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250824.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 24, 2025, Vol. 29, No. 235 Headlines ALLEGRO CLO XIV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ALLEGRO CLO XIV: Moody's Assigns B3 Rating to $250,000 F-R Notes ALLY BANK 2025-A: Moody's Assigns B2 Rating to Class F Notes ANCHORAGE CAPITAL 6: Moody's Gives B3 Rating to $250,000 F-R4 Notes ARES CLO XLIV: Moody's Assigns Ba3 Rating to $56.975MM D-RR Notes ARINI US II: S&P Assigns BB- (sf) Rating on Class E Notes ARIVO ACCEPTANCE 2025-1: DBRS Gives Prov. BB Rating on E Notes ASCENT CAREER 2024-1: DBRS Confirms BB(low) Rating on C Notes BAIN CAPITAL 2020-5: Fitch Assigns 'BBsf' Rating on Cl. E-RR Notes BAIN CAPITAL 2023-3: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes BALLYROCK CLO 30: S&P Assigns Prelim BB- (sf) Rating on D Notes BANK 2019-BNK21: DBRS Confirms BB(low) Rating on Class G Certs BANK 2022-BNK41: DBRS Confirms B(high) Rating on Class G Certs BARINGS 2023-II: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E-R Notes BARINGS CLO 2023-II: Moody's Assigns (P)B3 Rating to Cl. F-R Notes BBCMS 2023-5C23: Fitch Lowers Rating on Two Tranches to 'Bsf' BENCHMARK 2018-B5: DBRS Cuts D Certs Rating to BB(high) BENCHMARK 2018-B6: DBRS Cuts Rating on J-RR Certs to Csf BENCHMARK 2019-B12: DBRS Cuts Rating on Class F-RR Certs to Csf BENEFIT STREET XX: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes BHG SECURITIZATION 2025-2CON: Fitch Assigns 'BB' Rating on E Notes BLUEMOUNTAIN CLO 2015-3: S&P Lowers Cl. D-R Notes Rating to B (sf) BREAN ASSET 2025-RM12: DBRS Gives Prov. B Rating on M5 Notes BRYANT PARK 2025-27: S&P Assigns BB- (sf) Rating on Class E Notes BSPDF 2021-FL1: DBRS Confirms B Rating on Class H Notes BX TRUST 2021-LGCY: DBRS Confirms B(low) Rating on Class G Certs CD MORTGAGE 2016-CD1: Fitch Lowers Rating on Class B Certs 'BB-sf' CHASE HOME 2025-RPL1: Moody's Assigns B3 Rating to Cl. B-2 Certs CIFC FUNDING 2019-VII: Fitch Assigns BB-sf Rating on Cl. E-R Notes CIFC FUNDING 2025-IV: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes CITIGROUP 2019-GC41: DBRS Cuts Rating on G-RR Certs to CCC CITIGROUP 2020-GC46: DBRS Confirms B Rating on G-RR Certs COMM 2012-CCRE4: Fitch Lowers Rating on Two Tranches to 'Bsf' COMM 2015-DC1: Fitch Lowers Rating on Two Tranches to 'Csf' COMM 2016-CCRE28: DBRS Confirms C Rating on 5 Cert. Classes DBGS 2018-C1: DBRS Lowers Rating on Class G-RR Certs to Csf DBJPM 2016-C1: Fitch Lowers Rating on Two Tranches to 'Bsf' DIAMETER CAPITAL 11: S&P Assigns BB- (sf) Rating on Class E Notes DRYDEN 107: S&P Assigns BB- (sf) Rating on Class E-R Notes ELMWOOD CLO 14: Fitch Assigns 'Bsf' Rating on Class F-R Notes EMPOWER CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes EXETER AUTOMOBILE 2022-5: S&P Affirms BB- (sf) Rating on E Notes FIGRE TRUST 2025-HE5: S&P Assigns Prelim B- (sf) Rating on F Notes FS TRUST 2024-HULA: DBRS Confirms BB Rating on 2 Cert. Classes GLS AUTO 2025-3: S&P Assigns BB (sf) Rating on Class E Notes GOLUB CAPITAL 68(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes GRACIE POINT 2025-1: S&P Assigns Prelim BB (sf) Rating on D Notes GRANITE PARK 2023-1: Moody's Hikes Rating on Class E Notes to Ba2 GREYWOLF CLO IV: S&P Assigns BB- (sf) Rating on Class D-R2 Notes GS MORTGAGE 2025-NQM3: DBRS Gives (P)Bsf Rating to Class B-2 Certs GS MORTGAGE 2025-NQM3: S&P Assigns Prelim 'B' Rating on B-2 Certs HOMES 2025-NQM4: S&P Assigns B (sf) Rating on Class B-2 Notes HPS LOAN 2025-26: S&P Assigns BB- (sf) Rating on Class E Notes HPS PRIVATE 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ICG US 2025-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes INVESCO CLO 2022-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes INVESCO US 2025-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes JP MORGAN 2025-NQM3: DBRS Gives Prov. B(low) Rating on B2 Certs JPMCC 2016-JP3: Fitch Lowers Rating on Class C Certs to 'B-sf' KKR CLO 45A: Moody's Assigns B3 Rating to $250,000 Class F-R Notes MARBLE POINT XIV: Moody's Cuts Rating on $24.2MM Cl. E Notes to B2 MERRILL LYNCH 2006-HE5: Moody's Ups Rating on 2 Tranches to Caa3 MF1 2021-FL6: DBRS Confirms B Rating on Class G Notes MJX VENTURE II: Moody's Cuts Rating on Ser. F/Class E Notes to B1 MORGAN STANLEY 2019-NUGS: Moody's Lowers Rating on 2 Tranches to C MORGAN STANLEY 2025-C35: Fitch Assigns 'B-sf' Rating on F-RR Certs MOUNTAIN VIEW XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes NEUBERGER BERMAN 40: S&P Assigns BB- (sf) Rating on Cl. E-R Notes NEW MOUNTAIN 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes NEW MOUNTAIN IV: DBRS Confirms BB(low) Rating on Class C Notes NMEF FUNDING 2025-B: Fitch Assigns 'BBsf' Rating on Class E Notes NMEF FUNDING 2025-B: Moody's Assigns Ba2 Rating to Class E Notes OAKWOOD MORTGAGE 1998-D: S&P Affirms 'BB' Rating on A-1 ARM Notes OCP CLO 2023-27: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes OCP CLO 2025-44: S&P Assigns BB- (sf) Rating on Class E Notes OHA CREDIT 10-R: Fitch Assigns 'BB-sf' Rating on Class E Notes OZLM IX LTD: Moody's Cuts Rating on $9.5MM Cl. E-RR Notes to Caa3 PALMER SQUARE 2021-3: Fitch Assigns B-sf Final Rating on F-R Notes PALMER SQUARE 2025-3: S&P Assigns BB- (sf) Rating on CL. E Notes PMT LOAN 2025-INV8: Moody's Assigns B3 Rating to Cl. B-5 Certs PRPM 2025-RCF-4: DBRS Finalizes BB(low) Rating on Cl. M-2 Notes ROCKLAND PARK CLO: Moody's Assigns B3 Rating to $260,000 F-R Notes ROCKLAND PARK: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SAIF SECURITIZATION 2025-CES1: DBRS Gives (P)B Rating to B-2 Notes SANTANDER MORTGAGE 2025-NQM4: S&P Assigns 'B' Rating on B-2 Notes SCG COMMERCIAL 2025-FLWR: DBRS Finalizes B Rating on Cl. HRR Certs SILVER POINT 11: Moody's Assigns B3 Rating to $275,000 Cl. F Notes SOUND POINT IV-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa1 SOUND POINT XV: Moody's Cuts Rating on $32.5MM Class E Notes to B1 SREIT TRUST 2021-IND: DBRS Hikes Rating on Cl. F Certs to B(high) STRATS TRUST 2004-6: Moody's Confirms Ba2 Rating on Cl. A-1 Notes SYMPHONY CLO XVIII: S&P Assigns Prelim 'BB-' Rating on E-R4 Notes TCW CLO 2021-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes TOWD POINT 2025-CES3: Fitch Assigns 'B-sf' Rating on Five Tranches TRINITAS CLO XXII: S&P Assigns BB- (sf) Rating on Class E-R Notes TRINITAS CLO XXXII: S&P Assigns BB- (sf) Rating on Class E Notes UBS COMMERCIAL 2018-C12: Fitch Lowers Rating on 2 Tranches to B- UPX HIL 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Class C Notes VELOCITY COMMERCIAL 2025-P1: DBRS Finalizes B Rating on 3 Tranches VENTURE CLO 31: Moody's Lowers Rating on $32MM Class E Notes to B1 VENTURE CLO XXX: Moody's Cuts Rating on $31.5MM Cl. E Notes to B2 VERUS SECURITIZATION 2025-7: Moody's Gives Ba3 Rating to B-2 Certs VERUS SECURITIZATION 2025-7: S&P Assigns 'B+' Rating on B-2 Notes VISTA POINT 2025-CES2: DBRS Gives Prov. B Rating on B2 Notes VOYA CLO 2015-3: Fitch Affirms 'CCCsf' Rating on Class E-R Notes VOYA CLO 2015-3: S&P Affirms B+ (sf) Rating in Class D-R Notes WELLS FARGO 2019-C52: Fitch Lowers Rating on E-RR Certs to 'Bsf' WFLD 2014-MONT: S&P Discontinues 'D (sf)' Rating on Class D Notes WFRBS COMMERCIAL: DBRS Lowers Rating on 2 Tranches to CCCsf ZAIS CLO 18: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ZAIS CLO 7: Moody's Lowers Rating on $24.75MM Class E Notes to B3 [] DBRS Reviews 484 Classes From 18 US RMBS Transactions [] Moody's Takes Rating Action on 19 Bonds from 9 US RMBS Deals [] Moody's Takes Rating Action on 23 Bonds from 10 US RMBS Deals [] Moody's Takes Rating Action on 24 Bonds from 13 US RMBS Deals [] Moody's Takes Rating Action on 27 Bonds from 15 US RMBS Deals [] Moody's Takes Rating Action on 34 Bonds From 13 US RMBS Deals [] Moody's Takes Rating Action on 39 Bonds From 11 US RMBS Deals [] Moody's Takes Rating Action on 9 Bonds From 6 US RMBS Deals [] Moody's Upgrades Ratings on 28 Bonds From 15 US RMBS Deals ********* ALLEGRO CLO XIV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO XIV, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Allegro CLO XIV, Ltd. X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-1-RL LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Allegro CLO XIV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers, Inc. that originally closed in September 2021 and is being reset on Aug. 14, 2025. Fitch did not rate the original transaction. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.75% first lien senior secured loans and has a weighted average recovery assumption of 74.54%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, '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, 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 Allegro CLO XIV, 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. ALLEGRO CLO XIV: Moody's Assigns B3 Rating to $250,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to three classes of CLO refinancing notes issued and one class of loans incurred (collectively, the Refinancing Debt) by Allegro CLO XIV, Ltd. (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$159,000,000 Class A-1-R Loans maturing 2037, Definitive Rating Assigned Aaa (sf) US$151,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. AXA Investment Managers US Inc. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Debt, six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2993 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. ALLY BANK 2025-A: Moody's Assigns B2 Rating to Class F Notes ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the notes issued by Ally Bank Auto Credit-Linked Notes, Series 2025-A (ABCLN 2025-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2025-A is the third credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical- financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Auto Credit-Linked Notes, Series 2025-A Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Ally Bank or as a result of a FDIC conservator or receivership. The expected source of principal payments will be the cash proceeds from the initial sale of the notes that will be held in a collateral account with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments and, in the unlikely event that the amount on deposit in the collateral account is less than the outstanding principal amount of the notes, also for the payments of principal. The Letter of Credit will be provided by a third party with a rating of A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Ally (Baa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of Ally as the servicer. Moody's median cumulative net loss expectation for the ABCLN 2025-A reference pool is 1.15% and loss at a Aaa stress of 7.00%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.00%, 7.45%, 5.35%, 4.45%, 3.25%, and 2.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. ANCHORAGE CAPITAL 6: Moody's Gives B3 Rating to $250,000 F-R4 Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Anchorage Capital CLO 6, Ltd. (the Issuer): US$4,000,000 Class X-R4 Senior Secured Floating Rate Notes, Assigned Aaa (sf) US$248,000,000 Class A-R4 Senior Secured Floating Rate Notes, Assigned Aaa (sf) US$250,000 Class F-R4 Junior Secured Deferrable Floating Rate Notes, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, bonds and senior secured notes. Anchorage Collateral Management, L.L.C. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, four other classes of secured notes, and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2999 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ARES CLO XLIV: Moody's Assigns Ba3 Rating to $56.975MM D-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Ares XLIV CLO Ltd. (the "Issuer"). Moody's rating action is as follows: US$661,125,000 Class A-1-RR Senior Floating Rate Notes Due 2034 (the "Class A-1-RR Notes"), Assigned Aaa (sf) US$26,875,000 Class A-2-RR Senior Floating Rate Notes Due 2034 (the "Class A-2-RR Notes"), Assigned Aaa (sf) US$56,975,000 Class D-RR Mezzanine Deferrable Floating Rate Notes Due 2034 (the "Class D-RR Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Ares CLO Management II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued four other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period and updates to alternative benchmark replacement provisions. 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: $1,062,606,459 Defaulted par: $396,299 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2988 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 45.99% Weighted Average Life (WAL): 5.0 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology 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. ARINI US II: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its 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 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 Arini US CLO II Ltd./Arini US CLO II LLC Class A, $320.0 million: AAA (sf) Class B, $60.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $18.0 million: BB- (sf) Subordinated notes, $47.2 million: Not rated ARIVO ACCEPTANCE 2025-1: DBRS Gives Prov. BB Rating on E Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes issued by Arivo Acceptance Auto Loan Receivables Trust 2025-1 (ARIVO 2025-1 or the Issuer): -- $28,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $88,170,000 Class A-2 Notes at (P) AAA (sf) -- $20,340,000 Class B Notes at (P) AA (sf) -- $30,170,000 Class C Notes at (P) A (sf) -- $16,760,000 Class D Notes at (P) BBB (sf) -- $27,480,000 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 overcollateralization (OC), subordination, amounts held in the cash collateral account, and excess spread. 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 ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The Morningstar DBRS CNL assumption is 16.30% based on the cut-off date pool composition. (3) 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. (4) Morningstar DBRS performed an operational review of Arivo and considers the entity an acceptable originator and servicer of subprime and nonprime auto loans. The Transaction structure provides for a transition of servicing in the event a Servicer Termination Event occurs. Wilmington Trust, National Association (rated A (high) with a Stable trend by Morningstar DBRS) is the Backup Servicer, and Systems & Services Technologies, Inc. is the subagent contracted to perform the Backup Servicer's duties. (5) The credit quality of the collateral and performance of Arivo's auto loan portfolio. The weighted-average (WA) remaining term of the collateral pool as of the statistical cut-off date is approximately 63.81 months with WA seasoning of approximately 8.06 months. The non-zero WA credit score of the pool is 560 and the WA annual percentage rate (APR) is 19.32%. The initial pool is expected to include approximately 8% seasoned called collateral. (6) The legal structure and expected presence of legal opinions, which will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Arivo, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 49.00% of initial hard credit enhancement provided by subordinated notes in the pool (42.40%), OC (5.60%), and cash collateral account (1.00% of the aggregate pool balance, including the initial pool balance plus the subsequent receivable balance, and nondeclining). The ratings on the Class B, C, D and E Notes reflect 39.90%, 26.40%, 18.90% and 6.60% of initial hard credit enhancement, respectively. Morningstar DBRS' credit ratings on the Class A-1, Class A-2, Class B, Class C, Class D and Class E Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Interest and Note Principal Balance for each of the Class A-1, Class A-2, Class B, Class C, Class D and Class E Notes. Notes: All figures are in U.S. dollars unless otherwise noted. ASCENT CAREER 2024-1: DBRS Confirms BB(low) Rating on C Notes ------------------------------------------------------------- DBRS, Inc. confirmed three credit ratings from Ascent Career Funding Trust 2024-1: Debt Rating Action ---- ------ ------ Class A Notes A (low)(sf) Confirmed Class B Notes BBB (low)(sf) Confirmed Class C Notes BB (low)(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Losses are tracking in line with the Morningstar DBRS initial base-case cumulative net loss (CNL) expectation. The current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- Transaction capital structure and the form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). BAIN CAPITAL 2020-5: Fitch Assigns 'BBsf' Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Bain Capital Credit CLO 2020-5, Limited refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2020-5, Limited X-R 05683FAS8 LT AAAsf Affirmed AAAsf A-R loans LT PIFsf Paid In Full AAAsf A-RR LT AAAsf New Rating B-R 05683FAU3 LT PIFsf Paid In Full AAsf B-RR LT AA+sf New Rating C-1-R 05683FAW9 LT PIFsf Paid In Full Asf C-1-RR LT A+sf New Rating C-F-R 05683FAY5 LT PIFsf Paid In Full Asf C-F-RR LT A+sf New Rating D-R 05683FBA6 LT PIFsf Paid In Full BBBsf D-RR LT BBB+sf New Rating E-R 05683KAE8 LT PIFsf Paid In Full BB-sf E-RR LT BBsf New Rating Transaction Summary Bain Capital Credit CLO 2020-5, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Bain Capital Credit U.S. CLO Manager, LLC. On Aug. 18, 2025 (the second refinancing date), net proceeds from the secured and subordinated notes will provide financing on a portfolio of approximately $394 million of primarily first lien senior secured leveraged loans, excluding defaulted assets. Fitch has affirmed the class X-R notes at 'AAA(sf)'. The Rating Outlook for the class X-R notes is Stable. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.51, 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 96.14% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 0.7-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction: - The spreads for the A-RR, B-RR, C-1-RR, D-RR and E-RR notes are 1.15%, 1.45%, 1.75%, 1.75%, 2.90% and 6.00%, respectively, compared to the spreads of 1.34%, 1.90%, 2.50%, 3.60% and 7.54% for classes A-R, B-R, C-1-R, D-R and E-R, respectively, before refinancing; - The fixed C-F-R class will be refinanced into a floating C-F-RR class. The C-F-RR class will have a spread of 1.75% compared to a fixed coupon of 6.50% for the C-F-R class prior to refinancing; - The class A-R loans will become class A-RR notes in connection with the refinancing; - The non-call period for the refinanced notes is extended to April 20, 2026; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis Fitch's analysis is based on the latest portfolio presented to Fitch from the arranger that includes 479 assets from 412 primarily high-yield obligors. The portfolio balance is approximately $394 million, excluding defaulted assets. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 42.8% of the current portfolio par balance, while 56.7% of the ratings were derived using Fitch's Issuer Default Rate Equivalency Map. Assets unrated by Fitch or without public ratings from other agencies make up 0.4% of the portfolio. The Fitch Stressed Portfolio (FSP) included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 20%, 15% and 8.4%, respectively; - Assumed risk horizon: 7.5 years; - Minimum Fitch weighted average spread: 3.10%; - Maximum Fitch weighted average rating factor: 24.5; - Minimum Fitch weighted average recovery rate: 72.60%; - Maximum fixed rate assets: 7.5%; - Minimum weighted average coupon: 5.0%. The transaction will exit the reinvestment period in April 2026. Current Portfolio Fitch generated indicative default and recovery statistics of the current portfolio using its portfolio credit model (PCM) on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the current portfolio at the 'AAAsf' rating stress were 41.6% and 39.2%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'AA+sf' rating stress were 40.6% and 48.0%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'A+sf' rating stress were 35.6% and 57.9%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BBB+sf' rating stress were 29.7% and 67.3%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BBsf' rating stress were 23.5% and 72.8%, respectively. In the current portfolio analysis, the class X-R, A-RR, B-RR, C-RR, D-RR and E-RR notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf' and 'BBsf' rating thresholds with minimum cushions of 58.4%, 10.3%, 9.6%, 9.7%, 7.8% and 5.8%, respectively. Fitch Stressed Portfolio Fitch generated projected default and recovery statistics of the FSP using PCM on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 49.0% and 38.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 47.5% and 46.4%, respectively. The PCM default and recovery rate outputs for the FSP at the 'A+sf' rating stress were 41.8% and 56.0%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 35.4% and 65.3%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBsf' rating stress were 28.1% and 71.1%, respectively. In the analysis of the FSP, the class X-R, A-RR, B-RR, C-RR, D-RR and E-RR notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf' and 'BBsf' rating thresholds with minimum cushions of 51.0%, 2.4%, 2.3%, 2.4%, 1.1% and 0.4%, respectively. The Stable Outlook on the class X-R, A-RR, B-RR, C-RR, D-RR and E-RR notes reflect Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-RR, between 'BBB-sf' and 'AAsf' for class B-RR, between 'BB-sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BBB-sf' for class D-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. 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 2020-5, 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. BAIN CAPITAL 2023-3: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2023-3, Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2023-3, Limited A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 05682CAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 05682CAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 05682CAG2 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 05682KAA7 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating X-R LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2023-3, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP that originally closed on Aug. 8, 2023. This is the first refinancing where the existing secured notes will be refinanced in whole on Aug. 20, 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 23.07, 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 97.76% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 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'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 'BBBsf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2023-3, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALLYROCK CLO 30: S&P Assigns Prelim BB- (sf) Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 30 Ltd./Ballyrock CLO 30 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 Ballyrock Investment Advisors LLC, a subsidiary of Fidelity Management & Research Co. LLC. The preliminary ratings are based on information as of Aug. 20, 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 Ballyrock CLO 30 Ltd./Ballyrock CLO 30 LLC Class A-1a, $310.00 million: AAA (sf) Class A-1b, $20.00 million: AAA (sf) Class A-2, $50.00 million: AA (sf) Class B (deferrable), $30.00 million: A (sf) Class C-1 (deferrable), $30.00 million: BBB (sf) Class C-2 (deferrable), $5.00 million: BBB- (sf) Class D (deferrable), $15.00 million: BB- (sf) Subordinated notes, $48.78 million: NR NR--Not rated. BANK 2019-BNK21: DBRS Confirms BB(low) Rating on Class G Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-BNK21 issued by BANK 2019-BNK21 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class X-D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class F at BB (high) (sf) -- Class X-G at BB (sf) -- Class G at BB (low) (sf) -- Class X-F at BBB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction since Morningstar DBRS' last credit rating action in May 2025 given there are no loans in default and cash flows have generally remained in line with issuance expectations as evidenced by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of 2.69 times (x). The pool composition remains relatively unchanged since Morningstar DBRS' last review, with 46 of the original 49 loans remaining in the pool, with an aggregate principal balance of $1.05 billion, representing a collateral reduction of 6.5% since issuance. Two loans, representing 8.8% of the pool, are fully defeased, and eight loans, representing 15.9% of the pool, are being monitored on the servicer's watchlist. Only four of those loans, representing 4.3% of the pool, are being monitored for performance-related concerns. The pool is concentrated by property type with loans backed by office and retail properties representing 39.3% and 22.5% of the pool, respectively. Although the office concentration is particularly noteworthy, Morningstar DBRS notes these loans are generally performing as expected and, in several cases, benefit from stable long-term tenancy from investment-grade-rated tenants. The loans secured by office properties in this transaction overall continue to perform in line with issuance expectations, reporting a WA DSCR of 2.91x as of July 2025 remittance. The eight loans secured by office properties reported a WA occupancy rate of 93.2% as of the YE2024 reporting. Two office properties have reported occupancy declines from issuance, including the Tower at Burbank (Prospectus ID#5, 6.3% of the pool) and Tysons Tower (Prospectus ID#7, 4.5% of the pool). The Tower at Burbank loan is secured by a 32-story, 490,000-square-foot (sf) office tower in Burbank, California. Following the departure of WeWork (previously occupying 15.2% of net rentable area (NRA)) in Q4 2022, occupancy declined to 77.2%. Occupancy has remained relatively stagnant as the Q1 2025 figure has decreased slightly to 75%, well below the issuance figure of 97%. Additionally, scheduled upcoming rollover is elevated, with tenants representing 21% of the NRA scheduled to expire in the next 12 months. Per Reis, Inc. (Reis), the Burbank submarket reported a Q2 2025 vacancy rate of 24.2%, suggesting soft market conditions could result in a continued depressed occupancy rate. The loan reported a Q1 2025 DSCR of 2.63x, which remains above the Morningstar DBRS DSCR of 2.37x. However, given the drop in occupancy since issuance and tenant rollover, Morningstar DBRS analyzed the loan using a stressed loan-to-value ratio (LTV) and a probability of default (POD) adjustment, resulting in an expected loss (EL) more than triple the pool average. The Tysons Tower loan, secured by a 528,730-sf suburban office property in Mclean, Virginia, continues to report declined occupancy since issuance. Occupancy declined to 85.0% at YE2023 from 92.0% at YE2022 because the third-largest tenant, Splunk Inc. (5.9% of NRA, lease expires May 2028) downsized its space at its lease expiry in May 2023. Occupancy has since fallen to 81% as of Q1 2025. Other large tenants include Intelsat (36.2% of NRA, lease expires December 2030) and Deloitte (17.8% of the NRA, lease expires August 2027). Near-term scheduled tenant rollover is minimal as tenants representing just 6% of the NRA have lease expiration dates. The Tysons Corner/Vienna submarket continues to experience soft demand, with Reis reporting a 24.0% vacancy rate as of Q2 2025. Despite the downward trend in occupancy, the DSCR remains above the Morningstar DBRS DSCR derived at issuance. The loan reported a YE2024 DSCR of 2.47x and a Q1 2025 DSCR of 2.60x, as compared with the Morningstar DBRS DSCR of 2.48x. As a result of the continuing decline in occupancy, Morningstar DBRS analyzed the loan using a stressed LTV, resulting in an EL nearly double the pool average. At issuance, Morningstar DBRS assigned investment-grade shadow credit ratings to the following three loans: Park Tower at Transbay (Prospectus ID#1, 10.4% of the pool), 230 Park Avenue South (Prospectus ID#2, 10.0% of the pool), and Grand Canal Shoppes (Prospectus ID#10, 3.6% of the pool). With this review, all loans continue to exhibit investment-grade characteristics. As such, Morningstar DBRS maintained the shadow credit ratings for all three loans with this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Class X-A, Class X-B, Class X-D, Class X-F, and Class X-G are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2022-BNK41: DBRS Confirms B(high) Rating on Class G Certs -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK41 issued by BANK 2022-BNK41 as follows: -- Class A-1 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (high) (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (high) (sf) -- Class X-G at BB (low) (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B-X1 at AA (sf) -- Class B-X2 at AA (sf) -- Class C-X1 at A (sf) -- Class C-X2 at A (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class B-1 at AA (sf) -- Class B-2 at AA (sf) -- Class C-1 at A (sf) -- Class C-2 at A (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the continued stable performance of the transaction, which remains in line with Morningstar DBRS' expectations at issuance. Overall, the pool continues to exhibit healthy credit metrics, as evidenced by the strong weighted-average (WA) debt service coverage ratio (DSCR) of 2.44 times (x) and the WA debt yield of 9.8% based on the most recent financial reporting available. As of the July 2025 remittance, all 69 original loans remain in the pool with a trust balance of $1.16 billion, representing a collateral reduction of 0.7% since issuance. Seven loans, representing 8.1% of the pool balance, are on the servicer's watchlist and are being monitored for deferred maintenance items, tenant rollover risk, or cash flow triggers. One loan, representing 0.2% of the pool balance, is defeased. There are no delinquent or specially serviced loans. Although there is heightened concentration risk with loans backed by office properties representing 36.8% of the pool balance, two of those loans, representing 15.1% of the pool balance, are shadow-rated investment grade. The largest loan in the pool, Constitution Center (Prospectus ID#1; 9.5% of the pool), is secured by a 1.4 million-square-foot (sf) Class A office tower in Washington, D.C. The loan was shadow-rated investment grade at issuance because of its investment-grade tenancy and superior quality and location. As of the July 2025 rent roll, the collateral was 100.0% occupied by four investment-grade-rated government tenants. The property's second-largest tenant, the Federal Trade Commission (FTC;26.6% of the net rentable area (NRA)), renewed its lease until February 2039 after its previous lease expired in February 2024. In June 2025, the FTC exercised a termination option to end its lease under the Department of Government of Efficiency (DOGE) spending cuts. However, in March 2025, the FTC rescinded the termination and provided an official notice of revocation to keep its space at the Constitution Center. According to the most recent financial reporting, performance at the property has declined with the reported YE2024 net cash flow (NCF) of $31.7 million (reflecting a DSCR of 2.21x), down from the YE 2023 NCF of $39.3 million (a DSCR of 2.73x), and the issuer's underwritten NCF of $52.9 million (a DSCR of 4.30x). The decline in NCF is attributable to the Federal Housing Finance Agency's lease renewal, executed in February 2024, which included 12 months of free rent ($21.0 million in base rent) and the ability to convert its tenant improvement allowance to additional abatements, which was ultimately granted and is effective through the end of September 2025. Given that the property has a strong tenant base with long-term leases in place, Morningstar DBRS confirmed that the loan's performance trends remain consistent with investment-grade loan characteristics. The office loans in the pool are generally performing, with a WA DSCR of 2.87x; however, there is upcoming tenant rollover risk for one loan, UCI Research Park Phases 12 & 13 (Prospectus ID#7; 4.3% of the current pool balance), to which Morningstar DBRS applied a stressed loan-to-value ratio (LTV) in the analysis. That loan is secured by an eight-building office complex in Irvine, California. The buildings are owned by the sponsor, The Irvine Company, which has a ground lease contract with the University of California Board of Regents that extends through April 2076. Although the collateral was 95.0% occupied as of the March 2025 reporting, rollover risk is elevated with nine tenants, representing 50.0% of the NRA, having leases that are scheduled to expire by YE2026, including the largest tenant, Covidien L.P. (14.9% of NRA), which has a lease expiration in April 2026. The tenant has one five-year extension option remaining and no termination options. The South Orange County submarket reported a Q2 2025 vacancy rate of 22.7%, slightly higher than the vacancy rate of 21.9% in Q2 2024, according to Reis. As a result of the soft submarket fundamentals and increased rollover risk, Morningstar DBRS applied a stressed LTV adjustment, resulting in an expected loss (EL) that was approximately three times the pool average. At issuance, Morningstar DBRS shadow-rated two other loans, 601 Lexington Avenue (Prospectus ID#5; 5.6% of the pool) and Journal Squared Tower II (Prospectus ID#13; 2.0% of the pool), as investment grade. Morningstar DBRS confirms that the loan performance trends remain consistent with the investment-grade shadow ratings, as supported by the strong credit metrics, strong sponsorship strength, and historically stable performance of the collateral underlying those loans. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) at https://dbrs.morningstar.com/research/454196. Classes X-D, X-F, and X-G are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS 2023-II: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Barings CLO Ltd. 2023-II reset transaction. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2023-II 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 NR(EXP)sf Expected Rating Transaction Summary Barings CLO Ltd. 2023-II (the issuer), a reset transaction that originally closed in 2023, is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Barings 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+/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 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.45%. 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 38.5% 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 required by 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 to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and 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-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 '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. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO LTD. 2023-II. 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. BARINGS CLO 2023-II: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Barings CLO Ltd. 2023-II (the Issuer): US$307,500,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F-R Secured Deferrable Mezzanine Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. Barings LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2855 Weighted Average Spread (WAS): 2.80% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BBCMS 2023-5C23: Fitch Lowers Rating on Two Tranches to 'Bsf' ------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed eleven classes of BBCMS 2023-C22. Rating Outlooks were revised to Negative from Stable for four affirmed classes. A Negative Outlook was assigned to one class following its downgrade. Fitch has also downgraded six and affirmed eight classes of BBCMS 2023-5C23. Outlooks were revised to Negative from Stable for four affirmed classes. Negative Outlooks were assigned to four classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2023-5C23 A-2 05493QAA3 LT AAAsf Affirmed AAAsf A-3 05493QAB1 LT AAAsf Affirmed AAAsf A-S 05493QAD7 LT AAAsf Affirmed AAAsf B 05493QAE5 LT AA-sf Affirmed AA-sf C 05493QAF2 LT A-sf Affirmed A-sf D 05493QAQ8 LT BBBsf Affirmed BBBsf E 05493QAS4 LT BBB-sf Affirmed BBB-sf F 05493QAU9 LT BB-sf Downgrade BBsf G 05493QAW5 LT Bsf Downgrade BB-sf H 05493QAY1 LT CCCsf Downgrade B-sf X-A 05493QAC9 LT AAAsf Affirmed AAAsf X-F 05493QAJ4 LT BB-sf Downgrade BBsf X-G 05493QAL9 LT Bsf Downgrade BB-sf X-H 05493QAN5 LT CCCsf Downgrade B-sf BBCMS 2023-C22 A-2 05554FAB1 LT AAAsf Affirmed AAAsf A-4 05554FAC9 LT AAAsf Affirmed AAAsf A-5 05554FAD7 LT AAAsf Affirmed AAAsf A-S 05554FAF2 LT AAAsf Affirmed AAAsf A-SB 05554FAE5 LT AAAsf Affirmed AAAsf B 05554FAJ4 LT AA-sf Affirmed AA-sf C 05554FAK1 LT A-sf Affirmed A-sf D 05554FAL9 LT BBB+sf Affirmed BBB+sf E-RR 05554FAN5 LT BBB-sf Affirmed BBB-sf F-RR 05554FAQ8 LT Bsf Downgrade BB-sf G-RR 05554FAS4 LT CCCsf Downgrade B-sf X-A 05554FAG0 LT AAAsf Affirmed AAAsf X-D 05554FAY1 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrades are driven by the increase in expected losses, with the deal-level 'Bsf' rating case loss of 5.4% for BBCMS 2023-C22 and 5.9% for BBCMS 2023-5C23. The increased pool loss expectations reflect the higher expected losses on Fitch Loans of Concern (FLOCs) for each deal, primarily consisting of specially serviced loans. There are six FLOCs (9.0% of the pool) in BBCMS 2023-C22, four of which are in special servicing (7.7%) and five FLOCS (11.4%) in BBCMS 2023-5C23, four of which are in special servicing (10.3%). The Negative Outlooks for BBCMS 2023-C22 and BBCMS 2023-5C23 reflect the potential for downgrades to the classes if loss expectations increase from lower than expected valuations or continued performance declines on specially serviced loans, prolonged workouts, or if additional loans become delinquent or specially serviced. FLOCs and Specially Serviced Loans: The largest contributor to loss expectations in BBCMS 2023-C22 is the specially serviced 100 Philips Parkway (1.5% of the pool). The loan is collateralized by a 79k sf, suburban office building located in Montvale, NJ. The loan transferred to special servicing in May 2024 due to payment default and is greater than 90 days delinquent and categorized as in foreclosure. A receiver was appointed in January 2025. At securitization, the underwritten net cash flow (NCF) debt service coverage ratio (DSCR) was 1.62x and occupancy was 100%; updated financial reporting has not been received. Fitch's 'Bsf' rating case loss of approximately 42.0% (prior to concentration add-ons) reflects a stress to the updated appraisal value, equating to a value of approximately $94psf. The updated reported appraisal value is 50% below the appraisal value at issuance. The second largest contributor is Knoll Ridge Apartments (3.6% of the pool). The loan is backed by a 354-unit apartment complex in Indianapolis, IN. The sponsor was Mendel Steiner, who passed away in January 2025. Servicer commentary indicates the borrower was non-compliant with cash management and reporting requirements and a foreclosure complaint was filed in June 2025. The loan is greater than 90 days delinquent. No financials have been provided since securitization. Fitch's 'Bsf' rating case loss of approximately 12.9% (prior to concentration add-ons) reflects the Fitch issuance NCF, an 8.75% cap rate and factors in an elevated probability of default given the delinquent and specially serviced loan status. The third largest contributor is Westcreek II (0.9% of the pool). The loan is backed by a 72-unit garden style apartment in Jacksonville, FL. The loan transferred to special servicing in October 2024 due to continuing non-compliance with lockbox activation and payment default. The loan is greater than 90 days delinquent. At securitization, NCF DSCR was 1.25x and occupancy was 97%. Fitch's 'Bsf' rating case loss of 51.9% (prior to concentration add-ons) reflects a stress to the updated appraisal value, equating to a value of approximately $48.3k per unit. The updated reported appraisal value is 53% below the appraisal value at issuance. The largest contributor to loss expectations in BBCMS 2023-5C23 is Rockridge Apartments (7.5% of the pool and sixth largest loan). The loan is collateralized by an 881-unit multifamily complex in Houston, TX, southwest of George Bush Airport in Greenpoint. The loan transferred to special servicing for payment default in October 2024 and is greater than 90 days delinquent. Per recent servicer commentary, the property experienced damage from two storms in 2024, with the borrower using funds to pay for capital repairs. In addition, the borrower filed for bankruptcy prior to the appointment of a receiver. As of September 2024 reporting, the loan's DSCR is 0.45x with property occupancy of approximately 70%. Fitch's 'Bsf' rating case loss of 36.9% (prior to concentration add-ons) reflects the recent reported appraisal value, which is approximately 56% lower than the issuance appraisal, and reflects a value per unit of $43.2k per unit. Another large contributor to expected loss is Staybridge Suites - Austin Airport (1.8% of the pool). The collateral consists of a 161-key extended stay hotel located in Austin, TX, built in 2009 and renovated in 2018. The loan transferred to special servicing in July 2025 due to payment default and is greater than 60 days delinquent. The yearend 2024 DSCR was 0.80x and occupancy was 58.5%. The property is currently undergoing a planned $2 million property improvement plan (PIP), which was anticipated at issuance. At issuance, there was a $500,000 performance holdback and a $2.5 million PIP reserve. Per servicer commentary, the estimated completion date of renovations is late October 2025. The borrower has requested a loan modification to allow for broader use of their existing reserve funds; matter is currently under review with the special servicer. Fitch's 'Bsf' rating case loss of 13.4% (prior to concentration add-ons) reflects the Fitch issuance NCF, an 11.50% cap rate and factors in an elevated probability of default given the delinquent and specially serviced loan status. Limited Change to Credit Enhancement (CE): As of the July 2025 remittance report, the BBCMS 2023-C22 transaction has paid down by 0.9% since issuance. Cumulative interest shortfalls of $448,317 are affecting the non-rated class H-RR. BBCMS 2023-5C23 has had minimal paydown since issuance. Cumulative interest shortfalls of $82,098 are affecting Class H, $746,200 are affecting the non-rated class J-RR, and $30,225 are affecting the non-rated class VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the senior position in the capital structure, high CE, expected amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades for the 'AAsf', 'Asf', 'BBBsf', 'BBsf' and 'Bsf' categories with Negative Outlooks could occur with protracted workouts of the specially serviced loans and/or continued deterioration of the FLOCs, particularly Knoll Ridge Apartments, 100 Philips Parkway, and Westcreek II in BBCMS 2023-C22, and Rockridge Apartments in BBCMS 2023-5C23, and/or with greater certainty of losses on the other specially serviced loans. Downgrades to distressed ratings would occur should loss expectations increase on the specially serviced loans, additional loans be transferred to special servicing or default, or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not expected, but possible to classes rated in the 'AAsf' and 'Asf' category with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better-than-expected resolutions for the specially serviced loans. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs or lower loss expectations on the specially serviced loans. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the specially serviced assets and/or FLOCs are better than expected, loans return to the master servicer and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans. 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. BENCHMARK 2018-B5: DBRS Cuts D Certs Rating to BB(high) ------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B5 issued by Benchmark 2018-B5 Mortgage Trust (BMARK 2018-B5) as follows: -- Class X-D to BBB (low) (sf) from BBB (sf) -- Class D to BB (high) (sf) from BBB (low) (sf) -- Class E-RR to BB (low) (sf) from BB (sf) -- Class F-RR to B (low) (sf) from B (sf) -- Class G-RR to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at A (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at BBB (sf) Classes A-S, B, C, D, E-RR, F-RR, X-A, X-B, and X-D continue to carry Negative trends. All other trends are Stable, with the exception of Class G-RR, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. During the prior credit rating action in August 2024, Morningstar DBRS downgraded its credit ratings on Classes B through G-RR and changed the trends on Classes A-S and X-A to Negative from Stable to reflect concerns with several loans in the top 15, including two loans, Workspace - Trust (Prospectus ID#4, 5.4% of the current pool balance) and Westbrook Corporate Center (Prospectus ID#19, 1.8% of the current pool balance), that have since transferred to special servicing. At that time, Morningstar DBRS also noted that further performance and/or value declines for those loans, in addition to a select number of other loans backed by underperforming collateral, or collateral with large tenant exposure warranted the trend changes to Negative. The credit rating downgrades with this review primarily reflect the liquidation scenarios modeled for the two specially serviced loans, resulting in a cumulative projected loss amount of $15.9 million. Those losses would erode approximately 50.0% of the unrated Class NR-RR reducing credit support to the lowest-rated principal bonds in the transaction, particularly the Class D, E-RR, F-RR, and G-RR certificates, supporting the most recent credit rating downgrades. The Negative trends continue to reflect the possibility of further value deterioration for the loans in special servicing, as well as Morningstar DBRS' concerns with the large concentration of loans secured by office collateral, which represent 30.1% of the current pool balance. The largest office loan in the pool, eBay North First Commons (Prospectus ID#3, 5.5% of the current pool balance), is secured by a Class B office building in San Jose, California. The sole tenant, eBay Inc., vacated the property in 2020 but has continued to make contractual rent payments. The tenant recently opted to exercise its termination option effective March 2026 ahead of its scheduled lease expiration date in March 2029. The loan's maturity date in March 2026 coincides with eBay Inc.'s lease termination, which is subject to an $11.7 million termination fee. The loan is structured with a cash flow sweep in the event the tenant goes dark, and according to the July 2025 reporting, there is currently $19.5 million held in tenant reserves. Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or probability of default adjustments in the model for nine distressed office loans with this review, including the eBay North First Commons loan, which has a weighted-average expected loss (EL) that was more than double the pool average. The credit rating confirmations generally reflect the increased credit support for those classes with the paydown since issuance and the defeasance concentration, as further detailed below. The transaction benefits from a high concentration of loans backed by retail property types, which represent approximately 35.0% of the pool balance and include the largest loan in the pool, Aventura Mall (Prospectus ID#1, 11.0% of the pool), which is shadow-rated investment grade by Morningstar DBRS. All of the largest retail loans are generally performing in line with issuance expectations, with healthy coverage ratios and strong draw positions within the respective markets for the collateral properties. In addition, Morningstar DBRS' conservative liquidation scenarios for loans in special servicing suggest that higher-rated classes remain well insulated from projected liquidated losses. As of the July 2025 remittance, 52 of the original 55 loans remained in the trust, with an aggregate balance of $933.9 million representing a collateral reduction of 10.1% since issuance. To date, five loans, representing 4.0% of the current pool balance, have defeased. There are three loans, representing 8.1% of the pool in special servicing and 10 loans, representing 23.6% of the pool balance, are on the servicer's watchlist; however, only six of those loans, representing 15.1% of the pool balance, are being monitored for upcoming tenant rollover or performance-related reasons. The pool is concentrated by property type, with retail, office, and multifamily collateral representing 35.1%, 30.1%, and 13.3% of the pool, respectively. The largest loan in special servicing, Workspace - Trust, is secured by a portfolio of 147 properties, totaling more than 9.9 million square feet (sf) of office and flex space across four states. The subject loan amount of $50.0 million is part of a whole loan totaling $1.3 billion, secured across four other transactions, three of which are rated by Morningstar DBRS. The loan was previously in special servicing as the borrower was unable to repay the loan at the initial loan maturity in July 2023; however, a loan modification was executed, terms of which included a loan extension to July 2025 in exchange for a $25.0 million principal curtailment paid by the borrower, a $15.0 million contribution toward tenant improvement/leasing commission and replacement reserves, and the purchase of a 24-month interest rate cap. The loan transferred back to special servicing in November 2024 because of shortfalls in the cash management account. As of the July 2025 reporting, the loan was delinquent having last paid in May 2025. Morningstar DBRS anticipates a second loan modification will be necessary. According to the trailing six months ended June 30, 2024, financials, the portfolio reported an annualized net cash flow (NCF) of $82.3 million (reflecting a debt service coverage ratio (DSCR) of 1.10 times (x)), representing a 17.7% decline from the YE2023 NCF of $100.0 million (a DSCR of 1.32x) and an 8.4% decline from the Morningstar DBRS NCF of $89.8 million derived at the last review. Occupancy declined to 75.9% as of June 2024, down from 78.6% at YE2023 and 89.0% at issuance. Despite the relatively stable occupancy rate, cash flow declined predominantly because of decreased base rent and expense reimbursements. Morningstar DBRS has inquired about the reason for the revenue decline but suspects it may be related to rental abatements granted in 2024. Morningstar DBRS analyzed the loan with a stressed LTV (in line with the approach utilized in the JPMCC 2018-WPT transaction), resulting in a loan-level expected loss that was more than two times the pool average. The second loan in special servicing, Westbrook Corporate Center, is secured by a 1.1 million square foot Class A office complex in Westchester, Illinois, located 15 miles west of the Chicago central business district. The pari passu loan is split between the subject transaction and the Benchmark 2018-B4 and Morgan Stanley Capital I Trust 2018-H3 transactions (both rated by Morningstar DBRS). The loan transferred to special servicing in September 2024, for imminent monetary default. The special servicer has commenced the exercise of remedies to include receivership and foreclosure. The loan is delinquent as of the July 2025 remittance and remains due for the May 2025 loan payment. Performance at the subject property has declined over the past few years due to the departure of American Imaging Management (previously 6.2% of net rentable area (NRA)), at lease expiration in June 2024, and the recent downsizing of Follett Higher Education Group (previously 12.8% of the NRA) to 4.5% of NRA (a reduction of approximately 82,000 sf) in March 2025. As such, the occupancy rate decreased to 57.6% according to the most recent servicer commentary, a decrease from 67.1% at YE2023, and below the Q1 2025 West submarket vacancy rate of 25.8%, according to Reis. According to the June 2024 financials, the loan reported a net cash flow (NCF) of $6.2 million (reflecting a DSCR of 0.99x), a notable decline from the YE2023 NCF of $8.5 million (a DSCR of 1.35x). As a result of continued declines in performance and lack of leasing momentum, Morningstar DBRS liquidated the loan with this review, applying a 75.0% haircut to the issuance appraised value of $136.0 million, resulting in a total projected loss of $11.8 million and a loss severity of 70.0%. The third specially serviced loan, Holiday Inn Express & Suites Wheat Ridge (Prospectus ID#37, 0.9% of the pool) is secured by a 103-key limited-service lodging property in the Wheat Ridge suburb of Denver, Colorado. The loan transferred to special servicing in July 2024 for imminent monetary default stemming from cash flow issues. The loan's DSCR has remained below breakeven since 2020. In addition, the franchisor, Intercontinental Hotels Group (IHG), advised that the franchise agreement at the subject property would not be renewed upon expiration in June 2028, one month before the loan's maturity date. The loan has been delinquent on payments since January 2025. The current workout for the loan is a receivership sale; however, ultimate timing of the loan's resolution remains unknown. A February 2025 appraisal valued the collateral at $8.2 million, a notable decline from the $14.4 million appraised value at issuance. As a result, Morningstar DBRS analyzed the loan with a liquidation scenario with this review, applying a 30.0% haircut to the February 2025 appraised value, resulting in a projected loss of $4.1 million and a loss severity of 47.0%. As noted above, the Aventura Mall loan is shadow-rated investment grade. With this review, Morningstar DBRS confirms that the loan's performance remains consistent with investment-grade characteristics as supported by the strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B6: DBRS Cuts Rating on J-RR Certs to Csf -------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B6 issued by Benchmark 2018-B6 Mortgage Trust as follows: -- Class B to A (high) (sf) from AA (sf) -- Class C to A (low) (sf) from A (sf) -- Class D to BBB (low) (sf) from BBB (sf) -- Class E to BB (low) (sf) from BB (high) (sf) -- Class F-RR to B (low) (sf) from BB (sf) -- Class G-RR to CCC (sf) from B (high) (sf) -- Class J-RR to C (sf) from B (low) (sf) -- Class X-D to BB (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS maintained Negative trends on Classes B, C, D, E, F-RR, and X-D, while Classes G-RR and J-RR now have credit ratings that do not generally carry a trend in commercial mortgage-backed securities (CMBS) transactions. All other trends are Stable. The credit rating downgrades on Classes G-RR and J-RR (which previously had Negative trends) directly reflect Morningstar DBRS' increased loss projections, stemming from the six loans (12.0% of the pool) in special servicing; Morningstar DBRS analyzed five of them with liquidation scenarios, as discussed further below. At the last review, Morningstar DBRS projected losses of approximately $8.5 million, which were well contained in the unrated Class NR-RR. With this review, projected losses have increased to nearly $35.0 million, which would erode the entirety of Class NR-RR as well as a small amount of Class J-RR. The credit rating downgrades on Classes B, C, D, E, X-D, and F-RR (which previously had Negative trends) are supported by the continued erosion of credit support available to those classes from the updated liquidation scenarios described above as well as Morningstar DBRS' expectation that the overall credit risk for this transaction will remain elevated through to maturity in 2028. Furthermore, as a result of loan-to-value ratio (LTV) stresses and probability of default penalties applied to select loans exhibiting increased credit risk, the updated CMBS Insight Model output continues to show negative pressure to the credit ratings toward the middle and bottom of the capital stack. Outside of the liquidated specially serviced loans, Morningstar DBRS identified 11 loans, representing nearly 30.0% of the pool balance, primarily secured by office properties, that continue to exhibit credit deterioration. In the analysis for this review, Morningstar DBRS stressed loans with increased credit risk, resulting in a weighted-average expected loss approximately 1.5 times (x) greater than the pool's average. Morningstar DBRS expects some of these loans to transfer to the special servicer ahead of the loans' respective maturity dates throughout 2028, indicating future credit rating downgrades could occur and supporting the Negative trends on Classes B, C, D, E, F-RR, and X-D. According to the August 2025 remittance, 52 of the original 55 loans remain in the pool with a total trust balance of approximately $1.0 billion, representing a collateral reduction of 9.1% from issuance. There are three loans, representing 2.3% of the pool, that are fully defeased. The pool is most concentrated with loans secured by office and retail collateral, which represent 41.0% and 19.2% of the pool balance, respectively. There are 17 loans on the servicer's watchlist, representing 21.2% of the pool, which are primarily being monitored for low debt service coverage ratios (DSCRs), occupancy concerns, and servicing trigger events. The largest loan in special servicing, Workspace (Prospectus ID#8; 3.8% of the pool), is secured by a portfolio of 143 properties, totaling more than 9.9 million square feet (sf) of office and flex space across four states. The subject loan amount of $40.0 million is part of a whole loan totaling $1.3 billion, secured across four other transactions, three of which are rated by Morningstar DBRS. The loan was previously in special servicing as the borrower was unable to repay the loan at the initial loan maturity in July 2023; however, a loan modification was executed, which included a loan extension to July 2025 in exchange for a $25.0 million principal curtailment paid by the borrower, a $15.0 million contribution toward tenant improvement/leasing commission and replacement reserves, and the purchase of a 24-month interest rate cap. The loan transferred back to special servicing in November 2024 because of shortfalls in the cash management account. As of the August 2025 reporting, the loan is flagged as nonperforming matured balloon after failing to pay off at its July 2025 maturity date. Morningstar DBRS anticipates a second loan modification will be necessary. According to the trailing six months ended June 30, 2024, financials, the portfolio reported an annualized net cash flow (NCF) of $82.3 million (reflecting a DSCR of 1.10x), representing a 17.7% decline from the YE2023 NCF of $100.0 million (DSCR of 1.32x) and an 8.4% decline from the Morningstar DBRS NCF of $89.8 million derived at the last review. Occupancy declined to 75.9% as of June 2024, down from 78.6% at YE2023 and 89.0% at issuance. Despite the relatively stable occupancy rate, cash flow declined predominantly because of decreased base rent and expense reimbursements. Morningstar DBRS has inquired about the reason for the revenue decline but suspects it may be related to rental abatements granted in 2024. Morningstar DBRS analyzed the loan with a stressed LTV (in line with the approach used in the J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT transaction), resulting in a loan-level expected loss that was nearly 2x the pool's average. The Carlton Plaza loan (Prospectus ID#14; 2.2% of the pool) is secured by a 155,000-sf Class B office in Woodland Hills, California, approximately 20 miles west of Los Angeles. The loan transferred to the special servicer in January 2025 for imminent monetary default and is currently paid through April 2025. The borrower had submitted an initial proposal for a workout at the onset of the loan's transfer and, while discussions remain ongoing, the special servicer is dual tracking foreclosure. According to the February 2025 rent roll, the subject was 59.0% occupied, representing a decline from 73.8% at YE2023 and 83.6% at issuance. Over the next 12 months, leases representing approximately 14.0% of the net rentable area (NRA) are scheduled to expire and, according to an online leasing brochure from CBRE, approximately 25.0% of the NRA is currently available to lease. At issuance, the subject's value was $34.6 million, which has since declined to $12.0 million as of February 2025, representing an overall value decline of approximately 65.0%. Although workout discussions remain ongoing, because of the significant value decline, Morningstar DBRS liquidated the loan with this review. Morningstar DBRS applied a 20.0% haircut to the February 2025 appraised value while accounting for expected future servicer expenses, resulting in an implied loss of $14.8 million (loss severity of 66.0%). The JAGR Hotel Portfolio loan (Prospectus ID#18; 1.8% of the pool) is secured by a portfolio of three hotel properties in Mississippi, Michigan, and Maryland. The loan transferred to special servicing for a second time in March 2023 because of payment default. The loan was previously modified in November 2021 to extend its maturity to May 2024; however, the borrower ultimately failed to repay the loan at that time. Since Morningstar DBRS' previous credit rating action, the courts appointed a receiver to all three properties. The combined February 2025 appraisal reported a value of $48.1 million, compared with the May 2023 value of $50.4 million and the issuance appraised value of $73.5 million. For this review, Morningstar DBRS liquidated the loan from the trust, using a 20.0% haircut to the February 2025 appraised value of $48.1 million while accounting for expected future servicer expenses, resulting in an implied loss of approximately $9.4 million (loss severity of nearly 50.0%). At issuance, Morningstar DBRS assigned investment-grade shadow ratings to the following loans: Aventura Mall (Prospectus ID#1; 10.5% of the pool), Moffett Towers II (Prospectus ID#2; 7.0% of the pool), West Coast Albertsons Portfolio (Prospectus ID#5; 6.2% of the pool), and TriBeCa House Conduit (Prospectus ID#11; 2.9% of the pool). With this review, all of these loans continue to exhibit investment-grade loan characteristics. As such, Morningstar DBRS has maintained the shadow ratings for all four loans with this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2019-B12: DBRS Cuts Rating on Class F-RR Certs to Csf --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B12 issued by Benchmark 2019-B12 Commercial Mortgage Trust as follows: -- Class B to A (high) (sf) from AA (low) (sf) -- Class X-B to BBB (high) (sf) from A (sf) -- Class C to BBB (sf) from A (low) (sf) -- Class D to BB (low) (sf) from BBB (low) (sf) -- Class E to CCC (sf) from B (sf) -- Class X-D to CCC (sf) from B (high) (sf) -- Class F-RR to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes 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-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class G-RR at C (sf) Morningstar DBRS changed the trends on Classes A-S and X-A to Negative from Stable and maintained Negative trends on Classes B, C, D, and X-B. The trends on all other classes are Stable with the exception of Classes E, X-D, F-RR, and G-RR, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect the increased loss expectations for the pool, primarily attributed to the largest specially serviced loan, The Zappettini Portfolio (Prospectus ID#3, 6.0% of the pool balance), and 250 Livingston (Prospectus ID#9, 4.6% of the pool balance), which is on the servicer's watchlist. Both loans, which are further detailed below, are secured by office properties where occupancy rates have either declined or prominent tenants will vacate the subject properties in the near term, indicating large reductions in property value when compared with issuance. According to the July 2025 reporting, there are five specially serviced loans, representing 12.5% of the pool balance. With this review, Morningstar DBRS analyzed three of the specially serviced loans and the 250 Livingston loan with liquidation scenarios, resulting in a total implied loss of $56.1 million, which would partially erode the principal balance of the Class F-RR certificate and fully wipe out the balance of the subordinate certificates, supporting the credit rating downgrades with this review. In addition to the reduced credit support for the remaining certificates, the Negative trends reflect the potential for further value decline of the liquidated specially serviced loans, as well as concerns Morningstar DBRS has with a select number of loans exhibiting sustained performance declines since issuance and/or near-term tenant rollover. With this review, Morningstar DBRS increased the probability of default penalties and/or applied stressed loan-to-value ratios for six loans in the pool. Morningstar DBRS notes that should the concerns with the aforementioned loans not improve in the near to medium term, the Negative trends signal the likelihood of further credit rating downgrades to those identified certificates. The credit rating confirmations reflect the otherwise stable performance of the transaction, as exhibited by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of nearly 2.5 times (x) and a WA debt yield above 11.5% based on the most recent year-end financials. As of the July 2025 remittance, 41 of the original 47 loans remain in the pool, representing a collateral reduction of 7.2% since issuance. Only one loan, representing 0.3% of the pool, is secured by collateral that has been fully defeased. There are 11 loans, representing 27.5% of the pool, on the servicer's watchlist for a variety of reasons, including performance declines, near-term tenant rollover, and/or deferred maintenance. The Zappettini Portfolio loan is secured by 10 flex office buildings in Mountain View, California. The portfolio is within Silicon Valley and is near Google's global headquarters and Microsoft's campus. The loan was transferred to special servicing following maturity default in June 2024 and is listed as a matured nonperforming loan with the last payment received in March 2025. The special servicer is currently dual tracking a workout arrangement with the borrower while actively pursuing foreclosure. According to servicer reporting, the portfolio's occupancy rate was expected to fall to 68% in June 2025, a significant decline from the historical occupancy rate of 100% at issuance, with leases representing an additional 11% and 21% of the net rentable area (NRA) scheduled to expire during the remainder of 2025 and 2026, respectively. According to Reis, office properties in the submarket of Palo Alto/Mountain View/Los Altos reported a vacancy rate of 28.2% as of Q2 2025. The portfolio's most recently reported net cash flow (NCF) of $6.9 million at YE2024 (a DSCR of 1.32x), which is approximately 28.0% below the issuance NCF of $9.5 million (DSCR of 1.83x). Given the significant decline in occupancy, coupled with concentrated tenant rollover risk and soft office submarket conditions, Morningstar DBRS believes the value of the portfolio has declined significantly from the issuance appraised value of $187.4 million. For this review, Morningstar DBRS liquidated the loan from the pool based on a 60% haircut to the issuance value, which resulted in a loss severity of nearly 45.0%. The 250 Livingston Street loan is secured by a 370,305-square-foot (sf), mixed-use commercial and residential building in downtown Brooklyn. The note is pari passu with GS Mortgage Securities Corporation Trust 2019-GC40, which is also rated by Morningstar DBRS. The New York City Human Resources Administration occupies the entire office portion of the property (92.0% of the property's NRA on a lease through August 2030. However, the tenant has exercised its termination option and plans to vacate the building in August 2025. As a result, a cash flow sweep was initiated, and the funds will be used to re-lease the space. Morningstar DBRS expects that re-leasing efforts will likely be challenging given the soft office submarket as evidenced by a CBRE report, which cited a Q2 2025 vacancy rate of 17.9% with asking rents of $54.06 per sf (psf) for downtown Brooklyn. An updated appraisal has not yet been ordered as the loan continues to perform; however, Morningstar DBRS believes the property's value has deteriorated significantly given the dated vintage, especially as the office space will soon be dark, and the general challenges for office properties in today's environment. Morningstar DBRS derived a dark value based on the aforementioned market rental rate, tenant improvement costs of $60 psf for new leases and $30 psf for renewal leases, a stabilization period of two years, and a 9.0% stressed capitalization rate, which is on the high end of the range Morningstar DBRS uses for office properties. The resulting dark value was approximately $60.0 million. In the analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a 60% haircut to the issuance value, resulting in an implied loss of $16.9 million, a loss severity approaching 35.0%. The 3 Columbus Circle loan (Prospectus ID#8, 4.5% of the pool), is shadow-rated investment grade. Considering the strong historical performance as illustrated by the healthy YE2024 DSCR of 2.68x and stable occupancy rate of approximately 95.0%, with this review, Morningstar DBRS confirms that the loan's performance trends remain consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET XX: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-RR, A-L-R, B-RR, C-RR, D-1RR, D-2RR, and E-RR notes and class A-L-R loans from Benefit Street Partners CLO XX Ltd./Benefit Street Partners CLO XX LLC, a CLO managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton Investments, that was originally issued in June 2020 and underwent a refinancing in August 2021. The preliminary ratings are based on information as of Aug. 18, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 22, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. At that time, we expect to withdraw our ratings on the existing class A-R, A-L, B-R, C-R, D-R, and E-R notes and class A-L loans and assign ratings to the replacement class A-RR, A-L-R, B-RR, C-RR, D-1RR, D-2RR, and E-RR notes and class A-L-R loans. However, if the refinancing doesn't occur, S&P may affirm its ratings on the existing debt and withdraw our preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-RR, A-L-R, B-RR, C-RR, D-1RR, D-2RR, and E-RR notes and class A-L-R loans are expected to be issued at a lower spread over three-month SOFR than the existing debt. The existing class D-R debt is expected to be replaced by the sequential class D-1RR and D-2RR debt. -- The non-call period will be extended to Aug. 22, 2027. -- The reinvestment period will be extended to Oct. 15, 2030. -- The legal final maturity dates for the class A-RR and A-L-R notes and class A-L-R loans will be extended to July 15, 2037, while those of the other classes of replacement debt and the existing subordinated notes will be extended to Oct. 15, 2038. -- $100 million in additional assets are expected to be purchased on the Aug. 22, 2025, refinancing date, and the target initial par amount will increase to $550 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $11.20 million in 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 Benefit Street Partners CLO XX Ltd./ Benefit Street Partners CLO XX LLC Class A-RR, $209.0 million: AAA (sf) Class A-L-R loans(i), $143.0 million: AAA (sf) Class A-L-R(i), $0.0 million: AAA (sf) Class B-RR, $66.0 million: AA (sf) Class C-RR (deferrable), $33.0 million: A (sf) Class D-1RR (deferrable), $33.0 million: BBB- (sf) Class D-2RR (deferrable), $5.5 million: BBB- (sf) Class E-RR (deferrable), $16.5 million: BB- (sf) Other Debt Benefit Street Partners CLO XX Ltd./ Benefit Street Partners CLO XX LLC Subordinated notes(ii), $49.4 million: NR (i)All or a portion of the outstanding principal amount of the class A-L-R loans may be converted into class A-L-R debt up to $143 million upon the exercise of the conversion option, and the outstanding principal amount of the Class A-L-R loans will be reduced accordingly. (ii)Includes additional $11.20 million in subordinated notes expected to be issued on the refinancing date. NR--Not rated. BHG SECURITIZATION 2025-2CON: Fitch Assigns 'BB' Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the upsized notes issued by BHG Securitization Trust 2025-2CON (BHG 2025-2CON). Entity/Debt Rating Prior ----------- ------ ----- BHG Securitization Trust 2025-2CON A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf Transaction Summary The BHG 2025-2CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). BHG 2025-2CON is the 11th 144a ABS transaction sponsored by BHG and the seventh rated by Fitch. The total collateral pool was upsized to $505.06 million from $400.14 million when expected ratings were assigned. The characteristics of the loans as of the closing date remains consistent with the loans in the statistical loan pool as of the statistical cutoff date. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2025-2CON pool shared with Fitch has a weighted average (WA) FICO score of 733; 0.78% of the borrowers have a score below 661 and 36.97% have a score higher than 740. The WA original term is 102 months and is the highest among the consumer loan-backed transactions. Default Assumption Reflects Improved Managed Performance: The base case default assumption based on the pool is 14.34%. The default assumption was established by BHG's proprietary risk grade and loan term. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. While through-the-cycle loan performance and characteristics were reviewed, Fitch also considered the recent improved performance trends in deriving the base case. For certain segments, primarily the longer-term loans, where Fitch considered the loans did not have significant historical performance data, Fitch considered the segment's equivalent historical commercial loan performance. Commercial loan performance was considered, given similar borrower characteristics and BHG's comparable underwriting policies for the guarantor of commercial loans. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 49.35%, 18.80%, 11.30%, 4.00%, and 1.50% for class A, B, C, D, and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and previous securitization performance. Fitch considers BHG capable of servicing this transaction. Other counterparty risks are mitigated through the transaction structure, and such provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: BHG, like peers, purchases consumer loans originated by partner banks, in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2025-2CON's consumer loans originated at interest rates below the borrower state's usury rate, while the longer WA remaining loan term of 101 months is viewed as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trusts performance. As additional sensitivity run of lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Increased default base case by 10%:'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'; Increased default base case by 25%:'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 50%:'AA-sf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'; Reduced recovery base case by 10%: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'/'BB+sf'; Reduced recovery base case by 25%: 'AAAsf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'; Reduced recovery base case by 50%: 'AAAsf'/'A+sf'/'Asf'/'BBB-sf'/'BB+sf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'A-sf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and consideration for potential upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class B, C, and D notes could be upgraded by up to two notches. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG. The third-party due diligence described in Form 15E focused on 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. BLUEMOUNTAIN CLO 2015-3: S&P Lowers Cl. D-R Notes Rating to B (sf) ------------------------------------------------------------------ S&P Global Ratings took various rating actions on 19 classes of notes from CIFC Funding 2013-II Ltd., CIFC Funding 2014 Ltd., and BlueMountain CLO 2015-3 Ltd., all U.S. broadly syndicated CLO transactions. S&P raised six ratings, lowered four, and affirmed nine. Of the 19 ratings, two were removed from CreditWatch with positive implications, and two were removed from CreditWatch with negative implications, where they were placed on Aug. 11, 2025, due to a combination of paydowns and indicative cash flow results at that time. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions." The transactions have all exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. All upgrades are primarily due to an increase in the credit support, and is the downgrades are due to declines in credit support at the prior rating levels. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporates other considerations into its decision to raise, lower, or affirm ratings or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the class's indicative cash flow results and decreased credit support as a result of principal losses and/or negative migration in portfolio credit quality. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. S&P said, "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating action after considering one or more qualitative factors listed above. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings List Rating Issuer Class CUSIP To From CIFC Funding 2013-II Ltd. A-1L-2 12549BAY4 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. CIFC Funding 2013-II Ltd. A-2L-2 12549BBA5 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. CIFC Funding 2013-II Ltd. A-3L-R 12549BAU2 A+ (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which aligns with the upgraded rating, as well results of additional sensitivity analyses we ran to consider the exposures to both CCC/CCC- rated assets and to assets trading at low market values." CIFC Funding 2013-II Ltd. B-1L-R 12549BAW8 BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. CIFC Funding 2013-II Ltd. B-2L-R 12548YAH2 B (sf) B+ (sf) Main rationale: Decline in credit support and failing cash flows at previous rating. S&P said, "Though our base-case cash flow results indicated a lower rating, our one-notch downgrade considered the note's existing level of credit enhancement and the CLO's current limited exposure to 'CCC'/'CCC-' rated collateral. We do not believe that the tranche is dependent on favorable conditions in accordance with our 'CCC' definitions yet." CIFC Funding 2013-II Ltd. B-3L-R 12548YAK5 CCC+ (sf) B- (sf)/Watch Neg Main rationale: Decline in credit support and failing cash flows at the previous rating. S&P said, "We believe that the tranche is currently dependent on favorable conditions in accordance with our 'CCC' definitions. Although the cash flow results pointed to a lower rating, we limited our downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets." CIFC Funding 2014 Ltd. A-1-R2 12549JAY7 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. CIFC Funding 2014 Ltd. B-R2 12549JBC4 AA+ (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. CIFC Funding 2014 Ltd. C-R2 12549JBE0 AA- (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which aligns with the upgraded rating, as well as the results of additional sensitivity analyses we ran to consider the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values." CIFC Funding 2014 Ltd. D-R2 12549JBG5 BBB- (sf) BBB- (sf) Main rationale: Passing cash flows at current rating. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which align with the existing rating, as well as the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values." CIFC Funding 2014 Ltd. E-R2 12549LAG1 B+ (sf) B+ (sf) Main rationale: Cash flow passes at the current rating level. CIFC Funding 2014 Ltd. F-R2 12549LAJ5 CCC+ (sf) B- (sf)/Watch Neg Main rationale: Decline in credit support and failing cash flows at the previous rating. S&P said, "We now believe that the tranche is currently dependent on favorable conditions in accordance with our 'CCC' definitions. Although the cash flow results pointed to a lower rating. we limited our downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets." BlueMountain CLO 2015-3 Ltd. A-1-R 09628JAL5 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. BlueMountain CLO 2015-3 Ltd. A-2-R 09628JAN1 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. BlueMountain CLO 2015-3 Ltd. B-R 09628JAQ4 A+ (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. S&P said, "Though our base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which aligns with the upgraded rating, as well as the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values." BlueMountain CLO 2015-3 Ltd. C-R 09628JAS0 BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. BlueMountain CLO 2015-3 Ltd. D-R 09628MAG9 B (sf) B+ (sf) Main rationale: Decline in credit support and failing cash flows at previous rating. S&P said, "Though our base-case cash flow results indicated a lower rating, our one notch downgrade considered the note's existing level of credit enhancement and the CLO's current exposure to 'CCC' rated collateral. We do not believe that the tranche is dependent on favorable conditions in accordance with our 'CCC' definitions yet." BlueMountain CLO 2015-3 Ltd. E-R 09628MAJ3 CCC+ (sf) CCC+ (sf) Main rationale: S&P said, "Though our base-case cash flow results suggested a lower rating, our affirmation considered the CLOs 'CCC'/'CCC-' exposure and the existing level of credit enhancement, which, in our opinion, aligns with the current rating. We believe that the tranche continues to be dependent on favorable conditions in accordance with our 'CCC' definitions." O/C--Overcollateralization. BREAN ASSET 2025-RM12: DBRS Gives Prov. B Rating on M5 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RM12 (the Notes) to be issued by Brean Asset-Backed Securities Trust 2025-RM12 (the Issuer) as follows: -- $175.0 million Class A1 at (P) AAA (sf) -- $29.3 million Class A2 at (P) AAA (sf) -- $204.3 million Class AM at (P) AAA (sf) -- $3.0 million Class M1 at (P) AA (sf) -- $2.9 million Class M2 at (P) A (sf) -- $5.1 million Class M3 at (P) BBB (sf) -- $4.7 million Class M4 at (P) BB (sf) -- $3.2 million Class M5 at (P) B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The (P) AAA (sf) credit ratings reflect 111.4% of cumulative advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 113.0%, 114.6%, 117.4%, 120.0%, and 121.7% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse: borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of the July 3, 2025, cut-off date, the collateral has approximately $183.37 million in current unpaid principal balance from 439 performing fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, and co-operatives. All loans in this pool were originated in 2025, with loan ages ranging from one month to three months. All loans in this pool have a fixed interest rate with an 8.991% weighted-average mortgage interest rate. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such Notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 Notes (collectively, the Class A Notes) will reduce to 0.25% if the Home Price Percentage (as measured using the S&P Global Ratings (S&P) CoreLogic Case-Shiller National Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the issuer on the Expected Repayment Date in July 2030, the issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the issuer will be required to conduct an auction within six months of the previous auction. If, on any Payment Date, the average one-month conditional prepayment rate over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A Notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount and Interest Accrual Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. BRYANT PARK 2025-27: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bryant Park Funding 2025-27 Ltd./Bryant Park Funding 2025-27 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Marathon Asset Management L.P. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Bryant Park Funding 2025-27 Ltd./ Bryant Park Funding 2025-27 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB+ (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.15 million: NR NR—Not rated. BSPDF 2021-FL1: DBRS Confirms B Rating on Class H Notes ------------------------------------------------------- DBRS, Inc. upgraded its credit rating on one class of notes issued by BSPDF 2021-FL1 Issuer, Ltd. as follows: -- Class B to AAA (sf) from AA (sf) Morningstar DBRS also confirmed its credit ratings on all remaining classes of notes as follows: -- Class C at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class H at B (sf) All trends are Stable. The credit rating upgrade reflects the increased credit support to the bonds as a result of successful loan repayment. Morningstar DBRS previously reviewed the transaction in May 2025, which resulted in upgrades to the Class B through Class H Notes, stemming from increased collateral reduction totaling 50.5% since issuance. Since then, six additional loans totaling $99.1 million have repaid in full, resulting in overall collateral reduction of 63.8% as of the July 2025 reporting. In its previous review, Morningstar DBRS noted its concern of increased credit risk to the transaction related to the concentration of loans secured by office properties, which have largely been unable to materially increase property occupancy rates and cash flows, with loans exhibiting increased credit risk from closing. While select borrowers remain behind in their respective business plans, the credit ratings reflect the outstanding credit risks, and the increased subordination to the notes supports the credit rating confirmations. As of July 2025, the unrated, first-loss piece has a balance of $68.8 million and the below investment-grade rated bonds, Class G and Class H, have balances of $13.6 million and $28.1 million, respectively. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. As of the July 2025 remittance, the trust reported an outstanding balance of $280.9 million with eight loans remaining in the trust. Of the original 21 loans in the transaction at closing in October 2021, six loans, representing 80.5% of the current pool balance, remain in the trust. The trust is concentrated by loans secured by office properties (three loans representing 54.7% of the current trust balance) and multifamily properties (four loans representing 37.7% of the current trust balance) collateral. The remaining loan is secured by an industrial property. As of the July 2025 reporting, there are no loans in special servicing; however, three loans, representing 47.2% of the current trust balance, are on the servicer's watchlist and have been flagged for low occupancy rates and low property cash flow. The largest loan on the servicer's watchlist, 345 Seventh Avenue (Prospectus ID#1, 24.9% of the current trust balance), is secured by an office property in Midtown Manhattan. In January 2025, the property was purchased and the loan was assumed by Kohan Retail Investment Group. As part of the assumption, the senior loan was modified and the new sponsor paid the loan down by $5.0 million at closing along with a subsequent principal payment of $2.0 million in February 2025. The senior loan has a balance of $71.4 million and matures in January 2026, followed by a four-year extension option, subject to an additional $8.8 million principal curtailment. The former borrower's business plan was to complete upgrades across the lobby and tenant amenities and to stabilize occupancy. While the upgrades have been completed, occupancy remains low at 42.0% as of the March 2025 rent roll with the trailing 12 months (T-12) ended March 31, 2025, net cash flow (NCF) at $1.5 million, equating to a debt service coverage ratio (DSCR) of 0.93 times (x) of the current 5.0% fixed interest rate. Performance is worse when including the 4.0% of interest due that is being deferred until loan maturity. While the term default risk has been mitigated, given the increased credit risk associated with the business plan execution and property stabilization, Morningstar DBRS applied a stressed haircut to the updated $71.0 million appraised property value, resulting in a loan-to-value ratio (LTV) above 100.0%; however, the analyzed property value shortfall is contained to the unrated first-loss piece. While not on the servicer's watchlist, Morningstar DBRS remains concerned with the transaction's second-largest loan, 5 Post Oak Park (Prospectus ID#2, 21.2% of the current trust balance), which is secured by a 28-story, 566,618-square-foot (sf) office tower in Houston. According to the March 2025 rent roll provided by the collateral manager, the property was 73.1% occupied at an average rental rate of $25.85 per sf. While occupancy remains unchanged year over year, it will likely decrease to 66.7% in August 2025 after four tenants totaling 37,181 sf are set to vacate upon their respective lease expirations. While the loan is equipped with a healthy amount of reserves, including $10.6 million of unadvanced future funding dollars that was force-funded into a business plan reserve, backfilling the space will be challenging given the soft market fundamentals; according to Reis, the Galleria submarket vacancy rate remains elevated above 25%. The loan matures in August 2025; however, according to the collateral manager, the borrower will likely exercise its final 12-month extension option through August 2026. While the extension options are not tied to any performance tests, the loan began amortizing in conjunction with the second extension option. According to the T-12 ended March 31, 2025, financials provided by the collateral manager, the property reported NCF of $4.4 million, equating to a DSCR and debt yield of 0.72x and 5.2%, respectively. Morningstar DBRS applied a stressed haircut to the original appraised property value to reflect the increased credit risk of the loan. While the adjustment resulted in an LTV above 100.0%, the shortfall is contained to the unrated first-loss piece. Across the eight loans remaining in the trust, the lender has advanced cumulative future funding of $27.4 million to six individual borrowers, with most allocated to the 5 Post Oak Park loan ($18.5 million). An additional $6.9 million of loan future funding remains available to be advanced to two outstanding borrowers, mostly for the Highwoods Preserve V loan, which is secured by an office building in Tampa. The funds are available to finance accretive leasing and capital expenditure costs. As of March 2025, the property was 44.9% leased but only 10.1% occupied as the former largest tenant, MetLife, vacated its space ahead of the October 2031 expiry date. The loan exhibits increased credit risk as the borrower did not execute any leases in 2024 and the loan matures in December 2025. Morningstar DBRS expects the loan to be modified a second time to allow the borrower to exercise the final maturity extension, which will likely require an additional equity commitment from the borrower. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-LGCY: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LGCY issued by BX Trust 2021-LGCY: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the continued stable performance of the underlying collateral since the previous credit rating action in August 2024. The transaction reported a healthy YE2024 net cash flow (NCF) figure of $36.9 million, which is relatively in line with the YE2023 figure and represents an increase of more than 25.0% from the Morningstar DBRS NCF figure of $28.8 million at issuance. The collateral consists of the borrower's fee-simple interest in 12 Class A/B multifamily properties consisting of 3,030 units across six states, with the largest concentrations in Texas, Florida, and North Carolina. The majority of the underlying properties, built between 1999 and 2014, are in highly desirable markets with strong growth potential based on historical occupancy and rental rate trends. No individual property accounts for more than 15.0% of the portfolio net operating income, and no properties have been released to date. The portfolio continues to benefit from its strong sponsorship in Blackstone Real Estate Income Trust, Inc., stable occupancy, and geographic diversity. The subject transaction totals $575.0 million and consists of three componentized, floating-rate promissory notes. Loan proceeds and sponsor equity were used to acquire the portfolio and fund closing costs. Individual properties can be released, subject to customary debt yield and loan-to-value (LTV) tests. Prepayment premiums for the release of individual assets are 105.0% of the allocated loan amount (ALA) for the first 30.0% of the original principal balance and 110.0% of the ALA thereafter. The transaction has a partial pro rata structure that allows for pro rata pay downs for the first 30.0% of the original principal balance. The floating-rate loan had an initial maturity date of October 9, 2023, with three 12-month extension options and is interest only throughout its five-year fully extended loan term. After exercising two of the extension options since issuance, the loan's current maturity date is October 9, 2025, with a final maturity date in October 2026. As a condition to exercising its extension options, the borrower is required to enter into an interest rate cap agreement with a strike rate equal to the greater of 3.5% or a rate that results in a debt service coverage ratio (DSCR) of at least 1.10 times (x). The collateral portfolio reported a consolidated Q1 2025 occupancy rate of 93.0%, which remains in line with the YE2024 and YE2023 figures of 93.0% and 94.0%, which combined with rental rate growth since issuance, has driven the sustained year-over-year growth in NCF. Per the March 2024 rent rolls, occupancy rates by property range from 90.6% to 96.6%. The DSCR, however, has decreased as a result of the floating rate nature of the loan with the loan reporting a Q1 2025 annualized DSCR of 0.99x, compared with the YE2024 and YE2023 DSCR of 1.02x and 0.96x, respectively, and the Morningstar DBRS DSCR of 2.78x at issuance. The increase in debt service is mitigated by the interest rate cap agreement that remains in place. Notably, the loan is currently on the watchlist as a result of damage incurred by major flooding in January 2025 with repairs scheduled to be completed by January 2026. As a result, Morningstar DBRS expects that occupancy may decline slightly in the near term, but given the strong historical performance of the portfolio, Morningstar DBRS remains optimistic that performance will quickly rebound. At issuance, Morningstar DBRS derived a value of $443.6 million, based on the Morningstar DBRS NCF of $28.8 million and a capitalization rate of 6.50%, which represents a loan-to-value ratio of 129.6%. In addition, Morningstar DBRS applied qualitative adjustments totaling 6.50% to reflect the portfolio's strong historical occupancy, stable cash flow expectations, property quality, and favorable locations. Although cash flow has improved, Morningstar DBRS has elected to not update its valuation approach given the loan's upcoming maturity. Notes: All figures are in U.S. dollars unless otherwise noted. CD MORTGAGE 2016-CD1: Fitch Lowers Rating on Class B Certs 'BB-sf' ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes and affirmed five classes of German America Capital Corp.'s CD Mortgage Securities Trust 2016-CD1 (CD 2016-CD1) commercial mortgage pass-through certificates. In addition, Fitch has assigned Negative Rating Outlooks to classes A-M, X-A and B following their downgrade. The Rating Outlook for class A-4 was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CD 2016-CD1 A-3 12514MBB0 LT AAAsf Affirmed AAAsf A-4 12514MBC8 LT AAAsf Affirmed AAAsf A-M 12514MBE4 LT BBB-sf Downgrade A-sf A-SB 12514MBA2 LT AAAsf Affirmed AAAsf B 12514MBF1 LT BB-sf Downgrade BBB-sf C 12514MBG9 LT CCCsf Downgrade BB-sf D 12514MAL9 LT Csf Downgrade CCCsf E 12514MAN5 LT Csf Downgrade CCsf F 12514MAQ8 LT Csf Affirmed Csf X-A 12514MBD6 LT BBB-sf Downgrade A-sf X-B 12514MAA3 LT CCCsf Downgrade BB-sf X-C 12514MAC9 LT Csf Downgrade CCCsf X-D 12514MAE5 LT Csf Downgrade CCsf X-E 12514MAG0 LT Csf Affirmed Csf KEY RATING DRIVERS Increased Loss Expectations; Valuation Declines: The downgrades reflect higher expected loan losses since the prior rating action, primarily driven by increased losses and declining valuation of the largest specially serviced loan, Westfield San Francisco Centre (10.6% of the pool, the second largest loan in the transaction). Fitch identified 12 loans (52.1% of the pool) as Fitch Loans of Concern (FLOCs), which includes the three loans (14.9%) in special servicing. The downgrades to distressed classes D, X-C, E and X-D reflect the greater certainty of loss on specially serviced assets, including Westfield San Francisco Centre and 401 South State Street (2.5%). Given the high percentage of FLOCs and large concentration of loan maturities or anticipated repayment dates (ARD) through late 2026 (91.8% of the pool), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment or loss expectation. Prudential Plaza (FLOC, 8.2% of the pool) has been modified and has an extended maturity date in August 2027. This analysis contributed to the downgrades due to the higher expected losses and these classes' reliance on FLOCs, including specially serviced assets, to pay in full. The Negative Outlooks, including for the affirmed class A-4, reflect the potential for further downgrades with higher than expected losses for Westfield San Francisco Centre or from other specially serviced loans and FLOCs. The rating actions and Outlooks also considered higher stressed losses on the Westfield San Francisco Centre of up to 90%. Downgrades are also possible to class A-4, currently rated 'AAAsf', if interest shortfalls occur or are expected. Largest Contributors to Expected Loss: The largest contributor to expected loss is the Westfield San Francisco Centre loan, which is secured by a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in the San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The sponsors have cited operating challenges in downtown San Francisco contributing to deteriorating sales, reduced occupancy and decreasing foot traffic. The receiver is working with the municipality, BART, and the Union Square Alliance to address life/safety issues at the property and in the neighborhood. Bloomingdale's, the non-owned anchor, closed in April 2025, which follows the prior departure of anchor tenant Nordstrom (21.5% of the total mall NRA) in October 2023. Mall occupancy has fallen to 18.5% as of September 2024 and is expected to decline further with other tenants anticipated to vacate. The mall has reported negative cash flow with a September 2024 NOI DSCR of -0.79x, down from 1.02x as of September 2023. Fitch's expected loss of approximately 75% assumes a stress to the most recent appraisal value due to deteriorating occupancy (and is approximately 79% below the appraisal value at issuance), and equates to a recovery value of $169 psf. Fitch also performed an additional sensitivity scenario to account for potential outsized losses of 90% with continued deterioration in performance and recoverability, which contributed to the Negative Outlooks. The second largest contributor to losses is the REO 401 South State Street (2.5% of pool) asset, which is a 487,000-sf office space located in the central business district of Chicago, IL. The collateral consists of the 401 South State Street building (479,522 sf) and the 418 South Wabash Avenue building (7,500 sf). The 401 South State Street loan transferred to the special servicer in June 2020 for payment default and the exposure is well in excess of the outstanding loan balance. The properties are 100% vacant after the former single tenant, Robert Morris College (previously 75% of the NRA), vacated prior to its June 2024 lease expiration and stopped paying rent in April 2020. The loan transferred to the special servicer in June 2020 for payment default. A receiver was appointed in September 2020 and a foreclosure sale occurred in March 2023. The most recent servicer commentary indicated that a disposition of the asset is anticipated later in 2025 Fitch's expected loss of approximately 105% is based on a stress to the most recent appraisal value considering the large exposure, which is approximately 88% below the appraisal value at issuance and equates to a recovery value of $15 psf. The third largest contributor to expected loss is the fourth largest loan in the pool, Prudential Plaza, which is current after returning to the master servicer in March 2024. A loan modification agreement was executed, which extended the maturity through August 2027 and included two one-year extension options. The loan is secured by a two-building office complex spanning a total of 2.2 million sf located in Chicago, IL. The property was 73.9% occupied as of February 2025, with occupancy expected to decline further due to the expected departure of tenants at lease expiration, accounting for 8.4% of the NRA. The drop in occupancy has also affected the loan's net operating income (NOI) debt service coverage ratio (DSCR), which declined to 1.27x as of YE 2024 from 1.76x at YE 2021. Fitch's expected loss of approximately 9.8% is based on an 10% cap rate, and a 15% stress to the YE 2024 NOI and equates to a recovery value of $123 psf. Outlet Mall Concerns: The pool includes two outlet mall FLOCs secured by the Birch Run Premium Outlets and Columbia Gorge Premium Outlets. The Birch Run Premium Outlets loan (7.6% of the pool), is secured by a 680,003-sf outlet center located in Birch Run, MI. Occupancy was reported as 73.4% as of YE 2024, above a trough of 63% at YE 2021, but remains below the occupancy of 87% at issuance. Cash flow has improved with YE 2024 NOI 7% above YE 2022, but remains approximately 11% below the originator's underwritten NOI at issuance. As of YE 2024, NOI DSCR was 2.74x which compares with 2.57x as of YE 2022. Columbia Gorge Premium Outlets (FLOC, 3.3% of the pool) is secured by a 163,850-sf open-air outlet center located in Troutdale, OR. Occupancy was reported at 86% as of YE 2024, slightly below 88% at issuance. Two of the top four tenants (9.1% of the NRA) have lease expirations through Jan. 2026; however, the borrower has not provided an update. The servicer reported YE 2024 NOI DSCR was 1.87x while the loan is amortizing. The property's reported YE 2024 NOI was 16% below its pre-pandemic 2019 NOI. Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate principal balance has paid down by 19.4% to $567.1 million from $703.2 million at issuance. Twenty-nine of the original 32 loans remain outstanding. There are two anticipated repayment date (ARD) loans: U-Haul AREC Portfolio (6.4%, 2036 final maturity) and Vertex Pharmaceuticals HQ (5.3%, 2028 final maturity), both of which are expected to pay off at their 2026 initial maturity date. Six loans representing 45.6% of the pool are full-term interest only (IO). Seven loans (7%) have been fully defeased. Interest shortfalls total approximately $4.4 million as of July 2025, reaching up to class C. Investment-Grade Credit Opinion Loans: The 10 Hudson Yards (11.5% of the pool) and Vertex Pharmaceuticals HQ (5.3%) loans received an investment-grade credit opinion at issuance on a standalone basis. Both loans continue to exhibit investment-grade credit characteristics. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from FLOCs (including specially serviced loans) or underperforming loans. Downgrades to class A-4 are possible with higher expected losses, and/or if interest shortfalls occur or are expected. Downgrades to classes A-M through B, and the associated IO class X-A are possible with higher than expected losses from FLOCs including the Westfield San Francisco Centre loan, elevated losses on loans secured by retail assets (31% of the pool), including outlet malls (Birch Run Premium Outlets and Columbia Gorge Premium Outlets) and underperforming hospitality assets. In addition, there are increased refinance concerns for loans secured by office FLOCs (16.8%), including the potential inability of the Prudential Plaza loan to refinance at its extended maturity date in 2027. Further downgrades to distressed classes C, D, E and F, and the associated IO classes X-B, X-C, X-D and X-E are possible as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While not expected, upgrades are possible with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown due to loan payoffs and/or defeasance. Upgrades to classes A-M, B and the associated IO class X-A are not likely, but could only occur with significant improvement in credit enhancement and/or defeasance, and with the stabilization of performance and viable resolutions and/or payoff of FLOCs, specifically the Westfield San Francisco Centre, Prudential Plaza, Birch Run Premium Outlets and Columbia Gorge Premium Outlets. Upgrades of classes C, D, E and F, and the associated IO classes X-B, X-C, X-D, and X-E are not likely, but could occur with substantially higher recoveries than expected on the specially serviced loans/assets. Classes would not be upgraded above 'AA+sf' if there was a likelihood of interest shortfalls. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-RPL1: Moody's Assigns B3 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to eight classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-RPL1 (Chase 2025-RPL1 Trust) and sponsored by JPMorgan Chase Bank, N.A. The securities are backed by a pool of seasoned performing and re-performing residential mortgages serviced and acquired by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-RPL1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Definitive Rating Assigned Aaa (sf) Cl. A-1-B, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. M-1, Definitive Rating Assigned A3 (sf) Cl. M-2, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality and historical performance of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario is 1.05%, and reaches 6.85% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. CIFC FUNDING 2019-VII: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2019-VII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2019-VII, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Surbordinated Notes LT NRsf New Rating Transaction Summary CIFC Funding 2019-VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC that originally closed in December 2019. This is the first full refinancing, with the existing notes to be redeemed in full on Aug. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.86 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.11% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2019-VII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CIFC FUNDING 2025-IV: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2025-IV, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-IV, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1-A1 LT BBB+(EXP)sf Expected Rating D-1-A2 LT BBB-(EXP)sf Expected Rating D-1-B LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2025-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.18 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 99.75% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1-A1, between less than 'B-sf' and 'BB+sf' for class D-1-A2, between less than 'B-sf' and 'BB+sf' for class D-1-B, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1A1, 'Asf' for class D-1-A2, 'Asf' for class D-1-B, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-IV, 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. CITIGROUP 2019-GC41: DBRS Cuts Rating on G-RR Certs to CCC ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2019-GC41 issued by Citigroup Commercial Mortgage Trust 2019-GC41 as follows: -- Class D to BBB (sf) from BBB (high) (sf) -- Class X-D to BBB (sf) from BBB (high) (sf) -- Class E to BBB (low) (sf) from BBB (sf) -- Class X-F to BB (low) (sf) from BB (sf) -- Class F to B (high) (sf) from BB (low) (sf) -- Class G-RR to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes 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-AB at AAA (sf) -- Class AS at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) Morningstar DBRS changed the trends on Classes C and X-B to Negative from Stable. Classes X-D, D, E, X-F, and F continue to carry Negative trends. All other trends are Stable, with the exception of Class G-RR, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect the increased loss projections for the pool, primarily attributed to the largest specially serviced loan, The Zappettini Portfolio (Prospectus ID#8; 4.6% of the pool balance). That loan was analyzed with a liquidation scenario resulting in projected losses of $24.6 million, which would erode the nonrated Class J-RR balance by more than 50.0%, significantly reducing credit support to the lower-rated bonds in the transaction. The Negative trends continue to reflect the possibility of further value deterioration for the loans in special servicing, as well as concerns Morningstar DBRS has with a select number of other loans exhibiting performance declines since issuance and/or with exposure to near-term tenant rollover. With this review, Morningstar DBRS increased the probability of default penalties and/or applied stressed loan-to-value ratios (LTV) for six loans in the pool. Should the outlook for the aforementioned loans not improve in the near to medium term, Morningstar DBRS notes it could further downgrade the credit ratings, as suggested by the Negative trends. The credit rating confirmations reflect the otherwise stable performance of the remaining loans in the transaction, as exhibited by the pool's healthy weighted-average (WA) debt service coverage ratio (DSCR) of approximately 2.5 times (x) and WA LTV of 57.6%, based on the most recent financial reporting. In addition, the senior certificates in the pool continue to benefit from increased credit support as a result of paydown and defeasance, as further outlined below. As of the July 2025 remittance, 40 of the original 43 loans remain in the trust, with an aggregate balance of $1.19 billion, representing a collateral reduction of 6.8% since issuance. There are two loans in special servicing, representing 5.9% of the pool balance and eight loans on the servicer's watchlist, representing 13.1% of the pool balance. In addition, two loans are fully defeased, representing 1.1% of the pool balance. The loans on the servicer's watchlist are primarily being monitored for deferred maintenance issues and/or declines in occupancy. Although the pool has a high concentration of loans secured by office properties, accounting for 31.3% of the pool balance, two of those loans, 30 Hudson Yards (Prospectus ID#1; 8.4% of the pool) and Moffett Towers II Buildings 3 & 4 (Prospectus ID#7; 4.6% of the pool) are shadow-rated investment grade by Morningstar DBRS. Furthermore, the pool's second largest office loan, USAA Office Portfolio (Prospectus ID#3; 5.3% of the pool), consists of five suburban office properties, all of which are leased to United Services Automobile Association (USAA), an investment grade rated tenant, on a long-term lease expiring between 2029 and 2033. The Zappettini Portfolio loan is secured by 10 flex office buildings in Mountain View, California. The portfolio is within Silicon Valley and is near Google's global headquarters and Microsoft's campus. The loan was transferred to special servicing following maturity default in June 2024 and is listed as a matured nonperforming loan with the last payment received in March 2025. The special servicer is currently dual tracking a workout arrangement with the borrower while actively pursuing foreclosure. According to servicer reporting, the portfolio's occupancy rate was expected to fall to 68% in June 2025, a significant decline from the historical occupancy rate of 100% at issuance, with leases representing an additional 11% and 21% of the net rentable area (NRA) scheduled to expire during the remainder of 2025 and 2026, respectively. According to Reis, office properties in the submarket of Palo Alto/Mountain View/Los Altos reported a vacancy rate of 28.2% as of Q2 2025. The portfolio's most recently reported net cash flow (NCF) of $6.9 million at YE2024 (a DSCR of 1.32x), which is approximately 28.0% below the issuance NCF of $9.5 million (DSCR of 1.83x). Given the significant decline in occupancy, coupled with concentrated tenant rollover risk and soft office submarket conditions, Morningstar DBRS believes the value of the portfolio has declined significantly from the issuance appraised value of $187.4 million. For this review, Morningstar DBRS liquidated the loan from the pool based on a 60% haircut to the issuance value, which resulted in a loss severity of nearly 45.0%. The 505 Fulton Street loan (Prospectus ID#14; 3.8% of the pool) is secured by a 114,209-square-foot (sf) anchored retail property in Brooklyn. The loan has been on the servicer's watchlist since July 2023 because major tenants Nordstrom Rack (previously 35.5% of NRA) and TJ Maxx (previously 25.9% of NRA) had failed to renew their leases and, ultimately, vacated the subject property in 2024. According to the June 2025 rent roll, the property was 38.6% occupied. Old Navy (19.7% of NRA) extended its lease by 12 months through June 2026, suggesting the tenant may not be committed to the property on a long-term basis. The second largest tenant, H&M (18.9% of NRA) has a lease expiration date in 2029. According to the YE2024 financial report, the property generated a NCF of $5.4 million, resulting in a DSCR of 1.78x; however, these figures will likely decline when accounting for the departure of Nordstrom Rack and TJ Maxx. Considering the increased vacancy and near-term tenant rollover risk (should Old Navy opt to depart the property next year), Morningstar DBRS analyzed this loan with an elevated probability of default (POD) penalty, resulting in an expected loss that was more than five times the pool average. The Comcast Building Tucson loan (Prospectus ID#22; 1.7% of the pool) is secured a 211,152 sf suburban property in Tucson, Arizona. The single tenant, Comcast, took occupancy in 2015 after a major retrofit of the building, bringing more than 1,100 employees to what was considered a state-of-the-art call center. The loan is on the servicer's watchlist because a cash flow sweep was triggered after Comcast failed to renew its lease 36 months prior to the January 2026 lease expiration date. Comcast has been actively marketing the entire property for sublease since 2022, with the borrower more recently listing the property for sale. According to July 2025 reporting, there is $4.3 million held in reserve accounts with the majority of funds being held in rollover and lease sweep accounts. Although Comcast continues to honor its lease payments, and the loan is covering debt service obligations with a DSCR of 2.28x (based on the trailing nine months ended September 30, 2024, financial reporting), Morningstar DBRS maintains a negative outlook for this loan given the collateral's build-to-suit nature, upcoming lease expiration and generally soft submarket conditions. If the borrower is unable to secure a replacement tenant, there is a high likelihood of the loan transferring to special servicing and Morningstar DBRS expects the value of the subject property would be considerably impaired. For this review, Morningstar DBRS analyzed this loan with an elevated POD penalty and stressed LTV, resulting in an expected loss that is more than six times the pool average. Three loans, representing a combined 18.9% of the pool, are shadow-rated investment grade by Morningstar DBRS: 30 Hudson Yards, Grand Canal Shoppes (Prospectus ID#6; 5.0% of the pool), and Moffett Towers II Buildings 3 & 4. With this review, Morningstar DBRS confirms that the underlying collateral for those loans continues to perform in line with investment-grade loan characteristics. The Centre loan (Prospectus ID#27; 1.3% of the pool balance), is secured by a Class A multifamily property in Cliffside Park, New Jersey. The loan was shadow rated investment grade at issuance; however, failed to repay at the initial maturity in July 2024. The borrower and servicer continue to work toward executing a forbearance agreement. According to the most recent financials dated March 2024, the property reported a DSCR of 2.52x with an occupancy rate of 96.0%. Morningstar DBRS removed the shadow rating for this loan during the prior credit rating action in August 2024. Morningstar DBRS applied a stressed POD penalty in the analysis for this review, resulting in an expected loss that was slightly above the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2020-GC46: DBRS Confirms B Rating on G-RR Certs --------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-GC46 issued by Citigroup Commercial Mortgage Trust 2020-GC46 as follows: -- Class A-2 at AAA (sf) -- Class A-4 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 B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (low) (sf) -- Class F at B (high) (sf) -- Class G-RR at B (sf) Morningstar DBRS changed the trends on Classes D, E, F, G-RR, X-D, and X-F to Stable from Negative. The trends on all other classes are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations since the last rating action. While certain challenges for the pool remain, including increased loss expectations for a concentration of larger loans and concerns over a high concentration of loans secured by office properties, the assigned credit ratings accurately reflect the current credit risks associated with the transaction, warranting the resolution of the Negative trends. The pool is otherwise performing well, as evidenced by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.63 times (x), based on the most recent year-end financial reporting. Additionally, the transaction benefits from having four loans, representing 17.9% of the pool and being shadow-rated as investment grade by Morningstar DBRS, including two of the top 10 loans in the pool. While some of the larger loans in the pool have underperformed compared with issuance expectations, including 650 Madison Avenue (Prospectus ID#1; 10.1% of the pool), 805 Third Avenue (Prospectus ID#7; 4.0% of the pool), and the sole special-serviced loan, Parkmerced (Prospectus ID#18; 2.4% of the pool), these loans are generally well positioned despite the increased risks in each case, with each loan also benefiting from subordinate debt held outside the trust and relatively low going-in loan-to-value ratios (LTVs) on the senior debt held in the subject transaction. According to the August 2025 reporting, 44 of the original 46 loans remain in the pool with a trust balance of $1.1 billion, reflecting a collateral reduction of 6.5% since issuance. By property type, the pool is most concentrated by loans secured by office properties or mixed-use properties with a significant office component, collectively representing 35.7% of the pool, followed by retail properties, representing 24.1% of the pool. Two loans, representing 0.8% of the pool, have been fully defeased. Eighteen loans, representing 44.6% of the pool, are being monitored on the servicer's watchlist, primarily for low DSCRs, low occupancy, and/or deferred maintenance items. The 650 Madison loan is collateralized by a Class A office and retail tower that consists primarily of approximately 544,000 square feet (sf) of office space, with ground-floor retail and storage space comprising the remaining space. The trust loan represents a pari passu portion of the $586.8 million senior loan that combines with subordinate debt for a whole loan of $800.0 million. The loan has been on the servicer's watchlist since April 2023 due to a low DSCR, driven by the departure of several tenants. As of June 2025, servicer reporting indicated a DSCR of 0.88x with an occupancy rate of 81.0% for the trailing six months ended June 30, 2025, well below the occupancy rate of 97.0% at closing. Occupancy is expected to fall further following the servicer-confirmed downsizing of the largest tenant, Ralph Lauren (originally 46.1% of the NRA at issuance), which will vacate 102,756 sf (17.1% of the NRA) upon lease expiration in November 2025. The tenant has signed a long-term extension for the remainder of its space (22.2% of the NRA) through April 2036, however, at the notably lower base rent of $63.00 per square foot (psf; subject to an 8.0% annual escalation) compared with the tenant's former rate of $75.20 psf. Although the second-largest tenant, BC Partners Inc. (currently 4.3% of the NRA; lease expiration in April 2024), has agreed to extend its lease through August 2037 and expand its space to 7.4% of the NRA, its new base rental rate is also lower than its former rate, with no tenant improvement allowance. Both tenants were given one year of free rent as part of their respective long-term renewals. In anticipation of further net cash flow (NCF) decline, Morningstar DBRS considered an elevated LTV and probability of default (POD), resulting in an expected loss (EL) that was more than 2.5x the pool's WA EL. Mitigating factors include strong sponsorship provided by Vornado and Oxford Properties, the building's quality, and its desirable location close to major landmarks, including Central Park and the Rockefeller Center. The 805 Third Avenue loan is secured by a Class A building that consists of a 565,000-sf office tower and a 31,000-sf three-story retail pavilion. The trust loan of $45.0 million represents a pari passu portion of the $150.0 million of senior debt, part of a larger whole loan that includes $125.0 million in subordinate debt. The loan was transferred to special servicing for imminent default in September 2024, however, it was returned to the master servicer in February 2025 and brought current with the April 2025 payment period. While the loan remains current, cash management is active and the loan is being monitored on the watchlist for low DSCR, most recently reported at 0.81x on the senior debt as of YE2024, as a result of the collateral's sustained low occupancy rate, which was most recently reported at 57.6%. The largest remaining tenant at the property is Meredith Corporation (36.0% of the NRA; lease expiration in December 2026), which is currently subleasing nearly all of its space to three firms after moving to Brookfield Place in 2018. The tenant had reportedly been planning to terminate its lease at the end of 2024, however, it is still listed on the March 2025 rent roll. For this review, Morningstar DBRS had inquired about additional leasing updates but has yet to receive a response. Another area of concern is the loan's sponsor, Cohen Brothers Realty Corporation, which continues to face financial difficulties, accumulating well over $1.0 billion in loans in default, according to several news articles. To account for the significantly increased risks as outlined for this loan, Morningstar DBRS' analysis considered a stressed scenario to increase the LTV and POD, which resulted in an EL that was nearly 5.5x the pool's WA EL. The Parkmerced loan is secured by a 3,165-unit apartment complex in San Francisco. The $1.5 billion mortgage whole loan consists of a $547.0 million senior loan and subordinate debt comprising a $708 million B note and a $245.0 million C note. There is also $275.0 million of mezzanine debt in place. The trust debt represents a pari passu portion of the senior loan. The loan was transferred to special servicing at the borrower's request ahead of the December 2024 loan maturity and is now listed as a nonperforming matured balloon. After negotiations over a possible loan modification ended, a receiver was put in place, as the servicer actively pursues foreclosures. The property's occupancy rate remains stable year over year at 80.0%; however, the YE2024 NCF dropped to $31.2 million (a DSCR of 0.64x on the senior debt). According to an article posted in The San Francisco Standard and dated July 2025, the receiver will be investing more than $70.0 million in the property, targeting renovations to more than 400 units, and a new management company has been brought in to improve the property's performance. The property was revalued in April 2025 at $1.4 billion, in line with the July 2024 value, representative of a healthy LTV of 39.10% for the senior debt, suggesting the likelihood of loss to the trust at resolution remains low. As of August 2025, the pool has four loans that were shadow-rated investment grade at issuance, including 1633 Broadway (Prospectus ID#2; 9.6% of the trust balance), Southcenter Mall (Prospectus ID#3; 5.2% of the trust balance), Bellagio Hotel and Casino (Prospectus ID#20; 1.8% of the trust balance), and 510 East 14th Street (Prospectus ID#31; 1.3% of the trust balance). With this review, Morningstar DBRS confirms that the loan performance trends for these loans remain consistent with their investment-grade shadow ratings. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2012-CCRE4: Fitch Lowers Rating on Two Tranches to 'Bsf' ------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed six classes of Deutsche Bank Securities, Inc.'s COMM 2012-CCRE4 commercial mortgage pass-through certificates, series 2012-CCRE4. Classes A-3, A-M, and X-A have been assigned Negative Outlooks following their downgrade. Entity/Debt Rating Prior ----------- ------ ----- COMM 2012-CCRE4 A-3 12624QAR4 LT AAsf Downgrade AAAsf A-M 12624QAT0 LT Bsf Downgrade BB-sf B 12624QBA0 LT Csf Affirmed Csf C 12624QAC7 LT Csf Affirmed Csf D 12624QAE3 LT Dsf Affirmed Dsf E 12624QAG8 LT Dsf Affirmed Dsf F 12624QAJ2 LT Dsf Affirmed Dsf X-A 12624QAS2 LT Bsf Downgrade BB-sf X-B 12624QAA1 LT Csf Affirmed Csf KEY RATING DRIVERS Concentrated Transaction; Ongoing Litigation: The downgrades reflect the disruption of principal and interest distributions to all bondholders, including senior bond A-3, caused by ongoing litigation regarding the Fashion Outlets of Las Vegas, which was disposed in 2021. In addition, the classes are reliant on the two remaining specially serviced loans to pay in full. The Negative Outlooks reflect the potential for further downgrades given the uncertainty regarding the timing of the resolution of the litigation, the final cost of the pending lawsuit, as well as the potential for further value declines on the specially serviced loans. Fashion Outlets of Las Vegas, which was the third largest loan in the pool at issuance, was disposed in 2021, resulting in a loss of 90.4% after a net recovery of $400,000 in sale proceeds. In 2022, an investor filed a lawsuit against special servicer Rialto Capital Advisors, LLC. As a result of these legal proceedings, principal and interest payments from the remaining two performing specially serviced properties are being used to pay outstanding legal fees associated with the lawsuit. The timing of litigation resolution remains uncertain, and the disruption in payments to the trust is expected to be ongoing until the suit is resolved. Two Remaining Specially Serviced Loans: Both remaining loans are in special servicing. Due to the concentrated nature of the pool, Fitch's analysis considered the perceived likelihood of repayment and recovery of the two loans. The primary driver of expected loss in the pool is the Eastview Mall and Commons loan (49.0% of the pool), which is secured by 802,636 sf of a 1.7 million-sf regional mall and power center in Victor, NY. The loan, which is sponsored by Wilmorite Properties, had previously transferred to special servicing in May 2020 due to distress from the pandemic, but was subsequently brought current and returned to the master servicer in July 2020. The loan was re-transferred to special servicing in June 2022 due to imminent maturity default and the loan was modified to extend the maturity to September 2024. The loan transferred again to special servicing in September 2024 following another maturity default and received an additional two-year maturity extension to October 2026. Non-collateral anchors, Lord & Taylor and Sears closed in 2021 and 2018, respectively. The former non-collateral Sears space was backfilled by Dick's new experiential concept, Dick's House of Sports. The mall portion is anchored by non-collateral anchors JCPenney, Macy's and Von Maur, and the power center portion is anchored by non-collateral tenants Home Depot and Target. The largest collateral tenant is Regal Cinemas, which leases approximately 9.4% NRA through February 2026. As of February 2025, collateral occupancy improved to 97% from 89% at YE 2024, with NOI DSCR of 1.46x remaining in line with YE 2024. Fitch's 'Bsf' rating case loss of 58.5% considers a stress to the most recent appraisal value and an implied cap rate of 20%, reflecting a stressed value of approximately $87 psf. The second loan is the Prince Building loan (51.0%), secured by a 354,603-sf mixed-use building located in the SoHo submarket of Manhattan. The loan was previously modified in December 2022 to extend its maturity date to October 2023, with a one-year extension option. The borrower exercised this option, extending the maturity to October 2024. In September 2024, the loan was transferred back to special servicing after the borrower requested further extensions. As a result, the borrower entered into a new agreement, extending the loan maturity to October 2026. The property contains 69,346 sf of retail space and 281,522 sf of office space. The asset's largest tenants are ZOCDOC (14.2% NRA, through March 2035), Equinox (11.7% NRA through November 2036), and Milk Makeup (5.3% NRA through November 2030). Property performance has declined over the past three years, with YE 2024 NOI down 46% from YE 2022, primarily due to the departure of the largest tenant in 2023. Occupancy has fallen to 54% at both YE 2023 and 2024, compared to 93% at YE 2022. The most recent NOI DSCR is 1.46x, compared to 1.23x at YE 2024, 1.79x at YE 2023, and 2.28x at YE 2022. Fitch's 'Bsf' rating case loss of 11.1% considers a stress to the most recent appraisal value, reflecting a stressed value of approximately $178 psf. Improved Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate principal balance has been reduced by 78.0% to $245 million from $1.11 billion at issuance. Cumulative interest shortfalls of $21.2 million are currently impacting all classes. The most senior class A-3 is not receiving principal payments. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAsf' and 'Bsf' rating classes could occur with further declines in the valuation of Eastview Mall and Commons and/or deterioration in recovery prospects of the Prince Building. Downgrades may also occur if the ongoing litigation's impact on principal and interest payments to the trust continues for an extended period or if recovery of missed payments is considered unlikely. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Bsf' rating classes are not expected due to concentration but may be possible if the valuation of the Eastview Mall and Commons improves significantly, with increased certainty of disposition timing and recoverability. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2015-DC1: Fitch Lowers Rating on Two Tranches to 'Csf' ----------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed six classes of COMM 2015-DC1 Mortgage Trust. The Rating Outlooks for affirmed classes A-M, B, PEZ, C, X-A, and X-B remain Negative. Fitch has also upgraded two classes and affirmed four classes of COMM 2014-LC17 Mortgage Trust. Following their upgrades, the Rating Outlooks for classes D and X-C were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-LC17 D 12592MAN0 LT BBB-sf Upgrade BBsf E 12592MAQ3 LT CCCsf Affirmed CCCsf F 12592MAS9 LT CCsf Affirmed CCsf X-C 12592MAC4 LT BBB-sf Upgrade BBsf X-D 12592MAE0 LT CCCsf Affirmed CCCsf X-E 12592MAG5 LT CCsf Affirmed CCsf COMM 2015-DC1 A-M 12629NAH8 LT AAAsf Affirmed AAAsf B 12629NAJ4 LT A-sf Affirmed A-sf C 12629NAL9 LT BBB-sf Affirmed BBB-sf D 12629NAX3 LT CCCsf Downgrade B-sf E 12629NAZ8 LT Csf Downgrade CCsf PEZ 12629NAK1 LT BBB-sf Affirmed BBB-sf X-A 12629NAG0 LT AAAsf Affirmed AAAsf X-B 12629NAM7 LT A-sf Affirmed A-sf X-D 12629NAR6 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Adverse selection of loans: Deal-level 'Bsf' rating case losses for the COMM 2015-DC1 transaction is 38.7%, up from 16.5% at Fitch's prior rating action. Losses for the COMM 2014-LC17 transaction increased to 17.0% from 7.3% at the prior review. Fitch Loans of Concern (FLOCs) include 13 loans (89.9%) in COMM 2015-DC1, including 11 loans (64.2%) in special servicing, and four loans (84.8% of the pool) in COMM 2014-LC17, which includes three loans (66.3%) in special servicing. The downgrades in COMM 2015-DC1 are driven by higher expected pool losses since Fitch's previous rating action, reflecting the elevated risk of adverse selection as the pool remains concentrated in weaker-performing assets that failed to refinance or pay off at maturity. Increased losses are largely attributable to declining appraisal values for specially serviced loans with increasing total exposure for losses and ongoing performance deterioration. This is particularly among office FLOCs in special servicing, including Keystone Summit Corporate Park (16.9% of the pool), 760 & 800 Westchester Avenue (7.5%), Legacy at Lake Park (6.8%), Tintri Mountain View (5.1%), the leased fee interest in 200 West Second Street (6.6%), and the retail REO asset 115 Mercer (9.4%). The Negative Outlooks in COMM 2015-DC1 reflect the pool's elevated office concentration of 42.5% and the high proportion of loans in special servicing (64.2%). Further downgrades are possible if performance deteriorates beyond current expectations, property values decline further, specially serviced loans experience extended workout periods, or more loans than anticipated are unable to refinance. As of the July 2025 distribution date, the aggregate balance of the pool has been reduced by 71.9% since issuance and 58.1% since Fitch's prior rating action. The upgrades in the COMM 2014-LC17 transaction reflect increased CE from improved pool performance, scheduled amortization, and better-than-expected recoveries from loans paying off at maturity, including former FLOCs the Aloft Cupertino and 1717 Route 208 North, which were the second- and third-largest contributors to loss expectations in the prior rating actions and had base case losses of 25.6% and 26% (prior to concentration adjustments), respectively. As of the July 2025 distribution date, the pool's aggregate principal balance has been paid down by 94.1% since issuance and 85.6% since Fitch's prior rating action. The revised Outlooks on classes D and X-C reflect lower pool loss expectations and the potential for further upgrades with additional paydown and/or continued performance improvement combined with stable performance on the remaining loans in the pool with continued scheduled amortization. Due to the high concentration of FLOCs and specially serviced loans that were not able to refinance or payoff at maturity, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. Largest Increases in Loss: The largest contributor to overall loss expectations and the largest increase in losses since the last rating action in COMM 2015-DC1 is the Keystone Summit Corporate Park loan (16.9%), secured by a 557,768-sf office complex consisting of five interconnected buildings in Marshall Township, PA, which is 19 miles from Pittsburgh. The loan transferred to the Special Servicer in December 2024 due to Imminent Monetary Default as a result of the Borrower's expressed inability to pay off the loan by the stated maturity date. Property performance has declined, with occupancy falling to 82.7% as of April 2025 from 100% at issuance and could decline further if Federated Investors (16.8% of NRA) vacates at its February 2026 expiration. The tenant is currently in discussions with ownership to extend their lease until February 2036. According to CoStar, approximately 20.3% of the NRA is listed as available for lease. Fitch's 'Bsf' rating case loss of 59.4% (prior to concentration add-ons) is based on a 20% stress to the most recent appraisal value, which is approximately 67.2% below the appraisal value at issuance, equating to a stressed value of $48.6 psf. The second-largest contributor to overall loss expectations is the 115 Mercer loan (9.4%), which is secured by a 4,041-sf unanchored retail condominium space at the base of a seven-story mixed-use residential building in the SoHo neighborhood of New York, NY. The loan transferred to special servicing in March 2019, followed by the appointment of a receiver. The special servicer initiated foreclosure proceedings, and a foreclosure auction was held in October 2022, with the lender emerging as the highest bidder. The property is currently fully occupied, with Barbara Strum leasing 2,100 sf (52% of NRA) under an extension agreement, and Boggi Milano leasing 1,941 sf (48%) under a new lease; Boggi has completed their build-out and commenced operations. The lender's current plan is to re-evaluate marketing the property for sale in 1Q26. Fitch's loss expectations of 76.4% (prior to concentration add-ons) reflects a 10% stress to the most recent appraisal value, which is approximately 65.5% below the value at issuance and equates to a stressed value of $4,454 psf. The third-largest contributor to overall loss expectations and fourth-largest increase in losses is the 200 West Second Street (6.6%) loan. The collateral is the leased fee interest in a parcel of land in downtown Winston-Salem, NC encumbered by a 20-story, 271,445-sf suburban office property known as the BB&T Financial Center. The loan transferred to special servicing in January 2018 for imminent default as one of the guarantors was named in a forfeiture action by the DOJ (for money laundering and wire fraud). As of January 2025, the property remains fully vacant following the departure of the former tenant, Truist, which vacated prior to lease expiration in March 2023. The property is currently in receivership and is being marketed for sale. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 88.6% reflects a discount to the most recent appraisal value, which is 80.3% below the issuance appraisal, reflecting a Fitch-stressed value of $24.5 psf. The largest contributor to overall expected losses in the COMM 2014-LC17 transaction is the Parkway 120 loan (53.6% of the pool), which is secured by a 220,062-sf suburban office property located in Matawan, NJ. The loan was transferred to Special Servicing on September 2024 due to maturity default. Occupancy decreased to 91.2% as of December 2024 from 100% at issuance primarily due to downsizing by the second- and third-largest tenants. Occupancy is expected to decrease further, as Fragomen Del Rey Bernsen (21% of NRA) has indicated plans to relinquish half of its current space while renewing its lease, reducing its occupancy to 10% of the property's NRA. As of YE 2024, the net operating income (NOI) debt servicing coverage ratio (DSCR) remains fell to 1.18x from 1.30x the previous year. The borrower has signed a forbearance agreement as of August 2025, extending the forbearance period to September 2026 and a new equity contribution from the borrower, among other terms. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 24.8% reflects no discount to the most recent appraisal value, which is 49.3% below the issuance appraisal, reflecting a Fitch-stressed value of $138 psf. Increased Credit Enhancement (CE): As of the July 2025 distribution date, the aggregate balances of the COMM 2015-DC1 and COMM 2014-LC17 transactions have been reduced by 71.9% and 94.1%, respectively, since issuance. Interest Shortfalls: Cumulative interest shortfalls of $10.4 million are affecting the classes D and E, and the non-rated classes F, G, and H in the COMM 2015-DC1 transaction, and $4.55 million is affecting the non-rated class G, and H in the COMM 2014-LC17 transaction. Realized losses of $32.9 million, are impacting the non-rated class G in the COMM 2014-LC17 transaction and $1,117 impacting the non-rated class H in the COMM 2015-DC1 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes in the COMM 2015-DC1 transaction are not expected due to the position in the capital structure and increasing CE and expected paydown from loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to affect these classes. Downgrades to 'Asf' and 'BBBsf' rated classes in the COMM 2015-DC1 transaction could occur with an increase in pool-level losses from further value degradation or extended workout of the specially serviced loans, namely Keystone Summit Corporate Park, 760 & 800 Westchester Avenue, Legacy at Lake Park, Tintri Mountain View, 200 West Second Street, and 115 Mercer. In the COMM 2014-LC17 transaction, downgrades to these classes could occur if performance of the FLOCs, most notably Parkway 120, RSRT Properties, Highwoods Portfolio, and Regency Square, deteriorate further or fail to stabilize. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain with loans liquidating at an outsized loss in-line with Fitch's stressed values or with further performance declines of the aforementioned FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' category may be possible with significantly increased CE from loan payoffs, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes Keystone Summit Corporate Park, 760 & 800 Westchester Avenue, Legacy at Lake Park, Tintri Mountain View, 200 West Second Street, and 115 Mercer in COMM 2015-DC1. However, adverse selections, and increased concentrations of the pool could cause this trend to reverse. Classes would not be upgraded above 'AAsf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'Bsf' classes considers these factors but are limited based on sensitivity to adverse selection and concentrations to the aforementioned FLOCs and loans in special servicing. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2016-CCRE28: DBRS Confirms C Rating on 5 Cert. Classes ----------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-CCRE28 issued by COMM 2016-CCRE28 Mortgage Trust as follows: -- Class C to BB (high) (sf) from A (sf) -- Class D to CCC (sf) from BBB (low) (sf) -- Class E to C (sf) from B (low) (sf) -- Class X-B to BBB (low) (sf) from A (high) (sf) -- Class X-C to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-HR at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class X-HR at AAA (sf) -- Class XP-A at AAA (sf) -- Class B at AA (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class H at C (sf) -- Class X-D at C (sf) -- Class X-E at C (sf) Morningstar DBRS also changed the trends on Classes B, X-B, and C to Negative from Stable. All other trends are Stable, with the exception of Classes D, E, F, G, H, X-C, X-D, and X-E, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on Classes D and E reflect Morningstar DBRS' increased loss projections driven by an updated appraisal for the sole loan in special servicing, 1155 Market Street (Prospectus ID#8, 6.7% of the pool), which was made available with the July 2025 remittance report. Morningstar DBRS also considered a hypothetical liquidation scenario for another loan, 32 Avenue of the Americas (Prospectus ID#4, 7.9% of the pool), given year-over-year declines in performance and the loan maturity next year. Morningstar DBRS' total estimated liquidated losses of $80.9 million are an increase from the $61.6 million figure analyzed with the previous credit rating action in May 2025. Morningstar DBRS now estimates that realized losses are likely to erode the full balance of Class D and approximately 25% of the Class E certificate, reducing the credit enhancement on the junior bonds, a primary consideration in the credit rating downgrades on Classes C, D, and E. While Morningstar DBRS expects that most of the maturing loans are likely to successfully refinance, six loans, representing approximately 27.5% of the current pool balance, were identified as being at increased risk of maturity default based on concentrated upcoming rollover or recent declines in performance. While Class C would be insulated from losses based on the current liquidated loss projections, the credit rating downgrade and Negative trend on this class reflect the increased credit risks for those loans and reduced credit support implied by the liquidation scenarios analyzed with this review. As of the July 2025 remittance, 36 of the original 49 loans remained in the trust, with an aggregate balance of $721.6 million, representing a collateral reduction of 29.7% since issuance. There are 10 fully defeased loans, representing 21.8% of the current pool balance. There are 25 loans on the servicer's watchlist that represent 71.5% of the pool, including the largest loan in the pool. The loans on the watchlist are primarily being monitored for upcoming maturity and/or debt service coverage ratio (DSCR) declines. By property type, excluding defeasance, the pool is most concentrated by loans backed by office properties, which represent 33.6% of the pool, followed by loans collateralized by retail and lodging properties, which represent 16.1% and 9.4% of the pool, respectively. The 1155 Market Street loan is secured by a 142,672-square-foot (sf) portion of an 11-story Class A office building and a 16-space parking garage in San Francisco. The loan transferred to the special servicer in March 2024 for imminent monetary default after the sole tenant, City and County of San Francisco, vacated its space in May 2024 prior to the January 2028 lease expiry. As per the servicer's latest commentary, a receiver was appointed in June 2024, and the property is currently being marketed for lease. The property was reappraised in March 2025 at a value of $7.1 million, a substantial decline of 91.1% from the issuance appraised value of $80.0 million. Morningstar DBRS liquidated the loan in its analysis based on a standard 20% haircut to the most recent value. Including the outstanding advances and expected servicer expenses, Morningstar DBRS' liquidation scenario suggests a loss of just under $46.0 million, with a loss severity approaching 100%. The second-largest loan in the pool, 32 Avenue of the Americas (Prospectus ID#4, 7.9% of the pool), is secured by a 1.2 million-sf dual office and data center property in Manhattan's Tribeca district. The 10-year interest-only (IO) loan is scheduled to mature in November 2025. It is one of five pari passu pieces of a $425.0 million whole loan, with other senior portions securitized in JPMCC 2015-JP1 and JPMBB 2015-C33, which Morningstar DBRS also rates. The loan was added to the servicer's watchlist in April 2023 because of concerns about occupancy, which has trended downward year over year as tenants continue to depart at lease expiration. In addition, Cedar Cares Inc. (5.7% of the net rentable area) previously planned to expand its footprint at the property; however, the tenant has not grown as expected and is now looking to sublease the 17th floor. As of the YE2024 financials, the property was 56.9% occupied, down from 60.5% at YE2023 and 95.0% at issuance. Because of the drop in occupancy, the DSCR has also been declining, with the YE2024 DSCR reported at 0.97 times (x), compared with the YE2023 DSCR of 1.03x and the Morningstar DBRS DSCR of 1.82x derived at issuance. According to Reis, as of Q1 2025, office properties in the South Broadway submarket reported a vacancy rate of 13.9%, with an average rental rate of $73.01 per sf (psf) compared with the property's average rental rate of $74.43 psf. Given the sustained performance declines over the past several years, Morningstar DBRS expects the borrower will be required to commit significant equity to secure a replacement loan. Given the general challenges for the office market, particularly for borrowers seeking financing for underperforming assets, Morningstar DBRS liquidated the loan based on a 75% haircut to the issuance appraised value of $770.0 million; including anticipated expenses, the hypothetical liquidation resulted in an implied loss of approximately $35.1 million. Notes: All figures are in U.S. dollars unless otherwise noted. DBGS 2018-C1: DBRS Lowers Rating on Class G-RR Certs to Csf ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C1 issued by DBGS 2018-C1 Mortgage Trust as follows: -- Class D to BBB (low) (sf) from BBB (sf) -- Class X-D to B (high) (sf) from BB (high) (sf) -- Class E to B (sf) from BB (sf) -- Class X-F to CCC (sf) from B (high) (sf) -- Class F to CCC (sf) from B (sf) -- Class G-RR to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) The trends on Classes X-B, C, D, X-D, and E are Negative. Classes X-F, F, and G-RR no longer carry a trend given the CCC (sf) or lower credit rating. The trends on all remaining classes are Stable. Trends on Classes A-2, A-3, A-4, A-SB, A-M, C, D, E, E, X-A, X-B, and X-D were maintained from last review. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased liquidated loss projections for the loans in special servicing. There are three specially serviced loans, representing 8.1% of the current pool. All loans were liquidated in the analysis for this review. Morningstar DBRS expects the combined losses of $38.0 million to fully erode the balance of the Class H-RR and 80% of Class G-RR, significantly reducing the credit enhancement for the junior bonds. The reduced credit support was the primary consideration for the downgrade to the credit ratings on Classes D, E, and F, but Morningstar DBRS also considered increased risks for a handful of loans that are exhibiting actual or expected declines in occupancy and net cash flow (NCF). Most of these loans are part of the transaction's high concentration of loans secured by office collateral, which represent 38.8% of the pool. Most notably, the following loans have demonstrated consistent performance declines since issuance and have upcoming tenant rollover risk: Summit Office Park (Prospectus ID#15; 2.6% of the pool), Chase Bank Tower (Prospectus ID#19; 2.0% of the pool), and Willow Creek Corporate Center (Prospectus ID#28; 1.7% of the pool). Where applicable, Morningstar DBRS analyzed these loans with elevated probabilities of default (PODs) and/or stressed loan-to-value ratios (LTVs) to increase the loans' expected loss (EL). The resulting average EL for these loans was approximately triple the weighted-average (WA) pool-level EL. While Class B and all subordinate classes previously had Negative trends to reflect concerns surrounding the increased number of loans with performance declines at the time of the previous credit rating action, the trend change on Class B to Stable from Negative with this credit rating action reflects Morningstar DBRS' view that there remains sufficient credit support in the liquidation scenario analyzed for this review to cushion the class against loss and/or exposure to the loans exhibiting increased risks since issuance. The overall performance for the pool is healthy, as exhibited by a WA debt service coverage ratio (DSCR) of 2.43 times (x) and a WA debt yield of 11.4% as of the most recent year-end financials. As of the July 2025 remittance report, 32 of the original 37 loans remained in the trust, representing a collateral reduction of 8.56% since issuance. Three loans, representing 4.4% of the pool, are fully defeased. Seven loans, representing 14.7% of the pool, are currently being monitored on the servicer's watchlist, primarily flagged for performance concerns. The primary driver of the liquidation losses is the largest loan in special servicing, Times Square Office Renton (Prospectus ID#4; 5.42% of the pool), which is secured by a 323,737-square foot (sf) Class B suburban office property in Renton, Washington. The loan transferred to special servicing in July 2024 for imminent monetary default. The loan payments were reportedly 121+ days delinquent as of July 2025, with the lender scheduling a foreclosure sale. Per the most recent financial reporting, the annualized NCF for the trailing nine-month period ended September 30, 2024, was $2.3 million with a DSCR of 0.64x, lower than the YE2023 and issuance figures of $3.9 million with a DSCR of 1.09x and $5.0 million with a DSCR of 1.36x, respectively. Occupancy fell to 47.0% as of the September 30, 2024, rent roll, down from 90.6% at issuance. The availability rate appears to be much higher, though, given that Morningstar DBRS located listings showing that the property is advertising 267,544 sf (83.6% of the net rentable area). The most recent appraisal dated April 2025 valued the property at $41.2 million, a 43.5% decline from the issuance-appraised value of $72.9 million. Morningstar DBRS liquidated the loan in its analysis for this review based on a 30% haircut to the April 2025 appraised value, which resulted in an implied loss of $30.9 million. The second loan in special servicing, MSR Holdings Portfolio (Prospectus ID#26; 1.6% of the pool), is secured by a mix of eight suburban and medical office properties comprising a total of 106,674 sf and two unanchored retail properties comprising 26,836 sf located across Florida. The loan transferred to special servicing in December 2020 because loan payments became delinquent. Per the servicer's commentary as of July 2025, the special servicer was moving forward with foreclosure, the borrower had filed for bankruptcy protection, and a settlement had been approved. The most recent appraisal dated October 2024 valued the property at $23.2 million, a $180,000 decline from the issuance-appraised value of $23.4 million. Morningstar DBRS liquidated the loan in its analysis for this review based on a standard haircut of 20% to the October 2024 appraised value, which resulted in an implied loss of $3.2 million and a loss severity of 21.0%. GSK Noth American HQ loan is the last loan in special servicing (Prospectus ID#32; 1.0% of the pool) and is secured by a 207,779-sf Class A office property in Philadelphia, Pennsylvania. The subject note represents a pari passu portion of the whole loan, with debt also placed in the GS Mortgage Securities Trust 2018-GS10 transaction, which Morningstar DBRS also rates. The loan's initial scheduled maturity date was in June 2023, but the loan transferred to special servicing in November 2022 for imminent monetary default. Per the servicer's commentary as of July 2025, a receiver was in place and the foreclosure sale had been completed. The property's sole tenant was GlaxoSmithKline (GSK) occupying 100% of the space with a lease expiration of September 2028 and no termination options. However, GSK vacated the property in 2021 but agreed to continue to make its monthly payments while looking for tenants to sublet the space. An updated appraisal was received as of January 2025 that valued the property at $72.5 million, a 45.4% reduction from the issuance-appraised value of $132.7 million. Morningstar DBRS liquidated this loan in its analysis for this review based on a 20% haircut to the January 2025 appraised value, which resulted in an implied loss of $3.9 million and a loss severity of 39.0%. At issuance, Morningstar DBRS assigned investment-grade shadow ratings to nine loans, seven of which remain for this review: Moffett Towers - Buildings E, F, G (Prospectus ID#1; 8.2% of the pool), Christiana Mall (Prospectus ID#5; 5.5% of the pool), Aventura Mall (Prospectus ID#6; 4.8% of the pool), The Gateway (Prospectus ID#10; 3.9% of the pool), 601 McCarthy (Prospectus ID#13; 3.2% of the pool), West Coast Albertsons (Prospectus ID#14; 3.0% of the pool), and Moffett Towers II - Building 1 (Prospectus ID#18; 2.5% of the pool). As part of this review, Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DBJPM 2016-C1: Fitch Lowers Rating on Two Tranches to 'Bsf' ----------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed four classes of DBJPM 2016-C1 mortgage trust commercial pass-through certificates, series 2016-C1 (DBJPM 2016-C1). Classes A-M, B, C, X-A and X-B were assigned a Negative Rating Outlook following their downgrades. Fitch has also downgraded seven and affirmed 10 classes of CSMC 2016-NXSR commercial mortgage trust. Following the downgrades on classes B, D, X-B, V1-B, and V1-D, Negative Outlooks were assigned. The Outlooks remain Negative for two affirmed classes, C and V1-C. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C1 A-3A 23312LAR9 LT AAAsf Affirmed AAAsf A-3B 23312LAA6 LT AAAsf Affirmed AAAsf A-4 23312LAS7 LT AAAsf Affirmed AAAsf A-M 23312LAT5 LT AAsf Downgrade AAAsf A-SB 23312LAQ1 LT AAAsf Affirmed AAAsf B 23312LAU2 LT BBBsf Downgrade A-sf C 23312LAV0 LT Bsf Downgrade BBB-sf D 23312LAG3 LT CCsf Downgrade B-sf E 23312LAH1 LT Csf Downgrade CCCsf F 23312LAJ7 LT Csf Downgrade CCsf X-A 23312LAW8 LT AAsf Downgrade AAAsf X-B 23312LAB4 LT Bsf Downgrade BBB-sf X-C 23312LAC2 LT CCsf Downgrade B-sf X-D 23312LAD0 LT Csf Downgrade CCCsf CSMC 2016-NXSR A-3 12594PAU5 LT AAAsf Affirmed AAAsf A-4 12594PAV3 LT AAAsf Affirmed AAAsf A-S 12594PAZ4 LT AAAsf Affirmed AAAsf A-SB 12594PAW1 LT AAAsf Affirmed AAAsf B 12594PBA8 LT Asf Downgrade AA-sf C 12594PBB6 LT BBBsf Affirmed BBBsf D 12594PAG6 LT B-sf Downgrade BB-sf E 12594PAJ0 LT CCsf Affirmed CCsf F 12594PAL5 LT Csf Downgrade CCsf V-1B 12594PBD2 LT Asf Downgrade AA-sf V-1C 12594PBE0 LT BBBsf Affirmed BBBsf V1-A 12594PBC4 LT AAAsf Affirmed AAAsf V1-D 12594PBF7 LT B-sf Downgrade BB-sf X-A 12594PAX9 LT AAAsf Affirmed AAAsf X-B 12594PAY7 LT Asf Downgrade AA-sf X-E 12594PAA9 LT CCsf Affirmed CCsf X-F 12594PAC5 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses have risen since Fitch's prior rating actions on both transactions. In DBJPM 2016-C1, losses have increased to 12% from 7.9%, while losses have risen to 11.2% from 9% in CSMC 2016-NXSR. Fitch Loans of Concern (FLOCs) comprise 11 loans (43% of the pool) in DBJPM 2016-C1, including two loans in special servicing (8.8%) and seven loans (29.9%) in CSMC 2016-NXSR, with three loans (6%) in special servicing. Both pools have significant upcoming maturities as most of the loans are scheduled to mature in 2025 and 2026. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. DBJPM 2016-C1: The downgrades in DBJPM 2016-C1 reflect a large increase in pool loss expectations since Fitch's prior rating action, driven primarily by a significant increase in expected loss for Sheraton North Houston (5%). In addition, the pool is exposed to a high office concentration (37.1% of the pool). The Negative Outlooks reflect the potential for downgrades if performance of the office FLOCs and the specially serviced Hagerstown Premium Outlets (3.8%) deteriorate beyond Fitch's current expectations, and/or if the potential disposition of the Sheraton North Houston leads to higher than currently expected losses. In addition, downgrades are possible if recovery prospects decline and/or with prolonged workouts on other specially serviced loans/assets, and/or if more loans than anticipated fail to refinance. CSMC 2016-NXSR: The downgrades in CSMC 2016-NXSR reflect the higher pool loss expectations since the prior rating action, driven primarily by the specially serviced 681 Fifth Avenue loan (3.3%), which transferred to special servicing in September 2023 and is showing continued performance deterioration. In addition, the transaction has exposure to two regional mall loans in the pool which are showing high loss expectations, including Gurnee Mills (12.4%) and Wolfchase Galleria (6.2%). The Negative Outlooks reflect the potential for downgrades if performance of the FLOCs does not stabilize and/or the workout of the specially serviced 681 Fifth Avenue loan is prolonged, leading to higher-than-expected losses. Further downgrades are also possible with additional value declines, or if loans currently expected to refinance default on or before their maturity dates. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action in the DBJPM 2016-C1 transaction is the specially serviced Sheraton North Houston, which is secured by a 419-key full-service hotel located in Houston, TX. The loan was originally identified as a FLOC prior to the pandemic after United Airlines relocated their pilot training program to Denver, resulting in lost contract revenue. The loan transferred to special servicing in November 2020 for payment default after the borrower indicated that they were unwilling to fund cash flow shortfalls. GF Hotels was appointed as the receiver in April 2021. The property was listed for sale in January 2025 through an auction platform that concluded in March 2025. The successful bidder, with an offer of $14.75 million, has received court approval. The buyer is currently working with Marriott to obtain franchise approval, and the transaction is anticipated to close in August 2025. An updated appraisal value was recently reported, indicating a value of $16.2 million, a 65% decline from the previously reported appraisal value in 2024 of $46.1 million. Fitch's 'Bsf' rating loss of 105.6% (prior to concentration add-ons) is based on a 5% stress to the expected purchase price, which equates to a recovery of $33,443 per key. The expected loss includes the total loan exposure, which is $49.6 million; the scheduled loan balance is $34.4 million. The second largest contributor to overall loss expectations in DBJPM 2016-C1 is the specially serviced Hagerstown Premium Outlets, secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan transferred to special servicing in September 2023 for payment default. Per the servicer, the sponsor, Simon Property Group, finalized a modification to switch to an interest-only structure which closed in July 2025. While collateral occupancy improved to 50% as of YE 2024 from less than 40% in 2022 after Tim's Furniture Mart (13.1% of the NRA) backfilled the former vacant Wolf Furniture and Outlet space, it remains below pre-pandemic occupancy levels of 78% at YE 2019. As of YE 2024, NOI DSCR was 0.77x, remaining below YE 2022 at 1.0x and YE 2021 at 1.06x. Inline sales for tenants less than 10,000 sf have declined to $227 psf as TTM August 2023. Fitch's 'Bsf' rating loss of 66% (prior to concentration add-ons) reflects a discount to a recent appraisal value, which equates to a Fitch value of $59 psf. The largest increase in loss since the prior rating action and second largest contributor to overall loss expectations in the CSMC 2016-NXSR transaction is the 681 Fifth Avenue loan, which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY, which lost tenant Tommy Hilfiger (27.3% of the NRA, 78% of total base rent) in 2023. The reported YE 2024 occupancy was 52%. The loan is in foreclosure with a receiver in place per servicer commentary. Fitch's 'Bsf' rating case loss of 70.2% (prior to concentration add-ons) reflects a discount to the latest appraisal value provided by the servicer and a 76% value decline from the appraised value at issuance. The largest contributor to overall loss expectations in the CSMC 2016-NXSR transaction is the Gurnee Mills loan, which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's, Hobby Lobby, and Round 1 Bowling & Arcade (in the space previously occupied by Sears). The loan previously transferred to the special servicer in June 2020 for imminent monetary default, returning to the master servicer in May 2021 after receiving forbearance. Per the December 2024 rent roll, the property was 88% occupied, compared to 80% at March 2024, 76.4% at June 2023, 80% at YE 2022, 77% at YE 2021, 86.7% at YE 2020 and 93% at issuance. New tenants that opened in 2024 include Round 1 Bowling & Amusement and Reclectic. The space previously occupied by Bed Bath & Beyond (3.6% of NRA) has been taken over by Boot Barn, which opened in June 2025, and Primark, which is scheduled to open later in 2025. Bass Pro Shops recently extended their lease until December 2030 (8.1% of NRA). Near-term lease rollover includes 3% of the NRA expiring through 2025 and 15% of leases are set to expire in 2026, including Floor and Décor (6.3%) and Value City Furniture (4.7%). The servicer-reported NOI DSCR was 1.88x at YE 2024 compared to 1.87x at YE 2023, 2.06x at YE 2022, 1.86x at YE 2021, 1.24x at YE 2020, and 1.42x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 30% (prior to concentration add-ons) reflects a 15% stress to the YE 2023 NOI and a 12% cap rate. It also incorporates an increased probability of default given concerns with refinanceability and potential for maturity default. The third largest contributor to overall loss expectations in the CSMC 2016-NXSR transaction is the Wolfchase Galleria loan, which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), JCPenney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but it was subsequently returned to the master servicer in May 2021. Collateral occupancy has steadily declined year over year. As of YE 2024, collateral occupancy was reported at 75%, which compares to 78% at YE 2023, 77.5% at YE 2021, 78.8% at YE 2020, 81.3% at YE 2019 and 84% at YE 2018. The YE 2024 servicer-reported NOI DSCR was 1.35x compared with 1.67x at YE 2023, 1.19x at YE 2022, 1.24x at YE 2021, 1.17x at YE 2020, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 36.4% reflects a 15% cap rate and a 7.5% stress to the YE 2023 NOI. Fitch's analysis also recognized a heightened probability of default due to sustained performance declines and expected refinance challenges. Changes in Credit Enhancement: As of the July 2025 distribution date, the aggregate balances of the DBJPM 2016-C1 and CSMC 2016-NXSR transactions have been paid down by 16.6% and 25.3%, respectively, since issuance. The DBJPM 2016-C1 has seven loans (13.9%) that are fully defeased while the CSMC 2016-NXSR transaction has eight loans (24.7%) that are fully defeased. Cumulative interest shortfalls of $3.7 million are affecting classes D, E, F, and the non-rated G and H classes in DBJPM 2016-C1 and $1.8 million is affecting the non-rated NR class in CSMC 2016-NXSR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure, high CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, which include Williamsburg Premium Outlets, West Valley Corporate Center, 7700 Parmer, Columbus Park Crossing, Hall Office Park A1/G1/G3, and specially serviced loans: Sheraton North Houston, and Hagerstown Premium Outlets in DBJPM 2016-C1, and Gurnee Mills, Wolfchase Galleria, and specially serviced loans: 681 Fifth Avenue, and Best Western O'Hare in CSMC 2016-NXSR, deteriorate further or more loans than expected default at or prior to maturity. Downgrades to in the 'BBBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'Bsf' category rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DIAMETER CAPITAL 11: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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: NR NR—Not rated. DRYDEN 107: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the Aug. 15. 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to Aug. 15, 2027. -- The reinvestment period was extended to Aug. 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Aug. 15, 2038. -- No additional assets were purchased on the Aug. 15, 2025, refinancing date, and the target initial par amount remains at $400,000,000. There was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Dryden 107 CLO Ltd./Dryden 107 CLO LLC Class A-1 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 Dryden 107 CLO Ltd./Dryden 107 CLO LLC Subordinated notes, $33.76 million: NR NR--Not rated ELMWOOD CLO 14: Fitch Assigns 'Bsf' Rating on Class F-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Elmwood CLO 14 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO 14 Ltd. A 29003WAA3 LT PIFsf Paid In Full AAAsf X LT AAAsf New Rating A-1R LT AAAsf New Rating A-1L LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT Bsf New Rating Transaction Summary Elmwood CLO 14 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC and originally closed in March 2022. This is the first refinancing, which will refinance the existing secured notes in whole on Aug. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $649 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 22.57 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.7% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.1% 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 'AAAsf' for class X-R notes, between 'BBB+sf' and 'AA+sf' for class A-1R/A-1L notes, between 'BBB+sf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-R notes, between less than 'B-sf' and 'B+sf' for class E-R notes, and between less than 'B-sf' and 'B-sf' for class F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AAsf' for class C-R notes, 'Asf' for class D-R notes, 'BBB+sf' for class E-R notes, and 'BBB-sf' for class F-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 14 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. EMPOWER CLO 2023-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt from Empower CLO 2023-2 Ltd./Empower 2023-2 LLC, a CLO managed by Empower Capital Management LLC that was originally issued in August 2023. The preliminary ratings are based on information as of Aug. 20, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 22, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original class A-1 loans and class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw our preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower spread over three-month CME term SOFR than the original debt. -- The original class D debt will be replaced by two new classes of debt, D-1R and D-2R, which are sequential in payment. -- The reinvestment period will be extended to Oct. 15, 2030. -- The non-call period will be extended to Oct. 15, 2027. -- The legal final maturity dates for the replacement debt and the subordinated debt will be extended to Oct. 15, 2038. -- The target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. The required minimum overcollateralization ratios will be amended. No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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." Preliminary Ratings Assigned Empower CLO 2023-2 Ltd./Empower 2023-2 LLC Class A-R, $315.00 million: AAA (sf) Class B-R, $65.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $27.50 million: BBB (sf) Class D-2R (deferrable), $6.75 million: BBB- (sf) Class E-R (deferrable), $15.75 million: BB- (sf) Other Debt Empower CLO 2023-2 Ltd./Empower 2023-2 LLC Subordinated notes, $49.30 million: Not rated EXETER AUTOMOBILE 2022-5: S&P Affirms BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on 12 classes of notes and affirmed its ratings on eight classes from nine Exeter Automobile Receivables Trust (EART) transactions that are backed by subprime auto loan receivables originated and serviced by Exeter Finance LLC. The rating actions reflect: -- Each transactions' collateral performance to date and our expectations regarding future collateral performance, including an increase in remaining cumulative net loss (CNL) expectations for each series except for EART 2021-2; -- The transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors as well as Exeter Finance LLC's capital contributions of $6 million, $30 million, $4 million, and $16 million, to series 2022-2, 2022-3, 2022-4 and 2022-5 transactions, respectively, S&P believes the creditworthiness of the notes is consistent with the raised and affirmed ratings across the nine transactions. The EART 2021-2 series is performing in line with our prior revised CNL expectations, and as such, we maintained our expected CNL. The performance of the EART 2021-1, 2021-3, 2021-4, 2022-1, 2022-2, 2022-3, 2022-4, and 2022-5 transactions continues to trend worse than our prior revised CNL expectations. For the EART 2022 series in particular, the frequency of defaults has not decreased as the series' pools have aged. Gross charge-offs have remained elevated, and recoveries remain below historical norms, resulting in elevated CNLs. Additionally, for EART 2021-4 and EART 2022-2 through 2022-5, excess spread is insufficient to cover the higher losses, resulting in a continued reduction in these series' overcollateralization amounts. Delinquencies and extensions, too, while normalizing, are elevated. In view of each series' performance to date, coupled with continued economic headwinds and relatively weaker recovery rates, S&P raised its expected CNLs for each series. Table 1 Collateral performance (%)(i) Pool 61+ day Series Month factor CGL CRR CNL delinq. Ext. 2021-1 53 11.35 24.61 44.09 13.76 15.53 5.62 2021-2 49 14.68 29.00 44.16 16.19 15.61 6.51 2021-3 47 16.26 30.76 40.00 18.45 14.16 6.12 2021-4 44 18.78 32.22 36.87 20.34 13.96 6.49 2022-1 41 22.31 30.86 33.83 20.42 12.53 6.07 2022-2 39 24.64 33.97 33.14 22.71 12.72 6.2 2022-3 37 27.86 34.82 32.70 23.43 12.32 6.11 2022-4 35 28.80 32.55 31.82 22.19 11.71 6. 2022-5 33 32.09 30.07 31.09 20.72 11.48 5.99 (i)As of the July 2025 distribution date. CGL—Cumulative gross loss. CRR—Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext—Extension rate. Table 2 CNL expectations (%) Original Previous Current lifetime revised lifetime revised lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2021-1 23.00-24.00 14.00 14.25 2021-2 21.00-22.00 17.50 17.50 2021-3 19.75-20.75 19.75 20.25 2021-4 19.50-20.50 21.25 22.50 2022-1 18.50-19.50 22.00 23.50 2022-2 18.25-19.25 24.00 27.00 2022-3 18.50-19.50 25.00 29.00 2022-4 18.50-19.50 24.50 28.50 2022-5 18.75 24.00 28.25 (i)As of June 2024. (ii)As of July 2025. CNL exp.--Cumulative net loss expectations. Table 3 Exeter Automobile Receivables Trust series overcollateralization summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-1 21.10 21.10 28,245,198 28,245,198 2021-2 15.00 15.00 27,246,657 27,246,657 2021-3 12.35 12.35 26,854,123 26,854,123 2021-4 2.77 4.25 5,436,723 8,342,977 2022-1 6.00 16.00 31,118,974 31,118,974 2022-2 8.21 17.50 23,656,253 50,441,952 2022-3 1.33 17.50 3,989,214 52,349,373 2022-4 14.81 18.95 26,647,727 34,095,621 2022-5 9.25 18.00 19,099,760 37,150,432 (i)As of the July 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series except 2021-4, the overcollateralization target on any distribution date is equal to the greater of (a) the target percentage of the current pool balance, and (b) 0.50% of the initial pool balance for series 2021-1 and 2021-2, 1.00% of the initial pool balance for series 2021-3, and 1.50% of the initial pool balance for series 2022-1 through 2022-5. Table 4 Exeter Automobile Receivables Trust series reserve amount summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2021-1 17.63 2.00 23,595,272 23,595,272 2021-2 13.62 2.00 24,742,887 24,742,887 2021-3 9.22 1.50 20,053,428 20,053,428 2021-4 5.32 1.00 10,452,797 10,452,797 2022-1 4.48 1.00 8,718,045 8,718,045 2022-2 4.06 1.00 11,698,045 11,698,045 2022-3 6.82 1.90 20,401,607 20,401,607 2022-4 3.47 1.00 6,248,399 6,248,399 2022-5 4.89 1.57 10,096,928 10,096,928 (i)As of the July 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal to the percentage of the initial pool balance. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class. Each transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, and excess spread. As of the July 2025 distribution date, the non-amortizing reserve account for each transaction remains at its required level, which increases as a percentage of the current pool balance as the pool amortizes. The overcollateralization level for series 2021-4, 2022-2, 2022-3, 2022-4, and 2022-5 is each currently below its target amount. Notwithstanding the decrease in overcollateralization, each transaction's sequential principal payment structure has led to an increase in the other components of hard credit enhancement since issuance. Table 5 Hard credit support (%)(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2021-1 E 7.60 38.73 2021-2 D 10.65 67.10 2021-2 E 5.00 28.62 2021-3 D 10.50 58.46 2021-3 E 4.50 21.57 2021-4 D 12.20 67.73 2021-4 E(ii) 2.80 17.68 2021-4 F(ii) 1.00 8.09 2022-1 D 12.70 61.72 2022-1 E 3.50 20.48 2022-2 C 27.10 99.93 2022-2 D 14.75 49.81 2022-2 E 5.50 12.27 2022-3 C 29.50 87.84 2022-3 D 17.05 43.15 2022-3 E 7.30 8.15 2022-4 C 30.30 95.20 2022-4 D 18.15 53.01 2022-4 E 8.15 18.28 2022-5 C 30.47 83.17 2022-5 D 18.27 45.15 2022-5 E 8.32 14.15 (i)As of the July 2025 distribution date. Calculated as a percentage of the total gross receivable pool balance, which consists of a reserve account, overcollateralization, and, if applicable, subordination. Excess spread is excluded from the hard credit support and can also provide additional enhancement. (ii)Not rated by S&P Global Ratings. S&P said, "In our analysis, we considered the aforementioned capital contributions to EART 2022-2, 2022-3, 2022-4, and 2022-5, which has been deposited into each series' reserve account and will be available for distribution on the August 2025 payment date. The capital contributions, one-time cash infusions into each series, are intended to build the series overcollateralization to its target and achieve the credit enhancement required to maintain the ratings on the most subordinated class E for each transaction. This was a key consideration in the affirmation of the ratings on the class E notes for each series. Nevertheless, given the elevated losses that these series are experiencing and the continued negative impact of economic headwinds on consumer affordability, if losses do not decelerate as these series age, the supportive contributions to each series will be eroded, with negative implications for the series' most subordinated classes. "We incorporated an analysis of the current hard credit enhancement compared to the remaining CNL expectations for the classes where hard credit enhancement alone--without credit to any excess spread--was sufficient, in our view, to raise or affirm the ratings at the 'AAA (sf)' level. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date and our current economic outlook. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, based on the cash flow results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels, which is based on our analysis as of the July 2025 distribution date. "We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Exeter Automobile Receivables Trust Rating Series Class To From 2021-1 E AAA (sf) A+ (sf) 2021-2 D AAA (sf) AA-(sf) 2021-2 E AA (sf) BBB (sf) 2021-3 D AAA (sf) A+ (sf) 2021-3 E A (sf) BB+ (sf) 2021-4 D AAA (sf) AA- (sf) 2022-1 D AAA (sf) A+ (sf) 2022-1 E BB (sf) BB- (sf) 2022-2 D AA- (sf) A (sf) 2022-3 D A-(sf) BBB+ (sf) 2022-4 D AA- (sf) A- (sf) 2022-5 C AAA (sf) AA (sf) RATINGS AFFIRMED Exeter Automobile Receivables Trust Series Class Rating 2022-2 C AAA (sf) 2022-2 E BB- (sf) 2022-3 C AAA (sf) 2022-3 E BB- (sf) 2022-4 C AAA (sf) 2022-4 E BB- (sf) 2022-5 D BBB+ (sf) 2022-5 E BB- (sf) FIGRE TRUST 2025-HE5: S&P Assigns Prelim B- (sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to FIGRE Trust 2025-HE5's mortgage-backed notes. The transaction is an RMBS securitization backed by first- and subordinate-lien, simple-interest, fixed-rate, fully amortizing residential mortgage loans that are open-ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 6,187 initial HELOCs plus 360 subsequent draws (6,547 HELOC mortgage loans), which are all ability-to-repay exempt. The preliminary ratings are based on information as of Aug. 19, 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 originator, Figure Lending LLC; -- Sample 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 FIGRE Trust 2025-HE5(i) Class A, $322,660,000: AAA (sf) Class B, $34,545,000: AA- (sf) Class C, $53,257,000: A- (sf) Class D, $26,149,000: BBB- (sf) Class E, $20,871,000: BB- (sf) Class F, $13,674,000: B- (sf) Class G, $8,636,904: NR Class XS, notional(ii): NR Class FR(iii): 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 class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate owned properties as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. NR--Not rated. FS TRUST 2024-HULA: DBRS Confirms BB Rating on 2 Cert. Classes -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HULA issued by FS Trust 2024-HULA: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at AA (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class JRR at BB (sf) -- Class KRR at BB (sf) All trends are Stable. The credit rating confirmations reflect the stable credit outlook given the transaction's performance remains in line with issuance expectations. Since closing, the subject has exhibited strong performance metrics, with occupancy, average daily rate (ADR), and revenue per available room (RevPAR) above Morningstar DBRS' expectations at issuance. The transaction is secured by the fee-simple and leasehold interest in the 249-key full-service Hualalai Resort, a private, members-only property on Hawaii's Big Island. The resort was originally built and opened in 1996, and the sponsor subsequently invested approximately $193.5 million, or $777,065 per key, in capital improvements between 2019 and 2023. The resort comprises approximately 37,000 square feet (sf) of meeting space, including 10,400 sf of indoor meeting space and 26,600 sf of outdoor group space, as well as an extensive amenities package, including six food and beverage restaurants, eight pools, a sports club and spa, four retail shops, and two 18-hole golf courses. The subject mortgage loan of $400.0 million along with approximately $18.4 million of sponsor equity will be used to retire $409.7 million of existing debt, fund an upfront ground lease reserve of approximately $770,000, and cover closing costs of approximately $8.0 million. The loan is a two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. According to the most recent financials, the subject reported a YE2024 net cash flow (NCF) of $35.0 million for the hotel portion of the property, which is above the Morningstar DBRS-derived NCF of $32.5 million for the hotel. In addition, the April 2025 STR, Inc. reported an occupancy rate, ADR, and RevPAR of 73.0%, $1,777.29, and $1,297.46, respectively, for the trailing 12-month period ended April 2025, with a RevPAR penetration rate of 260.4%. The subject property remains one of the most desirable hotel properties on the Big Island. The sponsor has historically completed several capital expenditure projects to maintain the property's unique appeal and the benchmark for the market. While there are several competing hotels, including the recently delivered Kona Village Resort that opened in July 2023, the subject offers a more exhaustive amenity package and benefits from 88% repeat customers during the holiday season, showcasing its loyal customer base. Lastly, new supply and competition is limited because of Hawaii's land-use limitation imposed by its physical characteristics, inflated construction costs, and lengthy development process. At issuance, Morningstar DBRS derived a value of $520.2 million based on the Morningstar DBRS NCF of $38.7 million, including $6.4 million of resort revenue, and a capitalization rate of 7.64%, resulting in a Morningstar DBRS Loan-to-Value (LTV) ratio of 76.9% compared with the LTV ratio of 46.8% based on the appraised value of $854.2 million at issuance. Morningstar DBRS applied positive qualitative adjustments totaling 9.0% to the LTV Sizing Benchmarks to reflect the subject's high quality, aided by significant capital investment, unparalleled beach-front location, and historical volatility in cash flow stemming from the COVID-19 pandemic and volcanic eruptions. Notes: All figures are in U.S. dollars unless otherwise noted. GLS AUTO 2025-3: S&P Assigns BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.31%, 47.66%, 37.30%, 28.64%, and 24.36% of credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x our expected loss level), all else being equal, our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Global Lending Services LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned GLS Auto Receivables Issuer Trust 2025-3 Class A-1, $79.90 million: A-1+ (sf) Class A-2, $200.00 million: AAA (sf) Class A-3, $72.62 million: AAA (sf) Class B, $110.19 million: AA (sf) Class C, $104.23 million: A (sf) Class D, $97.15 million: BBB (sf) Class E, $49.14 million: BB (sf) GOLUB CAPITAL 68(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 68(B)-R, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 68(B)-R A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 38179QAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38179QAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38179QAG2 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 38179TAA9 LT PIFsf Paid In Full BBsf E-R LT BB-sf New Rating Transaction Summary Golub Capital Partners CLO 68(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC that originally closed in July 2023. This is the first refinancing, which will refinance the existing secured notes in whole on Aug. 15, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.04 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.19% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.29% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 53% 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 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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, between less than 'B-sf' and 'BB+sf' for class D-2R notes, and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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 notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1R notes, 'A-sf' for class D-2R notes, and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 68(B)-R, 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. GRACIE POINT 2025-1: S&P Assigns Prelim BB (sf) Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Gracie Point International Funding 2025-1 LLC's secured floating-rate notes series 2025-1. The transaction is a securitization backed by a special unit of beneficial interest (SUBI) certificate representing the sole ownership interests in a pool of participations, each of which represents a specified percentage interest in a life insurance premium finance loan The preliminary ratings are based on information as of Aug. 20, 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 credit enhancement in the form of subordination and overcollateralization for the class B, C, and D notes; -- The series reserve account and letter of credit (LOC), which is available to cover any shortfalls in payments of interest and series expenses due on any payment date; and -- The credit quality of the pool's insurance carriers. Preliminary Ratings Assigned Gracie Point International Funding 2025-1 LLC Class A, $229.000 million: Not rated Class B, $10.050 million: A (sf) Class C, $22.100 million: BBB (sf) Class D, $10.800 million: BB (sf) Class E, $5.808 million: Not rated GRANITE PARK 2023-1: Moody's Hikes Rating on Class E Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded 15 classes of notes issued by SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing Canada 2022-1 L.P. (SCF 2022-1), SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing Canada 2022-2 Limited Partnership (SCF 2022-2), SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership (SCF 2023-1) and Granite Park Equipment Leasing 2023-1 LLC (GP 2023-1). These transactions are backed by equipment loans and leases and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: Granite Park Equipment Leasing 2023-1 LLC Class B Notes, Upgraded to Aa1 (sf); previously on Oct 17, 2023 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Oct 17, 2023 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to A3 (sf); previously on Oct 17, 2023 Definitive Rating Assigned Baa1 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Oct 17, 2023 Definitive Rating Assigned Ba3 (sf) Issuer: SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing Canada 2022-1 Limited Partnership Class B Notes, Upgraded to Aaa (sf); previously on May 16, 2024 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Sep 30, 2024 Upgraded to Aa2 (sf) Issuer: SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing Canada 2022-2 Limited Partnership Class C Notes, Upgraded to Aaa (sf); previously on Feb 28, 2025 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aaa (sf); previously on Feb 28, 2025 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Aa3 (sf); previously on Feb 28, 2025 Upgraded to A3 (sf) Class F-1 Notes, Upgraded to Ba1 (sf); previously on Feb 28, 2025 Upgraded to Ba2 (sf) Issuer: SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership Class B Notes, Upgraded to Aaa (sf); previously on Nov 15, 2023 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Feb 28, 2025 Upgraded to Aa3 (sf) Class D Notes, Upgraded to A3 (sf); previously on Feb 28, 2025 Upgraded to Baa1 (sf) Class E Notes, Upgraded to Ba1 (sf); previously on Feb 28, 2025 Upgraded to Ba2 (sf) Class F Notes, Upgraded to B1 (sf); previously on Feb 28, 2025 Upgraded to B2 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the four transactions due to deleveraging from sequential pay structures and steady performance with no cumulative net losses since their closing. Additionally, the increase in credit enhancement has been further supported by prepayment activity, which has contributed to the faster paydown of the senior notes. Other considerations include the specific concentrations and residual risks associated with the transactions, inclusion of participation agreements, volatility in recoveries and projected asset values, and macroeconomic outlooks. The transactions are also supported by overcollateralization (OC) that builds to a target and reserve accounts. High level of pool concentrations in the transactions to large obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. The top obligor concentration in the pools ranges from approximately 12% to 22% and top 10 obligor concentration in the pools ranges from 78% to 90%. Securitized residuals currently account for about 5% to 19% of the pools. Moody's analyzed the concentration risk by applying stresses to the default probability and recovery rate of the contracts associated with top obligors. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. Certain contracts in the pools are participation agreements which are ownership interests in the cash flows and therefore noteholders will, for the most part, not have control over the underlying contracts. Furthermore, collections of the cash flows from participations may be commingled with Stonebriar before being remitted to the lockbox account for the benefit of the issuers. Moody's analyzed this risk mainly by applying stresses to the default probability, if applicable, and recovery rate of these contracts. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. In addition, faster than expected reduction in residual value exposure could prompt upgrade of ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. GREYWOLF CLO IV: S&P Assigns BB- (sf) Rating on Class D-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-1-R2, C-R2 and D-R2 debt from Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue), a CLO managed by Greywolf Loan Management L.P that was originally issued in April 2019 and underwent its first refinancing in March 2021. At the same time, S&P withdrew its ratings on the class A-1-R, A-2-R, B-1-R, C-R, and D-R debt following payment in full on the Aug. 19, 2025, refinancing date. S&P also affirmed its ratings on the class X-R and B-2-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Oct. 17, 2025. -- The non-call period was extended to April. 17, 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-R2 debt. S&P said, "Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our 'BB- (sf)' rating on the class D-R2 debt (the same rating as class D-R 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-R2 notes, $310.00 million: Three-month CME term SOFR + 1.24000% -- Class A-2-R2 notes (deferrable), $70.00 million: Three-month CME term SOFR + 1.80000% -- Class B-1-R2 notes (deferrable), $20.00 million: Three-month CME term SOFR + 2.20000% -- Class C-R2 notes (deferrable), $25.00 million: Three-month CME term SOFR + 3.50000% -- Class D-R2 notes (deferrable), $21.50 million: Three-month CME term SOFR + 6.90000% Outstanding debt -- Class X-R notes , $0.45 million: Three-month CME term SOFR + 1.10000% -- Class A-1-R notes, $310.00 million: Three-month CME term SOFR + 1.49000% -- Class A-2-R notes (deferrable), $70.00 million: Three-month CME term SOFR + 1.91000% -- Class B-1-R notes (deferrable), $20.00 million: Three-month CME term SOFR + 2.56000% -- Class B-2-R notes (deferrable), $10.00 million: 3.40000% -- Class C-R notes (deferrable), $25.00 million: Three-month CME term SOFR + 3.91000% -- Class D-R notes (deferrable), $21.50 million: Three-month CME term SOFR + 7.12000% 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 Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue) Class A-1-R2, $310.00 million: AAA (sf) Class A-2-R2, $70.00 million: AA (sf) Class B-1-R2 (deferrable), $20.00 million: A (sf) Class C-R2 (deferrable), $25.00 million: BBB- (sf) Class D-R2 (deferrable), $21.50 million: BB- (sf) Ratings Withdrawn Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue) Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AA (sf)' Class B-1-R to NR from 'A (sf)' Class C-R to NR from 'BBB- (sf)' Class D-R to NR from 'BB- (sf)' Ratings Affirmed Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue) Class X-R: AAA (sf) Class B-2-R: A (sf) Other Debt Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue) Subordinated notes A, $32.55 million: NR Subordinated notes B, $24.75 million: NR NR--Not rated. GS MORTGAGE 2025-NQM3: DBRS Gives (P)Bsf Rating to Class B-2 Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to GS Mortgage-Backed Securities Trust 2025-NQM3 (GSMBS 2025-NQM3 or the Trust) as follows: -- $278.0 million Class A-1 at (P) AAA (sf) -- $25.6 million Class A-2 at (P) AA (high) (sf) -- $32.1 million Class A-3 at (P) A (sf) -- $13.5 million Class M-1 at (P) BBB (sf) -- $9.3 million Class B-1 at (P) BB (high) (sf) -- $7.6 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Class A-1 certificates reflects 25.00% of credit enhancement provided by subordinate certificates. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 18.10%, 9.45%, 5.80%, 3.30%, and 1.25% 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 GSMBS 2025-NQM3, which is backed by 939 loans with a total principal balance of approximately $390,213,081 as of the Cut-Off Date (August 1, 2025). The pool is, on average, eight months seasoned with loan ages ranging from six to 31 months. The Mortgage Loan Seller acquired approximately 32.5% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-Off Date, from United Wholesale Mortgage, LLC. 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 97.5% and 2.5% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian and Securities Administrator. U.S. Bank Trust N.A. will act as Delaware Trustee. As of the Cut-Off Date, 99.3% 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, 57.2% of the loans by balance are designated as non-QM. Approximately 42.5% 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 0.3% of the pool are designated as QM Safe Harbor (by unpaid principal balance), and there are no QM Rebuttable Presumption loans. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent 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, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Certificates) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date on which the balance of mortgage loans falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption), purchase all of the outstanding Certificates at the price described in the transaction documents. 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 and then in reduction of the Class A-1 balance before a similar allocation to the Class A-2 (IPIP). For the 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-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1, A-2, and A-3 certificates coupon rates step-up by 100 basis points on and after the payment date in September 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-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. The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) 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). The provisional credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence review. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amount, Interest Carryforward Amount, and the Class Principal Balance. Morningstar DBRS' credit ratings on Class A-1, A-2, and A-3 certificates also address the credit risk associated with the increased rate of interest applicable to the certificates if they remain outstanding on the step-up date (September 2029) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. GS MORTGAGE 2025-NQM3: S&P Assigns Prelim 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage Backed Securities Trust 2025-NQM3's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, co-operatives, and condotels. The pool consists of 939 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Aug. 19, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P's economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned GS Mortgage Backed Securities Trust 2025-NQM3 Class A-1, $278,026,000: AAA (sf) Class A-2, $25,579,000: AA (sf) Class A-3, $32,066,000: A (sf) Class M-1, $13,530,000: BBB (sf) Class B-1, $9,268,000: BB (sf) Class B-2, $7,599,000: B (sf) Class B-3, $4,634,426: NR Class X(i): NR Class SA, $106,816(ii): NR Class PT, $370,702,426 Class R, N/A: NR (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period, which initially is $370,702,426. (ii)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. Entitled to the class SA monthly remittance amount, if any. NR--Not rated. HOMES 2025-NQM4: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and 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." 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 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. HPS LOAN 2025-26: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned ratings to HPS Loan Management 2025-26 Ltd./HPS Loan Management 2025-26 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated, speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by HPS Investment Partners LLC. The 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 HPS Loan Management 2025-26 Ltd./HPS Loan Management 2025-26 LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $46.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $36.75 million: NR NR--Not rated. HPS PRIVATE 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from HPS Private Credit CLO 2023-1 LLC, a CLO originally issued in June 2023 that is managed by HPS Investment Partners LLC. S&P Global Ratings did not rate the original transaction. The preliminary ratings are based on information as of Aug. 18, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 22, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the replacement debt. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow 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 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 HPS Private Credit CLO 2023-1 LLC Class A-1-R, $175.0 million: AAA (sf) Class A-L-R loans, $260.0 million: AAA (sf) Class A-2-R, $30.0 million: AAA (sf) Class B-R, $45.0 million: AA (sf) Class C-R (deferrable), $60.0 million: A (sf) Class D-1-R (deferrable), $45.0 million: BBB (sf) Class D-2-R (deferrable), $15.0 million: BBB- (sf) Class E-R (deferrable), $30.0 million: BB- (sf) Other Outstanding Debt HPS Private Credit CLO 2023-1 LLC Subordinated notes, $93.9 million: Not rated ICG US 2025-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2025-1 Ltd./ICG US CLO 2025-1 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 ICG Debt Advisors LLC. The preliminary ratings are based on information as of Aug. X, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ICG US CLO 2025-1 Ltd. /ICG US CLO 2025-1 LLC Class A-1, $240.00million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $37.40 million: Not rated INVESCO CLO 2022-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC, a CLO managed by Invesco CLO Equity Fund 3 L.P. that was originally issued in June 2022. At the same time, S&P withdrew its ratings on the class A-1, B, C, D, and E debt following payment in full on the Aug. 15, 2025, refinancing date (S&P did not rate the original class A-2 debt). 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 Aug. 15, 2026. -- No additional assets were purchased on the Aug. 15, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $248.00 million: Three-month CME term SOFR + 1.15% -- Class A-2-R, $12.00 million: Three-month CME term SOFR + 1.45% -- Class B-R, $44.00 million: Three-month CME term SOFR + 1.68% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.95% -- Class E-R (deferrable), $13.50 million: Three-month CME term SOFR + 6.25% Original debt -- Class A-1, $248.00 million: Three-month CME term SOFR + 1.44% -- Class A-2, $12.00 million: Three-month CME term SOFR + 1.75% -- Class B, $44.00 million: Three-month CME term SOFR + 2.15% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.40% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 3.75% -- Class E (deferrable), $13.50 million: Three-month CME term SOFR + 7.45% 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 Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC Class A-1-R, $248.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC Subordinated notes, $39.50 million: NR NR--Not rated. INVESCO US 2025-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Invesco U.S. CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2025-2, Ltd. 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 Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Invesco U.S. CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5 L.P. 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 23.43 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 97.58% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 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 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, and 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 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'A+sf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JP MORGAN 2025-NQM3: DBRS Gives Prov. B(low) Rating on B2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to J.P. Morgan Mortgage Trust 2025-NQM3 (the Trust) as follows: -- $329.4 million Class A-1A at (P) AAA (sf) -- $51.8 million Class A-1B at (P) AAA (sf) -- $381.2 million Class A-1 at (P) AAA (sf) -- $34.7 million Class A-2 at (P) AA (high) (sf) -- $43.8 million Class A-3 at (P) A (high) (sf) -- $25.6 million Class M-1A at (P) BBB (high) (sf) -- $6.7 million Class M-1B at (P) BBB (low) (sf) -- $14.2 million Class B-1 at (P) BB (low) (sf) -- $8.0 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate, while the Class A-1A and A-1B are the depositible certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Mortgage Pass-Through Certificates, Series 2025-NQM3 (the Certificates) reflect 26.40% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) credit ratings reflect 19.70%, 11.25%, 6.30%, 5.00%, 2.25%, and 0.70% 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 Certificates. The Certificates are backed by 1363 loans with a total principal balance of approximately $517,903,612 as of the Cut-Off Date (July 1, 2025). The pool is, on average, four months seasoned with loan ages ranging from one to 81 months. The Mortgage Loan Seller acquired approximately 62.9% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-off Date, from United Wholesale Mortgage, LLC (UWM) and Deephaven Mortgage LLC, respectively. All the other originators individually comprised less than 15% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint Mortgage Servicing will service approximately 77.6% of the loans and Selene Finance LP will service 16.9% of the loans. Cenlar FSB will act as subservicer with respect to all of the Mortgage Loans serviced by UWM and AmeriHome. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 53.9% of the loans by balance are designated as non-QM. Approximately 45.8% 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 0.3% of the pool are designated as QM Safe Harbor, and none are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. 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 EU/UK Retention Holder will retain at least 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Cleanup Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any noninterest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on any distribution sate on or after the date that is the earlier of (1) three years after the Closing Date or (2) the date on which the balance of mortgage loans and REO properties falls to or less than 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of 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-1A then A-1B followed by a reduction of the Class A-1A then A-1B certificate balances, 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-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-1A, A-1B, A-2, A-3, M-1A, and M-1B (and B-1 if issued with fixed rate). Of note, the Class A-1A, A-1B, 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-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step-up. 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 has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) 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. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. 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. JPMCC 2016-JP3: Fitch Lowers Rating on Class C Certs to 'B-sf' -------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed five classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 (JPMCC 2016-JP3) commercial mortgage pass-through certificates. Fitch has assigned Negative Rating Outlooks to three classes following the downgrades and the Outlook remains Negative on class A-S. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP3 A-4 46590RAD1 LT AAAsf Affirmed AAAsf A-5 46590RAE9 LT AAAsf Affirmed AAAsf A-S 46590RAJ8 LT AAAsf Affirmed AAAsf A-SB 46590RAF6 LT AAAsf Affirmed AAAsf B 46590RAK5 LT BBB-sf Downgrade Asf C 46590RAL3 LT B-sf Downgrade BBB-sf D 46590RAP4 LT CCCsf Downgrade Bsf E 46590RAR0 LT CCsf Downgrade CCCsf F 46590RAT6 LT Csf Downgrade CCsf X-A 46590RAG4 LT AAAsf Affirmed AAAsf X-B 46590RAH2 LT BBB-sf Downgrade Asf X-C 46590RAM1 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Increasing 'Bsf' Loss Expectations: The downgrades reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by value degradation of specially serviced loans Westfield San Francisco Centre (7.0% of the pool), National Business Park (3.3%), 1 Kaiser Plaza (7.0%) and Centrica (2.2%). Deal-level 'Bsf' rating case losses have increased to 14.37% from 7.34% at the prior rating action. Fitch Loans of Concern (FLOCs) comprise 10 loans (33.7% of the pool) including three loans in special servicing (17.3%). The Negative Outlooks reflect the elevated office concentration of 44.3% and the potential for downgrades should performance of the specially serviced loans and office FLOCs, West LA Office - 1950 Sawtelle Boulevard (1.1%) and Fort Wayne Office Portfolio (0.6%), fail to stabilize, deteriorate further or if there are prolonged workouts of loans in special servicing. Fitch's analysis also incorporated an additional sensitivity scenario that factored in an outsized loss on the Westfield San Francisco Centre loan, which contributed to the Negative Outlooks. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. Largest Contributors to Loss: The largest increase in loss since the prior rating action and the largest overall contributor to loss is the Westfield San Francisco Centre loan, which is secured by a 553,366-sf retail and 241,155-sf office portion of a 1,445,449-sf super regional mall located in San Francisco's Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The sponsors have cited operating challenges in downtown San Francisco contributing to deteriorating sales, reduced occupancy and decreasing foot traffic. The receiver is working with the municipality, BART, and the Union Square Alliance to address life/safety issues at the property and in the neighborhood. Bloomingdale's, the non-owned anchor, closed in April 2025 following the prior departure of anchor tenant Nordstrom (21.5% of the total mall NRA) in October 2023. Mall occupancy has fallen to 18.5% as of September 2024 and is expected to decline further with other tenants anticipated to vacate. The mall has reported negative cash flow with a September 2024 NOI DSCR of -0.79x, down from 1.02x as of September 2023. Fitch's 'Bsf' rating case loss of approximately 75% (prior to concentration add-ons) assumes a stress to the most recent appraisal value due to deteriorating occupancy (and is approximately 79% below the appraisal value at issuance), and equates to a recovery value of $169 psf. Fitch also performed an additional sensitivity scenario to account for potential outsized losses with continued deterioration in performance and recoverability, which contributed to the Negative Outlooks. The National Business Park loan represents the second largest increase in expected loss since the prior rating action and is the second largest overall contributor to loss. The loan is secured by a leasehold interest in a 450,543-sf portfolio comprising five office buildings in Princeton, NJ. In August 2023, the loan was transferred to the special servicer due to imminent monetary default, with a receiver appointed to manage the assets. As of December 2024, occupancy was 53%, and cash flow has remained insufficient to cover operating expenses. The collateral is subject to ground leases with maturity dates in 2037 with two 10-year extension options. The short-term nature of these leases along with the uncertainty of the ground rent during the extension periods are primary factors contributing to the significant impairment to value. Modification discussions with the borrower have ended as the borrower is no longer willing to contribute additional equity to stabilize the assets. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) reflects a full loss to the loan given the substantial risk caused by the encumbrance of the short-term ground leases. The third largest contributor to expected loss is the 1 Kaiser Plaza loan, secured by a 537,811-sf office tower in downtown Oakland, CA. The building is primarily occupied by Kaiser Foundation Health Plan which represents 44% of the building NRA on a lease through December 2027. Kaiser had previously occupied 69% of the building until they exercised an option to downsize in July 2024 resulting in building occupancy falling to 54% as of July 2024 from 83% at YE 2023. As of March 2025, NOI DSCR was reported to be 1.98x, down from 2.14x at YE 2024 and 2.74x as of YE 2023. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 28% reflects the YE 2024 NOI, elevated 10% cap rate and factors a higher probability of default to account for the decline in performance and heightened refinance risk. The fourth largest contributor to expected loss is the Centrica loan which is secured by a 116,982-sf office building located in Mesa, AZ. The loan transferred to special servicing in May 2024 due to imminent default. The property was fully leased to a single tenant, Santander, on a lease through September 2026. The tenant vacated in September 2024. A receiver has been appointed to manage the property. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 74% reflects a stress to the most recent appraisal value, which equates to a recovery value of $41 psf, and represents an 84% decline from the appraisal value at issuance. Increase to Credit Enhancement: As of the July 2025 distribution date, the pool's aggregate principal balance has paid down by 29.4% to $859.3 million from $1.22 billion at issuance. Twelve loans in the transaction are defeased (15.6%). Cumulative interest shortfalls totaling $6.0 million are affecting classes D, E, F and the non-rated NR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are likely if a long-term lease is not signed by the largest tenant Kaiser at 1 Kaiser Plaza, if loans expected to refinance default at maturity and if there is an additional transfer of office loans West LA Office - 1950 Sawtelle Boulevard and Fort Wayne Office Portfolio to special servicing; - Downgrades to classes rated in the 'AAsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity; - Downgrades to the 'BBBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern include Westfield San Francisco Centre, 1 Kaiser Plaza, National Business Park, Centrica, and West LA Office - 1950 Sawtelle Boulevard; - Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs; - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls; - Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, if recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 45A: Moody's Assigns B3 Rating to $250,000 Class F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and one class of loans incurred (collectively, the "Refinancing Debt") by KKR CLO 45a Ltd. (the Issuer): US$4,300,000 Class X Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$30,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$226,000,000 Class A-LR Loans maturing 2038, Assigned Aaa (sf) US$250,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued debt is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. KKR Financial Advisors II, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Debt and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2959 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. MARBLE POINT XIV: Moody's Cuts Rating on $24.2MM Cl. E Notes to B2 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Marble Point CLO XIV Ltd.: US$24,200,000 Class E Mezzanine Deferrable Floating Rate Notes due 2032, Downgraded to B2 (sf); previously on Aug 14, 2020 Downgraded to B1 (sf) Marble Point CLO XIV Ltd., originally issued in December 2018 and partially refinanced in January 2021 and March 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2025 report[1], the OC ratio for the Class E notes is reported at 102.78% versus August 2024 level of 104.29%[2]. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 2945[3], compared to 2893 in August 2024[4]. No actions were taken on the Class A-1-2R, Class A-2-R, Class B-R, Class C 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: $321,340,264 Defaulted par: $3,554,738 Diversity Score: 62 Weighted Average Rating Factor (WARF): 2945 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.29% Weighted Average Recovery Rate (WARR): 45.96% Weighted Average Life (WAL): 3.84 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MERRILL LYNCH 2006-HE5: Moody's Ups Rating on 2 Tranches to Caa3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds and downgraded the rating of one bond issued by Merrill Lynch Mortgage Investors Trust Series 2006-HE5. The collateral backing this deal consists of subprime mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE5 Cl. A-1, Downgraded to Caa1 (sf); previously on May 6, 2022 Upgraded to Baa2 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 19, 2010 Confirmed at Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or 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. The rating downgrade of Class A-1 is due to outstanding credit interest shortfalls that are unlikely to be reimbursed. Interest is distributed pro-rata across all Class A certificates, resulting in interest shortfalls on Class A-1 stemming from overall deal undercollateralization. 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. MF1 2021-FL6: DBRS Confirms B Rating on Class G Notes ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by MF1 2021-FL6, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) At the same time, Morningstar DBRS changed the trends on Classes B, C, and D to Positive from Stable. The trends on all other classes are Stable. The rating confirmations reflect the increased credit support to the notes as there has been a collateral reduction of 43.6% since issuance. The transaction became static in August 2023 following the post-closing two-year reinvestment period. The transaction also benefits from being composed primarily of loans backed by multifamily collateral, which has historically proven to better retain property value and cash flow compared with other property types. In the analysis for the review, Morningstar DBRS determined the majority of individual borrowers are progressing with their business plans to increase property cash flow and property value; however, some borrowers' business plans and loan exit strategies have lagged for a variety of factors, including increased construction costs, slowed rent growth, and increased debt service costs, which has increased the execution risk. The unrated, first-loss note of $95.9 million provides significant cushion against realized losses should the increased risks for those loans ultimately result in defaults and dispositions. Since Morningstar DBRS' last review in May 2025, an additional three loans, SF Multifamily Portfolio I (Prospectus ID#56), SF Multifamily Portfolio III (Prospectus ID#37), and Riverhaus Creekside (Prospectus ID#41), have all repaid, for a combined paydown of approximately $60.9 million and resulting in increased credit support throughout the capital stack. In addition, according to the Q1 2025 collateral manager's report, several of the remaining loans have been stabilized or are approaching stabilization, with the majority of these loans scheduled to mature in the next 12 months. In the event that these loans do successfully repay at their schedule maturities further improving the credit enhancement levels on Classes B, C, and D, credit rating upgrades may be warranted, supporting the Positive trends. 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 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@dbrsmorningstar.com. The initial collateral consisted of 37 floating-rate mortgages secured by 50 mostly transitional properties with a cut-off date balance totaling $993.2 million. Most loans were in a period of transition with plans to stabilize performance and improve values for the underlying assets. The trust reached its maximum funded balance of $1.30 billion in October 2021. As of the June 2025 remittance, the pool comprises 25 loans secured by 30 properties with a cumulative trust balance that has amortized down to $733.5 million. Since issuance, 37 loans with a prior cumulative trust balance of $1.1 billion have been successfully repaid from the pool, including 14 loans totaling $417.6 million that have repaid since the previous Morningstar DBRS press release in September 2024. One loan, Oltera in South East (Prospectus ID#62; 4.3% of the pool), was added to the trust in February 2025. The transaction is concentrated by property type as 23 loans, representing 87.9% of the current trust balance, are secured by multifamily properties with the remaining two loans (12.1% of the current trust balance) secured by healthcare properties. In comparison, when the previous Morningstar DBRS Surveillance Performance Update for the transaction was published in September 2024, multifamily properties represented 92.1% of the collateral and healthcare properties represented 7.9% of the collateral. The pool is secured primarily by properties in suburban markets, as defined by Morningstar DBRS, with 18 loans, representing 75.1% of the pool, assigned a Morningstar DBRS Market Rank of 3, 4, or 5. An additional five loans, representing 16.6% of the pool, are secured by properties with Morningstar DBRS Market Ranks of 6, 7, or 8, denoting urban markets, while two loans, representing 8.3% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 2, denoting tertiary markets. In comparison, in September 2024, properties in suburban markets represented 60.1% of the collateral, properties in urban markets represented 30.1% the collateral, and properties in tertiary markets represented 9.8% of the collateral. As of the June 2025 reporting, leverage across the pool has remained consistent with the issuance and September 2024 metrics. The current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 73.3%, with a current WA stabilized LTV of 67.3%. In comparison, these figures were 70.6% and 65.5%, respectively, at issuance and 71.2% and 66.3%, respectively, as of September 2024. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environments. In the analysis for this review, Morningstar DBRS applied LTV adjustments to 18 loans, representing 72.6% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. Through June 2025, the lender had advanced cumulative loan future funding of $85.0 million to 17 of the 25 outstanding individual borrowers to aid in property stabilization efforts. The largest advance, $8.9 million, has been made to the borrower of the LA Multifamily Portfolio III loan (Prospectus ID#34; 1.5% of the pool). The loan is secured by a portfolio of 14 multifamily properties totaling 251 units in Los Angeles. The advanced funds have been used to fund the borrower's extensive $31.8 million planned capital expenditure plan across the portfolio. The Q1 2025 collateral manager's report noted the borrower had completed 97 of the total 251 planned unit upgrades. The sponsor, Veritas Investment Group (Veritas), had backed four portfolio loans in this transaction with a cumulative trust balance of $72.6 million (6.5% of the pool) at the September 2024 review. Since then, three of the loans have successfully repaid from the trust. An additional $56.3 million of loan future funding allocated to 12 of the outstanding individual borrowers remains available. The vast majority of available funding ($22.2 million) is also allocated to the LA Multifamily Portfolio III loan. As of the June 2025 remittance, three loans, representing 10.6% of the pool, are in special servicing. The largest of these loans, Palm Valley (Prospectus ID#39; 4.5% of the pool), is secured by a 264-unit apartment community in Goodyear, Arizona. The loan transferred to the special servicer in April 2025, however, no special servicing comments were made available. As of the Q1 2025 collateral manager's update, the planned unit renovations are nearly complete. In October 2023, the loan was modified to waive extension requirements and the borrower contributed approximately $600,000 to reserves. The loan had a scheduled maturity in July 2024 with a fully extended maturity in July 2026. In addition, 21 loans, representing 86.7% of the current trust balance are on the servicer's watchlist. The loans have been flagged primarily for below breakeven debt service coverage ratios and upcoming loan maturities. Performance declines noted in the pool are expected to be temporary as multifamily units are being made unavailable by respective borrowers to complete interior renovations. In the next 12 months, 22 loans, representing 92.0% of the current trust balance, are scheduled to mature. According to the June 2025 remittance, five of the individual borrowers are expected to exercise loan extension options. Other borrowers' plans at maturity remain to be determined. Morningstar DBRS expects borrowers and lenders to negotiate mutually beneficial loan modifications to extend loans if property performance does not qualify to exercise the related options. Modification terms would likely include fresh sponsor equity to fund principal curtailments, fund carry reserves, or purchase new interest rate cap agreements. Seven loans, representing 27.8% of the current trust balance, have been modified. The modifications have generally allowed borrowers to exercise loan extension options by amending loan terms in return for fresh equity deposits and the purchase of a new interest rate cap agreement. The most common amendments include the removal of performance-based tests and changes to the required strike price on the purchase of a new interest rate cap agreement. Notes: All figures are in U.S. dollars unless otherwise noted. MJX VENTURE II: Moody's Cuts Rating on Ser. F/Class E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by Venture XXX CLO, Limited: US$2,175,000 Series F/Class C Notes due 2031, Upgraded to Aa1 (sf); previously on November 14, 2023 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$1,575,000 Series F/Class E Notes due 2031, Downgraded to B1 (sf); previously on October 30, 2020 Downgraded to Ba1 (sf) The Series F/Class C Notes and Series F/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXX CLO, Limited (the "Underlying CLO"). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Series F/Class C notes is primarily a result of deleveraging of the Underlying CLO's senior notes and an improvement in the credit profiles of the related Underlying CLO Notes collateralizing the Series F/Class C Notes since July 2024. The Class A-1 notes of the Underlying CLO have been paid down by approximately 52.8% or $188.1 million since then. Based on the trustee's July 2025 report[1], the OC ratios for the Underlying CLO Class A/B and Class C notes are reported at 138.56% and 121.61%, respectively, versus July 2024 levels[2] of 128.61% and 117.86%, respectively. Moody's note that the July 2025 trustee-reported OC ratios do not reflect the July 2025 payment distribution[3], when $45.4 million of principal proceeds and $1.3 million of interest proceeds were used to pay down the Class A-1 Notes of the Underlying CLO. The downgrade rating action on the Series F/Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on the trustee's July 2025 report[4], the OC ratio for the Underlying CLO Class E notes is reported at 101.72% versus July 2024 level[5] of 103.98%. Furthermore, the trustee-reported weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 2942[6], compared to 2773 in July 2024[7]. No actions were taken on the Series F/Class A-1, Series F/Class A-2, Series F/Class B and Series F/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 for the Underlying CLO: Performing par and principal proceeds balance: $386,456,385 Defaulted par: $8,678,482 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3083 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.37% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.55% Weighted Average Life (WAL): 2.9 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 CLO's portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the Underlying CLO will also affect the performance of the rated notes. MORGAN STANLEY 2019-NUGS: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on three classes and affirmed the ratings on two CMBS classes in Morgan Stanley Capital I Trust 2019-NUGS as follows: Cl. A, Downgraded to Caa1 (sf); previously on Mar 7, 2025 Downgraded to Ba2 (sf) Cl. B, Downgraded to C (sf); previously on Mar 7, 2025 Downgraded to B3 (sf) Cl. C, Downgraded to C (sf); previously on Mar 7, 2025 Downgraded to Caa2 (sf) Cl. D, Affirmed C (sf); previously on Mar 7, 2025 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Mar 7, 2025 Downgraded to C (sf) RATINGS RATIONALE The ratings on three principal and interest (P&I) classes were downgraded primarily due to the loan's delinquent status, the increase in Moody's loan-to-value (LTV) resulting from weaker fundamentals in the downtown Denver office market and the increase in interest shortfalls from the significant appraisal reduction amount (ARA) recognized as of the July 2025 remittance date. The downgrades also reflect the potential for higher expected losses upon the ultimate loan resolution given the property's performance and market value data on comparable office properties. As of the July 2025 remittance date interest shortfalls impacted up to Cl. A and Moody's expects these shortfalls to continue due to the ARA caused by the recently reported appraisal value being 58% below the outstanding senior mortgage balance. The loan had previously remained current on its debt service payments through early 2025, however, as of the July 2025 remittance statement the loan was last paid through its May 2025 payment date. While Moody's cash flow expectations remain in-line with Moody's last review, the previous decline in cash flow from securitization combined with the significant increase in the floating interest rate since 2022 caused the uncapped net operating income (NOI) DSCR on the senior mortgage debt to decline to approximately 0.93X based on the trailing twelve month (TTM) period ending March 2025. Furthermore, the total debt DSCR (inclusive of the B-note and mezzanine debt) was below 0.70X and Moody's cash flow expectations take into account further expected decline in revenues from the recent and upcoming lease rollover. The interest only, floating rate loan is secured by a Class A office building in the Denver downtown submarket. The loan has been in special servicing since December 2022 after failing to payoff or extend at its extended maturity date. The property was 66% leased as of December 2024, compared to 72% in December 2023 and 87% at securitization. Furthermore, leases at the property representing 21% of the NRA expires through year-end 2026 and the Downtown Denver market fundamental have continued to deteriorate with a vacancy of 31.3% in Q2 2025 for Class A office, compared to 30.3% in year-end 2024 and 27.4% in 2023. The ratings on two P&I classes, Cl. D and Cl. E, were affirmed because the ratings are consistent with Moody's expected loss. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the July 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $277.1 million from securitization. The original interest only floating rate loan included three one-year extensions with a final maturity date in December 2024 and is secured by a 1,195,149 square feet (SF), Class A, office property comprised of 52-story tower and an adjoining 12-story garage located in the central business district (CBD) of Denver, Colorado. The property was also encumbered by $50.6 million of non-pooled B-note and $45.3 million of non-pooled mezzanine debt. The borrower previously exercised the loan's first extension option which extended the maturity date to December 2022, however, the loan transferred to special servicing at its extended December 2022 maturity. Subsequently, a receiver was appointed in August 2023 and CBRE was appointed as property manager to handle management and leasing. The property has seen continued declines in its occupancy since securitization after several large tenants downsized their spaces at the property. As of December 2024, the property was 66% leased, compared to 72% in December 2023 and 87% at securitization. The property's reported NOI in 2024 was $16.7 million, 21% lower than the reported NOI in 2023 and 29% lower than the TTM NOI reported as of September 2019. Based on the 2024 reported NOI, the senior mortgage loan balance of $277.1 million had a DSCR of 1.00X (based on the current SOFR rate) but further decreased to approximately 0.93X based on the TTM NOI ending March 2025. The total debt DSCR (inclusive of the non-pooled B-note and mezzanine debt) would be at 0.62X based on the TTM NOI ending March 2025. The property also faces further lease rollover accounting for approximately 12% of the NRA though year-end 2025 and an additional 9% through the end of 2026. Due to the recent occupancy trends, lease rollover and current interest rate environment Moody's expects the senior mortgage debt to continue its decline further below 1.00X. The property is well-located in the Denver CBD, however, the office market vacancies of Downtown Denver have increased significantly since securitization. According to CBRE Econometric Advisors, the Downtown submarket in Denver included 30.2 million SF of Class A office space as of Q2 2025 with a vacancy of 31.3%, up from a vacancy rate of 30.3% as of Q4 2024, and significantly higher than the vacancy rate of 11.1% in 2019. The Downtown Denver office submarket has seen consecutive years of negative net absorption since 2020. Given the property's size and weak office fundamentals in the Denver downtown market, there is uncertainty in the ability of the property to lease-up its vacant space. An updated appraised value reported as of the July 2025 remittance report showed a 34% decline from 2024 appraised value and a 76% decline from securitization. The updated appraised value was also 58% lower than the outstanding balance of the senior mortgage, which has caused an ARA of $171.8 million as of the July 2025 remittance report. Moody's NCF remained unchanged from Moody's last review at $12.5 million and Moody's capitalization rate was increased due to weaker market fundamentals and valuation data on comparable office properties in Downtown Denver market. Moody's LTV ratio for the senior mortgage balance is 266% based on Moody's Value. Adjusted Moody's LTV ratio for the senior mortgage balance is 255% based on Moody's Value using a cap rate adjusted for the current interest rate environment. As of the July 2025 remittance, there are outstanding interest shortfalls totaling $4.9 million affecting up to Cl. A and no losses have been realized as of the current distribution date. MORGAN STANLEY 2025-C35: Fitch Assigns 'B-sf' Rating on F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust 2025-C35, Commercial Mortgage Pass-Through Certificates, Series 2025-C35 as follows: - $10,227,000 class A-1 'AAAsf'; Outlook Stable; - $12,539,000 class A-SB 'AAAsf'; Outlook Stable; - $99,123,000a class A-4 'AAAsf'; Outlook Stable; - $0a class A-4-1 'AAAsf'; Outlook Stable; - $0a class A-4-2 'AAAsf'; Outlook Stable; - $0ab class A-4-X1 'AAAsf'; Outlook Stable; - $0ab class A-4-X2 'AAAsf'; Outlook Stable; - $296,542,000a class A-5 'AAAsf'; Outlook Stable; - $0a class A-5-1 'AAAsf'; Outlook Stable; - $0a class A-5-2 'AAAsf'; Outlook Stable; - $0ab class A-5-X1 'AAAsf'; Outlook Stable; - $0ab class A-5-X2 'AAAsf'; Outlook Stable; - $418,431,000b class X-A 'AAAsf'; Outlook Stable; - $67,248,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $29,141,000a class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $23,163,000a class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $119,552,000b class X-B 'A-sf'; Outlook Stable; - $18,680,000c class D 'BBB-sf'; Outlook Stable; - $18,680,000bc class X-D 'BBB-sf'; Outlook Stable; - $10,461,000c class E 'BB-sf'; Outlook Stable; - $10,461,000bc class X-E 'BB-sf'; Outlook Stable; - $7,472,000cd class F-RR 'B-sf'; Outlook Stable; The following class was not rated by Fitch: - $23,163,423cd class G-RR a. Exchangeable certificates. The class A-4, class A-5, class A-S, class B and class C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates b. Notional amount and interest only. c. Privately placed and pursuant to Rule 144A. d. The class F-RR and G-RR certificates represent an eligible horizontal risk retention interest totaling approximately 3.1500% of the fair value of all the certificates. Additionally, the retaining sponsor is expected to purchase an eligible vertical risk retention interest representing approximately 1.9212% of the aggregate fair value of all the certificates. Transaction Summary The certificates represent the beneficial ownership interest in the trust whose primary assets are 40 loans secured by 65 commercial properties, with an aggregate principal balance of $597,759,423 as of the cut-off date. The loans were contributed to the trust by Bank of America, N.A., Morgan Stanley Mortgage Capital Holdings, LLC, Argentic Real Estate Finance 2 LLC, Starwood Mortgage Capital LLC and, Citi Real Estate Funding Inc. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Argentic Services Company LP. Computershare Trust Company, N.A. is the trustee and the certificate administrator. The operating advisor and asset representations reviewer is Park Bridge Lender Services, LLC. The certificates will follow a sequential-paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.7% of the loans by balance, cash flow analysis of 86.4% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 86.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $67,331,936 represents a 14.9% decline from the issuer's aggregate underwritten NCF of $79,121,442. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 90.0% is higher than the 2025 YTD 10-year multiborrower transaction average of 88.2% and the 2024 10-year multiborrower transaction average of 84.5%. The pool's Fitch NCF debt yield (DY) of 11.3% is lower than the 2025 YTD average of 12.3% and the 2024 average of 12.3% Investment Grade Credit Opinion Loans: Four loans representing 24.1% of the pool by balance received investment grade credit opinion. BioMed MIT Portfolio (10.0% of the pool) received an investment grade credit opinion of 'A-sf*' on a standalone basis, Marriott World Headquarters (8.8%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis, Washington Square (3.5%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis, and Discovery Business Center (1.8%) received an investment grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than the 2025 YTD average of 20.6% and the 2024 average of 21.4% for 2024 transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 95.3% and 11.2%, respectively. Lower Pool Concentration: The pool's effective loan count is 22.4 which is higher than the 2025 YTD average of 21.0 and the 2024 10-year average of 20.8. The pool is concentration is slightly lower than recently rated Fitch transactions. The top 10 loans represent 61.1% of the pool, which is lower than the 2025 YTD multiborrower average of 62.4% and the 2024 average of 63.0%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. Effective property count was 5.2, in line with the YTD 2025 average of 5.2 and above the 2024 five-year multiborrower averages of 4.2. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BB+sf / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MOUNTAIN VIEW XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mountain View CLO XIX Ltd./Mountain View CLO XIX LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Seix Investment Advisors, a division of Virtus Fixed Income Advisers LLC. The preliminary ratings are based on information as of Aug. 14, 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 Mountain View CLO XIX Ltd./Mountain View CLO XIX LLC Class X, $4.0 million: AAA (sf) Class A-1, $252.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B, $44.0 million: AA (sf) Class C-1 (deferrable), $20.0 million: A+ (sf) Class C-2 (deferrable), $10.0 million: A (sf) Class D-1 (deferrable), $10.0 million: BBB+ (sf) Class D-2 (deferrable), $8.0 million: BBB- (sf) Class D-3 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $10.0 million: BB- (sf) Subordinated notes, $33.0 million: NR NR--Not rated. NEUBERGER BERMAN 40: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Aug. 15, 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 Aug. 15, 2026. -- The reinvestment period was extended to Oct. 16, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were 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 was 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 were amended. -- An additional $7.6 million in subordinated notes were issued on the refinancing date, taking the total balance to $58.8 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. 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 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) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 40 Ltd./ Neuberger Berman Loan Advisers CLO 40 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Neuberger Berman Loan Advisers CLO 40 Ltd./ Neuberger Berman Loan Advisers CLO 40 LLC Subordinated notes, $58.8 million: NR NR--Not rated. NEW MOUNTAIN 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the New Mountain CLO 3 Ltd. reset transaction. Entity/Debt Rating ----------- ------ New Mountain CLO 3 Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary New Mountain CLO 3 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by New Mountain Credit CLO Advisers, L.L.C. The original transaction closed in September 2021 and was not rated by Fitch. This is the first reset of New Mountain CLO 3, Ltd. On the first refinancing date, the existing secured notes will be redeemed in full. The net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured 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 24.34 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 99.46% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.87% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL (weighted average life) 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 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, 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, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for New Mountain CLO 3 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NEW MOUNTAIN IV: DBRS Confirms BB(low) Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on New Mountain Guardian IV Rated Feeder III, Ltd. (the Feeder Fund), including the Class A-2-a Senior Secured Deferrable Floating Rate Notes due 2037 at AA (low), Class A-2-b Senior Secured Deferrable Floating Rate Notes due 2037 at A (low), and Class C Secured Deferrable Floating Rate Notes due 2037 at BB (low) (together, the Rated Notes). All credit ratings have Stable trends. The credit ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS Morningstar DBRS could upgrade the credit ratings if the composition of the Main Fund were to (1) remain of a higher credit quality than anticipated; (2) include a higher percentage of first-lien senior secured loans; and/or (3) continue to remain highly diversified. Additionally, Morningstar DBRS could upgrade the credit ratings if the New Mountain Guardian IV BDC, L.L.C. (NMG IV or the Main Fund) senior secured debt facilities were paid down and terminated. Morningstar DBRS could downgrade the credit ratings if the asset analysis assessment were weaker than anticipated, which could be driven by (1) weaker-than-expected credit and/or recovery risk of individual investments, (2) significantly lesser diversity of portfolio investments than in the current pool, and/or (3) persistently lower fund asset coverage ratios (ACRs) than anticipated without a credible plan to remediate. Additionally, Morningstar DBRS could downgrade the investment-grade debt credit ratings if the fixed-charge coverage ratio were maintained at less than 1.5 times (x) for an extended period without a credible plan for remediation. CREDIT RATING RATIONALE The credit ratings are supported by the Feeder Fund's ownership in the Main Fund, which is considered a strategic investment vehicle managed by New Mountain Capital, LLC (NMC). The Main Fund is the fourth in a series of funds managed by NMC, wherein the previous funds have demonstrated a strong investment and performance track record. Given NMC's demonstrated track record of underwriting and risk management, as well as successful initial fundraising for the Main Fund, Morningstar DBRS assumes NMG IV will continue to ramp up as anticipated. Morningstar DBRS reviewed the loan-level details of the actual investments in the Main Fund. Specifically, Morningstar DBRS used its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and expected recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, and industry diversity and seniority of each debt investment. Morningstar DBRS privately assessed the credit quality of a majority of the debt investments in the Main Fund and used these assessments within its modeling tools. As investments are made within NMG IV, Morningstar DBRS expects to continue to assess the credit quality of a majority of the investments in the portfolio. These portfolio characteristics are aggregated to determine the ACR ranges applicable to the Rated Notes. The investments within NMG IV, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio (LTV) of about 35%. While the Main Fund is a business development company (BDC), it has a term and is not intended to be perpetual. It is similar to a general partner/limited partner fund, but with additional disclosure requirements consistent w/BDCs. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. The Main Fund uses leverage via asset-backed facilities and is expected to maintain fund-level leverage of approximately 0.75:1 at NMG IV post-ramp. The Main Fund also uses a subscription line. The advance rate of the subscription line is not expected to exceed 70%. This capital call facility is expected to serve as a liquidity facility only and will be paid down periodically as investors meet capital calls. NMC expects to pay down the subscription loan facility once NMG IV is fully called. Morningstar DBRS' analysis, which incorporates the aforementioned analytical factors, implies a credit rating of AA for the Class A-2-a Notes, "A" for the Class A-2-b Notes, and BB for the Class C Notes. This credit rating level incorporates a strong fund manager assessment, actual fund composition, assessment of credit quality on existing and anticipated investments, and quantitative modeling. Morningstar DBRS used the low end within the fund ACR ranges for the Rated Notes. The cumulative advance rates on the Rated Notes are based on the above assessment, resulting in a cumulative advance rate of 56% for the Class A-2-a Notes, 67% for the Class A-2-b Notes, and 79% for the Class C Notes. The cumulative advance rate for the Class A-2-a Notes of 56% conservatively assumes that the asset-backed facilities have been maximized, given the relatively higher implied credit rating of AA, while the cumulative advance rates for the Class A-2-b Notes and Class C Notes consider expected usage of the asset-backed facilities. The AA (low) credit rating on the Class A-2-a Notes, A (low) credit rating on the Class A-2-b Notes, and BB (low) credit rating on the Class C Notes are each one notch lower than the implied credit ratings mentioned above as a result of the effective subordination of the Rated Notes' claim on the Main Fund assets, and the senior position of the asset-backed facilities. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. NMEF FUNDING 2025-B: Fitch Assigns 'BBsf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the NMEF Funding 2025-B, LLC (NMEF 2025-B) notes. The transaction is a securitization of small- and mid-ticket commercial equipment leases and loans originated or acquired by North Mill Equipment Finance, LLC (NMEF). It is the second Fitch-rated transaction of the equipment contract backed notes issued under the NMEF platform. Entity/Debt Rating Prior ----------- ------ ----- NMEF Funding 2025-B A-1 62919WAA7 ST F1+sf New Rating F1+(EXP)sf A-2 62919WAB5 LT AAAsf New Rating AAA(EXP)sf B 62919WAC3 LT AAsf New Rating AA(EXP)sf C 62919WAD1 LT Asf New Rating A(EXP)sf D 62919WAE9 LT BBBsf New Rating BBB(EXP)sf E 62919WAF6 LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Diverse Segment Mix: The 2025-B transaction primarily consists of contracts secured by the following equipment types: all other (24.66%), medical (21.19%), vocational (11.66%), construction (11.27%) and franchise (11.05%). The medical equipment segment was first included in the 2019-A transaction and is the strongest performing segment to date. Similarly, 2025-B has also experienced a positive shift in credit tiers with approximately 82.84% in the best credits, tiers 1 and 2, compared with 81.32% in 2025-A. The weighted average (WA) FICO score is 746, the highest to date for the platform. Given the generally low obligor concentrations, the stress loss approach is the primary rating driver. Forward-Looking Approach to Derive Rating Case Loss Proxy: While default performance has been volatile historically, North Mill's managed portfolio and securitizations, net losses have largely improved due to shifts in collateral mix and improved credit tiering. Recent vintages have experienced marginally higher losses, attributable to the recent stress in the transportation sector. Fitch accounted for this volatility by assuming a stressed recovery rate and incorporating the performance of recent 2019-2021 vintages in its forward-looking rating case cumulative net loss (CNL) proxy derivation of 7.50%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 18.87% exposure to the transportation sector, higher than 18.42% for 2025-A, which has been under stress for over a year. The top 10 obligors represent 8.78% of the 2025-B pool, down from 11.46% in 2025-A; no obligors represent more than 1.44% of the pool. Initial credit enhancement (CE) to class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors, respectively, on a net coverage basis at close, under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2025-B is highest for the platform since 2019-A. Total initial hard CE for NMEF 2025-B class A, B, C, D, and E notes is 38.90%, 31.40%, 24.20%, 17.10%, and 11.70%, respectively, comprising subordination, a nondeclining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 10.70% of the initial discounted pool balance. Additionally, all classes benefit from 0.31% per annum of excess spread. At a 7.50% rating case CNL proxy, the transaction structure can support 5.0x, 4.0x, 3.0x, 2.0x, and 1.5x loss multiples for class A, B, C, D, and E notes, respectively. 2025-B is the first transaction for the platform to include a 'AAsf' tranche. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes North Mill has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. The 2025-B collateral pool also includes about 22% of Pawnee-originated assets. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 5.50%, based on its global economic outlook and asset class outlook and North Mill's managed pool and historical securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage available to the notes. Unanticipated decreases in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch increases the rating case CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. These analyses are intended to indicate the rating sensitivity of notes to an unexpected deterioration in a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings could be maintained for class A and D notes and upgraded by one rating category for class B, C, and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 100 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through via the link contained at the bottom of the related rating action commentary. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NMEF FUNDING 2025-B: Moody's Assigns Ba2 Rating to Class E Notes ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by NMEF Funding 2025-B, LLC (NMEF 2025-B). North Mill Equipment Finance LLC (NMEF) is the sponsor of the transaction, as well as the servicer of the securitized loan pool. Pawnee Leasing Corporation (Pawnee), whose assets were acquired by NMEF in 2025, originated roughly one fifth of the securitized pool. The notes are backed by a pool of loans and leases secured by mainly new and used medical, trucking/transportation equipment, and construction equipment. NMEF Funding 2025-B is NMEF's tenth ABS transaction and the fifth transaction rated by us. This is also NMEF's second equipment ABS issuance in 2025. The complete rating actions are as follows: Issuer: NMEF Funding 2025-B, LLC Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa1 (sf) Class C Notes, Definitive Rating Assigned Aa3 (sf) Class D Notes, Definitive Rating Assigned A3 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings of the notes are based on (1) the credit quality of the underlying equipment loan and lease including the types of equipment; (2) Moody's expectations of the pool's credit performance, informed by the historical performance of NMEF's prior securitizations and both NMEF's and Pawnee's managed portfolios; (3) the experience and expertise of NMEF as the originator and servicer of the pool to be securitized; (4) the back-up servicing arrangement with GreatAmerica Portfolio Services Group LLC; (5) the strength of the expected transaction structure, including the sequential-pay structure and levels of credit enhancement; and (6) the legal aspects of the transaction. Additionally, in assigning the definitive short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. The NMEF 2025-B collateral pool includes roughly 22% of assets originated by Pawnee. Moody's cumulative net loss expectation for the NMEF 2025-B collateral pool is 5.75%, 0.25% lower than that of the NMEF 2025-A collateral pool, due to improving collateral performance, a strong mix of collateral, and high seasoning of the Pawnee collateral segment. Moody's loss at a Aaa stress expectation for the NMEF 2025-B collateral pool is 32.0%, 2.0% higher than that of the 2025-A transaction, primarily due to the inclusion of Pawnee assets. Moody's cumulative net loss expectation and loss at a Aaa stress are based on Moody's analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including NMEF's and Pawnee's managed portfolios and prior securitizations, the track-record, ability and expertise of NMEF to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction including the current inflationary environment, uncertainty surrounding tariffs and consumer demand, which is pressuring the margins of operators in the transportation sector. The classes of notes are paid sequentially. The Class A, Class B, Class C, and Class D, and Class E notes benefit from approximately 38.90%, 31.40%, 24.20%, 17.10%, and 11.70% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except for the Class E), (2) over-collateralization (OC) of 10.70% of the initial adjusted discounted pool balance with an OC target of 18.50% of the outstanding adjusted discounted pool balance subject to a 0.50% OC floor, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure, target OC level and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the Class B, Class C, Class D, and Class E Notes if levels of credit enhancement are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected of the value of the equipment that secure the obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or a greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy or the condition of the trucking and transportation industries could also negatively affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the Class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. OAKWOOD MORTGAGE 1998-D: S&P Affirms 'BB' Rating on A-1 ARM Notes ----------------------------------------------------------------- S&P Global Ratings reviewed three ratings from three U.S. manufactured housing ABS transactions issued by Oakwood Mortgage Investors Inc. (series 1998-D), OMI Trust 1999-D, and OMI Trust 2000-C. S&P raised its ratings on the A-1 certificates for OMI Trust 2000-C and OMI Trust 1999-D. At the same time, S&P affirmed its rating on Oakwood Mortgage Investors Inc.'s series 1998-D A-1 ARM certificates. The collateral pools backing the transactions consist of manufactured housing loans originated by Oakwood Acceptance Corp. LLC. The transactions are serviced by Vanderbilt ABS Corp., which began servicing these transactions in April 2004. S&P said, "The upgrades reflect our assessment of the growth in credit enhancement for the affected classes in the form of subordination, which we expect will mitigate the impact of losses that are higher than originally expected for these pools. We also took into consideration the relatively short estimated time horizon for the notes to be paid in full." Table 1 Collateral Performance (%) As of the July 2025 distribution date Series Mo. Current Current 60+ day PF (%) CNL (%) delinq. (%)(i) 1998-D 321 1.11 31.37 0.54 1999-D 311 1.56 32.46 3.16 2000-C 298 1.67 37.14 4.91 (i)Aggregate 60-plus-day delinquencies as a percentage of the current pool balance. Mo.--months. PF--Pool factor. CNL--cumulative net loss. Table 2 CNL Expectations for Oakwood Mortgage Investors Inc. and OMI transactions (%) Revised lifetime Series CNL exp.(i) 1998-D Up to 31.50 1999-D 32.50-33.00 2000-C 37.25-37.75 (i)As of August 2025. Table 3 Hard Credit Support Series Prior total hard Current total hard credit support credit support (% of current)(i) (%)(ii)(iii) 1998-D 97.46 97.10 1999-D 15.79 24.62 2000-C 51.66 67.73 (i)As of the July 2024 distribution date. (ii)As of the July 2025 distribution date. (iii)The current hard credit support consists solely of subordination. Prior and current total hard credit support exclude excess spread, if any. For the Oakwood Mortgage Investors Inc. series 1998-D transaction, hard credit enhancement (HCE) in the form of subordination provided by the class M-1 certificates has remained stable as a percentage of the current pool balance. However, the class M-1 certificates are amortizing at a faster rate than the class A-1 ARM certificates are being paid down. If the balance of the M-1 certificates continues to decrease faster than the balance of the class A-1 ARM certificates, the class A-1 ARM certificates' available HCE is likely to decline and the A-1 ARM certificates could miss their legal final maturity date of Jan. 15, 2029. As a result, S&P has affirmed its rating on the class A-1 ARM certificates at 'BB (sf)'. S&P said, "We will continue to monitor the performance of the transactions relative to their cumulative net loss expectations and the available credit enhancement. We will take rating actions as we consider appropriate." RATINGS RAISED OMI Trust 2000-C Class A-1 to 'A+ (sf)' from 'B- (sf)' OMI Trust 1999-D Class A-1 to 'B+ (sf)' from 'CCC- (sf)' RATINGS AFFIRMED Oakwood Mortgage Investors Inc. 1998-D Class A-1 ARM: BB (sf) OCP CLO 2023-27: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OCP CLO 2023-27, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- OCP CLO 2023-27, Ltd. A-1R2 LT AAAsf New Rating A-2R2 LT AAAsf New Rating A-R Loans LT PIFsf Paid In Full AAAsf B-R 67570KAC8 LT PIFsf Paid In Full AA+sf B-R2 LT AAsf New Rating C-R 67570KAE4 LT PIFsf Paid In Full A+sf C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating D-R 67570KAG9 LT PIFsf Paid In Full BBB+sf E-R 67570LAA0 LT PIFsf Paid In Full BB+sf E-R2 LT BB-sf New Rating Transaction Summary OCP CLO 2023-27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Onex Credit Partners, LLC. This is the second refinancing where the existing secured notes will be refinanced in whole on August 15, 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 22.56 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.82% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 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 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 between 'BBB+sf' and 'AA+sf' for class A-1R2, between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, and between less than 'B-sf' and 'BB+sf' for class D-2R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R2 and class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1R2, and 'A-sf' for class D-2R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for OCP CLO 2023-27, 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. OCP CLO 2025-44: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2025-44 Ltd./OCP CLO 2025-44 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC, a subsidiary of Onex Corp. The 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 OCP CLO 2025-44 Ltd./OCP CLO 2025-44 LLC Class A, $315.0 million: AAA (sf) Class B, $65.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $22.5 million: BBB+ (sf) Class D-2 (deferrable), $7.5 million: BBB- (sf) Class D-3 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $30.20 million: NR Preference shares, $18.60 million: NR NR--Not rated. OHA CREDIT 10-R: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 10-R, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 10-R, Ltd. A-1 LT NRsf New Rating A-1L 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 Subordinated Notes LT NRsf New Rating X LT NRsf New Rating Transaction Summary OHA Credit Funding 10-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. The original OHA Credit Funding 10, Ltd. closed in December 2021 and the CLO's secured notes will be reissued on Aug. 15, 2025, with net proceeds from the issuance of the secured and subordinated notes providing financing on a portfolio of approximately $700 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 24.39 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.27% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.75% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.5% 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 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 and matrices analysis is 18 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. 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 OHA Credit Funding 10-R, 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. OZLM IX LTD: Moody's Cuts Rating on $9.5MM Cl. E-RR Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by OZLM IX, Ltd.: US$25M Class B-R3 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 8, 2024 Assigned Aa1 (sf) US$9.5M Class E-RR Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Aug 21, 2023 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$286.52M (Current outstanding amount US$121,736,310) Class A-1a-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 8, 2024 Assigned Aaa (sf) US$15M Class A-1b-R3 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 8, 2024 Assigned Aaa (sf) US$49.5M Class A-2-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 8, 2024 Assigned Aaa (sf) US$31.75M Class C-RR Senior Secured Deferrable Floating Rate Notes, Affirmed Baa1 (sf); previously on Mar 8, 2024 Upgraded to Baa1 (sf) US$26.25M Class D-RR Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 19, 2020 Confirmed at Ba3 (sf) OZLM IX, Ltd., originally issued in December 2014 and most recently refinanced in March 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor Loan Management LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The upgrade on the ratings on the Class B-R3 notes is primarily a result of the deleveraging of the Class A-1a-R4 notes following amortisation of the underlying portfolio since the payment date in July 2024. The Class A-1a-R4 notes have paid down by approximately USD110.8 million (38.7% of original refinanced balance) in the last 12 months and USD164.8 million (57.5%) since the latest refinancing. As a result of the deleveraging, over-collateralisation (OC) has increased for classes A through C. According to the trustee report dated July 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 146.9%, 131.1%, 115.4% and 105.0% compared to August 2024[2] levels of 135.0%, 124.6%, 113.4% and 105.5%, respectively. Moody's note that the July 2025 principal payments are not reflected in the reported OC ratios. The downgrade to the ratings on the E-RR notes is due to the deterioration of the key credit metrics of the underlying pool since the payment date in July 2024. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated July 2025[1], the WARF was 3021, compared with 2736 the August 2024[2] report. Securities with ratings of Caa1 or lower currently make up approximately 12% of the underlying portfolio, versus 5.2% in August 2024. Class E OC ratios reported based on the non-applicable Reinvestment Overcollateralization Test levels declined to 101.6% from 103.0% The affirmations on the ratings on the Class A-1a-R4, A-1b-R3, A-2-R4, C-RR and D-RR notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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: USD289.9m Defaulted Securities: 0 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3025 Weighted Average Life (WAL): 3.10 years Weighted Average Spread (WAS): 3.27% Weighted Average Recovery Rate (WARR): 46.20% Par haircut in OC tests and interest diversion test: 2.17% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PALMER SQUARE 2021-3: Fitch Assigns B-sf Final Rating on F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Palmer Square CLO 2021-3, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square CLO 2021-3, Ltd. X-R LT AAAsf New Rating AAA(EXP)sf A-1-R LT AAAsf New Rating AAA(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 F-R LT B-sf New Rating B-(EXP)sf 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. Date of Relevant Committee 07 August 2025 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. PALMER SQUARE 2025-3: S&P Assigns BB- (sf) Rating on CL. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Palmer Square CLO 2025-3 Ltd./Palmer Square CLO 2025-3 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The 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 Palmer Square CLO 2025-3 Ltd./Palmer Square CLO 2025-3 LLC Class A-L(i), $163.50 million: AAA (sf) Class A, $156.50 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $43.25 million: NR (i)All or a portion of the class A-L loans may be converted into class A notes. No portion of the class A notes may be converted into class A-L loans. Any such amount of class A-L loans converted will decrease the balance of class A-L loans and be associated with a corresponding increase to the class A notes. NR--Not rated. PMT LOAN 2025-INV8: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-INV8, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV8 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on August 05, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.77%, in a baseline scenario-median is 0.47% and reaches 7.77% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2025-RCF-4: DBRS Finalizes BB(low) Rating on Cl. M-2 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RCF4 (the Notes) issued by PRPM 2025-RCF4, LLC (PRPM 2025-RCF4 or the Trust): -- $139.9 million Class A-1 at AAA (sf) -- $31.1million Class A-2 at AA (high) (sf) -- $18.3 million Class A-3 at A (high) (sf) -- $18.7 million Class M-1A at BBB (low) (sf) -- $2.9 million Class M-1B at BBB (low) (sf) -- $17.6 million Class M-2 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 47.00% of credit enhancement provided by the subordinated notes. The AA (high) (sf), A (high) (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 35.20%, 28.25%, 20.05%, and 13.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust a securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages to be funded by the issuance of the Notes. The Notes are backed by 836 loans with a total principal balance of $263,964,243 as of the Cut-Off Date (June 30, 2025). Morningstar DBRS calculated the portfolio to be approximately 66 months seasoned on average, though the age of the loans ranges from one month to 427 months. Approximately 48.6% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increased expected losses on the mortgage pool. In the portfolio, 16.2% of the loans are modified. The modifications happened more than two years ago for 66.7% of the modified loans. Within the portfolio, 137 mortgages have noninterest-bearing deferred amounts, representing 3.9% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable noninterest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (35.6%) are not subject to or exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (43.6%), QM Rebuttable Presumption (4.3%), and Non-QM (16.2%) by UPB. BM-SC, LLC (the Sponsor) acquired the mortgage loans prior to the upcoming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2025-RCF4, LLC (the Depositor) will contribute the loans to the Trust. As the Sponsor, BM-SC, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2025-RCF4 is the 12th scratch and dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. On or before 45 days after the closing date, loans serviced by interim servicers, representing 71.4% of the mortgage loans, will be transferred to SN Servicing Corporation or Fay Servicing, bringing total loans serviced to 97.3% of the pool. Nationstar Mortgage LLC doing business as Rushmore Servicing will service the remaining 2.7% of the pool. The Servicers will not advance any delinquent principal and interest on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred while servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in August 2027 (Optional Redemption). Additionally, a failure to pay the Notes in full by the Payment Date in August 2030 will trigger a mandatory auction of the underlying certificates on the September 2030 payment date by the Asset Manager or an agent appointed by the Asset Manager. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequent auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, the holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Expected Redemption Date (Payment Date in August 2029) or the occurrence of a Credit Event. Interest and principal collections are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Classes A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sale proceeds of the mortgage loans. Prior to the Expected Redemption Date or a Credit Event, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in July 2031, the Class A-1 and the other offered Notes will be entitled to the initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2031, or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. The credit ratings reflect transactional strengths that include the following: -- Collateral credit quality; -- Structural features; -- Current delinquency status; and -- Third-party due diligence review. The transaction also includes the following challenges: -- Loans originated outside of Fannie Mae, Freddie Mac, or investor guidelines; -- Representations and warranties standard; -- Assignments, endorsements, and missing documents; and -- No servicer advances of delinquent principal and interest. 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 Interest Payment Amount, Cap Carryover Amount, and Note Amount. Morningstar DBRS' credit rating on the Notes also addresses the credit risk associated with the increased rate of interest applicable to the Notes if the Notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction document(s). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted ROCKLAND PARK CLO: Moody's Assigns B3 Rating to $260,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Rockland Park CLO, Ltd. (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$260,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of non-first lien loans, cash and eligible investments. Blackstone CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3102 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ROCKLAND PARK: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Rockland Park CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Rockland Park CLO, Ltd. 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 F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Rockland Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Blackstone CLO Management LLC that originally closed in June 2021. The CLO's secured notes will be refinanced on Aug. 14, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 96.22% first lien senior secured loans and has a weighted average recovery assumption of 75%. 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 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBBsf' 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 Rockland Park CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SAIF SECURITIZATION 2025-CES1: DBRS Gives (P)B Rating to B-2 Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Asset-Backed Securities, Series 2025-CES1 (the Notes) to be issued by SAIF Securitization Trust 2025-CES1 (SAIF 2025-CES1 or the Issuer) as follows: -- $174.6 million Class A-1 at (P) AAA (sf) -- $10.2 million Class A-2 at (P) AA (sf) -- $11.6 million Class A-3 at (P) A (sf) -- $11.6 million Class M-1 at (P) BBB (sf) -- $9.0 million Class B-1 at (P) BB (sf) -- $5.9 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating reflects 23.20% of credit enhancement provided by the subordinated notes. The (P) AA (sf), (P) A (sf), and (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 18.70%, 13.60%, 8.50%, 4.55%, and 1.95% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. SAIF 2025-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 3,402 mortgage loans with a total principal balance of $227,373,315 as of the Cut-Off Date (July 31, 2025). SAIF 2025-CES1 represents the second CES securitization by SAGE Residential AIF I, LLC. Carrington Mortgage Loans, LLC is the top originator and servicer for 84.4% of the mortgage pool followed by Planet Home Lending, LLC for 9.8% and PHH Mortgage Corporation for 5.8%. Wilmington Savings Fund Society, FSB will act as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Custodian. SAIF II Master Servicing, LLC will act as the Securities Servicing Administrator. The portfolio, on average, is seven months seasoned, though seasoning ranges from two months to 34 months. Borrowers in the pool represent prime and near-prime credit quality -- with a weighted-average Morningstar DBRS-calculated current FICO score of 723, Issuer-provided original combined loan-to-value ratio of 71.1%, and the vast majority of the loans originated with full documentation standards. Of the loans in the pool, 99.1% are current and have never been delinquent since origination. Based on Issuer-provided information, none of the loans in the pool are not subject to or exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules as they are made to investors for business purposes. The loans subject to the ATR rules are designated as QM Safe Harbor (9.0%), QM Rebuttable Presumption (6.2%), and Non-QM (84.8%) by unpaid principal balance. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. On or after the earlier of (1) August 2028 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (an affiliate of the Sponsor) may redeem all of the outstanding Notes (Optional Redemption) at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the Noteholders in accordance with the priority of payments. The Controlling Holder, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). For this transaction, the Class A-1, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in September 2029. 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. The credit ratings reflect transactional strengths that include the following: -- Robust equity, documentation standards, and near-prime credit quality -- Certain second-lien attributes -- Satisfactory third-party due-diligence review -- Current loan status -- Improved underwriting standards The transaction also includes the following challenges: -- Financially leveraged borrowers -- Representations and warranties framework -- No servicer advances of delinquent principal or interest -- Limited third-party diligence valuation review Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Interest Distribution Amount, Interest Carryforward Amount, and Class Principal Balance. Morningstar DBRS' credit ratings on the Class A-1, Class A-2, Class A-3, and Class M-1 Notes also address the credit risk associated with the increased rate of interest applicable if the Class A-1, Class A-2, Class A-3, and Class M-1 Notes remain outstanding on or after the distribution date in September 2029 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. SANTANDER MORTGAGE 2025-NQM4: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2025-NQM4's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a townhouse, a cooperative, two- to four-family units, and manufactured housing residential properties. The pool consists of 682 loans, which are qualified mortgage (QM) safe-harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM /ability-to-repay-compliant (ATR-compliant), or ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2025-NQM4 Class A-1, $224,092,000: AAA (sf) Class A-1A, $192,507,000: AAA (sf) Class A-1B, $31,585,000: AAA (sf) Class A-2, $22,583,000: AA (sf) Class A-3, $31,426,000: A (sf) Class M-1, $14,214,000: BBB (sf) Class B-1, $9,949,000: BB (sf) Class B-2, $8,370,000: B (sf) Class B-3, $5,211,501: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class PT, $315,845,501: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SCG COMMERCIAL 2025-FLWR: DBRS Finalizes B Rating on Cl. HRR Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-FLWR (the Certificates) to be issued by SCG Commercial Mortgage Trust 2025-FLWR (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (sf) All trends are Stable. The Trust is secured by the borrower's fee-simple interest in 13 Class A garden-style multifamily properties totaling 4,188 market-rate units across six states primarily in the southeastern U.S. The 13 properties in the Trust were previously securitized in the Morningstar DBRS-rated SREIT Trust 2021-FLWR (2021-FLWR) transaction, which included a mortgage loan of $796.5 million secured by 16 properties. Since 2021, Starwood Real Estate Income Trust, Inc. (Starwood or the Sponsor) sold three properties, which are not included in the subject transaction. The Sponsor will use transaction proceeds of $566.0 million along with $70.0 million of mezzanine debt to refinance $625.5 million of remaining debt from 2021-FLWR and cover closing costs of $10.5 million. The portfolio assets are stabilized and in good condition. All 13 properties boast strong amenity packages, which include on-site offerings such as clubhouses, pools, business centers and resident lounges, and playgrounds. The weighted-average year built of the portfolio is 2013 and no property was built before 2006. Since the Sponsor's acquisition of the portfolio in 2021, the borrower has invested approximately $19.1 million, or $4,570 per unit, of capex to enhance the portfolio's market position and continue to deliver an elevated living experience for residents. Upgrades included unit improvements, such as updated appliances, as well as common-area improvements, such as amenity and landscaping enhancements. In 2025, the Sponsor plans to invest an additional $6.9 million of capex to address additional common-area and utility improvements. The Sponsor's considerable investment in improving properties in the portfolio demonstrates its commitment to the portfolio. As of the May 31, 2025, rent roll, the portfolio was 95.3% occupied with an average rent of $1,577 per unit. The properties are in suburban areas in their respective markets, generally about 30 minutes to 40 minutes outside downtown central business districts. Since the collateral's previous securitization in 2021, the portfolio has exhibited consistent rent growth year over year. As of the trailing 12-month period ended May 31, 2025 (T-12), the portfolio's in-place rent increased by 22.4% and average in-place rent improved to $1,577 compared with $1,288 in 2021. The portfolio's in-place occupancy remained stable at 95.3% as of the May 31, 2025, rent roll compared with 95.9% in 2021. In addition to rental growth, Morningstar DBRS notes that the portfolio's effective gross income also improved by 23.0% as of the T-12 period compared with the 2021 securitization. A significant portion of the portfolio is in Texas and Florida, representing 72.7% of the total units and 68.0% of the total allocated loan amounts. Texas and Florida have been the top two fastest-growing states in the U.S. by population since 2020. Furthermore, 14.3% of units are in North Carolina and Georgia, which are the third and fourth fastest-growing states by population. Approximately 87.0% of the portfolio's total unit count is located across Texas, Florida, North Carolina, and Georgia. Recent population data indicate that these states have had to the most success in attracting new residents given increased job opportunities as companies relocate their headquarters to these areas, lower cost of living, and favorable weather conditions. The portfolio is generally in statistically desirable markets across the U.S., positioning it well to continue to attract renters in the near term. Although the portfolio benefits from generally favorable market conditions, the portfolio exhibits relatively high submarket vacancy rates, which averaged 8.3% across the portfolio in Q1 2025 per Reis. The majority of the properties have a Morningstar DBRS Market Rank of 2, 3, or 4, which are designations assigned to more suburban locations. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal Distribution Amounts, and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. SILVER POINT 11: Moody's Assigns B3 Rating to $275,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Silver Point CLO 11, Ltd. (the Issuer or Silver Point CLO 11): US$341,000,000 Class A-1 Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$275,000 Class F 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 methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Silver Point CLO 11 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of assets that are not senior secured loans or eligible investments. The portfolio is approximately 95% ramped as of the closing date. Silver Point Select C CLO Manager, 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 six 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: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3220 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. SOUND POINT IV-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO IV-R, Ltd.: US$30M (Current outstanding amount US$30,817,565) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Mar 20, 2025 Affirmed B1 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding amount US$170,465,378) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 20, 2025 Affirmed Aaa (sf) US$66M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 20, 2025 Upgraded to Aaa (sf) US$36M Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A1 (sf); previously on Mar 20, 2025 Upgraded to A1 (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Mar 20, 2025 Affirmed Baa3 (sf) US$12M (Current outstanding amount US$14,620,184) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Mar 20, 2025 Affirmed Caa3 (sf) Sound Point CLO IV-R, Ltd., issued in April 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration in over-collateralisation ratios and the deterioration in the credit quality of the underlying collateral since the last rating action in March 2025. The affirmations on the ratings on the Class A, Class B, Class C, Class D and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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 a decrease 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 3655, compared with 3559 in February 2025[2] report as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 23.28% of the underlying portfolio, versus 19.11% in last rating action. The over-collateralisation ratios of the affected rated note have deteriorated since the rating action in March 2025. According to the trustee report dated July 2025[1] the Class E OC ratio is reported at 98.44% compared to February 2025[2] levels of 101.85%. Moody's note that the July 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD344.4m Defaulted Securities: USD4.3m Diversity Score: 62 Weighted Average Rating Factor (WARF): 3391 Weighted Average Life (WAL): 3.27 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.26% Weighted Average Recovery Rate (WARR): 45.74% Par haircut in OC tests and interest diversion test: 4.93% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SOUND POINT XV: Moody's Cuts Rating on $32.5MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Sound Point CLO XV, Ltd.: US$36,562,500 (Current outstanding amount US$22,548,780) Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029, Upgraded to Aaa (sf); previously on Mar 14, 2024 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$32,500,000 (Current outstanding amount US$32,726,453) Class E Junior Secured Deferrable Floating Rate Notes due 2029, Downgraded to B1 (sf); previously on Sep 22, 2020 Confirmed at Ba3 (sf) Sound Point CLO XV, Ltd., originally issued in April 2017 and last refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2021. A comprehensive review of all credit ratings for the respective transactions(s) has/have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratios since July 2024. The Class D notes have been paid down by approximately 38.3% or $14.0 million since July 2024. Based on July 2025 trustee report[1], the OC ratio for the Class D notes is currently 211.87% versus July 2024 level[2] of 134.98%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2025 report[3], the OC ratio for the Class E notes is reported at 101.99% versus July 2024 level [4] of 105.27%. Furthermore, the trustee's reported weighted average rating factor (WARF) has been deteriorating and the current level[5] is 3401 compared to 3060 in July 2024[6]. 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: $59,010,709 Defaulted par: $855,291 Diversity Score: 26 Weighted Average Rating Factor (WARF): 3400 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.95% Weighted Average Recovery Rate (WARR): 46.58% Weighted Average Life (WAL): 2.53 years Par haircut in OC tests and interest diversion test: 4.36% 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. SREIT TRUST 2021-IND: DBRS Hikes Rating on Cl. F Certs to B(high) ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates Series 2021-IND issued by SREIT Trust 2021-IND as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) -- Class D to BBB (sf) from BBB (low) (sf) -- Class E to BB (high) (sf) from BB (low) (sf) -- Class F to B (high) (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit rating: -- Class A at AAA (sf) At the same time, Morningstar DBRS changed the trends on Classes B, C, D, E, and F to Positive from Stable. The trend on Class A is Stable. The credit rating upgrades reflect the overall stable-to-improving performance of the underlying collateral, as evidenced by the year-over-year (YOY) growth in net cash flow (NCF) and stable weighted-average portfolio occupancy rate that has remained above 90.0% since issuance. In addition, the transaction benefits from tenant granularity, institutional sponsorship, favorable asset quality, and strong leasing trends, all of which have contributed to long-term cash flow stability. In order to further test the durability of the credit ratings, Morningstar DBRS' analysis considered both base-case and stressed scenarios, the results of which provide additional support for the credit rating upgrades and changes in trends made with this review. Additional details are outlined below. The underlying loan is secured by the borrower's fee-simple interest in a portfolio of 15 industrial properties totaling nearly 2.5 million square feet, concentrated throughout infill areas of the Phoenix (11 properties representing 85.9% of the portfolio's net rentable area (NRA)) and Las Vegas (four properties representing 14.1% of the portfolio's NRA) metropolitan statistical areas. Both markets generally benefit from a high level of growth and favorable industrial demand trends. Loan proceeds of $341.2 million along with $165.4 million of borrower equity financed the borrower's acquisition of the underlying portfolio for $487.4 million and covered closing costs associated with the transaction. The portfolio benefits from institutional-quality sponsorship from Starwood Capital Group Holdings, L.P., which indirectly controls the sponsor, Starwood Real Estate Income Trust, Inc. The floating-rate, interest-only loan was structured with an initial 24-month term, in addition to three one-year extension options, resulting in a fully extended maturity date in October 2026. The borrower has exercised its second extension option, with the loan scheduled to mature in October 2025, however, the servicer has not been able to confirm whether the borrower will be exercising its third and final extension option. According to the servicer, the borrower has an interest rate cap agreement in place through October 2026, with a maximum strike price that would yield a debt service coverage ratio (DSCR) of no less than 1.10 times. The loan also has a partial pro rata/sequential-pay structure that allows for pro rata paydowns associated with property releases for the first 20% of the unpaid principal balance. The borrower can release individual properties with a prepayment premium of just 105% of the allocated loan amount until the balance has been reduced to 85% of the original loan balance, at which point release premiums increase to 110% of the allocated loan amount for individual property releases. Morningstar DBRS applied a penalty to the transaction's capital structure to account for the partial pro rata structure and weak release premiums. As of the July 2025 remittance, no properties had been released. According to the December 2024 rent roll, the portfolio reported an occupancy rate of 90.8%, down slightly from 99.6% at YE2023 and 98.0% at issuance. Tenant leases totaling approximately 23.0% of the NRA are scheduled to expire within the next 12 months. Despite annual tenant rollover concentrations hovering around 20% each year since issuance, the portfolio's stable occupancy rate suggests that tenant retention remains strong. As of YE2024, the portfolio generated NCF of $23.8 million compared with $21.5 million at YE2023 and the Morningstar DBRS NCF of $16.4 million derived at issuance. While the portfolio has seen sustained cash flow growth, the reported DSCR has declined because of the loan's floating-rate coupon. Total debt service obligations have more than doubled since 2022; however, some of that volatility is mitigated by the in-place interest-rate cap agreement. With this review, Morningstar DBRS analyzed the collateral portfolio under both base-case and stressed scenarios to evaluate the potential for credit rating upgrades given the sustained YOY improvement in NCF and overall healthy performance metrics. The base-case scenario, which was based on a standard surveillance haircut to the YE2024 NCF, resulted in a Morningstar DBRS Value of $333.8 million, representing a loan-to-value ratio (LTV) of 102.2%. The stressed scenario, which was based on a conservative 20% haircut to the YE2024 NCF, resulted in a Morningstar DBRS Value of $272.5 million (LTV of 125.2%), a -44.1% variance from the issuance appraised value of $487.4 million. The upward pressure implied by the Morningstar DBRS LTV Sizing Benchmarks in the stressed analysis on Classes B through F further supports Morningstar DBRS' credit rating upgrades with this review. Should cash flows continue to trend upward, Morningstar DBRS notes future credit rating upgrades may be warranted, as suggested by the Positive trends. Although the borrower has yet to confirm whether it will be exercising the third and final extension option ahead of the loan's current October 2025 maturity date, it is Morningstar DBRS' view that the loan is well positioned for an extension or refinancing. Morningstar DBRS maintained positive qualitative adjustments to the final Morningstar DBRS LTV Sizing Benchmarks, totaling 6.0%, to account for the cash flow stability, high 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. STRATS TRUST 2004-6: Moody's Confirms Ba2 Rating on Cl. A-1 Notes ----------------------------------------------------------------- Moody's Ratings has confirmed the rating of the following certificates issued by STRATS Trust for United States Cellular Corporation Securities, Series 2004-6: US$12,500,000 Class A-1 Notes, Confirmed at Ba2; previously on June 3, 2024 Ba2 Placed On Review for Downgrade RATINGS RATIONALE The rating action is a result of the confirmation of the rating of the 6.70% Senior Notes due 2033 issued by Array Digital Infrastructure, Inc. (the "Underlying Securities"), whose Ba2 rating was confirmed on August 08, 2025. The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in this rating was "Repackaged Securities" published in June 2024. Moody's conducted no additional cash flow analysis or stress scenarios because the ratings are a pass-through of the rating of the underlying entity. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The ratings will be sensitive to any change in the rating of the Underlying Securities which are the 6.70% Senior Notes due 2033 issued by Array Digital Infrastructure, Inc. SYMPHONY CLO XVIII: S&P Assigns Prelim 'BB-' Rating on E-R4 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R4, A-R4, B-R4, C-R4, D-R4, and E-R4 debt from Symphony CLO XVIII Ltd./Symphony CLO XVIII LLC, a CLO managed by Symphony Alternative Asset Management LLC that was originally issued in December 2016 and underwent a third refinancing in August 2024 that was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Aug. 20, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the August 2024 debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may withdraw its preliminary ratings on the replacement debt. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Symphony CLO XVIII Ltd./Symphony CLO XVIII LLC Class X-R4, $4.00 million: AAA (sf) Class A-R4, $256.00 million: AAA (sf) Class B-R4, $48.00 million: AA (sf) Class C-R4 (deferrable), $24.00 million: A (sf) Class D-R4 (deferrable), $24.00 million: BBB- (sf) Class E-R4 (deferrable), $16.00 million: BB- (sf) Other Debt Symphony CLO XVIII Ltd./Symphony CLO XVIII LLC Subordinated notes, $147.25 million: NR NR--Not rated. TCW CLO 2021-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to TCW CLO 2021-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ TCW CLO 2021-2, Ltd. X-R LT AAA(EXP)sf Expected Rating A-RL LT AAA(EXP)sf Expected Rating A-RN LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-JR LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary TCW CLO 2021-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that managed by TCW Asset Management Company LLC. The original deal closed in July 2021, and Fitch did not rate the original deal. Net proceeds from this reset issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.54 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 96.19% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.89% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-JR, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, 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 D-1R, 'A-sf' for class D-JR, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for TCW CLO 2021-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2025-CES3: Fitch Assigns 'B-sf' Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2025-CES3 (TPMT 2025-CES3). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-CES3 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 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 A1 LT AAAsf New Rating AAA(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf B2AX LT B-sf New Rating B-(EXP)sf B2B LT B-sf New Rating B-(EXP)sf B2BX LT B-sf New Rating B-(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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 calculation 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. TRINITAS CLO XXII: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class B-R, C-R, D-1R, D-2R, and E-R debt from Trinitas CLO XXII Ltd./Trinitas CLO XXII LLC, a CLO originally issued in May 2024 that is managed by Trinitas Capital Management LLC. At the same time, S&P withdrew its ratings on the original class B-1, B-2, C, D, and E debt following payment in full on the Aug. 20, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- Additional subordinated notes were issued in the amount of $1.76 million, and the stated maturity of the subordinated notes will be extended to March 20, 2038. -- The reinvestment period was extended to Oct. 20, 2030. -- The non-call period was extended to Oct. 20, 2027. 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 recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Trinitas CLO XXII Ltd./Trinitas CLO XXII LLC Class A-R, $248.00 million: Not rated Class B-R, $56.00 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), $6.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Trinitas CLO XXII Ltd./Trinitas CLO XXII LLC 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 Trinitas CLO XXII Ltd./Trinitas CLO XXII LLC Subordinated notes, $42.22 million: NR NR—Not rated. TRINITAS CLO XXXII: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXXII Ltd./Trinitas CLO XXXII LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trinitas CLO XXXII Ltd./Trinitas CLO XXXII LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B-1, $52.50 million: AA (sf) Class B-2, $12.50 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $50.00 million: Not rated UBS COMMERCIAL 2018-C12: Fitch Lowers Rating on 2 Tranches to B- ---------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 12 classes of UBS Commercial Mortgage Trust 2018-C12 Commercial Mortgage Pass-Through Certificates (UBS 2018-C12). Classes D and X-D have been assigned Negative Outlooks following their downgrades. Fitch has also affirmed 14 classes of UBS Commercial Mortgage Trust 2018-C13 Commercial Mortgage Pass-Through Certificates (UBS 2018-C13). The Outlooks remain Negative on classes D-RR, E-RR, F-RR and G-RR. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C12 A-2 90353DAV7 LT AAAsf Affirmed AAAsf A-3 90353DAX3 LT AAAsf Affirmed AAAsf A-4 90353DAY1 LT AAAsf Affirmed AAAsf A-5 90353DAZ8 LT AAAsf Affirmed AAAsf A-S 90353DBC8 LT AAsf Affirmed AAsf A-SB 90353DAW5 LT AAAsf Affirmed AAAsf B 90353DBD6 LT A-sf Affirmed A-sf C 90353DBE4 LT BBB-sf Affirmed BBB-sf D 90353DAC9 LT B-sf Downgrade B+sf D-RR 90353DAE5 LT CCCsf Affirmed CCCsf E-RR 90353DAG0 LT CCsf Affirmed CCsf F-RR 90353DAJ4 LT Csf Downgrade CCsf G-RR 90353DAL9 LT Dsf Downgrade Csf X-A 90353DBA2 LT AAAsf Affirmed AAAsf X-B 90353DBB0 LT A-sf Affirmed A-sf X-D 90353DAA3 LT B-sf Downgrade B+sf UBS 2018-C13 A-3 90353KAX7 LT AAAsf Affirmed AAAsf A-4 90353KAY5 LT AAAsf Affirmed AAAsf A-S 90353KBB4 LT AAAsf Affirmed AAAsf A-SB 90353KAW9 LT AAAsf Affirmed AAAsf B 90353KBC2 LT AA-sf Affirmed AA-sf C 90353KBD0 LT A-sf Affirmed A-sf D 90353KAC3 LT BBBsf Affirmed BBBsf D-RR 90353KAE9 LT BBB-sf Affirmed BBB-sf E-RR 90353KAG4 LT BB+sf Affirmed BB+sf F-RR 90353KAJ8 LT BB-sf Affirmed BB-sf G-RR 90353KAL3 LT B-sf Affirmed B-sf X-A 90353KAZ2 LT AAAsf Affirmed AAAsf X-B 90353KBA6 LT A-sf Affirmed A-sf X-D 90353KAA7 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.5% in UBS 2018-C12 compared to 9% at Fitch's prior rating action. Deal-level 'Bsf' rating case losses in UBS 2018-C13 are 5%, in line with 5.3% at the last rating action. Fitch Loans of Concerns (FLOCs) comprise of 18 loans (45.3%) in UBS 2018-C12, including six specially serviced loans (17.7%), and 15 loans (38.8% of the pool) in UBS 2018-C13, including three specially serviced loans (11.2%). The downgrades in UBS 2018-C12 reflect increased loss expectations since Fitch's last rating action on the specially serviced Aspect RHG Hotel Portfolio loan (4.9%) and Savi Ranch Center (3.5%) and realized losses following the disposition of two specially serviced assets. The Negative Outlooks on classes A-S, B, X-B, C, D and X-D in UBS 2018-C12 reflect the high concentration of FLOCs and potential for downgrades if expected losses on the specially serviced loans/assets, particularly Aspect RHG Hotel Portfolio and Copeland Tower & Stadium Place (2.9%), increase or have prolonged workouts. Downgrades could also occur if additional loans experience performance declines given the high office concentration in the pool of 27.5%. The affirmations in UBS 2018-C13 reflect generally stable pool performance and loss expectations since the prior rating action. The Negative Outlooks on classes D-RR, E-RR, F-RR and G-RR reflect the potential for downgrades should the FLOCs including five loans in the top 10 (21.3%) experience further performance declines, particularly 1670 Broadway (6.8%). Fitch's analysis incorporates a sensitivity which applied an increased probability of default given the loan's underperformance and upcoming September 2025 maturity. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in UBS 2018-C12 and UBS 2018-C13 is Aspect RHG Hotel Portfolio, which is secured by four limited-service hotels (461 keys) located in Colorado, Tennessee, and Arizona. The loan transferred to special servicing in March 2025 due to imminent default. It was current as of July 2025 but was 30 days delinquent between April and June 2025. Servier reported occupancy, ADR and RevPAR were a 62.8% $127.68 and $80.23 respectively at YE 2024, down from 68.4%, $132.97 and $90.88 at YE 2023. As a result, room revenue declined, while operating expenses remained relatively flat. DSCR was a reported 0.53x at YE 2024 compared to 1.03x at YE 2023. The lender is evaluating resolution options. Fitch's 'Bsf' rating case loss of 35.7% (prior to concentration add-ons) reflects a 11.5% cap rate and YE 2024 NOI. The second largest increase in loss since the prior rating action in UBS 2018-C12 is Savi Ranch Center, which is secured by a 160,773-sf retail shopping center, located in Yorba Linda, CA. The top tenants are Dick's Sporting Goods (31%; expires June 30, 2026) and American Ninja Warriors (27%; expires July 1, 2033). American Ninja Warriors became a tenant in 2024, after backfilling space formerly occupied by Bed, Bath & Beyond. The loan is considered a FLOC due to upcoming lease expiration of Dick's which previously extended its lease by one year in 2025. Fitch requested a leasing update but did not receive a response. The loan is current as of July 2025 but was between UPX HIL 2025-1: Fitch Assigns 'BB-(EXP)sf' Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings expects to assign ratings to three classes of asset-backed securities (ABS) issued by UPX HIL 2025-1 Issuer Trust (UPX 2025-1); a securitization sponsored by LuminArx. The notes are backed by a pool of loan draws (HI loan draws) on unsecured, fixed-rate home improvement (HI) loans, originated by Upgrade Inc. via Cross River Bank, the originating partner bank. The underlying pool of HI loan draws are serviced by Upgrade Inc. UPX 2025-1 is the first public HI ABS ultimately back by HI loans originated under the Upgrade HI program. The Rating Outlook for the notes is Stable. Entity/Debt Rating ----------- ------ UPX HIL 2025-1 Issuer Trust Class A LT A-(EXP)sf Expected Rating Class B LT BBB-(EXP)sf Expected Rating Class C LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Consistent Receivable Quality: UPX 2025-1 is backed by a pool of HI loan draws on unsecured HI loans originated at the point of sale to U.S. homeowners through a national contractor network. The loan proceeds are designated for financing windows and doors, roofing, kitchens and bathrooms, HVAC systems, basements and a variety of other HI products and services, typically excluding water filtration and solar systems. LuminArx, as the sponsor, contributes the underlying pool of HI loans for the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is its no interest-bearing equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months, during which no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period; otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 769. The WA original term of the asset pool is 145 months and the WA loan seasoning is 15 months. Rating Cap at 'Asf': Upgrade HI loan origination program began in 2022. Consequently, Fitch was provided with about two years of historical performance data. With a WA original term of about 12.1 years for the asset pool and 20 years the longest term offered by Upgrade, two years of historical data only provide limited insights into the lifetime performance of the loans, in Fitch's view. To complement Upgrade-specific historical data, Fitch used available performance data from comparable HI and unsecured consumer loan originators in the U.S. Due to the limitations in historical data, Fitch applies a rating cap at 'Asf' to the transaction. Asset Pool Assumptions: Fitch's WA lifetime base case lifetime default rate assumption is 8.1%, based on the mix of product type and FICO scores for the asset pool. Fitch assumes a rating case default multiple of 3.0x at the 'A-sf' rating level with a corresponding lifetime default rate of 24.3%. The multiple is assessed at the median-high end of the range of Fitch's applicable rating criteria, primarily reflecting the limited data history for originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans, due to the unsecured nature of the loans and limited historical data available on recoveries. Fitch differentiates prepayment rate assumptions primarily by product type, recognizing prepayment incentives for deferred products, given payment step-up after the promotional period, the extent of which depends on the specific product structure. The assumed base case WA prepayment rate is 12.9% per annum (pa) during the promotional period and 10.5% pa thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's applicable rating criteria and throughout this report. Transaction Structure: The pool of HI assets is financed via three classes of rated notes (Class A, Class B and Class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in September 2025. Credit enhancement (CE) to the notes is provided by overcollateralization (OC; initially equal to 4.75% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve fund sized at 0.5% of the initial notes balance, and excess spread to the extent generated by the asset pool (initially estimated at 3.5% pa). The structure provides for an OC build-up to target 7.60% of the outstanding asset pool, with a floor of 0.5% of the initial asset pool. Additionally, the target OC for Class A notes is 25.63%. Total hard CE at closing (as a percentage of the initial asset pool, including reserve fund and excluding excess spread) is 16.36%, 11.46% and 5.23% for Class A, Class B and Class C notes, respectively. Adequate Servicing Capabilities: Upgrade and Systems & Services Technologies, Inc. (SST) will act as servicer and backup servicer, respectively, for the transaction upon closing. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk to be in line with expected ratings of up to 'A-sf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased base case defaults rates: - Expected ratings for class A, B and C notes: 'A-sf'/'BBB-sf'/'BB-sf'; - Increased base case default by 10%: 'BBBsf'/'BBsf'/'Bsf'; - Increased base case default by 25%: 'BBB-sf'/'BBsf'/'B-sf'; - Increased base case default by 50%: 'BB+sf'/'B+sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased base case defaults rates: - Expected ratings for class A, B and C notes: 'A-sf'/'BBB-sf'/'BB-sf'; - Decreased base case default by 50%: 'AAsf'/'Asf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG 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. VELOCITY COMMERCIAL 2025-P1: DBRS Finalizes B Rating on 3 Tranches ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2025-P1 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-P1 (VCC 2025-P1 or the Issuer) as follows: -- $135.4 million Class A at AAA (sf) -- $135.4 million Class A-S at AAA (sf) -- $135.4 million Class A-IO at AAA (sf) -- $10.5 million Class M-1 at AA (low) (sf) -- $10.5 million Class M1-A at AA (low) (sf) -- $10.5 million Class M1-IO at AA (low) (sf) -- $10.4 million Class M-2 at A (low) (sf) -- $10.4 million Class M2-A at A (low) (sf) -- $10.4 million Class M2-IO at A (low) (sf) -- $19.5 million Class M-3 at BBB (low) (sf) -- $19.5 million Class M3-A at BBB (low) (sf) -- $19.5 million Class M3-IO at BBB (low) (sf) -- $12.5 million Class M-4 at BB (sf) -- $12.5 million Class M4-A at BB (sf) -- $12.5 million Class M4-IO at BB (sf) -- $2.6 million Class M-5 at B (high) (sf) -- $2.6 million Class M5-A at B (high) (sf) -- $2.6 million Class M5-IO at B (high) (sf) -- $1.9 million Class M-6 at B (sf) -- $1.9 million Class M6-A at B (sf) -- $1.9 million Class M6-IO at 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 AAA (sf) credit ratings on the Certificates reflect 30.50% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and 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. VENTURE CLO 31: Moody's Lowers Rating on $32MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Venture 31 CLO, Limited: US$47,000,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on Feb 23, 2023 Upgraded to Aa3 (sf) US$5,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2031, Upgraded to Aa1 (sf); previously on Feb 23, 2023 Upgraded to Aa3 (sf) Moody's have also downgraded the ratings on the following notes: US$32,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on Feb 13, 2025 Downgraded to Ba3 (sf) US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa3 (sf); previously on Feb 13, 2025 Downgraded to Caa1 (sf) Venture 31 CLO, Limited, issued in April 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2025. The Class A-1 notes have been paid down by approximately 42% or $128.79 million since then. Based on Moody's calculations, the OC ratio for the Class C notes is currently 129.25% versus February 2025 level of 123.33%. The downgrade rating actions on the Class E notes and the Class F notes reflect the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2025 report[1], the OC ratio for the Class E notes is reported at 101.12% versus the January 2025 level[2] of 103.74% and the OC ratio for the Class F is reported at 98.41% versus the January 2025 level[3] of 101.69%. Furthermore, the trustee-reported weighted average rating factor (WARF) as of July 2025 [4] has deteriorated to 3216 versus 3043 in January 2025[5]. No actions were taken on the Class A-1, Class A-2, Class B and Class D notes because their expected losses remains 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: $416,703,447 Defaulted par: $14,278,667 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3315 Weighted Average Spread (WAS): 3.49% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.46% Weighted Average Life (WAL): 3.11 years Par haircut in OC tests and interest diversion test: 3.17% 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. VENTURE CLO XXX: Moody's Cuts Rating on $31.5MM Cl. E Notes to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture XXX CLO, Limited: US$43,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa2 (sf); previously on November 14, 2023 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$31,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B2 (sf); previously on October 30, 2020 Confirmed at Ba3 (sf) Venture XXX CLO, Limited, originally issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on Class C notes is primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratios since July 2024. The Class A-1 notes have been paid down by approximately 52.8% or $188.1 million since then. Based on the trustee's July 2025 report[1], the OC ratios for the Class A/B and Class C notes are reported at 138.56% and 121.61%, respectively, versus July 2024 levels[2] of 128.61% and 117.86%, respectively. Moody's note that the July 2025 trustee-reported OC ratios do not reflect the July 2025 payment distribution[3], when $45.4 million of principal proceeds and $1.3 million of interest proceeds were used to pay down the Class A-1 Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2025 report[4], the OC ratio for the Class E notes is reported at 101.72% versus July 2024 level[5] of 103.98%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 2942[6], compared to 2773 in July 2024[7]. No actions were taken on the Class A-1, Class A-2, Class B 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: $386,456,385 Defaulted par: $8,678,482 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3083 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.37% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.55% Weighted Average Life (WAL): 2.9 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. VERUS SECURITIZATION 2025-7: Moody's Gives Ba3 Rating to B-2 Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) issued by Verus Securitization Trust 2025-7 (Verus 2025-7), and sponsored by VMC Asset Pooler, LLC. The securities are backed by a pool of prime, non-prime and non-qualified (non-QM) residential mortgages acquired by entities administered by Verus Mortgage Capital (Verus), originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Cornerstone Servicing, a Division of Cornerstone Capital Bank SSB. The complete rating actions are as follows: Issuer: Verus Securitization Trust 2025-7 Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1F, Definitive Rating Assigned Aaa (sf) Cl. A-1IO*, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa1 (sf) Cl. A-3, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned A3 (sf) Cl. B-1, Definitive Rating Assigned Baa3 (sf) Cl. B-2, Definitive Rating Assigned Ba3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The definitive ratings for Class A-2, Class M-1 and Class B-1 notes of Aa1 (sf), A3 (sf) and Baa3 (sf) are one notch higher than the provisional ratings of (P)Aa2 (sf), (P)Baa1 (sf) and (P)Ba1 (sf) respectively. The definitive rating for Class B-2 note of Ba3 (sf) is two notches higher than the provisional rating of (P)B2 (sf). The difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than what Moody's modeled when the provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 3.05%, in a baseline scenario-median is 2.22% and reaches 26.89% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. VERUS SECURITIZATION 2025-7: S&P Assigns 'B+' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-7's mortgage-backed notes. The note issuance is an RMBS transaction backed primarily by 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 1,093 loans with 1,099 properties and comprises qualified mortgage (QM)/non-higher-priced-mortgage-loans (non-HPML) (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on Aug. 6, 2025, seven loans were removed from the collateral pool, and certain loan balances and pay strings were updated, along with changes to bond sizes to reflect the updated loan balances. Separately, the note amounts of the class A-1F and the class A-1IO, which is a notional amount equal to the class A-1F balance, were reduced to $31.579 million from $83.300 million. In turn, the note amounts of the class A-1A and the class A-1B were increased to $329.457 million from $286.633 million and to $53.527 million from $46.569 million, respectively. The resized bonds did not change the credit enhancement on the transaction. In addition, the class B-1 notes were priced to receive a coupon rate equal to the lesser of a fixed rate and the net weighted average coupon rate. After analyzing the updated collateral pool, structure, and final coupons, we raised our rating on the class B-2 to 'B+ (sf)' from a preliminary rating of 'B (sf)' and assigned ratings to the remainder of the notes that were unchanged from the preliminary ratings we assigned." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned Verus Securitization Trust 2025-7(i) Class A-1(ii), $382,984,000: AAA (sf) Class A-1A(ii), $329,457,000: AAA (sf) Class A-1B(ii), $53,527,000: AAA (sf) Class A-1F, $31,579,000: AAA (sf) Class A-1IO, $31,579,000(iii): AAA (sf) Class A-2, $39,110,000: AA (sf) Class A-3, $57,940,000: A (sf) Class M-1, $25,784,000: BBB (sf) Class B-1, $17,961,000: BB (sf) Class B-2, $12,458,000: B+ (sf) Class B-3, $11,588,270: NR Class A-IO-S, notional(iv): NR Class XS, notional(iv): 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)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. N/A—Not applicable. NR--Not rated. VISTA POINT 2025-CES2: DBRS Gives Prov. B Rating on B2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2025-CES2 (the Notes) to be issued by Vista Point Securitization Trust 2025-CES2 (VSTA 2025-CES2 or the Trust): -- $212.7 million Class A-1 at (P) AAA (sf) -- $15.3 million Class A-2 at (P) AA (sf) -- $15.0 million Class A-3 at (P) A (sf) -- $15.6 million Class M-1 at (P) BBB (sf) -- $13.7 million Class B-1 at (P) BB (sf) -- $9.9 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 27.80% of credit enhancement provided by subordinate Notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 22.60%, 17.50%, 12.20%, 7.55%, and 4.20% of credit enhancement, respectively. VSTA 2025-CES2 is a securitization of a portfolio of fixed, prime and expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,298 mortgage loans with a total principal balance of $294,586,179 as of the Cut-Off Date (June 30, 2025). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to six months. Borrowers in the pool represent prime and expanded-prime credit quality, a weighted-average Morningstar DBRS-calculated FICO score of 732, and an Issuer-provided original combined loan-to-value ratio of 66.7%. The loans were generally originated with Morningstar DBRS-defined full documentation standards. As of the Cut-Off Date, all but 16 loans (1.1% of the pool) were current. Since then, 14 loans (1.0%) that were 30 days delinquent have self-cured, leaving 0.1% of the pool 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, none of the borrowers are in active bankruptcy. VSTA 2025-CES2 represents the fifth CES securitization by Vista Point Mortgage, LLC. Vista Point Mortgage, LLC (25.3%), Home Mortgage Alliance Corporation (15.9%), and FundLoans Capital, Inc. (11.0%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Carrington Mortgage Services, LLC (100.0%) is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. U.S. Bank National Association will act as the Custodian. U.S. Bank Trust National Association will act as the Delaware Trustee. On or after the earlier of (1) the Payment Date occurring in July 2028 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor) may terminate the Issuer at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts; and (B) the principal balances of the mortgage loans plus accrued and unpaid interest, including fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 80.0% of the loans are designated as non-QM, 0.1% are designated as QM Rebuttable Presumption, and 4.9% are designated as QM Safe Harbor. Approximately 15.0% of the mortgages are loans that were not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens;, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2015-3: Fitch Affirms 'CCCsf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2015-3, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2015-3, Ltd. A-1-R3 92913UBC9 LT PIFsf Paid In Full AAAsf A-1-R4 LT AAAsf New Rating A-2-R3 92913UBE5 LT PIFsf Paid In Full AAAsf A-2-R4 LT AAAsf New Rating A-3-R3 92913UBG0 LT PIFsf Paid In Full AAAsf A-3-R4 LT AAAsf New Rating B-R4 LT NRsf New Rating C-R4 LT NRsf New Rating E-R 92913DAL8 LT CCCsf Affirmed CCCsf Transaction Summary Voya CLO 2015-3 Ltd. is a broadly syndicated loan collateralized loan obligation (CLO) managed by Voya Alternative Asset Management LLC. The transaction originally closed in September 2015, reset in November 2018, and partially refinanced twice. The first time was in February 2021 and then again in May 2024. Voya CLO 2015-3 Ltd. exited its reinvestment period in October 2023. This 2025 partial refinancing transaction will refinance classes A1 through C. On the Fourth Refinancing Date, the net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $477 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 98.94% first-lien senior secured loans and has a weighted average recovery assumption of 75.18%. 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 passed its reinvestment period and reinvestment activities have largely ceased since April 2025. In addition, the portfolio has breached its WAL (weighted average life) covenant and CCC/Caa concentration limit, effectively limiting the manager's ability to reinvest. Fitch's analysis was based on the static assumption. The stressed portfolio incorporated a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. Cash Flow Analysis: Fitch used a 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 stress portfolio is four years which is the minimum risk horizon that Fitch applies to typical portfolios to account for increasing portfolio concentration and loan refinancing risk around their maturities. KEY PROVISION CHANGES The refinancing transaction is implemented via the Sixth Supplemental Indenture which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for classes A-1-R4, A-2-R4, A-3-R4, B-R4, and C-R4 notes are 0.96%, 1.25%, 1.45%, 1.8%, and 2.9%, respectively, compared to the spreads of 1.15%, 1.40%, 1.70%, 2.46161%, and 3.41161% for classes A-1-R3, A-2-R3, A-3-R3, B-R and C-R notes, respectively. - The non-call period is extended to May 15, 2026 from November 20, 2024. FITCH ANALYSIS The current portfolio presented to Fitch (dated July 2025) includes 343 assets from 296 primarily high yield obligors. The collateral balance was approximately $477 million. The transaction passed its reinvestment period and reinvestment activities have largely ceased since April 2025. In addition, the portfolio has breached its WAL (weighted average life) covenant and CCC/Caa concentration limit, effectively limiting the manager's ability to reinvest. The weighted average rating factor of the current portfolio is 26.27. Fitch has an explicit rating, credit opinion, or private rating for 45.70% of the current portfolio; ratings for 54.30% of the portfolio were derived from using Fitch's Issuer Default Rating (IDR) equivalency map. There are no assets that are unrated by Fitch or have no public ratings from other rating agencies. Fitch's analysis was based on the static assumption. The cash flow analysis stressed the indicative portfolio based on Fitch's static portfolio considerations which include a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. Projected default and recovery statistics of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate output for the FSP at the 'AAAsf' rating stress was 45.8%, and the PCM recovery rate output for the FSP at the 'AAAsf' rating stress was 40.0%. In the analysis of the FSP, classes A-1-R4, A-2-R4 and A-3-R4 notes passed at the 'AAAsf' rating threshold in all nine cash flow scenarios with minimum cushions of 39.4%, 31.8% and 15.1%, respectively. In the analysis of the current portfolio, classes A-1-R4, A-2-R4 and A-3-R4 notes passed at the 'AAAsf' rating threshold in all nine cash flow scenarios with minimum cushions of 43.1%, 35.5% and 17.1% respectively; While class E-R notes did not pass the 'B-sf' rating threshold. The rating actions reflect that classes A-1-R4, A-2-R4, and A-3-R4 notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. 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 A-1-R4, 'AAAsf' for class A-2-R4, and between 'A+sf' and 'AAAsf' for class A-3-R4 and less than 'B-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R4, class A-2-R4 and class A-3-R4 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, and could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'B+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 Voya CLO 2015-3, 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. VOYA CLO 2015-3: S&P Affirms B+ (sf) Rating in Class D-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R4, A-3-R4, B-R4, and C-R4 debt from Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC, a CLO managed by Voya Alternative Asset Management LLC that was originally issued in September 2015 and underwent a refinancing in November 2018 and a second, partial refinancing in May 2024. At the same time, S&P withdrew its ratings on the outstanding class A-1-R3, A-3-R3, B-R, and C-R debt following payment in full on the Aug. 15, 2025, refinancing date. S&P also affirmed its rating on the class D-R debt, which was not refinanced. S&P did not rate the replacement class A-2-R4 debt and the existing class E-R debt. 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 2026. -- No additional assets were purchased on the Aug. 15, 2025, refinancing date. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 20, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-R debt (which was not refinanced). However, we affirmed our 'B+ (sf)' rating on the class D-R debt after considering the following: the margin of failure, that the refinancing is an overall positive for the transaction and improved the cash flow results, and that the transaction is in its amortization phase and commenced paydowns. As principal is collected and the senior debt is paid down, we expect the credit support available to all rated classes to increase. However, the absence of such improvements and/or any increase in defaults or par losses could lead to potential negative rating actions in the future." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1-R4, $194.56 million: Three-month CME term SOFR + 0.96% -- Class A-2-R4, $35.90 million: Three-month CME term SOFR + 1.25% -- Class A-3-R4 (deferrable), $91.80 million: Three-month CME term SOFR + 1.45% -- Class B-R4 (deferrable), $51.80 million: Three-month CME term SOFR + 1.80% -- Class C-R4 (deferrable), $44.00 million: Three-month CME term SOFR + 2.90% Outstanding debt -- Class A-1-R3, $194.56 million: Three-month CME term SOFR + 1.15% -- Class A-2-R3, $35.90 million: Three-month CME term SOFR + 1.45% -- Class A-3-R3 (deferrable), $91.80 million: Three-month CME term SOFR + 1.75% -- Class B-R (deferrable), $51.80 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class C-R (deferrable), $44.00 million: Three-month CME term SOFR + 3.15% + CSA(i) -- Class D-R (deferrable), $31.90 million: Three-month CME term SOFR + 6.20% + CSA(i) -- Class E-R (deferrable), $18.40 million: Three-month CME term SOFR + 8.50% + CSA(i) Subordinated notes, $56.70 million: N/A (i)The CSA is 0.26161%. CSA--Credit spread adjustment. N/A--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 Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class A-1-R4, $194.56 million: AAA (sf) Class A-3-R4, $91.80 million: AA (sf) Class B-R4 (deferrable), $51.80 million: A (sf) Class C-R4 (deferrable), $44.00 million: BBB- (sf) Ratings Withdrawn Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class A-1-R3 to NR from 'AAA (sf)' Class A-3-R3 to NR from 'AA (sf)' Class B-R (deferrable) to NR from 'A (sf)' Class C-R (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class D-R (deferrable): B+ (sf) Other Debt Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class A-2-R4: NR Class E-R (deferrable): NR Subordinated notes, $56.70 million: NR NR--Not rated. WELLS FARGO 2019-C52: Fitch Lowers Rating on E-RR Certs to 'Bsf' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed six classes in Wells Fargo Commercial Mortgage Trust 2019-C52 (WFCM 2019-C52). Fitch has assigned Negative Outlooks to classes C, X-B, D-RR and E-RR following their downgrades. The Outlook was revised to Negative from Stable for class B. Fitch has also downgraded and assigned a Negative Outlook to the horizontal risk retention pass through certificates MOA 2020-WC52 D (2019 C52 IV Trust) and MOA 2020-WC52 E (2019 C52 III Trust). Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-WC52 D D-RR 90215QAA2 LT BBsf Downgrade BBBsf WFCM 2019-C52 A-4 95002MAW9 LT AAAsf Affirmed AAAsf A-5 95002MAX7 LT AAAsf Affirmed AAAsf A-S 95002MBA6 LT AAAsf Affirmed AAAsf A-SB 95002MAV1 LT AAAsf Affirmed AAAsf B 95002MBB4 LT AA-sf Affirmed AA-sf C 95002MBC2 LT BBBsf Downgrade A-sf D-RR 95002MAA7 LT BBsf Downgrade BBBsf E-RR 95002MAE9 LT Bsf Downgrade BBsf F-RR 95002MAG4 LT CCCsf Downgrade B-sf G-RR 95002MAJ8 LT CCsf Downgrade CCCsf X-A 95002MAY5 LT AAAsf Affirmed AAAsf X-B 95002MAZ2 LT BBBsf Downgrade A-sf MOA 2020-WC52 E E-RR 90216LAA2 LT Bsf Downgrade BBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 5.8% compared to 5.5% at Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise 17 loans (31.4% of the pool) including one specially serviced loan (3.4%). The downgrades reflect higher-than-expected realized losses affecting non-rated H-RR class. These losses resulted from the Lenox Park loan disposition via a note sale in June 2025, which eroded credit enhancement at the bottom of the capital structure. The downgrades also reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by increased expected losses for the specially serviced Sugar Creek Center (3.4%) loan and the Sequa Corporation Industrial Portfolio (3.5%) and 3300 Renner (3.7%) loans. The Negative Outlooks reflect possible further downgrades if there is a continued degradation of value and/or a prolonged workout for the specially serviced loan and should performance of the aforementioned FLOCs decline further. Largest Contributors to Loss: The largest contributor to loss and the second largest increase in loss expectations since the prior rating action is the specially serviced Sugar Creek Center loan. The loan is secured by a 193,996-sf office property located in Sugar Land, Texas and transferred to special servicing in January 2024 and a receiver was appointed in April 2024. The receiver's leasing team has completed multiple lease renewals and expansions, as well as two new leases, and is actively negotiating additional renewals and engaging with prospective tenants. However, property occupancy continues to deteriorate; occupancy declined to 63% at YE 2024 from 70% at YE 2022 and 85% at YE 2019. Excess cash is being remitted to the trust and used to reduce exposure, including principal and interest advances. Per CoStar, comparable properties in the E Fort Bend Co/Sugar Land Offices submarket had a 22.9% vacancy rate, 11.0% availability rate, and a market asking rent of $26.13, while the overall submarket had a 24.4% vacancy rate, 16.0% availability rate, and a market asking rent of $27.39. Per the YE 2024 rent roll, the property had average in place rent of $18.85 psf. Fitch's 'Bsf' rating case loss of 49% (before concentration add-ons) reflects a stress to the most recent servicer reported appraised value. The second overall largest contributor to loss and the largest increase in loss expectations since the prior rating action is the Sequa Corporation Industrial Portfolio loan. The loan is secured by five industrial properties totaling 600,917-sf 100% triple net leased to Chromalloy Gas Turbine, LLC, a division of Sequa Corporation through Oct. 2038. The sponsor is TPG Angelo Gordon. Per servicer reporting, the loan went 30 days delinquent at the July 2025 remittance report and is past due for the June payment. Commentary from the special servicer shows collections are in progress. Fitch's 'Bsf' rating case loss of 21% (before concentration add-ons) reflects a 9.25% cap rate and 10% stress to the YE 2023 NOI. The third largest increase in loss expectations since the prior rating action and third overall largest contributor to loss is the 3300 Renner loan. The loan is secured by a 185,078-sf single tenant office property in Richardson, TX and is 100% leased by Genpact through August 2029. Per CoStar, 185,086-sf (100% NRA) is available for lease. Approximately 95,086-sf is available for direct lease within 30 days, and 90,000-sf is available for sublease from Genpact. According to CoStar, comparable properties in the Richardson office submarket had a 21.7% vacancy rate, 24.4% availability rate, and a market asking rent of $28.29, while the overall submarket had a 19.0% vacancy rate, 22.3% availability rate, and a market asking rent of $28.29. Fitch's 'Bsf' rating case loss of 16% (before concentration add-ons) reflects a 10% cap rate and 40% stress to the YE 2023 NOI. Changes in Credit Enhancement (CE): As of the July 2025 distribution date, the aggregate balance has been paid down by 14.2% since issuance. Additionally, six loans (8.4% of the pool) have been defeased. Cumulative interest shortfalls were $849,535 and affected the non-rated H-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not likely due to the position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur are expected. Downgrades to classes rated in the 'AAsf' categories, particularly those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Sugar Creek Center, Sequa Corporation Industrial Portfolio and 3300 Renner. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including Sugar Creek Center, Sequa Corporation Industrial Portfolio and 3300 Renner. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. Upgrades to distressed ratings are not likely but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFLD 2014-MONT: S&P Discontinues 'D (sf)' Rating on Class D Notes ----------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 18 classes of commercial mortgage pass-through certificates from six U.S. CMBS transactions: CG-CCRE Commercial Mortgage Trust 2014-FL2, CSMC Trust 2017-CALI, GS Mortgage Securities Corp. Trust 2018-TWR, J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC, UBS Commercial Mortgage Trust 2017-C4, and WFLD 2014-MONT Mortgage Trust. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We previously lowered the ratings on these classes to 'D (sf)' because of accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Ratings Discontinued CG-CCRE Commercial Mortgage Trust 2014-FL2 Class COL1 to not rated from 'D (sf)' CSMC Trust 2017-CALI Class B to not rated from 'D (sf)' Class C to not rated from 'D (sf)' Class D to not rated from 'D (sf)' Class E to not rated from 'D (sf)' Class F to not rated from 'D (sf)' Class X-B to not rated from 'D (sf)' GS Mortgage Securities Corp. Trust 2018-TWR Class A to not rated from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC Class A to not rated from 'D (sf)' Class B to not rated from 'D (sf)' Class C to not rated from 'D (sf)' Class D to not rated from 'D (sf)' Class X-EXT to not rated from 'D (sf)' UBS Commercial Mortgage Trust 2017-C4 Class E to not rated from 'D (sf)' Class F to not rated from 'D (sf)' Class X-E to not rated from 'D (sf)' Class X-F to not rated from 'D (sf)' WFLD 2014-MONT Mortgage Trust Class D to not rated from 'D (sf)' WFRBS COMMERCIAL: DBRS Lowers Rating on 2 Tranches to CCCsf ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C25 issued by WFRBS Commercial Mortgage Trust 2014-C25 as follows: -- Class F to C (sf) from CCC (sf) -- Class X-D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class X-B at BBB (high) (sf) -- Class D at BBB (sf) -- Class X-C at BB (high) (sf) -- Class E at BB (sf) The trends on Classes D and X-B were changed to Stable from Negative. The trends on Classes E and X-C are Negative. Classes F and X-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrade on Class F reflects Morningstar DBRS' increased loss projections for the remaining loans in the pool. Since Morningstar DBRS' previous credit rating action in September 2024, 33 loans have been repaid from the pool, with three loans outstanding as of the July 2025 remittance. Two of the outstanding loans, representing 28.9% of the pool, are currently in special servicing. Both loans matured in November 2024 with the Madison Park Office Portfolio loan (Prospectus ID#8, 23.0% of the current pool balance) categorized as a nonperforming matured balloon while the Desert Sky Festival loan (Prospectus ID#27, 6.0% of the current pool balance) is real estate owned. The largest loan in the pool, Colorado Mills (Prospectus ID #2, 71.1% of the current pool balance), returned to the master servicer in May 2025 after a loan modification was executed. The loan is discussed in further detail below. Given the concentration of defaulted loans and distressed properties remaining in the pool, Morningstar DBRS conducted a recoverability analysis to test the durability of the credit rating assigned to Class D, assuming conservative liquidation scenarios for all three loans based on value stresses, with individual property value haircuts ranging from 20.0% to 30.0% applied to the most recent appraised values. Morningstar DBRS considered multiple factors when determining the level of stress, including the property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The analysis resulted in cumulative implied losses of approximately $30.3 million, eroding approximately 15% of the balance of lowest-rated certificate, Class F. The balance of the investment-grade credit rating on Class D is well insulated from the implied losses and is deemed ultimately recoverable, even in a conservative scenario, supporting the trend change to Stable from Negative. Colorado Mills is secured by a 918,448-sf portion of 1.1 million-sf regional outlet mall in Lakewood, Colorado, and is sponsored by Simon Property Group, Inc. (Simon). The subject loan has a pari passu piece secured in the Wells Fargo Commercial Mortgage Trust 2014-LC18 transaction, also rated by Morningstar DBRS. The mall is anchored by Regal UA Theatre (9.0% of the net rentable area (NRA), lease expires in December 2032), Burlington Coat Factory (6.9% of the NRA, lease expires in January 2031), Dick's Sporting Goods (4.7% of the NRA, lease expires in January 2028), and is shadow-anchored by a non-collateral Target. The loan transferred to the special servicer in August 2024 for imminent monetary default but was returned to the master servicer in May 2025 following a loan modification. The loan's maturity date has been extended through November 2026, and all excess cash is being captured to pay down the principal balance of the loan. According to the most recent financial reporting provided by the servicer, the property was 86.7% occupied as of March 2025, compared with the issuance figure of 93.8%. Net cash flow (NCF) has remained relatively in line with issuance figures with the YE2024 NCF reported at $14.8 million, compared with Morningstar DBRS' NCF of $14.4 million and the issuer's figure of $15.4 million concluded to at loan closing. The debt service coverage ratio (DSCR) remains stable at 1.83 times (x), compared with Morningstar DBRS' DSCR of 1.79x and the Issuer's figure of 1.91x. The property received an updated valuation of $135.0 million in October 2024, which is 37.2% less than the issuance value of $215.0 million. It is noteworthy that Simon recently defaulted for the second time on the loan securing the Sunvalley Shopping Center in Concord, California, in May 2025, according to San Francisco Business Times; the property is well occupied at 95.0% as of December 2024 but cash flow is down about 39.0% from the time of issuance. In the current analysis, Morningstar DBRS applied a 30.0% haircut to the most recent valuation in a conservative hypothetical liquidation to account for tenant rollover risk as approximately 17.0% of the NRA had scheduled lease expirations in the following 12 months, according to the March 2025 rent roll. The approach also reflects the borrower's recent challenges regarding the maturity default and increased refinancing risk. The resulting estimated losses totaled $15.6 million with a 20.0% loss severity to the trust. 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Class X-B, Class X-C, and Class X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. ZAIS CLO 18: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the proposed new class X-R, A-1R, B-R, C-1R, C-FR, D-1R, D-FR, D-JR, and E-R debt from ZAIS CLO 18 Ltd./ZAIS CLO 18 LLC, a CLO managed by ZAIS Leveraged Loan Master Manager LLC, an affiliate of ZAIS Group that was originally issued in February 2022 and was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Aug. 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 21, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to assign ratings to the new class X-R, A-1R, B-R, C-1R, C-FR, D-1R, D-FR, D-JR, and E-R debt. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the new debt." The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned ZAIS CLO 18 Ltd./ZAIS CLO 18 LLC Class X-R, $3.25 million: AAA (sf) Class A-1R, $240.00 million: AAA (sf) Class A-JR, $24.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-1R (deferrable), $19.00 million: A (sf) Class C-FR (deferrable), $5.00 million: A (sf) Class D-1R (deferrable), $18.00 million: BBB (sf) Class D-FR (deferrable), $6.00 million: BBB (sf) Class D-JR (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $10.00 million: BB- (sf) Other Debt ZAIS CLO 18 Ltd./ZAIS CLO 18 LLC Subordinated notes, $45.38 million: NR NR--Not rated. ZAIS CLO 7: Moody's Lowers Rating on $24.75MM Class E Notes to B3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by ZAIS CLO 7, Limited: US$33,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aaa (sf); previously on May 2, 2024 Upgraded to Aa1 (sf) US$30,250,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Baa1 (sf); previously on May 2, 2024 Upgraded to Baa3 (sf) Moody's also downgraded the ratings on the following notes: US$24,750,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B3 (sf); previously on August 6, 2020 Downgraded to B1 (sf) ZAIS CLO 7, Limited, originally issued in Oct 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2022. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2024. Based on the trustee's July 2025 [1] report, the OC ratios for the Class B, Class C, and Class D notes are reported at 277.15%, 163.56%, and 118.90%, respectively, versus July 2024 [2] levels of 150.84%, 127.30% and 111.37%, respectively. Moody's note that the July 2025 trustee-reported OC ratios do not reflect the July 2025 payment distribution, when $20.4 million of principal proceeds were used to pay down the Class B Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2025 [3] report, the OC ratio for the Class E notes is reported at 96.63% versus July 2024 [4] level of 100.73%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3968 compared to 3503 in July 2024 [5], failing the trigger of 2986. No action was taken on the Class B notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $118,258,042 Defaulted par: $8,253,565 Diversity Score: 35 Weighted Average Rating Factor (WARF): 3624 Weighted Average Spread (WAS): 3.95% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.20% Weighted Average Life (WAL): 2.73 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. [] DBRS Reviews 484 Classes From 18 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 484 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as re-performing loan, prime jumbo, agency credit-risk transfer, and mortgage insurance linked note transactions. Of the 484 classes reviewed, Morningstar DBRS upgraded its credit ratings on 79 classes and confirmed its credit ratings on 405 classes. The Affected Ratings are available at https://bit.ly/4oMLIT9 The Issuers are: CIM Trust 2024-R1 Radnor Re 2023-1 Ltd. Bellemeade Re 2024-1 Ltd. Freddie Mac STACR REMIC Trust 2021-HQA4 Freddie Mac STACR REMIC Trust 2024-HQA2 Towd Point Mortgage Trust 2024-3 J.P. Morgan Mortgage Trust 2024-9 J.P. Morgan Mortgage Trust 2024-6 J.P. Morgan Mortgage Trust 2024-8 Connecticut Avenue Securities Trust 2024-R05 Freddie Mac STACR REMIC Trust 2022-HQA3 Freddie Mac STACR REMIC Trust 2020-DNA6 Freddie Mac STACR REMIC Trust 2021-DNA7 Freddie Mac STACR REMIC Trust 2020-DNA5 Freddie Mac STACR REMIC Trust 2021-DNA1 Connecticut Avenue Securities, Series 2021-R01 Freddie Mac STACR REMIC Trust 2021-HQA3 Connecticut Avenue Securities Trust 2022-R09 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. Notes: All figures are in US Dollars unless otherwise noted. [] Moody's Takes Rating Action on 19 Bonds from 9 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds and downgraded the ratings of two 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: CS First Boston Mortgage Securities Corp, CSFB ABS Trust Series 2001-HE8 Cl. A-1, Upgraded to Aaa (sf); previously on Oct 16, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Oct 16, 2024 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 24, 2012 Downgraded to C (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-6 Cl. I-A-3, Upgraded to Aaa (sf); previously on Oct 9, 2024 Upgraded to Aa3 (sf) Cl. I-A-4, Upgraded to Aaa (sf); previously on Oct 9, 2024 Upgraded to Aa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-11 Cl. MF-1, Upgraded to Caa2 (sf); previously on Nov 20, 2018 Upgraded to Ca (sf) Cl. MV-5, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Ca (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-2 Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3 Cl. B-1, Upgraded to Ca (sf); previously on Mar 21, 2011 Downgraded to C (sf) Cl. S*, Upgraded to Caa3 (sf); previously on Nov 21, 2023 Downgraded to Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ1 Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on May 18, 2017 Upgraded to Caa3 (sf) Cl. M-7, Upgraded to Ca (sf); previously on Apr 1, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2 Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 10, 2017 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2004-8 Cl. M6, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to Ca (sf) Cl. M9, Upgraded to Caa2 (sf); previously on Jan 13, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC3 Cl. 1-A4, Upgraded to Caa3 (sf); previously on Dec 17, 2018 Upgraded to Ca (sf) Cl. 2-A4, Upgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to Caa3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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. 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. The rating downgrades on some of the bonds are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of these bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating action on Class MV-5 from CWABS Asset-Backed Certificates Trust 2005-11 reflects missed interest that is unlikely to be recouped. The bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 23 Bonds from 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 16 bonds and downgraded the ratings of seven bonds from 10 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: Accredited Mortgage Loan Trust 2006-2 Cl. A-4, Downgraded to Caa1 (sf); previously on Nov 4, 2024 Downgraded to B2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-OPT1 Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: CIT Home Equity Loan Trust 2002-2 Cl. MF-2, Upgraded to Ca (sf); previously on Apr 6, 2011 Downgraded to C (sf) Cl. MV-2, Upgraded to Caa1 (sf); previously on May 4, 2012 Confirmed at C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-HE2 Cl. M-3, Downgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE3 Cl. M-4, Upgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE4 Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 18, 2017 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 23, 2018 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE2 Cl. M-3, Upgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to Ca (sf) Cl. M-4, Upgraded to Ca (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-10 Cl. MF-1, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B2 (sf) Cl. MF-2, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B2 (sf) Cl. MF-3, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa2 (sf) Cl. MF-4, Upgraded to Caa2 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. MV-5, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-13 Cl. MF-2, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B2 (sf) Cl. MF-4, Upgraded to Caa1 (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. MV-7, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FFH1 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 4, 2024 Downgraded to B2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls or that are unlikely to be recouped. Each of the downgraded bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating action on Class M-3 from Citigroup Mortgage Loan Trust 2007-WFHE2 reflects missed interest that is unlikely to be recouped. This bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 24 Bonds from 13 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds and downgraded the ratings of 11 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by Subprime and Option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2003-2 Cl. B, Upgraded to Caa3 (sf); previously on Mar 13, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 4, 2012 Confirmed at Caa2 (sf) Issuer: BNC Mortgage Loan Trust 2006-2 Cl. A1, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Caa3 (sf) Cl. A4, Downgraded to Caa1 (sf); previously on Oct 15, 2024 Downgraded to B3 (sf) Cl. A5, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 Cl. A-1, Upgraded to A2 (sf); previously on Oct 10, 2024 Upgraded to Baa1 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FFH3 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 15, 2024 Downgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Nov 13, 2013 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: Fremont Home Loan Trust 2005-1 Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 15, 2024 Downgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 8, 2016 Upgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-FRE1 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 15, 2024 Downgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE2 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE2 Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to B3 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-2 Cl. M-6, Downgraded to Caa1 (sf); previously on May 17, 2018 Upgraded to B3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ2 Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B2 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ3 Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B2 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Sep 5, 2018 Upgraded to Caa3 (sf) Issuer: Soundview Home Loan Trust 2005-2 Cl. M-6, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B3 (sf) Cl. M-8, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF3 Cl. M2, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Most of the rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. The majority of the bonds also have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating upgrade on Class A-1 from Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 is a result of the improving performance of the related pool. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 27 Bonds from 15 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 10 bonds and downgraded the ratings of 17 bonds from 15 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: American Home Mortgage Investment Trust 2005-2 Cl. V-A-1, Downgraded to Caa1 (sf); previously on May 21, 2014 Downgraded to B3 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust NC 2005-HE8 M3, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B2 (sf) M5, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B2 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE3 Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Downgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Jan 18, 2017 Upgraded to Caa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-8 Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to B3 (sf) Issuer: Encore Credit Receivables Trust 2005-1 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B3 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B3 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B3 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: Encore Credit Receivables Trust 2005-2 Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B2 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: GSAA Home Equity Trust 2005-6 Cl. B-1, Upgraded to Caa2 (sf); previously on Feb 19, 2009 Downgraded to C (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on May 6, 2019 Upgraded to Caa2 (sf) Issuer: GSAMP Trust 2005-HE4 Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B2 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B3 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: GSAMP Trust 2005-WMC1 Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 9, 2024 Downgraded to B3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: IXIS Real Estate Capital Trust 2005-HE1 Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Downgraded to B3 (sf) Issuer: MASTR Asset Backed Securities Trust 2004-HE1 Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B2 (sf) Issuer: Saxon Asset Securities Trust 2005-4 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Downgraded to B2 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Jul 16, 2010 Downgraded to C (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2005-6HE Cl. M-6, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Upgraded to B2 (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust Cl. A-3, Downgraded to Caa1 (sf); previously on Oct 31, 2024 Downgraded to B3 (sf) Cl. A-4, Upgraded to Ca (sf); previously on Jun 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has 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 downgrades on Class 2-A-4 from CWABS Asset-Backed Certificates Trust 2006-8 and Class M-6 from Terwin Mortgage Trust, Series TMTS 2005-6HE 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 34 Bonds From 13 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 18 bonds and downgraded the ratings of 15 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A and option arm mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HSI Asset Securitization Corporation Trust 2005-OPT1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jul 22, 2016 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Impac CMB Trust Series 2005-5 Collateralized Asset-Backed Bonds, Series 2005-5 Cl. A-1, Downgraded to B1 (sf); previously on Dec 17, 2015 Upgraded to Ba2 (sf) Cl. A-2, Downgraded to B1 (sf); previously on Dec 17, 2015 Upgraded to Ba2 (sf) Cl. A-3W, Downgraded to B1 (sf); previously on Dec 17, 2015 Upgraded to Ba2 (sf) Underlying Rating: Downgraded to B1 (sf); previously on Dec 17, 2015 Upgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 20, 2009 Downgraded to C (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-B Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 2, 2024 Downgraded to B3 (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1 Cl. A-2, Upgraded to Caa1 (sf); previously on Feb 11, 2016 Upgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT1 Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 2, 2014 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT2 Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 4, 2024 Downgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Feb 1, 2019 Upgraded to Ca (sf) Cl. M-7, Upgraded to Ca (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1 Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 30, 2017 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2005-NC1 Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 2, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 27, 2018 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 3, 2013 Confirmed at B3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE7 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE2 Cl. B-1, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 9, 2022 Upgraded to Caa2 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2007-2 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Issuer: Option One Mortgage Loan Trust 2005-4 Cl. M-2, Downgraded to Caa1 (sf); previously on Dec 12, 2016 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR17 Cl. A-1A2, Downgraded to Caa1 (sf); previously on Jun 30, 2015 Upgraded to B3 (sf) Cl. A-1C3, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to C (sf) Cl. A-1C4, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. All of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Most of the downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 39 Bonds From 11 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 24 bonds and downgraded the ratings of 15 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R2 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B2 (sf) 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 Jan 13, 2017 Upgraded to Caa2 (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Mar 29, 2011 Downgraded to C (sf) Cl. M-9, Upgraded to Caa3 (sf); previously on Jun 5, 2008 Downgraded to C (sf) Issuer: ChaseFlex Trust Series 2007-2 Cl. M-1, Upgraded to Caa1 (sf); previously on Jan 29, 2009 Downgraded to C (sf) Issuer: Equifirst Mortgage Loan Trust 2005-1 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 Jun 9, 2020 Downgraded to B1 (sf) Cl. M-7, Downgraded to Caa1 (sf); previously on Oct 15, 2024 Upgraded to B1 (sf) Cl. M-8, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH3 Cl. M-3, Downgraded to Caa1 (sf); previously on Jul 2, 2015 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH2, Asset-Backed Pass-Through Certificates, Series 2007-CH2 Cl. AF-2, Upgraded to Caa1 (sf); previously on May 1, 2014 Downgraded to Ca (sf) Cl. AF-3, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-4, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-5, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on May 1, 2014 Downgraded to Ca (sf) Cl. MV-5, Upgraded to Caa1 (sf); previously on Jun 12, 2009 Downgraded to C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2 Cl. M-3, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B2 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B3 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. M-7, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ1 Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 17, 2016 Upgraded to B1 (sf) Cl. M-7, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2003-1 B-A, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) B-F, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) M-1, Downgraded to Caa1 (sf); previously on Dec 4, 2023 Downgraded to B3 (sf) M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2005-OP1 Cl. B-2, Upgraded to Caa1 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. B-4, Upgraded to Caa3 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 31, 2024 Downgraded to B2 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Feb 26, 2018 Upgraded to B3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE2 Cl. M2, Upgraded to Aaa (sf); previously on Oct 28, 2024 Upgraded to A1 (sf) Cl. M3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2006-4 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A2, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A4, Downgraded to Caa1 (sf); previously on Oct 31, 2024 Downgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrade on Class M2 from Structured Asset Investment Loan Trust 2005-HE2 is a result of the increase in credit enhancement available to the bond. The credit enhancement available to the bond showed a one-year increase of 1.12x. The rating action on Class MV-5 from J.P. Morgan Mortgage Acquisition Trust 2007-CH2, Asset-Backed Pass-Through Certificates, Series 2007-CH2 considers missed interest that is unlikely to be recouped. This bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. Most of the rating downgrades are the results of outstanding credit interest shortfalls that are unlikely to be recouped. These downgraded bonds have a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 9 Bonds From 6 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds from six US residential mortgage-backed transactions (RMBS), backed by option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2005-WMC1 Cl. M-4, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3 Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Aegis Asset Backed Securities Trust 2004-1 Cl. B1, Upgraded to Caa1 (sf); previously on Mar 13, 2011 Downgraded to C (sf) Cl. M2, Upgraded to Caa1 (sf); previously on Mar 13, 2011 Downgraded to Caa3 (sf) Cl. M3, Upgraded to Caa1 (sf); previously on Mar 13, 2011 Downgraded to Ca (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC5 Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: RALI Series 2006-QH1 Trust Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: RALI Series 2007-QH4 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 16, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 28 Bonds From 15 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded 28 ratings from 15 US residential mortgage-backed transactions (RMBS), backed by Option ARM, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1 Cl. M-2, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Aegis Asset Backed Securities Trust 2004-6 Cl. M3, Upgraded to Caa2 (sf); previously on May 25, 2017 Upgraded to Ca (sf) Issuer: Aegis Asset Backed Securities Trust 2005-1 Cl. M5, Upgraded to Caa2 (sf); previously on Mar 15, 2013 Affirmed C (sf) Issuer: Aegis Asset Backed Securities Trust 2005-2 Cl. M4, Upgraded to Caa2 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Aegis Asset Backed Securities Trust 2005-3 Cl. M3, Upgraded to Caa1 (sf); previously on Jan 13, 2020 Upgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-2 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 29, 2011 Downgraded to C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1 Cl. M-5, Upgraded to Caa3 (sf); previously on May 4, 2012 Downgraded to C (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4 Cl. M-6, Upgraded to Caa1 (sf); previously on Jan 30, 2019 Upgraded to Caa2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2 Cl. M-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2007-1 Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. A-1I, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-NA, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR4 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR2 Cl. A-1-1, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Cl. A-1-2, Upgraded to Caa1 (sf); previously on Sep 8, 2010 Downgraded to Caa3 (sf) Issuer: Impac CMB Trust Series 2005-6 Collateralized Asset-Backed Bonds, Series 2005-6 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A-2, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-M-1, Upgraded to Caa2 (sf); previously on Feb 20, 2009 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR15 Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 12, 2010 Confirmed at Caa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-WMC1 Cl. M-4, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***