According to the Q1 2025 collateral manager update, the borrower had requested loan advances of $22.5 million and had completed 556 unit upgrades as well as all planned property exterior improvements. Renovated and leased units reportedly achieved an average rental rate of $1,472 per unit, representing a 32% premium over the average rental rate for similar nonrenovated units. The loan was modified in July 2024 to allow the borrower to exercise the first 12-month maturity extension option to April 2025. As part of the terms of the modification, the borrower made a $7.5 million principal curtailment and deposited $2.5 million into a shortfall reserve to receive a hard pay/soft pay interest structure on the loan. The hard pay rate through October 2025 is 5.35% with any additional amounts deferrable and due at loan maturity. An additional $8.5 million of deferred interest, which accrued when the borrower received a forbearance when the loan matured in April 2024, was also categorized as deferred interest and is also due at loan maturity. 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. MFA 2025-NQM3: Fitch Gives 'B-sf' Rating on Class B2 Certificates ----------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2025-NQM3 Trust (MFA 2025-NQM3). Entity/Debt Rating Prior ----------- ------ ----- MFA 2025-NQM3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The MFA 2025-NQM3 certificates are supported by 568 nonprime loans with a total balance of approximately $350.3 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending, FundLoans Capital, Inc. and Hometown Equity Mortgage, LLC d/b/a TheLender. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. The structure was updated post-pricing and the coupons for A-1, A-2, A-3, M-1 and B-1 classes decreased approximately between 22bps-50bps, which increased the weighted average excess spread to 172bps, a 42bps increase from the previous WA excess spread of 130bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.2% above a long-term sustainable level (vs. 10.5% on a national level as of 1Q25, down 0.5% 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 2.3% YoY nationally as of May 2025 despite modest regional declines, but are still being supported by limited inventory). Non-QM and Non-Prime Credit Quality (Negative): The collateral consists of 568 loans totaling $350.3 million and seasoned at approximately seven months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 737 Fitch model FICO and moderate leverage with a 73.4% sustainable loan-to-value ratio (sLTV). The pool is 47.0% composed of loans for homes in which the borrower maintains as a primary residence, while 53.0% comprises investor properties or second homes. Additionally, 42.4% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types. Fitch's expected loss in the 'AAAsf' stress is 25.75%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 90.9% of loans in the pool were underwritten to less than full documentation and 31.8% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay (ATR) Rule (ATR Rule, or the Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 101.9%, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 300 debt service coverage ratio (DSCR) and 18 property focused investor loans, otherwise known as "no ratio" products in the pool (56.0% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported non-zero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 34.9% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. MFA 2025-NQM3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the principal and interest (P&I) allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Clayton, Consolidated Analytics, Evolve, Infinity, Maxwell and Selene. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 42bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2025-NQM5: DBRS Gives Prov. BB Rating on B1 Trust ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5 (MSRM 2025-NQM5 or the Trust) as follows: -- $257.2 million Class A-1 at (P) AAA (sf) -- $223.6 million Class A-1-A at (P) AAA (sf) -- $33.6 million Class A-1-B at (P) AAA (sf) -- $19.3 million Class A-2 at (P) AA (high) (sf) -- $31.1 million Class A-3 at (P) A (sf) -- $11.4 million Class M-1 at (P) BBB (low) (sf) -- $6.0 million Class B-1 at (P) BB (sf) -- $6.7 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while Class A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 23.40% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 17.65%, 8.40%, 5.00%, 3.20%, and 1.20% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM5. The Certificates are backed by 831 loans with a total principal balance of approximately $335,740,076 as of the Cut-Off Date (July 1, 2025). The pool is, on average, three months seasoned with loan ages ranging from one to 31 months. The Mortgage Loan Seller acquired approximately 19.8% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-off Date, from Hometown Equity Mortgage, LLC and 11.6% of the Mortgage Loans from Guaranteed Rate, Inc and its affiliates. All the other originators individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint and Select Portfolio Servicing Inc. will service 76.4% and 23.6% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 25.1% of the loans by balance are designated as non-QM. Approximately 55.8% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 19.2% of the pool are designated as QM Safe Harbor, and there are no QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (1) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3, and Class XS Certificates or (2) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in July 2028 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1-A then A-1-B followed by a reduction of the Class A-1-A then A-1-B certificate balances (IIPP), before an allocation of interest then principal to the Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-2 and Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1-A, A-1-B, A-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1-A, A-1-B, A-2, and A-3 Certificates coupon rates step-up by 100 basis points on and after the payment date in August 2029. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1-A, A-1-B, A-2, and A-3 Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction informed Morningstar DBRS that the servicer ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM6: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and 5- to 10-unit multi-family properties. The pool consists of 821 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/HPML, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Aug. 13, 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 aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including S&P Global Ratings reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, which is updated if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6 Class A-1-A, $255,935,000: AAA (sf) Class A-1-B, $38,984,000: AAA (sf) Class A-1, $294,919,000: AAA (sf) Class A-2, $23,391,000: AA- (sf) Class A-3, $36,451,000: A- (sf) Class M-1, $14,229,000: BBB- (sf) Class B-1, $7,408,000: BB (sf) Class B-2, $8,576,000: B (sf) Class B-3, $4,873,818: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R-PT, $19,494,768: NR Class PT, $370,353,050: NR Class R, Not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $389,847,818. NR--Not rated. NEUBERGER BERMAN 40: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Neuberger Berman Loan Advisers CLO 40 Ltd./Neuberger Berman Loan Advisers CLO 40 LLC, a CLO managed by Neuberger Berman Loan Advisers II LLC that was originally issued in March 2021. The preliminary ratings are based on information as of Aug. 11, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 15, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Aug. 15, 2026. -- The reinvestment period will be extended to Oct. 16, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Oct. 16, 2037. -- The target initial par amount will remain at $500 million. -- The first payment date following the refinancing is Jan. 16, 2026. -- New class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds in 10 equal installments of $500,000, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $9.7 million in subordinated notes will be issued on the refinancing date, taking the total balance to $60.9 million. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Neuberger Berman Loan Advisers CLO 40 Ltd./ Neuberger Berman Loan Advisers CLO 40 LLC Class X-R, $5.0 million: AAA (sf) Class A-R, $320.0 million: AAA (sf) Class B-R, $60.0 million: AA (sf) Class C-R (deferrable), $30.0 million: A (sf) Class D-R (deferrable), $30.0 million: BBB- (sf) Class E-R (deferrable), $20.0 million: BB- (sf) Other Debt Neuberger Berman Loan Advisers CLO 40 Ltd./ Neuberger Berman Loan Advisers CLO 40 LLC Subordinated notes, $60.9 million: NR NR--Not rated. OCTAGON 73: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon 73 Ltd. Entity/Debt Rating ----------- ------ Octagon 73 Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Octagon 73 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, 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 23.46 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.56% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.15% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, 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 Octagon 73 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. ONNI COMMERCIAL 2024-APT: DBRS Confirms BB(high) Rating on E Certs ------------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-APT (the Certificates) issued by ONNI Commercial Mortgage Trust 2024-APT (the Trust): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its life cycle, having closed in July 2024. The transaction is secured by the borrower's fee-simple interest in eight Class A multifamily properties totaling 2,791 apartment units in Chicago, Los Angeles, and Long Beach, California. Five assets, totaling 1,830 units, are in Chicago with the remaining 961 units in Los Angeles and Long Beach. All of the properties, which were developed between 2015 and 2023, are equipped with exceptional amenities including, but not limited to, resort-style pools, fitness centers, saunas, tenant lounges, and co-working spaces as well as modern condominium-quality finishes, making them some of the most premier rental units in their respective markets. The portfolio benefits from a unique product offering in the form of short-term rental units branded under the name Levels. These furnished multifamily units are generally leased on a short-term basis but can also be signed to long-term leases on a case-by-case basis. At issuance, it was noted that the sponsor operates 565 units under the Levels umbrella. Approximately 175,000 square feet (sf) of commercial space is 64.7% occupied as of the April 2025 rent roll, up from 57.4% at issuance. The sponsor intends to cover the projected tenant improvement allowances and leasing commissions associated with the commercial lease-up with funds held in a tenant reserve that, as of the June 2025 remittance, totaled $9.1 million. Whole-loan proceeds of $875.0 million along with $125.0 million of mezzanine debt was used to refinance $930.5 million of debt across the portfolio, fund various reserves, and cover closing costs. The fixed rate loan is structed with a five-year term with no extension options. According to the YE2024 financial reporting, the property generated $77.2 million of net cash flow (NCF), resulting in a debt service coverage ratio (DSCR) of 1.40 times (x), compared with the issuance and Morningstar DBRS NCFs of $79.2 million (a DSCR of 1.44x) and $64.7 million (a DSCR of 1.17x), respectively. The slight decline in NCF is primarily due to a 5.6% increase in operating expenses with utilities and general and administrative costs being the main drivers. According to the April 2025 rent rolls, occupancy across the apartment units (excluding the furnished units) remains healthy, at more than 90.0%. For this review, Morningstar DBRS maintained its collateral valuation of $1.0 billion derived at issuance based on a capitalization rate of 6.45% and the Morningstar DBRS NCF noted above, which represents a -33.8% variance from the issuance appraised value of $1.5 billion. The Morningstar DBRS loan-to-value ratio (LTV) is 87.2% compared with the LTV of 57.8% based on the appraised value at issuance when excluding mezzanine debt. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 6.25% to reflect the collateral's healthy performance and strong locations. Notes: All figures are in U.S. dollars unless otherwise noted. OPORTUN 2025-C: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Debt ----------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the ABS issued by Oportun Issuance Trust 2025-C (OPTN 2025-C). Entity/Debt Rating ----------- ------ Oportun Issuance Trust 2025-C A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the ABS issued by Oportun Issuance Trust 2025-C (OPTN 2025-C) as listed above. OPTN 2025-C is backed by a revolving pool of fixed-rate fully amortizing secured and unsecured consumer loans originated by Oportun Financial Corporation (Oportun) or its affiliates, as well as through certain third-party originators, with the loans then sold to Oportun. Oportun is the sponsor of the transaction. OPTN 2025-C is Oportun's 26th term securitization and the second to be rated by Fitch. The transaction is expected to feature a two-year revolving period. At closing, the issuer will be required to acquire and pledge eligible receivables with an aggregate outstanding balance of $294,877,192, as well as a pre-funding amount of $150,000,000. The pre-funding amount represents the excess of $444,877,192 —which is the sum of the aggregate initial principal balance of the OPTN 2025-C notes and the required overcollateralization amount—over the aggregate outstanding balance. The pre-funding amount will be deposited from the proceeds of the sale of the OPTN 2025-C notes. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) Vantage score for OPTN 2025-C is 664, with approximately 3.1% of the pool consisting of borrowers without a Vantage score, reflecting Oportun's focus on serving customers with limited or no credit history. The pool consists of 66.2% renewal loans, which is the lowest composition for such loans since OPTN 2022-A. The proportion of secured loans in the securitized trusts has increased steadily, with the OPTN 2025-B pool exhibiting the highest percentage to date at 8.9%. The current OPTN 2025-C pool consists of 7.8% secured loans, which is lower than the previous transaction, but higher than all earlier transactions. The WA contract rate of the loans is 27.5%, lower than in the prior 2025-B transaction. Rewritten loans account for 0.3% of the pool. However, this share can increase to as high as 4.5% of the pool during a revolving period. A rewritten loan is a one-time rewrite offered by Oportun to severely delinquent borrowers who have experienced a long-term financial hardship. A rewritten loan is essentially a new loan document with a principal balance equal to the balance of the original loan while the original loan is paid off. Elevated But Improving Performance Trends: Oportun's managed portfolio experienced a notable increase in default rates for loans originated in 2021 and 2022, compared to previous years, attributed to new borrowers originated through online aggregators along with a deterioration in the broader unsecured consumer loan market. In response, the company implemented significant underwriting changes in 3Q22, which led to a material improvement in default rates. However, despite this improvement, default rates remain higher than historical levels. Based on the current composition of loans as of the statistical calculation date, Fitch's default assumption for the OPTN 2025-C pool is 14.3%. However, a base case default assumption of 15.23% was assigned to the worst case portfolio to account for the revolving nature of the pool and is used in analysis until the end of the revolving period. The 15.23% base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the U.S. labor market. The base case default assumption was established using Oportun's historical performance data since 2019. However, Fitch focused on vintages since 2023 as relevant comparative years due to the significant underwriting changes undertaken by the company. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 62.49%, 37.79%, 22.84%, 9.39%, and 2.58% of the initial pool balance for the class A, B, C, D, and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 4.65x the base case default rate for the 2025-C series. The stress multiples decrease proportionally between the "median" and "low" multiple range for lower rating levels as described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history, exposure to changing economic conditions from higher loan terms and the length of the revolving period, which exposes the trust to the potential for performance degradation due to negative pool migration. Assurance for True Lender Status for Partner Bank-Loan Origination: Oportun's securitization transactions involve consumer loans originated by Oportun, Inc. and its partner bank, Pathward, N.A. (Pathward), a national bank. The bank's true lender status in the context of Oportun's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Oportun, rather than Pathward, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for OPTN 2025-C, which reduces exposure to such loans by adherence to certain usury limits. Fitch also performed an operational risk review and deemed Oportun's compliance, legal and operational capabilities acceptable to meet consumer protection regulations, along with the unique aspects of its loan products, such as an overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: PF Servicing, LLC (PF Servicing), a wholly owned subsidiary of Oportun, is the servicer of the receivables. The servicer has an acceptable track record of servicing consumer loans. In addition, Systems & Services Technologies, Inc. is the named backup servicer, which also has an acceptable record of servicing consumer loans, reducing servicing disruption. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption an additional 10%, 25%, and 50%, and examining rating implications. These increases of the base-case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flow and loss coverage levels over the life of the investments under higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Increased default base case by 10%: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'; Increased default base case by 25%: 'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; Increased default base case by 50%: 'Asf'/'BBBsf'/'BB+sf'/'Bsf'/'NRsf'; Reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 50%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AA-sf'/'A-sf'/'BBBs-f'/'BB-sf'/'B-sf'; Increased default base case by 50% and reduced recovery base case by 50%: 'Asf'/'BBBsf'/'BBsf'/'Bsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% lower than the projected base-case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PALMER SQUARE 2021-3: Fitch Assigns 'B-(EXP)sf' Rating on F-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Palmer Square CLO 2021-3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Palmer Square CLO 2021-3, Ltd. X-R LT AAA(EXP)sf Expected Rating A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT B-(EXP)sf Expected Rating Transaction Summary Palmer Square CLO 2021-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Palmer Square Capital Management LLC. The original transaction closed in December 2021 and Fitch rated classes A-1 and A-2 notes. On the first refinancing date, the net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $800 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 23.45, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.65% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Palmer Square CLO 2021-3 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RCKT MORTGAGE 2025-CES8: Fitch Gives B(EXP) Rating on 5 Tranches ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES8 (RCKT 2025-CES8). Entity/Debt Rating ----------- ------ RCKT 2025-CES8 A-1A LT AAA(EXP)sf Expected Rating A1-B 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 A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating Transaction Summary The notes are supported by 6,145 closed-end second lien (CES) loans, with a total balance of approximately $546 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure, in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.9% above a long-term sustainable level, compared with 11.0% on a national level as of 1Q25, down 0.5% QoQ. Housing affordability is at its worst levels 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. Prime Credit Quality (Positive): The collateral consists of 6,145 loans, totaling approximately $546 million and seasoned at about three months in aggregate, as calculated by Fitch (one month, per the transaction documents) — measured from the origination date to the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 743, a debt-to-income ratio (DTI) of 39.5%, and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 76.9%. Of the pool, 99.4% of the loans are of a primary residence and 0.6% represent second homes, and 94.4% of loans were originated through a retail channel. Additionally, 64.5% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 14.2% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00%, effective after the 48th payment date, for any outstanding balances. 180-Day Chargeoff Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ), based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day chargeoff feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Consolidated Analytics, Inc. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.2% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 25bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES8 has an ESG Relevance Score of '4+' for Transaction Parties & Operational Risk due to lower operational risk considering the R&W, transaction due diligence results, as well as originator and servicer quality, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SALUDA GRADE 2025-LOC4: DBRS Finalizes B(low) Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Saluda Grade Alternative Mortgage Trust Asset-Backed Securities, Series 2025-LOC4 (the Notes) issued by Saluda Grade Alternative Mortgage Trust 2025-LOC4 (GRADE 2025-LOC4 or the Trust): -- $247.4 million Class A-1A at AAA (sf) -- $35.6 million Class A-1B at AAA (sf) -- $16.5 million Class M-1 at AA (low) (sf) -- $14.8 million Class M-2 at A (low) (sf) -- $13.5 million Class M-3 at BBB (low) (sf) -- $13.2 million Class B-1 at BB (low) (sf) -- $7.6 million Class B-2 at B (low) (sf) The AAA (sf) credit ratings on the Notes reflect 20.45% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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. SILVER POINT 11: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point 11, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 11, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Silver Point CLO 11, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. 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 99.77% first lien senior secured loans and has a weighted average recovery assumption of 73.64%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, 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 Authorityregistered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 11, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SIXTH STREET 30: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sixth Street CLO 30 Ltd./Sixth Street CLO 30 LLC's and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO 30 Management LLC, a subsidiary of Sixth Street Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sixth Street CLO 30 Ltd./Sixth Street CLO 30 LLC Class A, $270.000 million: AAA (sf) Class B, $67.500 million: AA (sf) Class C (deferrable), $31.500 million: A (sf) Class D (deferrable), $27.000 million: BBB- (sf) Class E (deferrable), $16.875 million: BB- (sf) Subordinated notes, $45.000 million: NR NR--Not rated. SIXTH STREET XIX: Fitch Assigns 'BBsf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Sixth Street CLO XIX, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Sixth Street CLO XIX, Ltd. X LT NRsf New Rating A-1-R Loans LT NRsf New Rating A-1-R Notes LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Sixth Street CLO XIX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Sixth Street CLO XIX Management, LLC. that originally closed on July 2021. This will be the first refinancing where the existing notes will be refinanced in whole on Aug. 12, 2025. The net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.52% first lien senior secured loans and has a weighted average recovery assumption of 74.95%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO XIX, 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. SIXTH STREET XIX: S&P Assigns B- (sf) Rating on Cl. F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R loans, class A-1-R debt, and new class X and F-R debt from Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC, a CLO managed by Sixth Street CLO XIX Management LLC that was originally issued in July 2021. At the same time, S&P withdrew its ratings on the original class A loans and class A, B, C, D, and E debt following payment in full on the Aug. 12, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R loans and class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt were issued at a lower spread over three-month SOFR than the original debt. -- New class F-R notes were issued in connection with this refinancing. -- New class X debt was issued on the refinancing date and will be paid down using interest proceeds during the second payment dates in equal installments of $0.30 million. -- The non-call period was extended to July 2027. -- The reinvestment period was extended to July 2030. -- The legal final maturity date for the replacement class A-1-R notes and A-1-R loans was extended to July 2037 and July 2038 for the other replacement classes. -- The legal final maturity date for the subordinated notes was extended to July 2125. -- An additional $3.1 million of subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC Class X, $4.50 million: AAA (sf) Class A-1-R, $129.95 million: AAA (sf) Class A-1-R loans(i), $142.30 million: AAA (sf) Class F-R (deferrable), $0.45 million: B- (sf) Ratings Withdrawn Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC Class A to NR from 'AAA (sf)' Class A loans to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC Class A-2-R, $24.75 million: NR Class B-R, $36.00 million: NR Class C-R, $36.00 million: NR Class D-1-R, $27.00 million: NR Class D-2-R, $3.15 million: NR Class E-R, $14.85 million: NR Subordinated notes, $49.95 million: NR (i) All or a portion of the class A-1-R loans may be converted into class A-1-R notes. No portion of the class A-1-R notes may be converted into class A-1-R loans. NR--Not rated. SIXTH STREET XIX: S&P Assigns Prelim B- (sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R loans, class A-1-R debt, and proposed new class X and F-R debt from Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC, a CLO managed by Sixth Street CLO XIX Management LLC that was originally issued in July 2021. The preliminary ratings are based on information as of Aug. 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 12, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A loans and class A, B, C, D, and E debt. We also expect to assign ratings to the replacement class A-1-R loans, class A-1-R debt, and proposed new class X and F-R debt. However, if the refinancing does not occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R loans and class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt are expected to be issued at a lower spread over three-month SOFR than the original debt. -- New class F-R notes will be issued in connection with this refinancing. -- New class X debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the second payment dates in equal installments of $0.30 million. -- The non-call period will be extended to July 2027. -- The reinvestment period will be extended to July 2030. -- The legal final maturity dates for the replacement class A-1-R debt and A-1-R loans will be extended to July 2037 and July 2038 for the other replacement classes. -- The legal final maturity date for the subordinated notes will be extended to July 2125. -- An additional $3.10 million of subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC Class X, $4.50 million: AAA (sf) Class A-1-R, $129.95 million: AAA (sf) Class A-1-R loans(i), $142.30 million: AAA (sf) Class F-R (deferrable), $0.45 million: B- (sf) Other Debt Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC Class A-2-R, $24.75 million: NR Class B-R, $36.00 million: NR Class C-R, $36.00 million: NR Class D-1-R, $27.00 million: NR Class D-2-R, $3.15 million: NR Class E-R, $14.85 million: NR Subordinated notes, $49.95 million: NR (i)All or a portion of the class A-1-R loans may be converted into class A-1-R notes. No portion of the class A-1-R notes may be converted into class A-1-R loans. NR—Not rated. SOUND POINT XVI: Moody's Cuts Rating on $40MM Class E Notes to B3 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO XVI, Ltd.: US$40M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B3 (sf); previously on Feb 28, 2025 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$88M (Current outstanding amount US$69,522,827) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 28, 2025 Affirmed Aaa (sf) US$48M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 28, 2025 Upgraded to Aaa (sf) US$40M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Feb 28, 2025 Upgraded to A2 (sf) Sound Point CLO XVI, Ltd., originally issued in June 2017 and partially refinanced in March 2021, 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 July 2022. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration in over-collateralisation ratios of the junior rated notes and the deterioration in the credit quality of the underlying collateral pool since the last rating action in February 2025. The over-collateralisation (OC) ratios of the junior rated notes have deteriorated since the rating action in February 2025. According to the trustee report dated July 2025[1], the Class D and Class E OC ratios are reported at 122.13% and 98.80% compared to February 2025[2] levels of 123.75% and 104.08%, respectively. Moody's note that the July 2025 principal payments are not reflected in the reported OC ratios. In addition, 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 3702, compared with 3480 as of the last rating action[2]. Securities with ratings of Caa1 or lower currently[1] make up approximately 28.3% of the underlying portfolio, versus 20.4% in February 2025[2]. 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: USD205.8m Defaulted Securities: USD7.7m Diversity Score: 47 Weighted Average Rating Factor (WARF): 3706 Weighted Average Life (WAL): 2.91 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.42% Weighted Average Recovery Rate (WARR): 46.02% Par haircut in OC tests and interest diversion test: 6.19% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. 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. SUNBIT ASSET 2025-1: DBRS Gives Prov. BB Rating on D Notes ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Sunbit Asset Securitization Trust 2025-1 (SNBT 2025-1): -- $164,580,000 Class A Notes at (P) AA (sf) -- $13,920,000 Class B Notes at (P) A (sf) -- $5,160,000 Class C Notes at (P) BBB (sf) -- $16,340,000 Class D Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS based its credit ratings on its review of the following analytical considerations: (1) Consideration of 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. (2) The transaction's capital structure and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed assumptions under all stress scenarios. (3) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (4) Sunbit's capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Sunbit and, as a result, considers the entity to be an acceptable originator and servicer of consumer loans. -- Sunbit's senior management team has considerable experience and a successful track record within the banking and technology industry. -- Nelnet Servicing, LLC will serve as the Backup Servicer. (5) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (6) The Morningstar DBRS base-case cumulative net loss (CNL) assumption for SNBT 2025-1 is 7.47% and is based off a worst-case pool assessment of the Eligible Receivables and the Excess Concentration Amount criteria. Charge-off rates range widely based upon Sunbit Score, tenor and merchant verticals. Non-interest-bearing loans will be Eligible Receivables in the SNBT 2025-1 transaction and limited to 23.00% of the Pool Balance. -- Morningstar DBRS used proxy analysis in its development of an expected loss, given the Company's limited performance history. -- For the SNBT 2025-1 transaction, Morningstar DBRS assumed an overall recovery rate of 10.00% based on historical recovery performance provided by the Company. (7) Sunbit's current partnership with TAB Bank, Inc. (TAB), a Utah state-chartered bank, which serves as the Originator of the receivables for the trust. The receivables originated by TAB are subject to the trust's Eligible Receivables criteria, which has state specific limitations on the Contract Rate. -- Loans originated by TAB Bank have a Contract Rate less than or equal to 36.00%. (8) All collections are made into the Servicer Account in which Wilmington Trust, National Association (WTNA) has a security interest under a Deposit Account Control Agreement. WTNA as Indenture Trustee can obtain funds that belong to SUNBT 2025-1 in the case of a bankruptcy or Servicer Termination Event. (9) The legal structure and presence of legal opinions that will address the true sale of the assets from the Seller to the Depositor, the non-consolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and the expected consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Class A Notes, Class B Notes, Class C Notes, and Class D Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Distribution Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. SYCAMORE TREE 2025-7: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sycamore Tree CLO 2025-7 Ltd./Sycamore Tree CLO 2025-7 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 Sycamore Tree CLO Manager LLC. The preliminary ratings are based on information as of Aug. 12, 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 Sycamore Tree CLO 2025-7 Ltd./Sycamore Tree CLO 2025-7 LLC Class A-1, $305.00 million: AAA (sf) Class A-2, $15.00 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), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $45.00 million: Not rated SYMPHONY CLO XXIX: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO XXIX, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Symphony CLO XXIX, Ltd X-R LT AAAsf New Rating A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Symphony CLO XXIX, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $385 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 23.45, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.08% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is -1 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D1-R, and between less than 'B-sf' and 'BB+sf' for class D2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D1-R, and 'Asf' for class D2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO XXIX, 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. TOWD POINT 2025-CES3: Fitch Assigns B-(EXP)sf Rating on 5 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2025-CES3 (TPMT 2025-CES3). Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- TPMT 2025-CES3 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating A2D LT AA-(EXP)sf Expected Rating A2DX LT AA-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M1D LT A-(EXP)sf Expected Rating M1DX LT A-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating M2D LT BBB-(EXP)sf Expected Rating M2DX LT BBB-(EXP)sf Expected Rating B1A LT BB-(EXP)sf Expected Rating B1AX LT BB-(EXP)sf Expected Rating B1B LT BB-(EXP)sf Expected Rating B1BX LT BB-(EXP)sf Expected Rating B2A LT B-(EXP)sf Expected Rating B2AX LT B-(EXP)sf Expected Rating B2B LT B-(EXP)sf Expected Rating B2BX LT B-(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by Towd Point Mortgage Trust 2025-CES3 (TPMT 2025-CES3) as indicated above. The transaction is expected to close on Aug. 13, 2025. The notes are supported by 5,136 seasoned and newly originated, closed-end second lien (CES) loans with a total balance of $469 million as of the statistical cutoff date. The bond sizes reflect the bond sizes as of the cutoff date. The remainder of the commentary reflects the data as of the statistical cutoff date. Spring EQ, LLC, Rocket Mortgage, and NewRez LLC originated approximately 58.1%, 21.2%, and 20.7% of the loans, respectively. Shellpoint Mortgage Servicing (SMS) and Rocket Mortgage will service the loans. Shellpoint will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis given its projected loss severities on the second lien collateral. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 10.2% above a long-term sustainable level, compared with 11% on a national level as of 4Q24, down 0.1% qoq. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, but are still being supported by limited inventory. Closed Second Liens (Negative): The entirety of the collateral pool comprises newly originated or recently seasoned second lien mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new-origination and recently seasoned second lien (mortgages, seasoned at approximately six months as calculated by Fitch), with a relatively strong credit profile — a weighted average (WA) model credit score of 738, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 77%. 100% of the loans were treated as full documentation in Fitch's analysis. Approximately 60% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. Overall, in contrast to other second lien transactions, this transaction has less excess spread available and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicer of the Scheduled Serviced Mortgage Loans will be advancing delinquent P&I on the closed end collateral for a period up to 60 days delinquent under the OTS method if such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.6%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC) and Clayton Services. A third-party due diligence review was completed on 66.6% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with only seven loans receiving a final grade of C. Fitch applied a credit for the percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 53bps. 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. VELOCITY COMMERCIAL 2025-P1: DBRS Gives Prov. B Rating on 3 Classes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2025-P1 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2025-P1 (VCC 2025-P1 or the Issuer) as follows: -- $135.4 million Class A at (P) AAA (sf) -- $135.4 million Class A-S at (P) AAA (sf) -- $135.4 million Class A-IO at (P) AAA (sf) -- $10.5 million Class M-1 at (P) AA (low) (sf) -- $10.5 million Class M1-A at (P) AA (low) (sf) -- $10.5 million Class M1-IO at (P) AA (low) (sf) -- $10.4 million Class M-2 at (P) A (low) (sf) -- $10.4 million Class M2-A at (P) A (low) (sf) -- $10.4 million Class M2-IO at (P) A (low) (sf) -- $19.5 million Class M-3 at (P) BBB (low) (sf) -- $19.5 million Class M3-A at (P) BBB (low) (sf) -- $19.5 million Class M3-IO at (P) BBB (low) (sf) -- $12.5 million Class M-4 at (P) BB (sf) -- $12.5 million Class M4-A at (P) BB (sf) -- $12.5 million Class M4-IO at (P) BB (sf) -- $2.6 million Class M-5 at (P) B (high) (sf) -- $2.6 million Class M5-A at (P) B (high) (sf) -- $2.6 million Class M5-IO at (P) B (high) (sf) -- $1.9 million Class M-6 at (P) B (sf) -- $1.9 million Class M6-A at (P) B (sf) -- $1.9 million Class M6-IO at (P) B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 30.50% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 25.10%, 19.75%, 9.75%, 3.35%, 2.00%, and 1.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-P1 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Four of these loans were originated through the U.S. Small Business Administration's 504 (SBA 504) loan program, and are backed by first-lien, owner occupied, commercial real estate. The securitization is funded by the issuance of the Certificates. The Certificates are backed by 471 mortgage loans with a total principal balance of $194,760,232 as of the Cut-Off Date (July 1, 2025). Approximately 39.3% of the pool is composed of residential investor loans, about 57.1% of traditional SBC loans, and about 3.6% are the SBA 504 loans mentioned above. The majority of the loans in this securitization (81.3%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Thirty-one loans (18.7%) were originated by New Day Commercial Capital, LLC (New Day), which is a wholly owned subsidiary of VCC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the four SBA 504 loans which, per the SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows but loans were secured by real estate, For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances of more than USD 750,000 for purchase transactions and of more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 31 New Day originated loans (including the four SBA 504 loans), and PMC will act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling to less than 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure 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. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY; SBC LOANS The collateral for the SBC portion of the pool consists of 174 individual loans secured by 174 commercial and multifamily properties. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 11.0%. This is approximately 20 basis points (bps) higher than the VCC 2025-3 transaction, 10 bps higher than the VCC 2025-2 transaction, 20 bps lower than the VCC 2025-1 transaction, in line with the VCC 2024-6 transaction, 40 bps higher than the VCC 2024-5 transaction, 40 bps lower than the VCC 2024-4 transaction, and 70 bps lower than the VCC 2024-3, VCC 2024-2, and VCC 2024-1 transactions. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, seven loans, which represent 7.6% of the SBC pool, have an initial IO period of 60 or 120 months. All the SBC Loans were originated between April 2025 and May 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 1.0 months. The SBC pool has a WA original term length of approximately 360 months, or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 61.5%. However, Morningstar DBRS made LTV adjustments to 20 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 65.9%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with VCC transactions in 2022 and 2023. Consequently, approximately 60.9% of the deal (96 SBC loans) has an Issuer NOI DSCR less than 1.0 times (x), which is in line with the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 705 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $638,836, a concentration profile equivalent to that of a transaction with 92 equal-size loans, and a top 10 loan concentration of 22.4%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains one loan where an Income Approach to value was not contemplated in the appraisal and an Issuer net cash flow (NCF) was not provided. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. The SBC pool includes one loan originated via New Day's Lite Doc Investor Loan Program, which does not require tax returns to be reviewed. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (27.8% of the SBC pool) and office (12.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 40.2% of the SBC pool balance. Morningstar DBRS applied a -25.8% reduction to the NCF for retail properties and a -35.8% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 50 loans Morningstar DBRS sampled, seven were Average quality (9.14% of sample), 35 were Average - quality (73.5%), and eight were Below Average quality (17.4%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, PCRs, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 28 SBC loans in the pool, which represent 43.2% of the SBC pool balance. These appraisals were issued between December 2024 and May 2025. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.0%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through June 30, 2025. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans in the SBC pool. SBA 504 Loans The transaction includes four SBA 504 loans, totaling approximately $7.0 million or 3.58% of the aggregate 2025-P1 collateral pool. These are predominantly owner-occupied, 1st lien CRE-backed loans, originated via the SBA 504 in conjunction with community development companies, made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between May 12, 2025, and May 30, 2025, via New Day, which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cut-off date is approximately $6,991,085, with an average balance of $1,747,771. The WA interest rate of the 504 loan sub-pool is 9.77%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2% and 1% respectively in the first five years from origination. These loans are for properties which are owner-occupied by the small business borrower. WA LTV is 50.75%. WA DSCR is approximately 1.57x, and the WA FICO of this sub-pool is 712. For these loans, Morningstar DBRS applied Appendix XVIII: U.S. Small Business of its "Rating U.S. Structured Finance Transactions" methodology. As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into the Morningstar DBRS proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific credit rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 293 mortgage loans with a total balance of approximately $76.6 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. 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. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2025-7: S&P Assigns Prelim B (sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-7's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,100 loans with 1,106 properties and comprises QM/non-HPML (safe harbor), QM rebuttable presumption, non-QM/compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Aug. 6, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned Verus Securitization Trust 2025-7(i) Class A-1(ii), $333,202,000: AAA (sf) Class A-1A(ii), $286,633,000: AAA (sf) Class A-1B(ii), $46,569,000: AAA (sf) Class A-1F, $83,300,000: AAA (sf) Class A-1IO, $83,300,000(iii): AAA (sf) Class A-2, $39,292,000: AA (sf) Class A-3, $58,212,000: A (sf) Class M-1, $25,904,000: BBB (sf) Class B-1, $18,045,000: BB (sf) Class B-2, $12,516,000: B (sf) Class B-3, $11,642,448: NR Class A-IO-S, notional(iv): NR Class XS, notional(iv): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)All or a portion of the class A-1A and A-1B notes can be exchanged for the class A-1 notes and vice versa. (iii)The class A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes, which are floating-rate notes, and will not be entitled to payments of principal. (iv)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. WORLDWIDE PLAZA 2017-WWP: DBRS Keeps B(low) Rating Under Review --------------------------------------------------------------- DBRS Limited maintained the Under Review with Negative Implications status on all credit ratings of the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-WWP issued by Worldwide Plaza Trust 2017-WWP: -- Class A at BBB (low) (sf) -- Class X-A at BBB (sf) -- Class B at BB (low) (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) There are no trends for these credit rating actions. The underlying loan for this transaction is secured by a Class A office property in Manhattan. At the previous credit rating action in May 2025, Morningstar DBRS placed all rated classes Under Review With Negative Implications (URN) because of developments related to the largest tenant, Nomura Holding America, Inc. (Nomura; 34.3% of the net rentable area (NRA), lease expiry in September 2033). At the time, Morningstar DBRS noted that Nomura could be looking to relocate, which would result in the collateral property being nearly fully vacant ahead of the 2027 loan maturity, an obvious concern for refinance prospects. Morningstar DBRS has not received a concrete update on Nomura's plans since the May 2025 credit rating action; however, the servicer has noted that the borrower has begun negotiations with the special servicer for a potential restructuring of the loan to allow new capital to be injected to aid in leasing efforts. Based on the lack of concrete developments and continued uncertainty regarding Nomura's plans, Morningstar DBRS has maintained the URN status with this credit rating action. As part of a July 2024 rating action, Morningstar DBRS downgraded its credit ratings across the capital stack to reflect increased risks for the loan because of the then-upcoming departure of the then-second-largest tenant at the property, Cravath, Swaine & Moore LLP (Cravath; 30.1% of the NRA), which departed at lease expiration in August 2024. The loan subsequently fell delinquent and was transferred to the special servicer in September 2024. For further information on that credit rating action, please see the press release dated July 24, 2024, on the Morningstar DBRS website. Following the transfer to special servicing, the loan received a modification in January 2025 that allowed all reserve funds to be used to fund operating shortfalls through the earlier date of (1) Nomura providing notice of its lease termination or (2) July 1, 2025. On March 26, 2025, Bloomberg released an article noting that Nomura had been in talks for space at the Penn 2 tower, which is also owned by the subject loan sponsor. As of the July 2025 remittance report, the loan was reported current for the last two payment dates, and remains in special servicing with the special servicer reporting ongoing negotiations surrounding a loan modification proposal, as noted above. Whole-loan proceeds of $940.0 million and $260.0 million of mezzanine debt facilitated the recapitalization financing of the collateral. The whole loan consists of $616.3 million of senior debt and $323.7 million of junior debt, of which the entirety of the junior debt and $381.3 million of the senior debt is held in the trust. The fixed-rate loan is interest only (IO) through its 10-year term and is sponsored by a joint venture between SL Green Realty Corporation and RXR Realty LLC. The property totals 2.0 million square feet (sf) and occupies an entire block between 49th Street and 50th Street at 825 Eighth Avenue in New York City's Midtown West submarket. The property also includes 10,592 sf of ground-level retail space, and the C and E subway lines are accessible via a station beneath the building. According to the March 2025 rent rolls, the subject reported a March 2025 occupancy rate of 62.8% compared with the YE2023 rate of 91.4%; occupancy has fallen following the departure of Cravath. The remaining tenancy outside of Nomura is quite granular. According to the property's website, approximately 38.0% of the NRA is listed as available for lease. At issuance, Nomura occupied 819,906 sf (40.0% of NRA) but exercised a termination option for part of its space in January 2022. The tenant gave back two floors and paid a termination fee of $11.2 million. As of the YE2024 financials, the subject property reported a net cash flow (NCF) and debt service coverage ratio (DSCR) of $58.6 million and 1.70 times (x), respectively, compared with the YE2023 figures of $73.5 million and 2.14x, respectively. The most recent financials do not reflect the full departure of Cravath, which is expected to push the DSCR below break even. During the July 2024 rating action, Morningstar DBRS conducted a dark-value analysis for the subject given the possibility that the property could become nearly fully vacant within the next few years for the reasons described above. In the analysis for this review, Morningstar DBRS adjusted that scenario to reflect updated leasing assumptions. Morningstar DBRS concluded to two years of downtime, with a market rent of $70.00 per square foot (psf) and a stabilized vacancy rate of 15.0%, which was based on the most recent submarket vacancy rates reported by Reis. An expense ratio of 44.5% was applied, based on the annualized figures for the trailing six months ended June 30, 2024, resulting in a Morningstar DBRS Stabilized NCF of $81.9 million, which is an increase from the $79.1 million derived in July 2024. A cap rate of 9.0% was applied, supported by market trends and a 100 basis point dark-value adjustment to account for the time and risk to re-tenant the space. Tenant improvements of $175 psf and leasing commissions of 4.0% were assumed, based on more recent available data on file with Morningstar DBRS. The total leasing cost to stabilize was $547.9 million, based on a two-year downtime adjustment given the size of the property. The analysis resulted in a Morningstar DBRS Dark Value of $361.5 million and a whole-loan loan-to-value ratio of approximately 260%. The resulting dark value decreased from the previous Morningstar DBRS Dark Value, derived in July 2024, of $503.7 million, largely because of the increased tenant improvement cost assumption, which was increased from the July 2024 figure of $90 psf, to $175 psf, based on updated market data and other information available to Morningstar DBRS. If the loan were ultimately liquidated at or near this value, Morningstar DBRS expects losses could be realized through the Class A certificate, supporting the URN credit rating action with this review. Although the Morningstar DBRS Dark Value suggests realized losses could be significant, it is noteworthy that there remain two years on the loan term, with a scheduled maturity in November 2027. The submarket demand appears relatively healthy, and the sponsors are experienced and well-capitalized real estate investors who are well positioned to reposition the property, albeit at a very high price. Notes: All figures are in U.S. dollars unless otherwise noted. WSTN TRUST 2023-MAUI: DBRS Confirms BB Rating on Class HRR Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2023-MAUI issued by WSTN Trust 2023-MAUI as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-CP at BB (high) (sf) -- Class X-NCP at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' view that, despite the significant impact to the property's revenue related to the wildfires that broke out on the island of Maui in August 2023 and the effects that had on tourism, the underlying hotel was not damaged and is generally well positioned to capture increased demand as travel begins to rebound. As such, Morningstar DBRS did not update the loan-to-value (LTV) sizing benchmarks as part of this review. The transaction is secured by a 771-key, full-service resort and spa located on the island of Maui. Built in 1971, the Westin Maui Resort & Spa, Ka'anapali offers 700 feet (ft) of direct ocean frontage on the Ka'anapali Beach on an outer island. The resort offers two guest room buildings, the Hokupa'a and Ocean Towers. In 2021, the sponsors, Oaktree Capital Management, LP and Trinity Investments LLC, completed a $121.0 million capital improvement plan that included a full renovation of the Hokupa'a Tower and comprehensive upgrades to the common areas and amenities. Shortly after completing the capital improvement plan, the sponsors invested an additional $29.0 million to renovate the Ocean Tower and revamp the vacant retail and office space into a multifunctional entertainment complex, including bowling lanes, arcade games, and virtual golf suites. The resort features six outdoor pools overlooking Ka'anapali Beach, a 270-ft water slide, six food and beverage (F&B) outlets; 68,000 square feet (sf) of indoor and outdoor event space for various events; an award-winning, full-service spa with nine treatment rooms; a fitness center; 20,000 sf of retail space; and preferred access to the Ka'anapali Golf Courses. The four-year, fixed-rate loan is interest-only (IO) through its maturity in July 2027, with no extension options available. Loan proceeds of $515.0 million were used to repay the existing debt of $362.5 million, return $144.9 million of equity to the sponsor, and cover closing costs associated with the transaction. Like most beachfront developments in Hawaii, the collateral is encumbered by a ground lease. The ground lease is scheduled to expire on December 31, 2086, and contains rent provisions that escalate at five-year intervals. Terms for the lease require the greater of (1) annual minimum rent of $4.5 million between January 1, 2019, and December 31, 2026, or (2) percentage rent equal to the sum of the percentages of gross revenues: 6.0% of rooms revenue, 4.0% of F&B revenue, 10.0% of other revenue, and 25.0% of concessions. The resort experienced a contraction in operating performance during the past couple of years as a result of business interruptions related to wildfires that broke out on Maui in August 2023. The fires closed down the island to visitors for several months with significant impacts on Maui's economy, which relies heavily on tourism. According to the Hawaii Department of Business, Economic Development, Tourism, however, the island of Maui had 235,370 tourists in March 2025, representing an 11.3% growth over the March 2024 figure of 211,498. While this figure is less than the 271,934 visitors (-13.4%) reported pre-COVID-19 pandemic in March 2019, signs of recovery are evident, with the Hawaii Tourism Authority recently announcing a $6.0 million marketing campaign to accelerate Maui's tourism recovery. The loan is currently being monitored on the servicer's watchlist, given the low debt service coverage ratio, most recently reported at 1.04 times based on the trailing 12 months ended March 31, 2025. Based on the same reporting, the loan reported a net cash flow (NCF) of $42.1 million, significantly less than the Morningstar DBRS Derived NCF at issuance of $57.9 million. However, departmental revenue of $182.2 million has surpassed the Morningstar DBRS figure of $180.2 million, with the performance decline primarily stemming from increased expenses, driven by promotional offers and discounts provided to attract customers. Per the December 2024 STR, Inc. report, the portfolio's reported weighted-average occupancy rate, average daily rate, and revenue per available room (RevPAR) metrics were 65.2%, $517, and $338, respectively, which is higher than the performance of the property's competitive set with reported figures of 62.2%, $391, $243 respectively. At issuance, Morningstar DBRS concluded to a stabilized RevPAR figure of $459. At issuance, Morningstar DBRS derived a value of $677.2 million based on a capitalization rate of 8.6% and a Morningstar DBRS NCF of $57.9 million. The Morningstar DBRS Value represents a -26.3% variance from the issuance appraised value of $918.9 million. The resulting Morningstar DBRS LTV Ratio was 76.1% compared with the LTV ratio of 56.0%, based on the appraised value at issuance. Morningstar DBRS maintained positive qualitative adjustments totaling 8.25% to reflect the high quality of the asset, strong historical cash flows, and Maui's tourism-driven economy, which welcomed more than 2.9 million visitors in 2022. 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. [] DBRS Confirms 21 Credit Ratings From 5 Lendmark Trusts --------------------------------------------------------- DBRS, Inc. confirmed twenty-one credit ratings from five Lendmark Funding Trust transactions. Lendmark Funding Trust 2020-2 Debt Rated Rating Action ---------- ------ ------ Class A AA (sf) Confirmed Class B A (sf) Confirmed Class C BBB (high) (sf) Confirmed Class D BB (high) (sf) Confirmed Lendmark Funding Trust 2021-1 Class A AA (sf) Confirmed Class B A (sf) Confirmed Class C BBB (sf) Confirmed Class D BB (sf) Confirmed Lendmark Funding Trust 2021-2 Class A AA (sf) Confirmed Class B A (high) (sf) Confirmed Class C BBB (high) (sf) Confirmed Class D BB (high) (sf) Confirmed Lendmark Funding Trust 2024-1 Class A Notes AAA (sf) Confirmed Class B Notes AA (low) (sf) Confirmed Class C Notes A (low) (sf) Confirmed Class D Notes BBB (low) (sf) Confirmed Lendmark Funding Trust 2024-2 Class A Notes AAA (sf) Confirmed Class B Notes AA (low) (sf) Confirmed Class C Notes A (low) (sf) Confirmed Class D Notes BBB (low) (sf) Confirmed Class E Notes BB (low) (sf) Confirmed The rationale for the credit rating recommendation considers the following factors: -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 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 Reviews 310 Classes From 25 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 310 classes from 25 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 25 transactions reviewed, 21 are classified as legacy RMBS, three are classified as reperforming mortgages and one is classified as home equity line of credit. Of the 310 classes reviewed, Morningstar DBRS confirmed 297 credit ratings, upgraded 12 credit ratings and discontinued one credit rating. The Affected Ratings are available at https://bit.ly/4lnwmSa The Issuers are: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust C-BASS 2006-SL1 Trust C-BASS 2006-CB7 Trust C-BASS 2007-CB1 TRUST C-BASS 2006-CB4 TRUST C-BASS 2007-CB5 Trust Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8 Soundview Home Loan Trust 2008-1 C-BASS 2006-CB9 Trust ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4 C-BASS Mortgage Loan Trust 2007-CB3 C-BASS Mortgage Loan Trust 2007-CB2 AJAX Mortgage Loan Trust 2023-C PRPM 2024-RCF4, LLC FIGRE Trust 2024-HE3 BCAP LLC Trust 2007-AA5 Residential Loan Trust 2008-AH1 TBW Mortgage-Backed Trust 2007-2 J.P. Morgan Mortgage Trust 2005-A3 GS Mortgage-Backed Securities Trust 2024-RPL4 Securitized Asset Backed Receivables LLC Trust 2005-FR5 Securitized Asset Backed Receivables LLC Trust 2005-HE1 Renaissance Home Equity Loan Trust 2005-2 Accredited Mortgage Loan Trust 2004-4 Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit rating reflects the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 365 Classes From 46 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 365 classes from forty-six U.S. residential mortgage-backed securities (RMBS) transactions. Of the 46 transactions reviewed, six are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, three are classified as a securitization of a revolving portfolio of residential transition loans (RTLs), and the remaining 37 deals are classified as Non-QM. Of the 365 classes reviewed, Morningstar DBRS upgraded its credit ratings on 61 classes and confirmed its credit ratings on the remaining 304 classes. The Affected Ratings are available at https://bit.ly/4oz8IoA The Issuers are: MFA 2022-NQM1 Trust MFA 2022-NQM3 Trust MFA 2021-INV2 Trust CTDL 2020-1 Trust GCAT 2022-NQM4 Trust PRKCM 2023-AFC3 Trust PRKCM 2022-AFC2 Trust CHNGE Mortgage Trust 2023-4 TVC Mortgage Trust 2024-RRTL1 CHNGE Mortgage Trust 2022-NQM1 Verus Securitization Trust 2021-6 Verus Securitization Trust 2021-8 MFA 2023-INV2 Trust MFA 2020-NQM3 Trust J.P. Morgan Mortgage Trust 2023-DSC2 PRKCM 2021-AFC1 Trust CHNGE Mortgage Trust 2023-1 CHNGE Mortgage Trust 2022-5 Angel Oak Mortgage Trust 2019-6 BRAVO Residential Funding Trust 2021-NQM3 BRAVO Residential Funding Trust 2022-NQM3 Angel Oak Mortgage Trust I 2019-2 LHOME Mortgage Trust 2024-RTL4 Verus Securitization Trust 2021-R1 Residential Mortgage Loan Trust 2019-3 Residential Mortgage Loan Trust 2019-2 Angel Oak Mortgage Trust I, LLC 2019-1 Homeward Opportunities Fund Trust 2022-1 Galton Funding Mortgage Trust 2020-H1 Angel Oak Mortgage Trust I, LLC 2018-3 Spruce Hill Mortgage Loan Trust 2020-SH1 Starwood Mortgage Residential Trust 2022-2 Starwood Mortgage Residential Trust 2020-2 Velocity Commercial Capital Loan Trust 2022-1 Velocity Commercial Capital Loan Trust 2021-3 Velocity Commercial Capital Loan Trust 2021-2 Velocity Commercial Capital Loan Trust 2022-4 Velocity Commercial Capital Loan Trust 2024-4 Velocity Commercial Capital Loan Trust 2023-3 Barclays Mortgage Loan Trust 2021-NQM1 BRAVO Residential Funding Trust 2024-NQM5 BRAVO Residential Funding Trust 2022-NQM1 Homeward Opportunities Fund Trust 2024-RRTL2 Angel Oak Mortgage Trust 2019-5 Starwood Mortgage Residential Trust 2019-INV1 Saluda Grade Alternative Mortgage Trust 2024-INV1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024 (https://dbrs.morningstar.com/research/435291), "North American CMBS Surveillance Methodology," published on February 28, 2025 (https://dbrs.morningstar.com/research/448963) and "Rating U.S. Structured Finance Transactions - Appendix XVIII: U.S. Small Business," published on March 10, 2025 (https://dbrs.morningstar.com/research/449616). Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Affirms 'Dsf' Rating on Two US CMBS Conduit Transactions ----------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 40 classes in nine US CMBS multiborrower transactions from the 2003 through 2012 vintages. All transactions are concentrated by the remaining number of loans. Negative Rating Outlooks were assigned to two classes following their downgrades. The Outlooks remained Negative on nine of the affirmed classes and Stable on three of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage Securities Trust 2012-GCJ9 D 36192PAK2 LT BB-sf Affirmed BB-sf E 36192PAN6 LT CCCsf Affirmed CCCsf F 36192PAR7 LT CCsf Affirmed CCsf MSBAM 2012-C5 E 61761AAJ7 LT BBsf Affirmed BBsf F 61761AAL2 LT Bsf Affirmed Bsf G 61761AAN8 LT CCCsf Affirmed CCCsf H 61761AAQ1 LT CCsf Affirmed CCsf GSMS 2011-GC5 A-S 36191YAE8 LT AAsf Downgrade AAAsf B 36191YAG3 LT BBsf Affirmed BBsf C 36191YAJ7 LT Csf Affirmed Csf D 36191YAL2 LT Csf Affirmed Csf E 36191YAN8 LT Csf Affirmed Csf F 36191YAQ1 LT Csf Affirmed Csf X-A 36191YAA6 LT AAsf Downgrade AAAsf WFRBS Commercial Mortgage Trust 2011-C4 D 92936CAW9 LT BBsf Affirmed BBsf E 92936CAY5 LT CCsf Affirmed CCsf F 92936CBA6 LT Csf Affirmed Csf G 92936CBC2 LT Csf Affirmed Csf General Electric Capital Assurance Company, GFCM 2003-1 G 36161RBB4 LT B-sf Affirmed B-sf H 36161RBC2 LT Dsf Affirmed Dsf J 36161RBD0 LT Dsf Affirmed Dsf J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 D 46634SAJ4 LT A-sf Affirmed A-sf E 46634SAM7 LT CCCsf Affirmed CCCsf F 46634SAP0 LT CCsf Affirmed CCsf G 46634SAR6 LT Csf Affirmed Csf H 46634SAT2 LT Csf Affirmed Csf JPMCC 2011-C3 B 46635TAU6 LT BBBsf Affirmed BBBsf C 46635TAX0 LT BBsf Affirmed BBsf D 46635TBA9 LT CCCsf Affirmed CCCsf E 46635TBD3 LT CCsf Affirmed CCsf G 46635TBK7 LT Csf Affirmed Csf H 46635TBN1 LT Csf Affirmed Csf J 46635TBR2 LT Csf Affirmed Csf WFRBS 2012-C9 E 92930RAK8 LT BBsf Affirmed BBsf F 92930RAL6 LT B-sf Affirmed B-sf COMM 2012-CCRE3 B 12624PAL9 LT BBsf Affirmed BBsf C 12624PAQ8 LT CCCsf Affirmed CCCsf D 12624PAS4 LT Csf Affirmed Csf E 12624PAU9 LT Csf Affirmed Csf F 12624PAW5 LT Dsf Affirmed Dsf G 12624PAY1 LT Dsf Affirmed Dsf PEZ 12624PAN5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The transactions are concentrated with fewer than 10 loans remaining with a large portion of the loans being Fitch Loans of Concern (FLOCs). The majority of loans are in special servicing and/or past their respective original maturity dates and performing after a loan extension. Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement. The downgrades in GSMS 2011-GC5 reflect higher pool loss expectations and a change in recovery expectations since the prior rating action. In addition, there is the potential for interest shortfalls if the servicer stops or reduces advancing. The Negative Outlooks on classes in seven transactions reflect a high concentration of FLOCs and/or reliance on loans in special servicing to repay the classes. If expected losses increase or prolonged workouts lower recovery expectations, downgrades are likely on these classes. Notable FLOCs in these transactions include: - JPMCC 2011-C3: Holyoke Mall, Sangertown Square; - GSMS 2011-GC5: 1551 Broadway, Parkdale Mall & Crossing, Ashland Town Center; - MSBAM 2012-C5: Legg Mason Tower; - JPMCC 2012-C6: Arbor Place Mall, Northwoods Mall; - COMM 2012-CCRE3: Solano Mall. GSMS 2011-GC5: The downgrades reflect higher expected losses and reduced recovery expectations since the prior rating action. The transaction is comprised of five remaining assets. Two are REO (43.4%), one is categorized as non-performing matured and with the special servicer (6.6%), and two loans have been modified and extended (50.1%). Four assets (63.2%) are regional malls: Park Place Mall, Parkdale Mall & Crossing, Champlain Centre, and Ashland Town Center. The most notable change in loss expectations compared to the prior rating action is1551 Broadway (37.1% of the pool). The loan is secured by a 25,600-sf retail property located in Manhattan's Times Square neighborhood and includes a 250-foot rentable LED signage tower. The property serves as the flagship store for American Eagle which fully occupies the property and leases the signage. The loan transferred to the special servicer at maturity in November 2021 and was subsequently modified, extended and returned to the master servicer in September 2024. The loan was extended until December 2025. According to servicer comments, American Eagle's lease expired in February 2024 and the tenant signed a 10-year renewal at significantly lower rental rates, but an updated rent roll was not received. Fitch's analysis of the loan included a higher probability of default, given that the reported YE 2024 DSCR has fallen to 0.72x, and a re-default of the loan at the extended maturity is more probable given the lower rental rate and upcoming maturity. If the loan becomes delinquent, given the majority of the remaining assets in the transaction are with the special servicer and delinquent, increasing interest shortfalls due to a reduction in servicer advances are possible, including the transaction's senior classes. Regional Mall Exposure: Six of the nine transactions have significant exposure to regional malls with deteriorated performance and/or outsized losses which have all failed to repay at their respective maturity dates and have been extended at least once. The largest expected losses include Park Place Mall (36.9% of the pool) in GSMS 2011-GC5 with a 58.3% loss, Arbor Place Mall (64.1%) in JPMCC 2012-C6 reflecting a 42.1% loss, and Holyoke Mall (76.3%) in JPMCC 2011-C3 with a 34.3% loss. Park Place Mall, a regional mall located in Tucson, AZ, became REO in October 2023 with reported occupancy of 93% as of March 2025. Arbor Place Mall is regional mall in Douglasville, GA with upcoming lease rollover and reported occupancy of 93% as of March 2025, with a NOI DSCR of 1.23x for the same period. Holyoke Mall is a regional mall located in Holyoke, MA where March 2025 occupancy is down to 67% with YE 2024 NOI DSCR of 1.53x. Office Concentration: Of the transactions, MSBAM 2012-C5 and COMM 2012-CCRE3 have a high concentration of office loans ranging between 3.4% and 76% of the pool. The largest loss contributor in the MSBAM 2012-C5 transaction is the Legg Mason Tower loan (75.9% of the pool), which is secured by a 612,613-sf office property that is part of a mixed-use development located in the Inner Harbor District at the southeastern end of downtown Baltimore, MD. The lease of the largest tenant, Legg Mason (44.0% of the NRA), expired in August 2024. It has been reported that Legg Mason did not renew its lease and has vacated the property. Fitch's analysis on this loan incorporated a 10% cap rate, an increased probability of default and a 50% stress to the YE 2024 NOI, given the Legg Mason departure, weak market conditions and office sector concerns. Change to Credit Enhancement: As of the July 2025 distribution date, the aggregate pool balance of the nine US CMBS conduit transactions has been reduced more than 88% (ranging from 77% to 99%). There are no defeased loans in these transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks indicate the possibility of downgrades due to potential further performance declines, which could lead to increased expected losses on the FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs, including: - JPMCC 2011-C3: Holyoke Mall, Sangertown Square; - GSMS 2011-GC5: 1551 Broadway, Parkdale Mall & Crossing, Ashland Town Center; - MSBAM 2012-C5: Legg Mason Tower; - JPMCC 2012-C6: Arbor Place Mall, Northwoods Mall; - COMM 2012-CCRE3: Solano Mall. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued under performance of the FLOCs and with greater certainty of losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected but may occur with better-than-expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Action on 16 Bonds from 6 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of 14 bonds and downgraded the ratings of two bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime, option ARM and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-8CB Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 29, 2024 Downgraded to B1 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Aug 1, 2018 Upgraded to Ca (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR4 Cl. A1-A, Upgraded to Baa1 (sf); previously on Nov 1, 2024 Upgraded to Ba1 (sf) Cl. A1-B, Upgraded to Caa2 (sf); previously on Jan 26, 2011 Downgraded to C (sf) Cl. A2-A, Upgraded to Caa2 (sf); previously on May 22, 2019 Upgraded to Caa3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2005-5AR Cl. 1-B-3, Upgraded to Caa1 (sf); previously on Oct 30, 2008 Downgraded to C (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-3 Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 4, 2009 Downgraded to C (sf) Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE3 Trust Cl. I-A, Upgraded to Baa1 (sf); previously on Oct 28, 2024 Upgraded to Ba1 (sf) Cl. II-A2, Upgraded to Caa1 (sf); previously on Mar 7, 2014 Downgraded to Ca (sf) Cl. II-A3, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A5, Upgraded to Caa1 (sf); previously on Mar 7, 2014 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR13 Cl. 1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. 1X-PPP*, Upgraded to Caa2 (sf); previously on Dec 20, 2017 Confirmed at Caa3 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation 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 Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-3 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 rating downgrade of Class M-2 from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-8CB has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. 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 an increase in credit enhancement available to the bonds. Credit enhancement grew by 32% on average for these bonds upgraded 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 Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 22 Bonds from 9 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 14 bonds and downgraded the ratings of eight bonds 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: CWABS Asset-Backed Certificates Trust 2005-14 Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-7 Cl. MF-2, Downgraded to Caa1 (sf); previously on Jan 15, 2019 Upgraded to B3 (sf) Cl. MF-3, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Cl. MV-6, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-6CB Cl. M-2, Upgraded to Aaa (sf); previously on Sep 19, 2024 Upgraded to Aa1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 19, 2024 Upgraded to B3 (sf) Issuer: Fieldstone Mortgage Investment Trust 2005-2 Cl. M2, Downgraded to Caa1 (sf); previously on Jul 31, 2015 Upgraded to B1 (sf) Cl. M3, Upgraded to Caa1 (sf); previously on Dec 11, 2018 Upgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2005-14 Cl. 1A1, Downgraded to Caa1 (sf); previously on Oct 1, 2018 Upgraded to B1 (sf) Cl. 1A2, Upgraded to Caa3 (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. 2A2, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa3 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-6 Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-6, Downgraded to Caa1 (sf); previously on Feb 16, 2018 Upgraded to B2 (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Feb 15, 2013 Affirmed C (sf) Issuer: MASTR Asset Backed Securities Trust 2004-OPT1 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 Jun 9, 2020 Downgraded to Caa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE5 Cl. M-3, Downgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to B1 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-4 Cl. M-2, Upgraded to Caa1 (sf); previously on Sep 18, 2019 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 4, 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 are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Some of the rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Most of these bonds have weak interest recoupment mechanisms where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating actions on Class M-4 from CWABS Asset-Backed Certificates Trust 2005-14 and Class M-3 from Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-4 are the result of missed interest that is unlikely to be recouped. These bonds have incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. The rating upgrade of Class M-2 from CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-6CB is a result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. Specifically, credit enhancement for this bond grew by 1.17x 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 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 3 Bonds from 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Carrington Home Equity Loan Trust, Series 2005-NC4 Cl. M-4, Upgraded to Caa2 (sf); previously on Nov 20, 2018 Upgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3 Cl. M-4, Upgraded to Caa1 (sf); previously on Nov 28, 2018 Upgraded to Ca (sf) Issuer: GSAMP Trust 2005-AHL Cl. M-3, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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