250831.mbx

250831.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 31, 2025, Vol. 29, No. 242 Headlines 720 EAST VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ANCHORAGE CAPITAL 19: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes APEX CREDIT 2020-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes APIDOS CLO XXVIII: Fitch Assigns 'BB+sf' Rating on Class D-R Notes APIDOS CLO XXVIII: Moody's Assigns B3 Rating to $500,000 E-R Notes BAIN CAPITAL 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK 2021-BNK35: DBRS Confirms 'B' Rating on Class J Certs BANK5 2025-5YR16: DBRS Finalizes BBsf Rating on Cl. G-RR Certs BANK5 2025-5YR16: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs BASEPOINT MCA II: DBRS Finalizes BB on Series 2025-1 Cl. C Notes BBAM US V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BBCMS MORTGAGE 2017-C1: DBRS Cuts Rating on 6 Tranches to Csf BBCMS MORTGAGE 2021-C12: Fitch Lowers Rating on 2 Tranches to B-sf BBCMS MORTGAGE 2022-C16: DBRS Confirms B(low) Rating on H Certs BENCHMARK 2022-B34: DBRS Confirms Bsf Rating on Class G Certs BENEFIT STREET XX: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes BX COMMERCIAL 2025-COPT: DBRS Finalizes BB(low) Rating at HRR Debt CALIFORNIA STREET IX: S&P Lowers D-2-R2 Notes Rating to 'BB (sf)' CANYON CLO 2021-3: S&P Assigns BB- (sf) Rating on Class E-R Certs CARLYLE US 2019-1: Moody's Assigns Ba3 Rating to $33MM D-R Notes CBAMR 2018-5: Fitch Assigns 'BBsf' Final Rating on Class E-R Notes CBAMR LTD 2018-5: Moody's Assigns (P)Caa1 Rating to Cl. F-R Notes CBAMR LTD 2018-5: Moody's Assigns Caa1 Rating to $250,000 F-R Notes CHASE HOME 2025-9: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs CHASE HOME 2025-9: Moody's Assigns B3 Rating to Cl. B-5 Certs CHASE HOME 2025-9: Moody's Ups Rating on Cl. B-4 Certs to (P)Ba2 CIFC FUNDING 2022-IV: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes CIFC FUNDING 2025-IV: Fitch Assigns 'BB-sf' Final Rating on E Notes CITIGROUP 2019-C7: DBRS Confirms B(low) Rating on J-RR Certs CITIGROUP 2019-GC41: Fitch Lowers Rating on Two Tranches to 'Bsf' COLT 2025-9: S&P Assigns B (sf) Rating on Class B-2 Certs COMM 2014-UBS4: Fitch Lowers Rating on Two Tranches to 'B-sf' CSAIL 2015-C5: Fitch Lowers Rating on Two Tranches to 'BBsf' CSAIL 2018-CX12: DBRS Confirms B(high) Rating on G-RR Certs DBJPM 2017-C6: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' DGWD TRUST 2025-INFL: Fitch Assigns Bsf Final Rating on Cl. F Notes DK TRUST 2025-LXP: Fitch Assigns B-sf Final Rating on Cl. HRR Certs EMPOWER CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes EXETER AUTOMOBILE 2025-4: S&P Assigns BB- (sf) Rating on E Notes FORTRESS CREDIT XXIII: S&P Assigns Prelim 'BB-' Rating on E Notes FS RIALTO 2021-FL3: DBRS Confirms B(low) Rating on Cl. G Debt GALAXY CLO XXV: Moody's Ups Rating on $200,000 Cl. F-R Notes to B1 GALAXY XXV: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes GCAT TRUST 2025-INV3: Moody's Assigns B1 Rating to Cl. B-5 Certs GCAT TRUST 2025-INV3: Moody's Ups Rating on Cl. B-5 Certs to (P)B1 GOAL STRUCTURED 2015-1: Fitch Affirms 'BB' Rating on Class B Notes GS MORTGAGE 2015-GC30: DBRS Cuts Rating on 3 Tranches to Csf GS MORTGAGE 2025-NQM3: DBRS Finalizes Bsf Rating on Cl. B-2 Certs GS MORTGAGE 2025-RPL4: DBRS Gives B(high) Rating on Cl. B-2 Notes GS MORTGAGE 2025-RPL4: Fitch Gives 'Bsf' Rating on Class B-2 Certs HIGLEY PARK: Fitch Assigns 'BBsf' Rating on E Notes, Outlook Stable HIGLEY PARK: Moody's Assigns B3 Rating to $250,000 Cl. F Notes HIN TIMESHARE 2020-A: Fitch Affirms 'Bsf' Rating on Class E Notes HOMEWARD OPPORTUNITIES 2025-RRTL2: DBRS Assigns B(low) on M2 Debt HPS LOAN 2021-16: Moody's Assigns Ba3 Rating to $22MM E-R Notes HPS PRIVATE 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-R3 Notes JPMBB COMMERCIAL 2015-C32: DBRS Cuts Rating on 4 Tranches to Csf JPMDB COMMERCIAL 2016-C4: Fitch Affirms Bsf Rating on Two Tranches KKR CLO 55: Fitch Assigns 'BBsf' Rating on Class E Notes LEHMAN XS 2005-5N: Moody's Upgrades Rating on 2 Tranches to B1 LHOME MORTGAGE 2025-RTL3: DBRS Finalizes B Rating on M2 Debt MF1 2025-FL20: DBRS Finalizes B(low) Ratings on 3 Tranches MORGAN STANLEY 2017-C33: DBRS Lowers Rating on Cl. F Certs to Csf MORGAN STANLEY 2017-H1: DBRS Cuts Rating on 2 Tranches to Csf MORGAN STANLEY 2025-NQM6: DBRS Finalizes Bsf Rating on B-2 Certs OAKTREE CLO 2025-31: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON 78: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable OCTAGON INVESTMENT 26: S&P Lowers Class E-R Notes Rating to B-(sf) OPORTUN FUNDING 2022-1: DBRS Confirms BB(low) Rating on C Notes OPORTUN ISSUANCE 2025-C: Fitch Gives 'BB-sf' Rating on Class E Debt ORIGEN MANUFACTURED 2002-A: S&P Raises M-2 Notes Rating to 'CCC+' PALMER SQUARE 2024-2: DBRS Confirms BB Rating on Class E Notes PALMER SQUARE 2025-4: S&P Assigns Prelim BB-(sf) Rating on E Notes PMT LOAN 2025-J2: DBRS Finalizes B(low) Rating on Cl. B-5 Notes PMT LOAN 2025-J2: Moody's Assigns (P)Ba3 Rating to Cl. B-5 Certs POPULAR ABS 2005-6: Moody's Hikes Rating on Cl. A-5 Certs to Caa1 PREFERRED TERM XX: Moody's Ups Rating on $42.85MM Cl. C Notes to B2 PREFERRED TERM XXVIII: Moody's Hikes Rating on 2 Tranches to Ba1 RCKT MORTGAGE 2025-CES8: Fitch Assigns Bsf Rating on Five Tranches RIN LLC V: Moody's Assigns (P)Ba3 Rating to $8MM Class E-R Notes RIN V LLC: Moody's Assigns Ba3 Rating to $8MM Class E-R Notes ROCKFORD TOWER 2025-2: Fitch Assigns 'BB-sf' Rating on Cl. E Notes SAIF SECURITIZATION 2025-CES1: DBRS Finalizes B Rating on B-2 Debt SARANAC CLO III: Moody's Lowers Rating on $24MM E-R Notes to Caa3 SCULPTOR CLO XXIX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes STUDENT LOAN 2002: Moody's Downgrades Rating on 7 Tranches to Ba1 SYMPHONY CLO XVIII: S&P Assigns BB- (sf) Rating on Cl. E-R4 Notes TCW CLO 2021-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TPG CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes UBS COMMERCIAL 2019-C16: Fitch Lowers Rating on F-RR Debt to 'B-sf' UPGRADE RECEIVABLES 2024-1: DBRS Confirms B Rating on Class E Notes UPX HIL 2025-1: Fitch Assigns 'BB-sf' Rating on Class C Notes VERTICAL BRIDGE 2025-1: DBRS Finalizes BB Rating on Class D Notes VOYA CLO 2025-4: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes WELLS FARGO 2017-RC1: DBRS Confirms Csf Rating on Class F Certs WFLD 2014-MONT: DBRS Confirms CCC(sf) Rating on Class D Certs WOODMONT 2019-6: S&P Affirms BB-(sf) Rating on Class E2 Notes ZAIS CLO 18: S&P Assigns BB- (sf) Rating on Class E-R Notes [] DBRS Reviews 75 Classes From 14 US RMBS Transactions [] DBRS Takes Rating Actions on 45 US RMBS Transactions [] Moody's Takes Rating Action on 16 Bonds from 6 US RMBS Deals [] Moody's Takes Rating Action on 16 Bonds from 8 US RMBS Deals [] Moody's Takes Rating Action on 21 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 11 Bonds From 7 US RMBS Deals [] Moody's Upgrades Ratings on 24 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 5 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds from 6 US RMBS Deals ********* 720 EAST VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to 720 East CLO VIII Ltd./720 East CLO VIII 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 Northwestern Mutual Investment Management Co. LLC. The preliminary ratings are based on information as of Aug. 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO VIII Ltd./720 East CLO VIII LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $32.00 million: AAA (sf) Class B, $24.00 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, $32.20 million: NR NR--Not rated. ANCHORAGE CAPITAL 19: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Anchorage Capital CLO 19, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 19, Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1 03328JAC1 LT PIFsf Paid In Full AAsf B-2 03328JAJ6 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 03328JAE7 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D 03328JAG2 LT PIFsf Paid In Full BBB+sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Anchorage Capital CLO 19, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Anchorage Collateral Management, L.L.C. that originally closed in September 2021. The CLO's secured notes will be refinanced on Aug. 28, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 97.35% first-lien senior secured loans and has a weighted average recovery assumption of 71.94%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 19, 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. APEX CREDIT 2020-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Apex Credit CLO 2020-II Ltd. reset transaction. Entity/Debt Rating ----------- ------ Apex Credit CLO 2020-II Ltd. X-R LT AAAsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Apex Credit CLO 2020-II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Apex Credit Partners LLC. This transaction originally closed February 2020 and was not rated by Fitch. Apex Credit CLO 2020-II Ltd. will reset on Aug. 21, 2025 and net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $300 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 23.68 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.06% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 70.98% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-R, between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, and 'Asf' for class D-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 Apex Credit CLO 2020-II 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. APIDOS CLO XXVIII: Fitch Assigns 'BB+sf' Rating on Class D-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XXVIII reset transaction. Entity/Debt Rating ----------- ------ Apidos CLO XXVIII A-1A-R LT NRsf New Rating A-1B-R LT AAAsf New Rating A-2-R LT AAsf New Rating B-R LT Asf New Rating C-1-R LT BBB-sf New Rating C-2-R LT BBB-sf New Rating D-R LT BB+sf New Rating E LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Apidos CLO XXVIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC and originally closed in December 2017. The CLO's secured notes will be refinanced on Aug. 27, 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 $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-' which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.4% first lien senior secured loans and has a weighted average recovery assumption of 72.21%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1B-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'BB-sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, 'A-sf' for class C-2-R, and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XXVIII. 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. APIDOS CLO XXVIII: Moody's Assigns B3 Rating to $500,000 E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Apidos CLO XXVIII (the Issuer): US$288,000,000 Class A-1A-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$500,000 Class E-R Mezzanine 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% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and 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: $450,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3161 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BAIN CAPITAL 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2025-3, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2025-3, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2025-3, 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. 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 22.51 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 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.81% 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 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2025-3, 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. BANK 2021-BNK35: DBRS Confirms 'B' Rating on Class J Certs ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BNK35 issued by BANK 2021-BNK35 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-5-1 at AAA (sf) -- Class A-5-2 at AAA (sf) -- Class A-5-X1 at AAA (sf) -- Class A-5-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class B-1 at AAA (sf) -- Class B-2 at AAA (sf) -- Class B-X1 at AAA (sf) -- Class B-X2 at AAA (sf) -- Class X-B at AA (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class X-FG at BBB (low) (sf) -- Class F at BBB (low) (sf) -- Class X-H at BB (high) (sf) -- Class G at BB (high) (sf) -- Class H at BB (sf) -- Class X-J at B (high) (sf) -- Class J at B (sf) Morningstar DBRS changed the trends on Classes C, D, X-B, C1, C2, C-X1, and C-X2 to Positive from Stable. All other classes have Stable trends. The credit rating confirmations reflect the overall strong performance of the transaction, which remains in line with Morningstar DBRS' expectations as evidenced by a healthy weighted-average debt service coverage ratio (DSCR) of 3.0 times (x), and no delinquencies or loans in special servicing as of the most recent reporting available. The transaction also benefits from overall healthy leverage, which contributes to the relatively low pool expected loss (EL) in the Morningstar DBRS Insight Model results. Morningstar DBRS changed the trends on Classes C and D to Positive from Stable to reflect the improved performance of the primary loan of concern at Morningstar DBRS' last review, One Trinity Center (Prospectus ID#11; 2.9% of the pool). Although the pool is heavily concentrated with office-backed loans, many of the collateral buildings are occupied by government- and city-affiliated tenants, with three of the top 15 loans (accounting for 10.7% of the pool balance) backed by properties that are fully leased to such tenants. As of the August 2025 remittance, all of the original 76 loans remain in the pool with a trust balance of approximately $1.38 billion, representing a collateral reduction of 1.4% since issuance. Loans secured by office properties represent the largest property-type concentration, accounting for 26.8% of the current pool balance, followed by loans secured by retail properties at 25.2%. Seven loans, representing 10.5% of the pool balance, are on the servicer's watchlist, most of which are being monitored for credit-related reasons. Two loans, representing 1.1% of the pool balance, are fully defeased. Where applicable, Morningstar DBRS increased the probability of default (POD) and/or loan-to-value ratios (LTVs) for loans exhibiting increased risks since issuance. The One Trinity Center loan is secured by a 135,560-square-foot Class B office property in the challenged Van Ness/Civic Center office submarket of San Francisco. Per Reis, the submarket has a vacancy rate of 39.8% as of Q2 2025, a notable improvement from the Q2 2024 figure of 49.1%. The March 2025 rent roll reported an occupancy rate of 100%, up from 86% in June 2024. The increase is attributable to the Department of Public Health (20.6% of the net rentable area (NRA), lease expires in July 2034) expanding its footprint with a new lease that began in September 2024, filling the remaining vacant space at the property. The subject is primarily leased to public-sector tenants, with the largest tenants comprising of the City and County of San Francisco (27.4% of the NRA, lease expired in June 2024 -- currently on holdover; Morningstar DBRS has requested confirmation of the renewal status), the Department of Public Health, the San Francisco Law Library (14.8% of the NRA, lease expires in July 2039), the San Francisco Health Service System (14.5% of the NRA, lease expires in July 2034), and Trinity Management Services (9.4% of the NRA, lease expires in June 2033). According to the YE2024 financials, the property reported a net cash flow of $3.9 million, a notable increase from the YE2023 figure of $3.6 million and well in line with the $3.4 million Morningstar DBRS derived at issuance. As of March 2025, the property is also covering at a 3.15x DSCR. Given the property's location within San Francisco and the unknowns surrounding the largest tenant's lease, Morningstar DBRS maintained the stressed LTV it applied at the previous credit rating action. However, Morningstar DBRS did not carry over the previously applied POD stress given the improvement in occupancy and cash flows. The resulting EL in the analysis for this review was slightly more than double the pool average. At issuance, Morningstar DBRS shadow-rated three loans investment grade: Four Constitution Square (Prospectus ID#3, 4.0% of the pool balance), River House Coop (Prospectus ID#4 3.6% of the pool balance), and Three Constitution Square (Prospectus ID#12, 2.8% of the pool balance). As confirmed with this review, these loans continue to exhibit credit characteristics consistent with the respective investment-grade shadow ratings. The Four Constitution Square and Three Constitution Square loans are backed by office properties that are 100% occupied by the United States Department of Justice on 15-year leases with no termination options through maturity, and the River House Coop loan is backed by an exclusive co-operative apartment building in Manhattan with high property quality. 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 Classes X-A, X-B, X-D, X-FG, X-H, and X-J 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. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2025-5YR16: DBRS Finalizes BBsf Rating on Cl. G-RR Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5YR16 (the Certificates) issued by BANK5 2025-5YR16 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-2-1 at AAA (sf) -- Class A-2-2 at AAA (sf) -- Class A-2-X1 at AAA (sf) -- Class A-2-X2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class X-D at BBB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class D at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G-RR at BB (sf) All trends are Stable. Classes X-D, X-F, D, F, G-RR, and H-RR will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class D, Class F, Class G-RR and Class H-RR certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. The collateral for the BANK5 2025-5YR16 transaction consists of 40 fixed-rate loans secured by 180 commercial and multifamily properties with an aggregate cut-off date balance of $656.0 million. Five of the loans, representing 31.5% of the pool, are shadow-rated as investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the issuance Morningstar DBRS weighted-average (WA) Debt Service Coverage Ratio (DSCR) of the pool was 1.83 times (x) when including the shadow-rated loans and 1.40x when excluding the shadow-rated loans. The Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) of the pool was 55.3%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 55.0% at maturity based on the A note balances. When excluding the shadow-rated loans, the deal exhibits a reasonable Morningstar DBRS WA Issuance LTV of 63.4% and a Morningstar DBRS WA Balloon LTV of 63.2%. Nine loans, making up about 20.4% of the total pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%. This threshold typically correlates to an above-average default frequency. A total of three loans, 4.9% of the pool, exhibited a Morningstar DBRS Issuance DSCR below 1.15x. Ten loans, 13.6% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.25x, which is typically the threshold that indicates higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Morningstar DBRS completed reviews of cash flow underwriting and cash flow stability along with a structural review for 30 of the 40 loans, representing 87.0% of the pool. For the loans not subject to underwriting review, Morningstar DBRS applied the average NCF variance of the respective loan seller. Morningstar DBRS generally adjusted cash flow to current in-place rent and, in some instances, applied an additional vacancy or concession adjustment to account for deteriorating market conditions or tenants above market rent. Generally, Morningstar DBRS recognized most expenses based on the higher of historical figures and the borrower's budgeted figures. Morningstar DBRS inflated real estate taxes and insurance premiums if a current bill was not provided. Morningstar DBRS based capex on the greater of the engineer's inflated estimates and the Morningstar DBRS standard estimate, according to the property type. Finally, Morningstar DBRS deducted leasing costs to arrive at the Morningstar DBRS NCF. If a significant upfront leasing reserve was established at closing, Morningstar DBRS reduced its recognized leasing costs. Morningstar DBRS gave credit to tenants not yet in occupancy if a lease had been signed and the loan was adequately structured with a reserve, LOC, or a holdback earn-out. The Morningstar DBRS sample has an average NCF variance of -10.1% and ranges from 1.2% to -19.1%. Five loans, representing 31.5% of the total pool, exhibit credit characteristics consistent with investment-grade shadow credit ratings. These loans' credit characteristics were as follows: ILPT 2025 Portfolio was consistent with a shadow credit rating of A (low) (sf); The Campus at Lawson Lane was consistent with a shadow credit rating of AAA (sf); The Wharf was consistent with a shadow credit rating of A (high) (sf); The Lafayette Hotel was consistent with a shadow credit rating of AAA (sf); and the Aman Hotel New York was consistent with a shadow credit rating of AA (low) (sf). Three loans, representing 13.6% of the pool, are backed by properties in a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area that experiences increased liquidity driven by strong investor demand, even during times of market stress. Additionally, 13 loans, or 41.3% of the pool, are backed by properties in Morningstar DBRS Market Ranks of 5 or 6, which benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. Nine loans, or 28.6% of the pool, are backed by properties in a Morningstar DBRS MSA Group of 3, which represents the best-performing metropolitan statistical area (MSA) group out of the top 25 MSAs in terms of historical commercial mortgage-backed securities (CMBS) default rates. Sixteen loans, making up 45.8% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.7%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. When excluding the shadow-rated loans, the transaction exhibits a reasonable Morningstar DBRS WA LTV of 63.2%. Only three loans in the pool, making up 7.0% of the total, have a Morningstar DBRS LTV equal to or higher than 70.0%; one of these loans, Briar Cove and Summerwind, representing 3.6% of the pool, has a Morningstar DBRS LTV of 73.6%. The Morningstar DBRS WA DSCR of 1.83x, or 1.40x when excluding the shadow-rated loans, is healthy, especially when compared with the current interest rate environment in which DSCRs have been severely constrained after debt service payments have nearly doubled since mid-2022. Seven loans, 42.0% of the Morningstar DBRS sample and 36.5% of the pool, received a property quality assessment of Average + or above. One loan, 3.0% of the pool, received a property quality assessment of Excellent. Only five loans, 15.0% of the pool, received a property quality assessment of Average ¿. No properties received a property quality assessment of Below Average or Poor. The higher-quality properties are more likely to exhibit stable performance by way of attracting new tenants/guests or by retaining their current tenants/guests. Three loans, equaling 12.0% of the pool, were classified as having Weak sponsorship, which increases the probability of default in the Morningstar DBRS model. This designation was generally applied to sponsors who had lower net worth and liquidity, a history of prior defaults, or a lack of experience in commercial real estate. Furthermore, only two of the loans, 6.6% of the pool, were classified as having Strong sponsorship. All loans, aside from two, are refinancing existing debt and may not have third-party acquisition prices to support the appraised value conclusion. Acquisition financing also typically includes a meaningful cash investment from the sponsor on an agreed-upon price and aligns the interests more closely with those of the lender; refinance transactions may be cash-neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Thirty-six loans, representing 89.0% of the total pool, have IO payment structures and do not benefit from any amortization. Three of the remaining loans amortize over their full loan terms with no periods of IO payments. The remaining loan is partially amortizing. The pool contains 40 loans and is concentrated with a relatively low Herfindahl score of 21.6, with the top 10 loans representing 56.8% of the total pool. These metrics are just slightly lower than the Morningstar DBRS-rated BBCMS Mortgage Trust 2025-5C34 transaction, which had a Herfindahl score of 22.5, and the BANK5 2024-5YR10 transaction, which had a Herfindahl score of 30.7. Twenty-four loans, representing 51.7% of the pool, exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) less the current interest rate. Among the loans that exhibit negative leverage, the average was -0.7%. While cap rates have been increasing over the past few years, they have not surpassed the current interest rates. In the short term, this suggests that borrowers are willing to have lower equity returns to secure financing. In the longer term, if interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect their borrowers' ability to refinance their loans. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. 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, Yield Maintenance Charges and Prepayment 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS 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 may mirror the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2025-5YR16: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2025-5YR16, Commercial Mortgage Pass-Through Certificates, Series 2025-5YR16 as follows: - $5,283,000 class A-1 'AAAsf'; Outlook Stable; - $135,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $305,769,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $446,052,000c class X-A 'AAAsf'; Outlook Stable; - $136,205,000c class X-B 'A-sf'; Outlook Stable; - $92,396,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable - $25,489,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA- sf'; Outlook Stable; - $0bc class B-X2 'AA- sf'; Outlook Stable; - $18,320,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $13,541,000d class D 'BBB-sf'; Outlook Stable; - $13,541,000cd class X-D 'BBB-sf'; Outlook Stable; - $13,541,000d class F 'BB-sf'; Outlook Stable; - $13,541,000cd class X-F 'BB-sf'; Outlook Stable; - $6,372,000df class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $21,506,275df class H-RR - $18,828,514ef class RR; a) Since Fitch published its expected ratings on Aug. 5, 2025, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0 to $200,000,000, and the initial aggregate certificate balance of the class A-3 was expected to be in the range of $240,790,000 to $440,769,000. The final class balances for classes A-2 and A-3 are $135,000,000 and $305,769,000, respectively. The class A-2-X1 and class A-2-X2 trust components have initial notional amounts equal to the initial certificate balance of the class A-2 trust component. The class A-3-X1 and class A-3-X2 trust components have initial notional amounts equal to the initial certificate balance of the class A-3 trust component. (b) The class A-2, class A-2-1, class A-2-2, class A-2-X1, class A-2-X2, class A-3, class A-3-1, class A-3-2, class A-3-X1,class A-3-X2, class A-S, class A‑S-1, class A-S-2, class A-S-X1, class A-S-X2, class B, class B‑1, class B-2, class B-X1, class B-X2, class C, class C-1, class C-2, class C-X1, and class C-X2 are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Vertical-risk retention interest representing approximately 2.87% of the initial certificate balance of each class. (f) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 40 fixed-rate, commercial mortgage loans with an aggregate principal balance of $ 656,045,790 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 180 commercial properties. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank and Wells Fargo Bank, National Association. The master servicer is TRIMONT LLC, and the special servicer is LNR PARTNERS, LLC. Computershare Trust Company, N.A. is the certificate administrator. Deutsche Bank National Trust Company is the trustee. These certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 82.5% of the pool by balance, including the largest 18 loans and all of the pari passu loans in the pool. Fitch's resulting net cash flow (NCF) of approximately$73.4 million represents a 14.2% decline from the issuer's underwritten NCF of approximately $85.6 million. The NCF decline is below the 2025 YTD Five-Year average of 15.0% but above the 2024 Five-Year averages of 13.2%. Lower Fitch Leverage: The pool 's Fitch leverage is lower than with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 93.5% is lower than both the 2025 YTD five-year the 2024 five-year multiborrower transaction average of 100.3% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the 2025 YTD and 2024 Five- year averages of 9.6% and 10.2%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 28.4% of the pool balance received an investment-grade credit opinion on a stand-alone basis. ILPT 2025 Portfolio (9.8% of the pool) received a credit opinion of 'A-sf*',The Campus at Lawson Lane (6.9% of the pool) received a credit opinion of 'AA+sf*', The Wharf (6.2% of the pool)received a credit opinion of 'A-sf*', and The Lafayette Hotel (5.5% of the pool) received a credit opinion of 'A-sf*' . The pool's total credit opinion percentage of 28.4% is significantly higher than the YTD 2025 and 2024 Five-year averages of 9.7% and 12.6%, respectively. High Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 33.2% of the pool, higher than the YTD 2025 and 2024 five-year multiborrower averages of 26.8% and 24.9%, respectively. Four of the top ten loans are secured by multifamily properties. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-'/'less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'. - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BASEPOINT MCA II: DBRS Finalizes BB on Series 2025-1 Cl. C Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Notes issued by BasePoint MCA Securitization II LLC: -- $74,500,000 Series 2025-1 Class A Notes at A (sf) -- $15,500,000 Series 2025-1 Class B Notes at BBB (sf) -- $12,000,000 Series 2025-1 Class C Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Notes are based on a review by Morningstar DBRS of the following considerations: (1) The transaction's capital structure and available credit enhancement. Subordination (as applicable), OC, cash held in the Reserve Account, and available excess spread as well as other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative gross loss (CGL) hurdle rate assumptions of 48.220%, 38.565%, and 29.079%, respectively, for each of the (P) A (sf), (P) BBB (sf), and (P) BB (sf) rating categories. The respective stressed cumulative net loss (CNL) hurdle rates for the Class A, Class B, and Class C Notes are 45.641%, 36.451%, and 27.316%. -- The required OC during the revolving period will be equal to 9.41% of the collateral pool balance. The Notes will amortize sequentially on a "full turbo" basis during the amortization period. -- Unless a Rapid Amortization Event occurs with respect to the Series 2025-1 Notes, the Series 2025-1 Amortization Period will begin at the close of business on August 31, 2028, and the Issuer will begin making payments of principal of the Series 2025-1 Notes on the Payment Date in September 2028. -- On the Closing Date, the Reserve Account is funded in an amount equal to $1,500,000 by the Issuer, and on each Payment Date thereafter, commencing on the September 2025 Payment Date, must be maintained at an amount equal to the sum of (a) two months of interest and monthly fees calculated on the aggregate Outstanding Receivables Balance as of the beginning of the related Collection Period (as applicable) and (b) on each September Payment Date, the product of (i) one-sixth and (ii) the aggregate amount of annual fees for a calendar year (such aggregate amount, the "Series 2025-1 Required Reserve Account Amount") in the Reserve Account. (2) The transaction parties' capabilities with regard to originating, underwriting, and servicing of merchant cash advances and small business loans. -- Morningstar DBRS performed operational reviews of BasePoint, Carmel Solutions, and each of the Originators (Pearl Companies/Revenued) and found each of them to be acceptable for their respective role contemplated in the transaction. -- CBIZ MHM, LLC (acting as the Administrator) will, among other things, conduct a monthly data file review of a sample of 100 Receivables from the Master Servicer's month-end data file and compare, confirm, or calculate, as applicable, 16 data fields with reference to either source documentation or the Master Servicer's (or Pearl's) underlying operating system or database. The heightened data error rate may ultimately result in the occurrence of a Rapid Amortization Event. (3) A review by Morningstar DBRS of the historical performance of Advance Receivables originated by Pearl Companies and Revenued, most notably vintage charge-off and recovery history, charge-offs and recoveries by proprietary credit grades and size of obligor advances, collections as a percentage of "right to return", and expected advance terms. (4) A review of the initial collateral pool as of the Statistical Cut-off Date. -- The Receivables are relatively short-term in nature, with a weighted-average (WA) original expected collection term of 10.0 months, and a WA remaining expected collection term of 7.4 months. The collateral has a WA right-to-receive (RTR) Ratio of 1.34 times (x), with a WA Calculated Receivables Yield at Origination of 69.4%, and a Performance Ratio (calculated as total collections divided by total expected collections) of 97.7%. -- At closing, the Notes are collateralized in part by cash in the Series 2025-1 Excess Funding Account. On the January 2026 Payment Date, all amounts on deposit in the Series 2025-1 Excess Funding Account, other than those needed to cure a Series 2025-1 Asset Deficiency, shall be deemed Total Available Amounts and applied pursuant to the Priority of Payments. -- Morningstar DBRS conducted sensitivity analysis related to the negative carry that may be created in the Transaction by the cash deposited in the Excess Funding Account on the Closing Date and confirmed the ability of the Transaction to pay senior expenses and timely interest in such a scenario. (5) Collateral eligibility requirements and concentration limits that ensure a minimum RTR (the amount a Merchant agrees to pay to an Originator relative to the amount of advance received by a Merchant from such Originator) for the collateral pool of 1.300x and a Performance Ratio of at least 80%, as well as the consistent credit quality and diversity of the collateral pool backing the notes during the revolving period. The collateral concentration limits and eligibility criteria cover exposure to each individual Originator, Merchant state of residence, outstanding Merchant balance, Merchant time in business, Merchant industry, original expected collection term, receivable delinquency status, receivables yield, and Merchant proprietary credit grade (i.e. Grades, A, B, C, and D), and other metrics. (6) Rapid Amortization Events, which are designed to protect noteholders in the event of weaker-than-expected collateral performance, including a breach of the following collateral performance triggers: (1) Three-Month WA Calculated Receivables Yield of less than 30.00%, (2) Three-Month WA Excess Spread of less than 4.00%, and (3) Three-Month Average Delinquency Ratio greater than 17.00%. (7) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2025 Update published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (8) The legal structure and legal opinions that address the true sale of the Receivables, the nonconsolidation of the assets of the Issuer, and that the Indenture Trustee has a valid first-priority security interest in the assets. In addition, the transaction documents were reviewed for consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Notes referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Interest Payment, including any unpaid interest from a prior Payment Date, and the related Note Principal Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations for each of the rated Notes are the interest on any unpaid Interest Payment from a prior Payment Date, the indemnification of noteholders by the Reconciling Company and the Backup Servicer, and any Make-Whole Amounts paid on any of the Notes following the Optional Redemption Commencement Date. 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. BBAM US V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BBAM US CLO V Ltd./BBAM US CLO V 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 RBC Global Asset Management (U.S.) Inc. The preliminary ratings are based on information as of Aug. 22, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned BBAM US CLO V Ltd./BBAM US CLO V LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB- (sf) Class D-2 (deferrable), $2.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $43.24 million: Not rated BBCMS MORTGAGE 2017-C1: DBRS Cuts Rating on 6 Tranches to Csf ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on 11 classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C1 issued by BBCMS Mortgage Trust 2017-C1 as follows: -- Class X-B to A (low) (sf) from A (high) (sf) -- Class B to BBB (high) (sf) from A (sf) -- Class C to BB (high) (sf) from BBB (high) (sf) -- Class X-D to CCC (sf) from BBB (low) (sf) -- Class D to CCC (sf) from BB (high) (sf) -- Class X-E to C (sf) from B (sf) -- Class E to C (sf) from B (low) (sf) -- Class X-F to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) -- Class X-G to C (sf) from CCC (sf) -- Class G to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AA (high) (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes A-S, B, C, and X-B to Negative from Stable. The trends on all other classes are Stable with the exception of Classes D, E, F, G, X-D, X-E, X-F, and X-G, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS downgraded its credit ratings on Classes A-S, B, C, D, E, F, X-B, X-D, X-E, and X-F during the prior credit rating action in May 2025, as a result of the projected loss expectations tied to several loans in special servicing. Since that time, an updated appraisal was made available for the largest specially serviced loan, 1166 Avenue of the Americas (Prospectus ID#2, 8.2% of the pool), indicating that the property's value has deteriorated more significantly than originally anticipated. The credit rating downgrades with this review reflect the increased loss projections for the pool, primarily attributed to the 1166 Avenue of the Americas loan. Morningstar DBRS considered liquidation scenarios for three of the eight loans in special servicing, resulting in a cumulative projected loss amount of $37.7 million, approximately $34.0 million of which is tied to the 1166 Avenue of the Americas loan (based on a haircut to the most recent appraised value). The resulting increase in projected losses would erode the entirety of the Class F, G, and H certificate balances and approximately 25.0% of the Class E certificate balance, supporting the credit rating downgrades to C (sf) for those classes. In addition to the loans in special servicing, Morningstar DBRS also has concerns with several top 10 loans, including Alhambra Towers (Prospectus ID#1, 8.8% of the current pool balance), 1000 Denny Way (Prospectus ID#3, 8.1% of the pool), and Center West (Prospectus ID#8, 4.3% of the pool), as those loans have exposure to near-term tenant rollover risk, soft submarket fundamentals, and/or because of sustained declines in operating performance. In the analysis for this review, Morningstar DBRS stressed those loans with elevated loan-to-value ratios (LTVs) and probability of default (POD) penalties, resulting in a weighted-average (WA) expected loss (EL) that was double the pool average. As the pool continues to wind down with the majority of loans scheduled to mature prior to, or during Q1 2027, Morningstar DBRS continues to monitor increased refinance risks for the loans of concern noted above, in addition to a select number of other loans in the transaction that are exhibiting performance declines. In addition, since the prior credit rating action, cumulative interest shortfalls have increased to over $1.1 million from $603,000 and continue to accumulate at a rate of approximately $140,000 per month. As of the August 2025 reporting, Class E (which has not received full interest since the June 2025 remittance) was shorted approximately 50.0% of the interest owed, whereas Classes F, G, and H did not receive any interest. Although the higher-rated certificates continue to receive full interest due, Morningstar DBRS notes that the transaction may become more exposed to adverse selection and an increased propensity for interest shortfalls as the pool continues to wind down. The factors outlined above form Morningstar DBRS' primary rationale for the credit rating downgrades on Classes B and C, in addition to the Negative trends assigned with this review. The credit rating confirmations for the most senior certificates reflect an otherwise healthy pool of loans, which include generally well-performing retail, lodging, and multifamily components, which combined make up more than 40.0% of the pool balance. Those loans have a weighted-average debt service coverage ratio (DSCR) of 1.70 times (x) as of the most recent financial reporting. In addition, the transaction continues to benefit from increased credit support to the bonds as a result of scheduled amortization, loan repayments, and defeasance as there has been collateral reduction of 19.4% since issuance, and defeasance collateral represents 13.1% of the current pool balance, as of the August 2025 reporting. As of the August 2025 remittance, 49 of the original 58 loans remain in the pool. To date, the trust has incurred realized losses totaling $6.9 million, the majority of which was tied to the liquidation of the Gateway Plaza at Meridian loan (Prospectus ID#16, previously 2.1% of the pool) in June 2025. Eleven loans, representing 32.9% of the pool balance, are on the servicer's watchlist and are primarily being monitored for low DSCR and low occupancy rates. Eight loans, representing 13.9% of the current pool balance, are in special servicing. The 1166 Avenue of the Americas loan is secured by the first five floors of a Class A office property in Midtown, Manhattan. The loan was originally added to the servicer's watchlist in July 2023 after the largest tenant (The D.E. Shaw Group (D.E. Shaw; formerly 43.6% of the net rentable area (NRA)) confirmed its intention to vacate the property upon its lease expiration in September 2024. At the time, the second-largest tenant, Arcesium (formerly 20.0% of NRA), also confirmed that it was looking for space elsewhere. Both tenants have now vacated the property and the loan ultimately transferred to special servicing in July 2024 for imminent monetary default. The servicer noted that the borrower's initial loan modification proposal was rejected by the lender. As of the August 2025 reporting, the loan was delinquent, having last paid in December 2024. The annualized trailing three months ended March 31, 2025, net cash flow (NCF) was $1.3 million (reflecting a DSCR of 0.43x), significantly below the YE2024 and issuance figures of $6.8 million (DSCR of 1.48x) and $8.2 million (DSCR of 1.79x), respectively. Occupancy at the property declined to 36.5% in March 2025, down from the YE2023 and issuance reported figures of 100.0% and 91.5%, respectively. The loan is structured with a cash flow sweep that was triggered when D.E. Shaw Group and Arcesium failed to provide notice of lease renewal 18 months prior to their lease expiration dates. According to the August 2025 reporting, reserve balances total $4.7 million, the majority of which is held in a tenant reserve account. An updated appraisal was provided in May 2025, valuing the collateral at just $55.0 million (an implied LTV of 200.0% based on the current whole loan amount of $110.0 million), a 75.6% decline from the issuance appraised value of $225.0 million. Given the significant reduction in value, low occupancy rate, and the lack of meaningful leasing traction, Morningstar DBRS analyzed the loan with a liquidation scenario, resulting in a total loss of $34.0 million and a loss severity of 60.0%. The largest loan on the servicer's watchlist, Alhambra Towers (Prospectus ID#1; 8.8% of the pool), is secured by a Class A office property in Coral Gables, Florida. The loan is being monitored for a low DSCR, which was reported at 1.07x as of the YE2024 reporting, an improvement from the YE2023 figure of 0.71x but down from the issuance figure of 1.62x. Leasing momentum at the property has been largely positive over the past 24 months with 11 leases representing approximately 35.0% of the NRA signed since 2023. However, the sponsor, The Allen Morris Company, who is the third-largest tenant (6.8% of the NRA) at the property, will be relocating to a newly proposed mixed-use project in Miami's Coconut Grove, which was announced in November 2024. As of the March 2025 reporting, the property was 90.9% occupied, which is slightly below the issuance figure of 96.3% but an increase from YE2023 when the property was just 82.0% leased. Although occupancy has improved, NCF remains below issuance expectations with the YE2024 figure of $3.3 million approximately 34.0% below the issuance figure of $5.0 million. According to Reis, the Coral Gables submarket reported a Q2 2025 vacancy rate of 14.3% with an average rental rate of $48.0 per square foot (psf), compared with the subject's in-place average rental rate of $50.4 psf. Although the loan benefits from strong sponsorship in The Allen Morris Company, which is an experienced real estate owner, operator, and developer with more than 60 years of experience, the decline in cash flow and the loan's DSCR since issuance are concerns. As a result, Morningstar DBRS analyzed the loan with an increased POD penalty and stressed LTV, resulting in an expected loss that was approximately 40.0% higher than the pool average. The 1000 Denny Way loan (Prospectus ID#3, 8.1% of the pool) is secured by a Class B office building in Seattle. The loan was added to the servicer's watchlist in August 2021 after the property's former largest tenant, The Seattle Times Company (Seattle Times) downsized its space by 108,561 sf as part of a January 2021 lease renewal. The property's occupancy rate subsequently declined to 63.0% and the sponsor has been unable to backfill the vacant space since that time. Seattle Times currently occupies 18.1% of the NRA and has a lease expiration in July 2026. A portion of the space formerly occupied by the Seattle Times was subleased to Best Buy (12.4% of NRA) who also has an upcoming lease expiration in January 2026. Morningstar DBRS has reached out to the servicer to confirm if the Seattle Times intends on renewing its lease at the property and/or if Best Buy has shown interest in signing a direct lease the property; however, as of the date of this press release, a response remains pending. According to Reis, the Central Seattle office submarket reported a Q2 2025 vacancy rate of 19.8%, which has remained relatively unchanged since the onset of the pandemic. Given the upcoming tenant rollover, paired with weak submarket fundamentals and stagnant occupancy rate at the property, Morningstar DBRS analyzed the loan with a stressed LTV and elevated POD penalty, resulting in an expected loss that was approximately 70.0% greater than the pool average. The Center West loan (Prospectus ID#8, 4.3% of the pool balance) is secured by the borrower's leasehold interest in a 349,000-sf office building in Los Angeles. The loan is being monitored on the servicer's watchlist for a low DSCR and occupancy rate, which was 34.3% as of the March 2025 rent roll. The borrower has stated that the vacant space at the property is being marketed for lease by a broker; however, given historical occupancy rates at the property have remained below 50.0% since 2018, Morningstar DBRS does not expect any positive leasing momentum to occur in the near to moderate term. According to the annualized trailing three months ended March 31, 2025, financial reporting, the property generated NCF of $2.1 million (a DSCR of 0.59x), significantly below the issuance figure of $7.0 million (a DSCR of 1.94x). Morningstar DBRS evaluated the loan with a stressed LTV and elevated POD penalty, resulting in an expected loss that was approximately four times 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 factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, X-E, 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. BBCMS MORTGAGE 2021-C12: Fitch Lowers Rating on 2 Tranches to B-sf ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirmed 12 classes of BBCMS Mortgage Trust 2021-C12 (BBCMS 2021-C12). The Rating Outlooks for classes B, C, D and X-B were revised to Negative from Stable. Fitch assigned Negative Outlooks to classes E, F, X-D and X-F following their downgrade. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2021-C12 A-1 05552XBC1 LT AAAsf Affirmed AAAsf A-2 05552XBD9 LT AAAsf Affirmed AAAsf A-3 05552XBE7 LT AAAsf Affirmed AAAsf A-4 05552XBF4 LT AAAsf Affirmed AAAsf A-5 05552XBG2 LT AAAsf Affirmed AAAsf A-S 05552XBL1 LT AAAsf Affirmed AAAsf A-SB 05552XBH0 LT AAAsf Affirmed AAAsf B 05552XBM9 LT AA-sf Affirmed AA-sf C 05552XBN7 LT A-sf Affirmed A-sf D 05552XAG3 LT BBBsf Affirmed BBBsf E 05552XAJ7 LT BB-sf Downgrade BBB-sf F 05552XAL2 LT B-sf Downgrade BB+sf G 05552XAN8 LT CCCsf Downgrade Bsf H-RR 05552XAQ1 LT CCsf Downgrade CCCsf X-A 05552XBJ6 LT AAAsf Affirmed AAAsf X-B 05552XBK3 LT A-sf Affirmed A-sf X-D 05552XAA6 LT BB-sf Downgrade BBB-sf X-F 05552XAC2 LT B-sf Downgrade BB+sf X-G 05552XAE8 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 6.5% from 4.9% at the prior rating action. Fitch Loans of Concern (FLOCs) comprise six loans (15.0% of the pool), including three specially serviced loans (8.2%). The downgrades on classes E, F, G, H-RR, X-D, X-F and X-G were driven primarily by higher loss expectations on the specially serviced 1100 & 820 First Street NE (6.1% of the pool), Hayes Court (1.6%) and Courtyard by Marriott - Lake Charles, LA (0.5%) loans, as well as the Sorrel River Ranch (1.8%) hotel FLOC. The Negative Outlooks on classes B, C, D, E, F, X-B, X-D, and X-F reflect the potential for downgrades should performance of the aforementioned FLOCs fail to stabilize and/or with additional valuation declines. The high office concentration, comprising 33% of the pool, also contributed to the Negative Outlooks. Largest Contributors to Loss: The largest contributor and largest increase in overall loss expectations is the 1100 & 820 First Street NE loan, which is secured by two office buildings (totaling 655,071-sf) located in downtown Washington D.C. The loan transferred to special servicing in June 2025 for delinquent payments. The servicer reported that the borrower has been unresponsive and local counsel has been engaged to enforce remedies. The largest in-place tenants include Turner Broadcasting (16.8% of total NRA; expires December 2031 with a termination option in December 2026) and GSA (13.5%; expires in March and June 2026). According to the servicer, Accenture, the second largest tenant at the 820 First Street NE building at issuance, has renewed its lease through May 2028, but downsized to 2.2% of the total NRA from 10% at issuance. The YE 2024 occupancy was reported to be 84%. However, CoStar reports that there are several vacant spaces in each building on the market for direct lease, including 186,000-sf at the 1100 First Street NE building (53% of NRA) and 87,000-sf at the 820 First Street NE building (26.5% of NRA). Fitch's 'Bsf' rating case loss of 33.9% (prior to a concentration adjustment) is based on a 9% cap rate and a 10% stress to the YE 2024 NOI. Additionally, Fitch's loss expectation for the loan factors an elevated probability of default as the loan was transferred to special servicing. The second largest contributor to expected losses is Sorrel River Ranch, which is secured by a 56-key, full-service resort and spa hotel located in Moab, UT. The property is located along the Colorado River and is approximately 250 miles south of Salt Lake City. The resort consists of 21, one- to two-story buildings and also features a spa and wellness center. As of TTM March 2025, the NOI DSCR was reported to be 0.94x, and occupancy had declined to 11% compared to 42% at issuance. Fitch's 'Bsf' rating case loss of 34.2% (prior to a concentration adjustment) is based on a 12% cap rate to the TTM March 2025 NOI; the loss also factors an increased probability of default due to the deterioration in performance since issuance. The third largest contributor to expected losses is Courtyard by Marriott - Lake Charles, LA. The loan, secured by a 110-key select service hotel built in 2016, located in Lake Charles, LA, transferred to special servicing in November 2023 for imminent monetary default. The property has been permanently closed since 3Q22 due to structural concerns that were the result of two hurricanes that occurred prior to securitization (Hurricane Laura in August 2020 and Hurricane Delta in October 2020) and has been recently demolished. The borrower was successful in seeking damages against the contractor involved in the development of the hotel for alleged latent defects, which resulted in damage to the property. Proceeds from a settlement were applied to the loan balance. According to the servicer, a broker has been engaged to market and sell the land. Fitch's 'Bsf' rating case loss of 85.3% (prior to a concentration adjustment) reflects a haircut to the appraised value of the land. Changes in Credit Enhancement (CE): As of the July 2025 distribution date, the pool's aggregate balances have been paid down by 1.3% since issuance. Three loans (2%) have been defeased. Cumulative interest shortfalls of $2,442 are affecting the non-rated class J-RR. 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 their position in the capital structure and expected continued amortization 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 are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in 'AAsf', 'Asf' and 'BBBsf' categories, which have Negative Outlooks, are likely with lack of performance stabilization of the FLOCs and/or prolonged workouts and valuation declines of the loans in special servicing, most notably 1100 & 820 First Street NE, Sorrel River Ranch, Hayes Court and Courtyard by Marriott - Lake Charles, LA. Downgrades to classes in the 'BBsf' and 'Bsf' rated categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the FLOCs with deteriorating performance and/or with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur with a greater certainty of losses and/or as losses are realized. 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 improved deal-level loss expectations and sustained performance improvement and stabilization on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf', 'Bsf', 'CCCsf', 'CCsf' category rated classes are not likely, but would be possible in the later years in a transaction if the performance of the remaining pool is stable, recoveries and/or valuations on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2022-C16: DBRS Confirms B(low) Rating on H Certs --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2022-C16 issued by BBCMS Mortgage Trust 2022-C16 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-F at BB (high) (sf) -- Class F at BB (sf) -- Class X-G at BB (low) (sf) -- Class G at B (high) (sf) -- Class X-H at B (sf) -- Class H at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable outlook of the transaction, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in September 2024. The pool continues to exhibit healthy credit metrics, as evidenced by the strong weighted-average (WA) debt service coverage ratio (DSCR) of 2.14 times (x) and the WA loan-to-value ratio of 51.3%, based on the most recent financial reporting. The portfolio is well distributed by property type, with loans collateralized by office, retail, and multifamily properties representing 28.7%, 28.2%, and 16.9% of the pool, respectively. Additionally, there are four shadow-rated loans, which represent 15.7% of the total pool balance and continue to exhibit performance metrics consistent with the respective investment-grade credit ratings. According to July 2025 reporting, one loan was paid in full since September 2024 with 59 of the original 60 loans remaining in the pool. There are currently 17 loans, representing 33.2% of the pool balance, on the servicer's watchlist, which have mostly been flagged for deferred maintenance and minor performance-related issues. One loan, Yorkshire & Lexington Towers (Prospectus ID#2; representing 6.1% of the pool), transferred to special servicing in November 2024 because of payment default; however, as of the most recent reporting, the loan is current, and the credit risk of the loan remains consistent with closing. The collateral for the Yorkshire & Lexington Towers loan includes two multifamily properties totaling 808 residential units and 81,335 square feet of commercial space in the Upper East Side submarket of Manhattan. The whole loan of $714.0 million consists of $318.0 million of A note debt, $221.5 million of B note debt, and $174.5 million of mezzanine debt. Morningstar DBRS rates the $221.5 million of loan-specific junior B notes securitized in the Citigroup Commercial Mortgage Trust 2022-GC48 transaction. The loan transferred to special servicing in November 2024 after the borrower defaulted on its obligation to fund a supplemental income reserve as required in the loan documents. Reserve funding is required if the debt yield on the whole loan drops below 5.0%. According to the most recent financial reporting at YE2024, the debt yield was approximately 4%. The borrower has yet to replenish the reserve account; however, the servicer has received a workout proposal from the borrower and noted the mezzanine lenders have expressed an interest in negotiating cure scenarios. According to YE2024 financial reporting, the property generated a net cash flow (NCF) of $29.3 million and a DSCR of 1.76x, in line with the Morningstar DBRS NCF of $29.4 million (a DSCR of 1.77x) derived at issuance. Morningstar DBRS confirmed the characteristics of the loan remain consistent with an investment-grade shadow rating, supported by strong sponsorship and the historically stable performance of the collateral. As such, Morningstar DBRS maintained the shadow rating with this review. The largest loan in the pool, Houston Multifamily Portfolio (Prospectus ID#1; 7.1% of the pool), is secured by a 1,558-unit multifamily portfolio spread across five properties in Houston. The loan is currently on the servicer's watchlist for deferred maintenance. According to the YE2024 financial reporting, the consolidated occupancy rate was 92.9%, compared with 73.7% at YE2023. Given the improvement in occupancy, the YE2024 portfolio NCF increased to $4.2 million (a DSCR of 0.87x), compared with $1.7 million (a DSCR of 0.36x) at YE2023. However, the YE2024 NCF continues to trail the Morningstar DBRS NCF of $7.1 million (a DSCR of 1.47x) derived at closing. In the current analysis, Morningstar DBRS took a conservative approach and analyzed the loan with an elevated probability of default penalty, resulting in a loan expected loss that was approximately 2.5x greater than the pool's expected loss. Four loans, representing a combined 15.7.0% of the pool, are shadow-rated investment grade by Morningstar DBRS. With this review, Morningstar DBRS confirmed the performance of those loans - Yorkshire & Lexington Towers, 70 Hudson Street (Prospectus ID#5; 4.5% of the pool), ILPT Logistics Portfolio (Prospectus ID#8; 3.7% of the pool), and The Summit (Prospectus ID#20; 1.6% of the pool) - remains consistent with investment-grade loan characteristics, given the strong credit metrics, experienced sponsorship, and underlying collateral's historically stable performance. 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 Classes X-A, X-B, X-D, X-F, X-G, and X-H 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2022-B34: DBRS Confirms Bsf Rating on Class G Certs ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-B34 issued by Benchmark 2022-B34 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) -- Class X-G at B (high) (sf) -- Class G at B (sf) In addition, Morningstar DBRS changed the trends on Classes D, E, F, G, X-D, X-F, and X-G to Stable from Negative. The trends on the remaining classes are Stable. During the previous credit rating action in September 2024, Morningstar DBRS changed the trends on Classes D, E, F, G, X-D, X-F, and X-G to Negative from Stable to reflect the pool's significant exposure to loans secured by office properties, some of which had experienced performance declines since issuance or had exposure to upcoming tenant rollover. Since that time, the performance of the underlying collateral backing the majority of those loans continues to remain stable and/or has not deteriorated further. Although the pool has a high concentration of loans secured by office properties (54.4% of the pool balance as of August 2025), the weighted-average (WA) debt service coverage ratio (DSCR) of those loans remains healthy at 2.60 times (x). In addition, the pool's largest loan, 601 Lexington Avenue - Trust (Prospectus ID#1, 9.4% of the current pool balance), which is secured by an office tower in New York City, is shadow-rated investment grade by Morningstar DBRS. The trend changes on Classes D, E, F, G, X-D, X-F, and X-G to Stable from Negative are further supported by Morningstar DBRS' analysis, which considered a conservative scenario for the sole loan in special servicing and those exhibiting increased risks from issuance. As such, the current credit ratings continue to reflect the near- to medium-term outlook for those affected classes. Should there be unforeseen circumstances that further increase the risks for the underlying loans in question, Morningstar DBRS notes that it could change the trends and/or downgrade the credit ratings in the future. The credit rating confirmations reflect the pool's overall stable performance, which remains in line with Morningstar DBRS' expectations. The pool reported a WA DSCR of 2.40x and debt yield of 10.6% as of the most recent financial reporting. In addition, the pool is structured with a sizable $29.3 million unrated first-loss piece with no losses incurred to the trust to date. Morningstar DBRS applied stressed loan-to-value (LTV) ratios and/or probability of default (POD) adjustments to nine loans (32.8% of the pool balance) that are exhibiting increased risks from issuance. As of the August 2025 remittance, all of the original 37 loans remain in the pool with a trust balance of $905.6 million, representing a collateral reduction of 1.0% since issuance. Ten loans, representing 21.8% of the pool balance, are on the servicer's watchlist, the majority of which are being monitored for upcoming tenant rollover, life safety concerns, and low DSCRs. No loans have defeased. The only loan in special servicing, Arlington Green Executive Plaza (Prospectus ID#29, 0.9% of the pool balance), is secured by a 62,835-square-foot (sf) office property in Arlington Heights, Illinois. The collateral became real estate owned in April 2025. The property was reappraised at $4.0 million in March 2025, significantly below the issuance appraised value of $14.6 million. Morningstar DBRS analyzed the loan with a liquidation scenario based on a conservative haircut to the most recent appraised value, resulting in a total loss of $7.2 million and a loss severity of 85.0%. The One Wilshire loan (Prospectus ID#2, 9.4% of the pool) is secured by a 30-story office tower in downtown Los Angeles totaling approximately 662,000 sf. The property is unique in that it operates primarily as a telecommunications hub connected to three transpacific fiber-optic connections. Approximately 75.0% of net rentable area (NRA) is used as data center and telecommunications space, with the remaining components dedicated to traditional office space and a small retail component. The loan represents an $85.0 million component of a $389.3 million whole loan securitized across six transactions, one of which (Benchmark 2022-B35 Mortgage Trust) is rated by Morningstar DBRS. As of the December 2024 rent roll, the property was 70.3% occupied, a decline from the issuance occupancy rate of 87.3%. The decline in occupancy is directly attributable to the property's former second-largest office tenant Musick, Peeler & Garrett LLP (previously 16.1% of NRA), which vacated the subject upon lease expiration in October 2023. As of the December 2024 rent roll, the top three tenants at the property were Coresite One Wilshire (26.7% of the NRA, lease expiry in July 2029); ZColo LLC (4.4% of the NRA, lease expiry in October 2033); and Crown Castle GT Co LLC (4.2% of the NRA, lease expiry in December 2025). Near-term rollover risk is elevated with leases representing approximately 17.3% of the NRA set to expire prior to December 2025. Although the dip in occupancy is significant, the loan continues to perform well with a YE2024 DSCR of 3.16x. According to Reis, Los Angeles' Downtown submarket reported a Q2 2025 vacancy rate of 19.3%, widening from 17.9% in Q2 2024. In addition, absorption rates have been negative since 2022. The property benefits from its unique characteristics for data center tenants and a low going-in LTV of 42.6% based on the whole loan balance and appraised value at issuance; however, given the soft submarket and occupancy decline, Morningstar DBRS analyzed the loan with a stressed LTV ratio and elevated POD penalty in its analysis, resulting in an expected loss (EL) that was in line with the pool average. The Romaine & Orange Square loan is secured by two adjacent office buildings totaling 122,411 sf in Los Angeles' Creative District. The Romaine building is a 91,286-sf, Class A office building, built in 2018 by the sponsor. The property has since been converted into medical office space. The Orange building is an older-vintage, Class B office building, built in 1928, and over the years it was fully converted into a creative and media/post-production space. The loan was previously on the servicer's watchlist for a low DSCR; however, operating performance has consistently improved, with the YE2024 occupancy rate of 85.9% up from 80.7% at YE2023. Although cash flow and occupancy figures remain below issuance levels, the loan was removed from the servicer's watchlist in November 2024. As of the YE2024 financial reporting, the loan reported a DSCR of 1.41x, up from 1.21x at YE2023 but below the issuer's figure of 1.78x at issuance. According to Reis, office properties in the Mid-Wilshire/Miracle Mile/Park Mile submarket reported a Q2 2025 average vacancy rate of 22.1%, relatively in line with the Q2 2024 figure of 23.0%. As a result of the elevated submarket vacancy levels and cash flow figures that remain below those at issuance, Morningstar DBRS applied a stressed LTV ratio and POD penalty in its analysis, resulting in an EL that was more than twice the pool average. At issuance, Morningstar DBRS shadow-rated two loans, 601 Lexington Avenue - Trust (Prospectus ID#1, 9.4% of the pool) and One Wilshire, as investment grade. During the prior credit rating action, Morningstar DBRS elected to remove the shadow rating for the One Wilshire loan given the declining occupancy, specifically with respect to the office portion of the space, which, given current office market conditions, will likely increase the potential for the subject's value to decline. Morningstar DBRS confirms that the characteristics of the 601 Lexington Avenue loan remain consistent with an investment-grade shadow rating, given the strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. 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 Classes X-A, 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET XX: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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, that was originally issued in June 2020 and underwent a refinancing in August 2021. At the same time, S&P withdrew its ratings on the outstanding class A-R, A-L, B-R, C-R, D-R, and E-R notes and class A-L loans following payment in full on the Aug. 22, 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. 22, 2027. -- The reinvestment period was 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 were extended to July 15, 2037, while those of the other classes of replacement debt and the existing subordinated notes were extended to Oct. 15, 2038. -- The outstanding class D-R debt was replaced by the sequential class D-1RR and D-2RR debt. -- $100.0 million in additional assets were purchased by the Aug. 22, 2025, refinancing date, and the target initial par amount increased to $550 million. There was 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 were amended. -- An additional $11.2 million in 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 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) Ratings Withdrawn Benefit Street Partners CLO XX Ltd./ Benefit Street Partners CLO XX LLC Class A-R to NR from 'AAA (sf)' Class A-L loans to NR from 'AAA (sf)' Class A-L to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt 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 notes 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 issued on the refinancing date. NR--Not rated. BX COMMERCIAL 2025-COPT: DBRS Finalizes BB(low) Rating at HRR Debt ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-COPT (the Certificates) issued by BX Commercial Mortgage Trust 2025-COPT: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. BX Commercial Mortgage Trust 2025-COPT is a securitization collateralized by the borrowers' fee-simple interest in 10 powered shell data centers in the Northern Virgina market. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, and desirable efficiency metrics. Blackstone Real Estate Partners IX L.P. (Blackstone) is the sponsor of the subject transaction, and COPT Defense Properties, L.P. (COPT or the Company) owns a 10% interest in the portfolio. COPT is a self-managed REIT that focuses on owning, managing, leasing, developing, and acquiring office and data center properties. COPT specializes in mission-critical facilities that support the U.S. Government, Defense, and IT sectors focused on the greater Washington, D.C., and Baltimore regions. COPT is listed on the New York Stock Exchange. According to the Company's Q2 2025 results presentation, COPT has maintained an occupancy rate higher than 94% across its Defense and IT portfolios for 10 consecutive quarters. Blackstone is a leading financial investor in data centers and artificial intelligence (AI) infrastructure globally, with a portfolio of data centers currently valued at approximately $85 billion across the U.S., Europe, and Asia-Pacific. Morningstar DBRS' credit ratings on the certificates reflect the elevated leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificateholders' interests. The credit ratings also reflect the access to key fiber nodes, large amount of secured power, and favorable location in the heart of Northern Virginia. The data centers backing this financing are powered shell facilities that were developed by COPT between 2013 and 2019 and benefit from Tier 1 market network densities and dark fiber in the Northern Virginia market. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and AI applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have roles in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information whereas co-location centers act as an on-ramp for users to gain access to the wider network or for information from the network to be routed back to users. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets in a strategic location with a tenant design that caters to large scale deployments. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Principal Distribution Amounts and Interest Distribution Amounts for Class A, Class B, Class C, Class D, Class E, and Class HRR. 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, the Spread Maintenance Premium. 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. CALIFORNIA STREET IX: S&P Lowers D-2-R2 Notes Rating to 'BB (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-R3, D-2-R2, E-R2, and F-R2 debt and the MASCOT notes associated with the D-2-R2, E-R2, and F-R2 debt from California Street CLO IX L.P., a U.S. collateralized loan obligation (CLO) managed by Symphony Asset Management LLC. S&P also removed the class D-2-R2, E-R2, and F-R2 debt and the MASCOT notes associated with the D-2-R2, E-R2, and F-R2 debt from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-R3, B-R3, and C-R3 debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 2025 trustee report. S&P said, "Since our September 2021 rating action, the class A-R3 debt had total paydowns of $61.22 million that reduced its outstanding balance to 84.06% of its original balance. The negative CreditWatch placements on the class D-2-R2 and E-R debt, and associated MASCOT notes, were based on the weakened cash flow results and the decline in the overcollateralization (O/C) ratios." Since then, the portfolio's weighted average recovery and weighed average spread have also declined: -- The class A/B O/C ratio declined to 126.83% from 129.90%. -- The class C O/C ratio declined to 116.18% from 120.02%. -- The class D O/C ratio declined to 108.20% from 112.50%. -- The class E O/C ratio declined to 103.18% from 107.72%. Despite these paydowns, all the O/C ratios declined. This is attributable to a combination of par losses, increase in defaults, and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets. The class E O/C coverage ratio test is failing as of the July 2025 trustee reports, and, despite interest proceeds being diverted to cure the coverage test, it continues to fail. As a result, the class F-R2 debt has begun to defer interest. Despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 4.04 years reported as of the July 2025 trustee report, compared with 4.48 years reported at the time of our September 2021 rating actions. The lowered ratings reflect the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D-R3, D-2-R2, E-R2, and F-R2 debt and the MASCOT notes associated with the D-2-R2, E-R2, and F-R2 debt. The cash flows of all these notes were failing at their respective prior ratings due to an increase in scenarios default rates (SDRs) and decrease in the break-even default rates (BDRs). While SDRs increased due to an increase in exposure to 'CCC' category assets, the BDRs declined due to an increase in defaults and par losses. Two other factors contributed to the failing cash flow runs: a decline in the weighted average spread and a decrease in the weighted average recovery rates for the portfolio. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support these junior tranches. Additionally, the weighted average recovery rates for the portfolio have decreased, further contributing to the downward pressure on the available credit support. Lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than previously estimated. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further ratings changes. On a standalone basis, the cash flow results also indicate a lower rating for class C-R3. S&P said, "However, we expect that the continued paydowns of the class A-R3 notes are likely to improve the credit support and ameliorate the marginal cash flow failure of the class C-R3 notes. While we believe that the class E-R2 and F-R2 debt and the associated MASCOT notes now align with our 'CCC' rating category, we limited these downgrades to 'CCC+ (sf)' for class E-R2 and 'CCC (sf)' for class F-R2 after considering the credit enhancement level and other qualitative aspects, such as lower exposure to 'CCC' and 'CCC-' rated assets and passing O/C ratio tests. However, any increase in defaults or par losses could lead to negative rating actions in the future." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered California Street CLO IX L.P. Class D-R3 to 'BBB- (sf)' from 'BBB (sf)' Ratings Lowered And Removed From CreditWatch California Street CLO IX L.P. Class D-2-R2(i) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Class E-R2(i) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Class F-R2(i) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Exchangeable note combinations(i) Combination 18(ii) Class D-2-1(iii) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Class D-2-1X(v) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Combination 19(ii) Class D-2-2(iii) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Class D-2-2X(v) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Combination 20(ii) Class D-2-3(iii) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Class D-2-3X(v) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Combination 21(ii) Class D-2-4(iii) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Class D-2-4X(v) to 'BB (sf)' from 'BBB- (sf)/Watch Neg' Combination 22(ii) Class E-1(iii) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Class E-1X(v) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Combination 23(ii) Class E-2(iii) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Class E-2X(v) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Combination 24(ii) Class E-3(iii) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Class E-3X(v) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Combination 25(ii) Class E-4(iii) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Class E-4X(v) to 'CCC+ (sf)' from 'B+ (sf)/Watch Neg' Combination 26(ii) Class F-1(iii) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Class F-1X(v) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Combination 27(ii) Class F-2(iii) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Class F-2X(v) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Combination 28(ii) Class F-3(iii) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Class F-3X(v) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Combination 29(ii) Class F-4(iii) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Class F-4X(v) to 'CCC (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed California Street CLO IX L.P. Class A-R3: AAA (sf) Class B-R3: AA (sf) Class C-R3: A (sf) Other Outstanding Ratings California Street CLO IX L.P. LP certificates: Not rated (i)The class D-2-R2, E-R2, and F-R2 notes will be exchangeable for proportionate interest in combinations of principal notes and interest-only notes of the same class called MASCOT P&I notes. In aggregate, the cost of debt, outstanding balance, stated maturity, subordination levels, and payment priority following such an exchange would remain the same. Reference the exchangeable note combinations section for combinations. (ii)Applicable combinations will have an aggregate interest rate equal to that of the exchanged note. (iii)MASCOT P&I notes will have the same principal balance as the class D-2-R2, E-R2, or F-R2 notes, as applicable, surrendered in such exchange. Any deferred interest included in the principal amount of any exchangeable notes of a deferrable class exchanged will be allocated between the corresponding MASCOT P&I notes and interest-only notes in the relative amounts such deferred interest would have been allocated if these notes were issued on the closing date and will be added to its principal amount or notional amount, as applicable. (iv)Max principal amount. (v)Interest-only notes earn a fixed rate of interest on the notional balance and are not entitled to any principal payments. The notional balance will equal the principal balance of the corresponding MASCOT P&I note of such combination. MASCOT--Modifiable and Splitable/Combinable Tranche. P&I--Principal and interest. CANYON CLO 2021-3: S&P Assigns BB- (sf) Rating on Class E-R Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt from Canyon CLO 2021-3 Ltd./Canyon CLO 2021-3 LLC, a CLO managed by Canyon CLO Advisors LP that was originally issued in June 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. 21, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 15, 2026, on the class A-R debt. -- The non-call period was extended to Feb. 21, 2026, on the class B-R, C-R, D-R, and E-R debt. -- No additional assets were purchased on the Aug. 21, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the replacement class E-R debt. However, we assigned our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Original Debt Issuances Replacement debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.09% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.80% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.85% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 6.00% Original debt -- Class A, $320.00 million: Three-month CME term SOFR + 1.18% + CSA(i) -- Class B, $60.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.05% + CSA(i) -- Class E (deferrable), $20.00 million: Three-month CME term SOFR + 6.20% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Canyon CLO 2021-3 Ltd./Canyon CLO 2021-3 LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Ratings Withdrawn Canyon CLO 2021-3 Ltd./Canyon CLO 2021-3 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 Canyon CLO 2021-3 Ltd./Canyon CLO 2021-3 LLC Subordinated notes, $41.30 million: NR NR--Not rated. CARLYLE US 2019-1: Moody's Assigns Ba3 Rating to $33MM D-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Carlyle US CLO 2019-1, Ltd. (the "Issuer"). US$266,320,087 Class A-1a-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$18,000,000 Class A-1b-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$66,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$26,500,000 Class B-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Assigned Aa1 (sf) US$36,500,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Assigned Baa1 (sf) US$33,000,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2031, 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. Carlyle CLO Management L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued 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: extension of the non-call period. 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: $476,830,288 Defaulted par: $3,975,797 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2733 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.14% Weighted Average Coupon (WAC): 3.52% Weighted Average Recovery Rate (WARR): 45.93% Weighted Average Life (WAL): 3.7 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. CBAMR 2018-5: Fitch Assigns 'BBsf' Final Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to CBAMR 2018-5, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2018-5, Ltd. A 12481QAC9 LT PIFsf Paid In Full AAAsf X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary CBAMR 2018-5, Ltd. (the issuer), a reset transaction which originally closed in March 2018, is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by The Carlyle Group Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $1 billion in primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.5% first lien senior secured loans and has a weighted average recovery assumption of 72.16%. 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 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CBAMR 2018-5, 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. CBAMR LTD 2018-5: Moody's Assigns (P)Caa1 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by CBAMR 2018-5, Ltd. (the Issuer): US$10,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$640,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned (P)Caa1 (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 senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, and permitted non-loan assets. CBAM CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other six classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period and non-call period; extensions of the stated maturity; 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: $1,000,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3040 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CBAMR LTD 2018-5: Moody's Assigns Caa1 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by CBAMR 2018-5, Ltd. (the Issuer): US$10,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$640,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Caa1 (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 senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, and permitted non-loan assets. CBAM CLO Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other six classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period and non-call period; extensions of the stated maturity; 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: $1,000,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3040 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CHASE HOME 2025-9: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-9 (Chase 2025-9). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-9 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-X1 LT AAAsf New Rating AAA(EXP)sf A-9-X2 LT AAAsf New Rating AAA(EXP)sf A-9-X3 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary The residential mortgage-backed certificates are supported by 391 loans with a scheduled balance of $491.14 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based on the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.9% above a long-term sustainable level versus 10.5% on a national level as of 1Q25, down 0.5% from the prior quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 391 high-quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $491.14 million. In total, 100.0% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a WA FICO score of 767, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 771. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 74.2% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 75.1%, which translates to a sustainable loan-to-value ratio (sLTV) of 82.5%. This represents moderate borrower equity in the property and reduced default risk, compared to a borrower with a CLTV over 80%. Of the pool, 100% of the loans in the pool are designated as SHQM APOR loans and 0.00% are rebuttable presumption QM loans. Of the pool, 100% of the loans are to borrowers of a primary or secondary residence (85.0% primary and 15.0% secondary). Single-family homes and planned unit developments (PUDs) constitute 90.7% of the pool, condominiums make up 8.3, co-ops make up 0.5% and multifamily units represent the remaining 0.5%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (85.8%), cashout refinances (2.0%) and rate-term refinances (12.1%). None of the loans are for investment properties and most of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 29.7% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the San Francisco MSA (10.1%), followed by the Los Angeles MSA (8.3%) and the New York MSA (7.4%). The top three MSAs account for 25.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): Mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.60% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.15% at the 'AAAsf' stress due to 61.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 61.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the third-party due diligence section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-9 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-9 and there is strong transaction due diligence. The entire pool is originated by an 'Above Average' originator and all the pool loans are serviced by a servicer rated 'RPS1-' which results a reduction in expected losses, has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-9: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 44 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-9, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.16% by balance) and GSE-eligible (0.84% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-9 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.13% and reaches 4.87% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. 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. CHASE HOME 2025-9: Moody's Ups Rating on Cl. B-4 Certs to (P)Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded provisional ratings to 5 classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2025-9, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.16% by balance) and GSE-eligible (0.84% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. 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: Chase Home Lending Mortgage Trust 2025-9 Cl. B-2, upgraded to (P)A2 (sf), previously on August 07, 2025 assigned (P)A3 (sf) Cl. B-2-A, upgraded to (P)A2 (sf), previously on August 07, 2025 assigned (P)A3 (sf) Cl. B-2-X*, upgraded to (P)A2 (sf), previously on August 07, 2025 assigned (P)A3 (sf) Cl. B-3, upgraded to (P)Baa2 (sf), previously on August 07, 2025 assigned (P)Baa3 (sf) Cl. B-4, upgraded to (P)Ba2 (sf), previously on August 07, 2025 assigned (P)Ba3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The upgrades are driven by the adoption of the updated methodology for rating US residential mortgage-backed securitizations titled "US Residential Mortgage-backed Securitizations." The update replaces the methodology titled "Moody's Approach to Rating US RMBS Using the MILAN Framework" published on July 18, 2024. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.13% and reaches 4.87% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. 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 2022-IV: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2022-IV, Ltd.'s first refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2022-IV, Ltd. A-1 12567WAA7 LT PIFsf Paid In Full AAAsf A-2 12567WAC3 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B 12567WAE9 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 12567WAG4 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 12567WAJ8 LT PIFsf Paid In Full BBB-sf D-R LT BBB+sf New Rating E 12567XAA5 LT PIFsf Paid In Full BBsf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary CIFC Funding 2022-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed in June 2022. On Aug. 27, 2025 (the first refinancing date), all classes of secured notes from the original closing are expected to be refinanced in whole with net proceeds from the issuance of the first refinancing notes. The secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B' which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.84% first lien senior secured loans and has a weighted average recovery assumption of 73.34%. 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 1.9-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 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. KEY PROVISION CHANGES This first refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The existing class A-1, A-2, B, C, D, E and F notes will be refinanced into the class A-R, B-R, C-R, D-R, E-R and F-R notes; - The spreads for the class A-R, B-R, C-R, D-R, E-R and F-R notes are 1.09%, 1.55%, 1.75%, 2.60%, 4.80%, and 7.00%, compared to the spreads of 1.43%, 1.70%, 2.00%, 2.40%, 3.55%, 7.00%, and 8.09% for the class A-1, A-2, B, C, D, E and F notes, respectively, at original closing; - The weighted average life test will be reset to 7.0 years on the first refinancing date and decline quarterly thereafter; - The non-call period for the refinancing notes will end in May 2026; - The stated maturity and end of reinvestment period on the refinanced notes remained the same as the original notes. FITCH ANALYSIS The current portfolio presented to Fitch includes 688 assets from 506 primarily high-yield obligors. The portfolio balance, including the amount of principal cash, was approximately $500 million. As per the August trustee report, the transaction passes all its coverage tests, collateral quality tests and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.2% of the current portfolio par balance; ratings for 55.8% of the portfolio were derived using Fitch's IDR equivalency map. Analysis focused on the Fitch stressed portfolio (FSP) and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.2%, 15.2%, and 12.0%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread: 3.14%; - Minimum weighted average coupon: 6.0%. - Fixed rate assets: 5.0%; - Assets rated 'CCC+' or below: 7.5%; - Non-first priority senior secured assets: 7.5%. The transaction will exit its reinvestment period on July 16, 2027. Projected default and recovery statistics for the performing collateral of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate outputs for the FSP were 49.0% at the 'AAAsf' rating stress, 47.8% at the 'AA+' rating stress, 42.5% at the 'A+' rating stress, 36.3% at the 'BBB+' rating stress and 30.2% at the 'BB+' rating stress. The PCM recovery rate outputs for the FSP were 36.9% at the 'AAAsf' rating stress, 45.6% at the 'AA+' rating stress, 55.1% at the 'A+' rating stress, 64.5% at the 'BBB+' rating stress and 69.9% at the 'BB+' rating stress. In the analysis of the FSP, the class A-R, B-R, C-R, D-R and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 6.7%, 4.0%, 4.3%, 3.7% and 5.8%, respectively. The PCM default rate outputs for the current portfolio were 44.3% at the 'AAAsf' rating stress, 43.4% at the 'AA+' rating stress, 38.4% at the 'A+' rating stress, 32.2% at the 'BBB+' rating stress and 26.7% at the 'BB+' rating stress. The PCM recovery rate outputs for the current portfolio were 38.8% at the 'AAAsf' rating stress, 47.9% at the 'AA+' rating stress, 57.6% at the 'A+' rating stress, 67.1% at the 'BBB+' rating stress and 72.7% at the 'BB+' rating stress. In the analysis of the current portfolio, the class A-R, B-R, C-R, D-R and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 12.2%, 9.4%, 9.0%, 6.4%, and 9.3%, respectively. Fitch assigned 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf' and 'BB+sf' ratings with a Stable Outlook to the class A-R, B-R, CR, D-R and E-R notes because it believes the 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 metrics. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BB+sf' and 'A+sf' for class C-R, between 'B-sf' and 'BBBsf' for class D-R, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes 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-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 CIFC Funding 2022-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. CIFC FUNDING 2025-IV: Fitch Assigns 'BB-sf' Final Rating on E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to CIFC Funding 2025-IV, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2025-IV, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1-A1 LT BBB+sf New Rating BBB+(EXP)sf D-1-A2 LT BBB-sf New Rating BBB-(EXP)sf D-1-B LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, 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. Date of Relevant Committee 15 August 2025 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-C7: DBRS Confirms B(low) Rating on J-RR Certs ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-C7, issued by Citigroup Commercial Mortgage Trust 2019-C7 as follows: -- 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 B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (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 BBB (low) (sf) -- Class X-G at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (high) (sf) -- Class X-H at BB (low) (sf) -- Class H at B (high) (sf) -- Class J-RR at B (low) (sf) Morningstar DBRS changed the trends on Classes F, G, H, J-RR, X-F, X-G, and X-H to Stable from Negative. All other trends are Stable. The credit rating confirmations reflect overall the stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in September 2024. While Morningstar DBRS maintains a cautious outlook regarding the concentration of loans secured by the office space (eight loans, representing 22.0% of the pool) as well as the increased loss expectations for two of the three largest loans in the pool, the remainder of the pool continues to demonstrate stable performance, as evidenced by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.03 times (x), based on YE2024 financial reporting. The assigned credit ratings accurately reflect the credit risk associated with the transaction, warranting the trend changes on Classes F, G, H, J-RR, X-F, X-G, and X-H to Stable from Negative. As of the August 2025 remittance, 51 of the 55 original loans remain in the pool, with a trust balance of $1.05 billion, reflecting a collateral reduction of 7.9% since issuance. Since September 2024, three additional loans were defeased, with defeasance collateral currently representing 5.7% of the pool. No loans are currently in special servicing but nine loans, representing 20.5% of the pool, are on the servicer's watchlist. The pool is concentrated by property type with loans backed by multifamily and office properties representing 29.0% and 22.0% of the pool balance, respectively. Additionally, of the nine loans on the servicer's watchlist, three are secured by either office properties or mixed-use properties with a significant office component and are currently monitored for a decrease in DSCR. For the purposes of this credit rating action, Morningstar DBRS made adjustments to four office loans in the pool, including 805 Third Avenue (Prospectus ID#3; 4.8% of the pool), and one mixed-use property, 650 Madison Avenue (Prospectus ID#2; 4.8% of the pool). The 650 Madison loan is collateralized by a Class A office and retail tower comprising approximately 544,000 square feet (sf) of office space, with ground-floor retail and storage 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 trailing six-month DSCR of 0.88x and an occupancy rate of 81.0%, well below the rate of 97.0% at closing. Occupancy is expected to fall further following the 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 a notably lower base rental rate of $63.00 per square foot (psf; subject to an 8.0% annual escalation) compared with its former rental 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 rental rate, however, the tenant was not provided an improvement allowance in conjunction with the lease renewal. Both tenants were given one year of free rent as part of their respective lease renewals. In anticipation of a further net cash flow decline, Morningstar DBRS applied elevated loan-to-value ratio (LTV) and probability of default (POD) adjustments, resulting in an loan expected loss (EL) that was 2.5x greater than the pool's WA EL. Factors mitigating the projected reduced property performance include the strong sponsorship provided by Vornado and Oxford Properties and the building's quality and desirable location, close to major landmarks such as 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 $50.0 million trust loan represents a pari passu portion of the $150.0 million senior debt. The whole loan of $275.0 million includes $125.0 million in subordinate debt. The loan 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. While the loan remains current, cash management is active and the loan is being monitored on the servicer's watchlist for a low DSCR, most recently reported at 0.81x on the senior debt as of YE2024. The ongoing decline in performance is 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 planned to terminate its lease at YE2024, however, it is still listed on the March 2025 rent roll. For this review, Morningstar DBRS inquired about additional leasing updates but has yet to receive a response. Morningstar DBRS is also concerned about the status of the loan's sponsor, Cohen Brothers Realty Corporation, which continues to face financial difficulties, having accumulated more than $1.0 billion of loans in default, according to several news articles. To account for the increased credit risks, Morningstar DBRS' analysis considered a stressed scenario, increasing the LTV and POD on the loan, which resulted in a loan EL that was 4.0x greater than the pool's WA EL. 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, X-F, X-G, and X-H 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. CITIGROUP 2019-GC41: Fitch Lowers Rating on Two Tranches to 'Bsf' ----------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 13 classes of Citigroup Commercial Mortgage Trust 2019-GC41 commercial mortgage pass-through certificates (CGCMT 2019-GC41). Fitch has assigned Negative Rating Outlooks to two classes following their downgrades and has revised the Outlook for one class to Negative from Stable. Fitch has also downgraded seven classes and affirmed nine classes of Citigroup Commercial Mortgage Trust 2019-GC43 commercial mortgage pass-through certificates (CGCMT 2019-GC43). Fitch has assigned Negative Outlooks to four classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2019-GC41 A-2 17328FAT2 LT AAAsf Affirmed AAAsf A-3 17328FAU9 LT AAAsf Affirmed AAAsf A-4 17328FAV7 LT AAAsf Affirmed AAAsf A-5 17328FAW5 LT AAAsf Affirmed AAAsf A-AB 17328FAX3 LT AAAsf Affirmed AAAsf A-S 17328FAY1 LT AAAsf Affirmed AAAsf B 17328FAZ8 LT AA-sf Affirmed AA-sf C 17328FBA2 LT A-sf Affirmed A-sf D 17328FAA3 LT BBBsf Affirmed BBBsf E 17328FAC9 LT BBB-sf Affirmed BBB-sf F 17328FAE5 LT Bsf Downgrade BB-sf GRR 17328FAG0 LT CCCsf Downgrade B-sf X-A 17328FBB0 LT AAAsf Affirmed AAAsf X-B 17328FAL9 LT A-sf Affirmed A-sf X-D 17328FAN5 LT BBB-sf Affirmed BBB-sf X-F 17328FAQ8 LT Bsf Downgrade BB-sf Citigroup Commercial Mortgage Trust 2019-GC43 A-3 17328HBC4 LT AAAsf Affirmed AAAsf A-4 17328HBD2 LT AAAsf Affirmed AAAsf A-AB 17328HBE0 LT AAAsf Affirmed AAAsf A-S 17328HBG5 LT AAAsf Affirmed AAAsf B 17328HBH3 LT AA-sf Affirmed AA-sf C 17328HBJ9 LT A-sf Affirmed A-sf D 17328HAJ0 LT BBBsf Affirmed BBBsf E 17328HAL5 LT BBsf Downgrade BBB-sf F 17328HAN1 LT Bsf Downgrade B+sf G 17328HAQ4 LT CCCsf Downgrade B-sf J-RR 17328HAS0 LT CCsf Downgrade CCCsf X-A 17328HBF7 LT AAAsf Affirmed AAAsf X-B 17328HAA9 LT AA-sf Affirmed AA-sf X-D 17328HAC5 LT BBsf Downgrade BBB-sf X-F 17328HAE1 LT Bsf Downgrade B+sf X-G 17328HAG6 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 4.7% from 4.4% in CGCMT 2019-GC41, and to 6.2% from 5.5% in CGCMT 2019-GC43. The CGCMT 2019-GC41 transaction has six Fitch Loans of Concern (FLOCs; 18.6% of the pool), including two loans (5.9%) in special servicing. The CGCMT 2019-GC43 transaction has four FLOCs (20.3%), including two loans (7.7%) in special servicing. The downgrades across both transactions reflect increased pool loss expectations since Fitch's prior rating action, along with sustained higher loss expectations for FLOCs. The Negative Outlooks reflect possible further downgrades should performance continue to deteriorate beyond expectations, recovery prospects worsen or workouts are prolonged for the specially serviced office loans, particularly The Zappettini Portfolio (4.6%) in CGCMT 2019-GC41 and Midland Office Portfolio (5.0%) and 222 Kearny Street (2.7%) in CGCMT 2019-GC43. The Negative Outlooks in CGCMT 2019-GC41 also consider a sensitivity scenario on 505 Fulton Street (3.8%) and Bushwood Office Building (0.7%) that assumes a higher probability of default given refinance concerns. The Negative Outlooks also consider the high office concentration in both pools (31.6% in CGCMT 2019-GC41 and 53.2% in CGCMT 2019-GC43). FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in CGCMT 2019-GC41 is The Zappettini Portfolio loan. It is secured by a portfolio of 10 office buildings totaling 251,716-sf located in Mountain View, CA. The loan transferred to special servicing in June 2024 for maturity default. Per the October 2024 rent roll, portfolio occupancy increased to 65% due to the General Motors lease at the 1255 Terra Bella property, up from 58% occupied in May 2024, compared to 70.4% at YE 2023, 88.7% at YE 2021 and 100% at YE 2020. Major tenants include Iridex Corporation (11.9% of the portfolio NRA through August 2026) and Egnyte (11.8%; December 2025). The borrower has submitted a new workout proposal, which is currently under review. The special servicer is continuing discussions regarding a potential resolution while simultaneously proceeding with foreclosure actions. Fitch's 'Bsf' rating case loss of 40.7% (prior to concentration add-ons) reflects a 9.25% cap rate, 30% stress to the YE 2024 NOI due to upcoming rollover concerns of largest in-place tenants and factors the loan's defaulted status. The second largest increase in loss since the prior rating action in CGCMT 2019-GC41 is the 505 Fulton Street loan, secured by a 114,000-sf anchored retail property located in Downtown Brooklyn, NY. The property is within a half mile of a large number of subway lines providing access to Manhattan and the rest of Brooklyn. The property was previously 100% leased to four national tenants: H&M (18.9% of the NRA through January 2029), Old Navy (19.6%; June 2026), Nordstrom Rack (35.4%), and TJ Maxx (25.9%). Both Nordstrom Rack and TJ Maxx vacated the property upon their respective April 2024 lease expirations. Although the two vacated tenants represented approximately 61% of the NRA, they only accounted for 31% of base rent. Since May 2024, the property has remained at 39% occupancy, occupied by H&M and Old Navy. Given the higher base rents paid by these two tenants, the loan has been covering debt-service without Nordstrom Rack and TJ Maxx, however, will likely face refinance challenges given the low occupancy. The servicer-reported NOI DSCR was 1.89x at YE 2024, compared to 2.72x at YE 2023, 2.90x at YE 2022, and 2.92x at YE 2021. Fitch's 'Bsf' rating case loss of 10.4% (prior to concentration add-ons) reflects an 8.5% cap rate, 30% stress to the YE 2023 NOI to account for the loss of rent from vacated tenants and factors an elevated probability of default due to the low occupancy rate. Fitch also performed an additional sensitivity scenario that reflects a 100% probability of default and resulted in a 20.9% 'Bsf' sensitivity loss (prior to concentration adjustments). This scenario contributed to the Negative Outlooks The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in CGCMT 2019-GC43 is the 222 Kearny Street loan, secured by a 148,199-sf office property in San Francisco, CA. The loan transferred to special servicing in July 2023 for imminent monetary default. According to servicer commentary, foreclosure was scheduled for July 2025 and the asset is to be listed for sale in August 2025. Since February 2024, four tenants, representing 27.8% of the NRA, have vacated at lease expiration, including Kimpton Hotel and Restaurant (10.7%; February 2024), Ethos Lending (10%; April 2024), Hotwire Public Relations (3.6%; February 2024) and EPAM Systems (3.5%; May 2024). Per the June 2024 rent roll, the property was 28.2% occupied, down from 49% at YE 2023 and 79% at YE 2022. The current largest tenants at the property include Ouraring Inc (6.4%; February 2026), BTS USA (5.4%; March 2027) and Montgomery Technologies (4.4%; September 2028) Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 70.5% considers a 10% stress to a recent appraisal value, which is down 78% from the appraisal value at issuance, reflecting a stressed value of approximately $111 psf. The second largest contributor to overall loss expectations in CGCMT 2019-GC43 is the Midland Office Portfolio loan, secured by a portfolio of five office properties totaling 699,584-sf located in Midland, TX. The loan transferred to special servicing in September 2023 for imminent monetary default. In early 2024, a receiver was put in place and the asset was listed for sale, but attempts to sell the portfolio out of receivership were unsuccessful. The special servicer is actively working with tenants to renew existing leases and secure new leases across all properties. Per the June 2025 rent roll, portfolio occupancy dropped to 57.4%, compared to 59% at Q1 2024, down from 68% at YE 2023, 74% at YE 2022, 73% at YE 2021 and 90% at YE 2020. The recent occupancy decline was caused by multiple smaller tenants vacating at lease expiration. The largest in-place tenants include Enlink Midstream Operating (8.0% of the NRA through June 2026) and First Capital Bank (4.9%; November 2027). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 26.1% considers a 30% stress to a recent appraisal value, which is down 58.2% from the appraisal value at issuance, reflecting a stressed value of approximately $66 psf. The second largest increase in loss since the prior rating action in CGCMT 2019-GC43 is the Connection Park loan (5.8%), secured by a 282,438-sf suburban office property located in Irving, TX. The loan was flagged as a FLOC due to the decline in income caused by First American Title Insurance surrendering just over half of its space (39,957-sf) in December 2023. First American concurrently extended its lease to December 2030. According to servicer commentary, the borrower is currently marketing the vacant space for lease. Major tenants at the property include Atos IT Solutions and Services (35.6% of the NRA through May 2029), 7-Eleven (21.8%; August 2030), Centre for Neuro Skills (14.4%; February 2030), and First American Title Insurance (13.0%; December 2030). The property was 86% occupied as of Q1 2025, unchanged from YE 2024, down from 100% occupied from 2019-2023. The servicer-reported NOI DSCR was 1.77x at YE 2024, compared to 2.75x at YE 2024, 2.95x at YE 2022, and 2.82x at YE 2021. Fitch's 'Bsf' rating case loss of 12.1% (prior to concentration add-ons) reflects a 9.5% cap rate, and a 10% stress to the YE 2024 NOI. Increased Credit Enhancement (CE): As of the August 2025 distribution date, the pool's aggregate balance in CGCMT 2019-GC41 has been paid down by 6.8% to $1.19 billion from $1.28 billion at issuance. Two loans (1.1% of the pool) are fully defeased. There are 25 loans (81.4%) that are full-term interest-only, and the remaining 15 loans (18.6%) are amortizing. Interest shortfalls of $278,679 and $10,100 are affecting the J-RR and VRR classes, respectively. As of the August 2025 distribution date, the pool's aggregate balance in CGCMT 2019-GC43 has been paid down by 5.8% to $882.4 million from $936.8 million at issuance. One loan (8.8%) is fully defeased. There are 23 loans (85.7%) that are full-term, and the remaining nine loans (14.3%) are amortizing. Interest shortfalls of $1,063,781 and $41,590 are affecting the K-RR and VRR classes, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' classes are not likely due to their 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 affect these classes. - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized loss expectations on the specially serviced loans, including The Zappettini Portfolio in CGCMT 2019-GC41 and Midland Office Portfolio and 222 Kearny Street in CGCMT 2019-GC43, increase beyond expectations, and with limited to no improvement in these classes' CE. - Downgrades to the 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to the 'CCCsf' and 'CCsf' categories would occur should additional loans transfer to special servicing and/or default or as losses are realized and/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 stabilized performance on The Zappettini Portfolio and Millennium Park Plaza loans in CGCMT 2019-GC41, and Midland Office Portfolio and 222 Kearny Street in CGCMT 2019-GC43. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. - Upgrades to the 'CCCsf' and 'CCsf' categories 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. COLT 2025-9: S&P Assigns B (sf) Rating on Class B-2 Certs --------------------------------------------------------- S&P Global Ratings assigned its ratings to COLT 2025-9 Mortgage Loan Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, and fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, condotels, two- to four-family properties, and five- to 10-unit multifamily residential properties. The pool consists of 700 loans, which are qualified mortgage (QM)/higher-priced mortgage loans (HPML) (QM)/non-HPML (non-QM)/ability-to-repay (ATR)-compliant, and 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 our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) COLT 2025-9 Mortgage Loan Trust Class A-1, $264,215,000: AAA (sf) Class A-1A, $226,658,000: AAA (sf) Class A-1B, $37,557,000: AAA (sf) Class A-2, $25,539,000: AA (sf) Class A-3, $37,558,000: A (sf) Class M-1, $18,591,000: BBB (sf) Class B-1, $13,332,000: BB (sf) Class B-2, $10,704,000: B (sf) Class B-3, $5,634,371: 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 will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. N/A--Not Applicable. NR--Not rated. COMM 2014-UBS4: Fitch Lowers Rating on Two Tranches to 'B-sf' ------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed one class of COMM 2014-UBS4 Mortgage Trust. The Rating Outlook for class A-5 has been revised to Stable from Negative. The Rating Outlooks for the downgraded classes A-M, B, PEZ, C, and X-A are Negative. Fitch has also affirmed seven classes of COMM 2014-UBS6 Mortgage Trust and revised the Outlooks for classes C and PEZ to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-UBS4 A-5 12591QAR3 LT AAAsf Affirmed AAAsf A-M 12591QAT9 LT AAsf Downgrade AAAsf B 12591QAU6 LT BBB-sf Downgrade A-sf C 12591QAW2 LT B-sf Downgrade BB-sf PEZ 12591QAV4 LT B-sf Downgrade BB-sf X-A 12591QAS1 LT AAsf Downgrade AAAsf COMM 2014-UBS6 C 12592PBL6 LT A-sf Affirmed A-sf D 12592PAJ2 LT Bsf Affirmed Bsf E 12592PAL7 LT CCsf Affirmed CCsf F 12592PAN3 LT Csf Affirmed Csf PEZ 12592PBK8 LT A-sf Affirmed A-sf X-B 12592PAA1 LT WDsf Withdrawn AAsf X-C 12592PAC7 LT Bsf Affirmed Bsf X-D 12592PAE3 LT Csf Affirmed Csf Fitch has withdrawn the rating for class X-B class because the rating is no longer relevant. The class will no longer receive interest distributions following the full repayment of class B. KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations; Adverse selection: Deal-level 'Bsf' rating case losses for the COMM 2014-UBS4 transaction is 41.6%, lower from 43.0% at Fitch's prior rating action. Losses for the COMM 2014-UBS6 transaction increased to 31.5% from 11.5% at the prior review. All 10 loans (100%) in COMM 2014-UBS4 are Fitch Loans of Concern (FLOCs), with six loans (62.4%) in special servicing. Nine loans in COMM 2014-UBS6 (88.9% of the pool) are FLOCs, including seven loans (63.4%) in special servicing. The downgrades in COMM 2014-UBS4 were driven by elevated pool losses with increasing adverse selection and diminishing credit support due to higher realized losses. Increased losses are largely attributable to declining appraisal values for specially serviced loans with increasing total exposure for losses and ongoing performance deterioration, particularly among office FLOCs in special servicing, including 597 Fifth Avenue (29.0% of the pool), 30 Knightsbridge (13.9%), North Pointe Business Park (7.8%), Fremont Moreno 3rd Street Promenade (4.8%). The downgrades also reflect these classes' increasing reliance on proceeds from specially serviced loans and FLOCs, most notably the State Farm Portfolio (29.3%). The Negative Outlooks in COMM 2014-UBS4 reflect the pool's elevated office concentration of 60.1%, high percentage of loans in special servicing (62.4%), and ongoing performance concerns with the largest loan in the pool, State Farm Portfolio. Further downgrades are possible if performance deteriorates beyond Fitch's current expectations, property values decline further, specially serviced loans experience extended workout periods, or more loans than anticipated are unable to refinance. The affirmations in the COMM 2014-UBS6 transaction reflect increased CE from scheduled amortization and better than expected recoveries from loans paying off at maturity, including former FLOCs, University Edge and Four Points by Sheraton - San Francisco Bay Bridge. The two loans were the third and sixth largest contributors to loss expectations at the prior rating action with base case losses of 24.7% and 28.3% (prior to concentration adjustments), respectively. As of the August 2025 distribution date, the pool's aggregate principal balance has paid down by 87.4% since issuance and 75.5% since Fitch's prior rating action. The Outlook revision to Stable from Negative on classes C, and PEZ reflect the expectation of repayment from continued scheduled amortization and limited recovery required from remaining loans in the pool to repay the class. 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 for both transactions. The analysis 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 2014-UBS4 is 597 Fifth Avenue (29.0%). The loan consists of two commercial buildings in Manhattan, with both retail and office components totaling 86,479-sf. The loan transferred to special servicing in October 2020 due to payment default and has since become REO as of August 2025. Performance has continued to decline, with occupancy falling to 18.4% as of January 2025 from 49% at March 2023, and it remains below occupancy of 71% in June 2022 and 95% at YE 2019. YE 2024 cash flow remains insufficient to cover debt service. Fitch's 'Bsf' rating case loss of 57.7% (prior to concentration add-ons) is based on a 20% stress to the most recent appraisal value, which is approximately 66.1% below the appraisal value at issuance, equating to a stressed value of $564.3 psf. The second largest contributor to overall loss expectations in COMM 2014-UBS4 is the State Farm Portfolio loan (29.3%), which is secured by a portfolio of 13 suburban office properties located in 10 cities across 10 states. The loan transferred to special servicing in September 2023 at the borrower's request for a loan modification to include a partial release and paydown of the loan. The loan was returned to the master servicer in January 2025. State Farm, which already announced its intention to vacate the properties, has various lease expirations across the portfolio, including 4.2% of the portfolio NRA in 2026 and 92.5% in 2028. The Tulsa State Farm Office was released with proceeds from the sale applied to the principal balance. The NOI DSCR was 2.11x at YE 2024, down from 2.60x at YE 2023. The loan had an anticipated repayment date (ARD) in April 2024 with a final maturity date in April 2029. Since the loan failed to repay at the ARD, the interest rate was reset from the initial rate of 4.6266% to the higher of the five-year treasury note rate plus 3.50% and 7.6266% through April 2026, and a cash flow sweep was triggered. The loan continues to amortize with excess cash flow. If the loan still fails to repay by the end of April 2026, the interest rate will again reset to the higher of the five-year treasury note rate plus 4.50% and 8.6266% from May 2026 through the final April 2029 maturity. Fitch's 'Bsf' rating case loss of 38.8% (prior to concentration adjustments) reflects a 10.50% cap rate, 60% stress to the YE 2024 NOI and factors an increased probability of default to account for the anticipated vacancy across the entire portfolio. The largest contributor to overall expected losses in the COMM 2014-UBS6 transaction, is the Highland Oaks Portfolio (19.6% of the pool), which consists of two suburban office properties totaling 319,491-sf in Downers Grove, IL. The loan transferred to special servicing in March 2023 following the departure of the largest tenant, Blue Cross Blue Shield (55.7% of the NRA), which exercised a lease termination option and vacated in December 2022. The loan subsequently became REO in January 2025. Occupancy for the portfolio has declined to 30.2% as of May 2025. The Highland Oaks II property is currently under contract with closing scheduled for late August 2025. Highland Oaks I is 66.2% leased by two tenants. The property is not listed for sale. Fitch's 'Bsf' rating case loss of 82.4% (prior to concentration adjustments) is based on a 20% stress to the most recent appraisal value, which is approximately 84.6% below the appraisal value at issuance, equating to a stressed value of $18.5 psf. The second largest contributor to overall loss expectations in COMM 2014-UBS6 and the largest increase in loss since the prior rating action is the 8000 Maryland Avenue loan (16.7%), which is secured by a 15-story, 188,907-sf office property and five-story parking garage located in Clayton, MO, approximately 10 miles from the St. Louis CBD. The loan transferred to special servicing in February 2024 for imminent default with the borrower facing challenges securing financing prior to their November 2024 maturity. Occupancy declined to 80.7% as of June 2025 from 96% at YE 2022. The NOI DSCR has declined to 0.08x as of YE 2024, down from 1.68x and 1.70x for the YTD September 2023 and YE 2022 reporting periods, respectively. A receiver was appointed in July 2024. The total exposure has continued to increase due to accumulating advances and fees. Fitch's 'Bsf' rating case loss expectations of 50.8% (prior to concentration adjustments) is based on a 20% stress to the most recent appraisal value, which is approximately 48.4% below the appraisal value at issuance, equating to a stressed value of $87.5 psf. Increased Credit Enhancement (CE): As of the August 2025 distribution date, the aggregate balances of the COMM 2014-UBS4 and COMM 2014-UBS6 transactions have been reduced by 71.9% and 87.4%, respectively, since issuance. Interest Shortfalls: Cumulative interest shortfalls of $15.4 million are affecting the classes B, PEZ, C, and the non-rated classes D, E, F, and G, and in the COMM 2014-UBS4 transaction, and $6.98 million is affecting classes E and F and the non-rated classes G and H in the COMM 2014-UBS6 transaction. Realized losses of $28 million, are impacting the non-rated class G in the COMM 2014-UBS4 transaction and $28.8 million impacting the non-rated class H in the COMM 2014-UBS6 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated class in the COMM 2014-UBS4 transaction are not likely due to its position in the capital structure and increasing CE and expected paydown from loan repayments. However, a downgrade may occur if deal level losses increase significantly and/or interest shortfalls occur or are expected to affect these classes. Downgrades to the 'AAsf','BBB-sf' and 'B-sf' rated classes in the COMM 2014-UBS4 transaction could occur with an increase in pool-level losses from further value degradation and/or extended workout of the specially serviced loans, namely 597 Fifth Avenue, 30 Knightsbridge, North Pointe Business Park, Fremont Moreno 3rd Street Promenade, and/or performance deterioration of the State Farm Portfolio. In the COMM 2014-UBS6 transaction, downgrades to the 'A-sf' and 'Bsf' rated classes could occur if performance and valuations of the specially serviced loans, most notably 811 Wilshire, Highland Oaks Portfolio, and 8000 Maryland Avenue, deteriorate further beyond Fitch's expectations or fail to stabilize. 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' categories are not anticipated but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to 'BBBsf' and 'Bsf' category and distressed rated classes are not anticipated given the adverse selection for each transaction and concentration of defaulted 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. CSAIL 2015-C5: Fitch Lowers Rating on Two Tranches to 'BBsf' ------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed 11 classes of CSAIL 2015-C4 Commercial Mortgage Trust. The Rating Outlooks were revised to Positive from Stable for two affirmed classes. Fitch has downgraded six and affirmed six classes of CSAIL 2016-C5 Commercial Mortgage Trust. Negative Outlooks were assigned to two classes following their downgrades, and the Outlook was revised to Negative from Stable for one affirmed class. Fitch Ratings has affirmed 11 classes of CSAIL 2015-C1 Commercial Mortgage Trust. The Negative Outlooks remained the same for classes A-S, X-A, B, X-B and C. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2015-C1 A-S 126281BD5 LT AAAsf Affirmed AAAsf B 126281BE3 LT Asf Affirmed Asf C 126281BF0 LT BBsf Affirmed BBsf D 126281AL8 LT CCCsf Affirmed CCCsf E 126281AN4 LT Csf Affirmed Csf F 126281AQ7 LT Csf Affirmed Csf X-A 126281BB9 LT AAAsf Affirmed AAAsf X-B 126281BC7 LT Asf Affirmed Asf X-D 126281AC8 LT CCCsf Affirmed CCCsf X-E 126281AE4 LT Csf Affirmed Csf X-F 126281AG9 LT Csf Affirmed Csf CSAIL 2015-C4 A-4 12635RAX6 LT AAAsf Affirmed AAAsf A-S 12635RBB3 LT AAAsf Affirmed AAAsf B 12635RBC1 LT AAAsf Upgrade AAsf C 12635RBD9 LT Asf Affirmed Asf D 12635RBE7 LT BBBsf Affirmed BBBsf E 12635RBF4 LT BBB-sf Affirmed BBB-sf F 12635RAL2 LT BB-sf Affirmed BB-sf G 12635RAN8 LT B-sf Affirmed B-sf X-A 12635RAZ1 LT AAAsf Affirmed AAAsf X-B 12635RBA5 LT AAAsf Upgrade AAsf X-D 12635RAA6 LT BBB-sf Affirmed BBB-sf X-F 12635RAE8 LT BB-sf Affirmed BB-sf X-G 12635RAG3 LT B-sf Affirmed B-sf CSAIL 2016-C5 A-5 12636LAY6 LT AAAsf Affirmed AAAsf A-S 12636LBC3 LT AAAsf Affirmed AAAsf B 12636LBD1 LT AAsf Affirmed AAsf C 12636LBE9 LT Asf Affirmed Asf D 12636LAG5 LT BBsf Downgrade BBB-sf E 12636LAL4 LT CCCsf Downgrade B-sf F 12636LAN0 LT CCsf Downgrade CCCsf X-A 12636LBA7 LT AAAsf Affirmed AAAsf X-B 12636LBB5 LT AAsf Affirmed AAsf X-D 12636LAJ9 LT BBsf Downgrade BBB-sf X-E 12636LAA8 LT CCCsf Downgrade B-sf X-F 12636LAC4 LT CCsf Downgrade CCCsf KEY RATING DRIVERS 'Bsf' Loss Expectations; Increasing Pool and Significant Upcoming Maturity Concentrations: Deal-level 'Bsf' rating case losses are as follows: - CSAIL 2015-C4: 4.0%; - CSAIL 2016-C5: 12.5%; - CSAIL 2015-C1: 29.9%. Fitch Loans of Concern (FLOCs) comprise six loans (21.7% of CSAIL 2015-C4), eight loans (35.5% of CSAIL 2016-C5) including two specially serviced loans (18.2%), and seven loans (98.4% of CSAIL 2015-C1) including six specially serviced loans (65.2%). Due to the significant near-term loan maturities and increasing pool concentrations in these three transactions, Fitch performed a sensitivity and liquidation analysis. The remaining loans were grouped based on their current status and collateral quality and then ranked based on their perceived likelihood of repayment, ability to refinance into a higher interest rate environment, and/or loss expectations. CSAIL 2015-C4: The upgrades in CSAIL 2015-C4 reflect increased credit enhancement (CE) from loan repayments, better-than-anticipated recoveries on disposed loans, and overall stable-to-improved performance of the remaining pool since Fitch's prior rating action. All the remaining loans in the pool mature by November 2025. CSAIL 2016-C5: The downgrades in CSAIL 2016-C5 reflect increased pool loss expectations since the prior rating action, driven primarily by the specially serviced 401 Market (13.2% of pool) and Sheraton Lincoln Harbor Hotel (5.0%) loans. The Negative Outlooks were assigned to classes with a reliance on FLOCs to repay. Without performance stabilization and improved recovery prospects on the FLOCs and specially serviced loans, and/or if more loans than expected fail to refinance at or prior to maturity, further downgrades are possible. The FLOCs include Madison Park, Officescape and Corporate Hill Portfolio, 2100 Acklen Flats, 579 Executive Campus, Holiday Inn Express Atlanta NE I-85 Clairmont, Stony Creek Portfolio, The Plazas at Lakewood Forest and New Lebanon Plaza, which were flagged for low DSCR, refinance concerns, declining performance and upcoming rollover of major tenants. The majority of the loans in the pool mature by November 2025, with the exception of FedEx Brooklyn, which has an anticipated repayment date in November 2025 and a final maturity of May 2030. CSAIL 2015-C1: The affirmations in CSAIL 2015-C1 reflect generally stable loss expectations since the prior rating action. The Negative Outlooks reflect the adverse selection concerns in the pool and significant concentration of FLOCs. Without performance stabilization on the 500 Fifth Avenue office property and should recovery prospects and performance on the specially serviced loans deteriorate further, downgrades are possible. Pool loss expectations remain high, driven primarily by the specially serviced loans, which include four underperforming lower-tier regional malls and outlet properties, including Westfield Trumbull (26.1% of the pool), Westfield Wheaton (14.4%), St. Louis Premium Outlets (7.8%), and Bayshore Mall (6.8%), as well as a student housing property (The Boulevard at Tallahassee; 9.3%) and a manufactured housing property (Gulfstream Manor MHP; 0.9%). In addition, the largest loan, 500 Fifth Avenue (13.3%), secured by an office property near Bryant Park Manhattan, was modified whereby the maturity was extended to April 2027. FLOCs; Largest Contributors to Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CSAIL 2016-C5 is the 401 Market (8.6%) loan, secured by a 484,643-sf office property located in Philadelphia, PA. The loan was transferred to special servicing in October 2024 for imminent default due to the loss of the largest tenant. The loan remains current. Occupancy declined following Wells Fargo (formerly 72% of NRA; 35% of gross rents) vacating at lease expiration in September 2024. The sole remaining tenant is American Bible Society (28% of NRA; 65.2% of gross rents) with a lease through October 2041. Fitch's 'Bsf' case loss of 30% (prior to a concentration adjustment) is based on an 9.50% cap rate and 35% stress to the YE 2023 NOI and factors an increased probability of default due to the specially serviced loan status, low occupancy and heightened maturity default risk. The second largest contributor to overall pool loss expectations in CSAIL 2016-C5 is the specially serviced Sheraton Lincoln Harbor Hotel loan (8.5%), which is secured by a 358-key full-service hotel in Weehawken, NJ about half a mile south of the Lincoln Tunnel. The loan transferred to special servicing in January 2021 for imminent default. The sponsor cooperated with a consensual foreclosure action in March 2021, and a receiver was appointed in April 2021. Recent servicer commentary indicated the property is expected to be sold later in 2025 via the receiver. Per the servicer reported YE 2024 OSAR, the NOI DSCR was 1.27x, occupancy was 89.9%, ADR $200 and RevPAR $179. A recent STR report has not been provided. Per the March 2024 STR report, the property occupancy, ADR and RevPAR were 90%, $190 and $171, respectively, compared with 74%, $225 and $167, respectively, for its competitive set. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) of approximately 46% reflects a discount to the most recent reported appraisal value, equating to a stressed value per key of approximately $158,000, and factors in the increasing total loan exposure. The largest contributor to overall pool loss expectations in CSAIL 2015-C1 is the Westfield Trumbull loan, which is secured by a 1.1 million-sf regional mall located in Trumbull, CT, now called Trumbull Mall. In January 2023 the mall was sold and the loan assumed by Namdar Realty Group. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. Macy's extended its lease through January 2029, from its lease expiration in April 2025. Both Macy's and Target are anchors at a competing mall located 9.5 miles away. The loan transferred to special servicing in March 2025 due to maturity default. The borrower requested a modification and discussions with the special servicer are continuing. The occupancy has declined year over year, reporting at 90.75% as of December 2024, which is a decrease from 93.7% as of December 2023 and 100% as of December 2022. The reported NOI DSCR has increased year over year to 2.36x as of YE 2023 from 1.69x at YE 2022, 1.56x at YE 2021 and 1.93x at YE 2019. The increased NOI was due to a large drop in expenses as revenues increased slightly from YE 2023 to YE 2024. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) is approximately 46%, which reflects a 15% cap rate to the Fitch cash flow based off a 15% stress to the YE 2021 NOI given the lack of certainty regarding the stability of the YE 2023 expense decline, as well as a 100% probability of default due to loan's default at maturity. The second largest contributor to overall pool loss expectations in CSAIL 2015-C1 is the Westfield Wheaton loan, which is secured by a 1.6 million-sf regional mall sponsored by Unibail-Rodamco-Westfield and located in Wheaton, MD. Anchor tenants include JCPenney, Target, Macy's and Costco. There is also a nine-screen AMC Theater and two ground-leased outparcels leased to Giant Food and American Freight. There are five other large retail centers located within a 10-mile radius, with another competing mall owned by the same sponsor, Westfield Montgomery, located seven miles away with a similar inline tenant profile. The loan transferred to special servicing in March 2025 due to maturity default. The special servicer is considering a possible sale of the mall, with the buyer assuming the modified and extended loan. As of September 2024, the property was 90% occupied and the YE 2024 NOI DSCR was 2.41x, compared to 84% and 2.21x at YE 2023, respectively, and 96% and 2.47x at YE 2022, respectively. Total mall sales as of TTM September 2023 were $437 psf, which compares to $389 psf at TTM March 2022, $317 psf at YE 2020, and $353 psf at YE 2019. Excluding the major anchors and grocer, tenant sales are approximately $355 psf, compared with $296 psf at TTM March 2022, $189 psf at YE 2020, and $255 psf at YE 2019. Fitch's 'Bsf' rating case loss expectations (prior to concentration add-ons) is approximately 52%, reflecting a discount to the most recent reported appraisal value. The third largest contributor to overall pool loss expectations in CSAIL 2015-C1 is the Bayshore Mall, which is secured by a 515,920-sf, one-story enclosed regional mall in Eureka, CA. The loan transferred back again to the special servicer in November 2024 for maturity default. The loan was previously in special servicing, transferring in October 2020 for payment default and returning to the master servicer in August 2022. The property continues to experience performance declines since issuance with collateral occupancy reporting at 59% as of March 2025, compared with 55% in June 2024, 67% at YE 2022 and 83% at issuance. Legal counsel was engaged in December 2024. A receiver was appointed in June 2025, with an anticipated foreclosure date by YE 2025, per the special servicer. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is approximately 73%, reflecting a discount to the most recent reported appraisal value. The fourth largest contributor to overall pool loss expectations in CSAIL 2015-C1 is 500 Fifth Avenue, which is secured by a 727,976-sf urban office property located at the corner of 42nd Street and Fifth Avenue in Midtown Manhattan, directly across the street from the New York Public Library and Bryant Park. The loan transferred to the special servicer in June 2024 for imminent maturity default, ahead of its October 2024 maturity date. The loan was modified, with maturity date extension until April 2027, additional new equity contribution as well as increased financial reporting. The loan was returned to the master servicer in May 2025. Occupancy as of March 2025 was 82%, compared with 80% at YE 2024, 81% in June 2024, 85% at YE 2023, 89% at YE 2022 and 91% at YE 2021. The largest tenants include WW Norton (14% NRA through March 2039) and Zara, which occupies both ground floor retail and additional office space (combined 13.3%) through 2035. YTD March 2025 NOI DSCR was 1.93x. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is approximately 8%, which reflects an 8.5% cap rate and 25% stress to the YE 2023 NOI. Fitch increased the probability of default in its analysis to reflect heightened maturity default risk. Increased CE: As of the August 2025 distribution date, the pool's aggregate balance has been reduced by 63.8%, 58.2% and 75.6%, respectively, for CSAIL 2015-C4, CSAIL 2016-C5 and CSAIL 2015-C1. Defeased loans comprise seven loans (8.5% of CSAIL 2015-C4) and five loans (9.4% of CSAIL 2016-C5). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade In CSAIL 2015-C4, downgrades to the 'AAAsf', 'AAsf', 'Asf' and 'BBBsf' rated categories are not expected due to increasing CE and expected paydown from defeased loans and loans with a high likelihood of refinancing, but could occur if a majority of the remaining non-defeased loans fail to pay off at their maturity, deal-level expected losses increase significantly and/or interest shortfalls occur on the 'AAAsf' rated classes. Downgrades to the 'BBsf' and 'Bsf' rated classes may occur should all the FLOCs within the pool — including 324 South Service Road, Ralph's West Hollywood, Berkely Commons Shopping Center, Professional Medical Center, Bella Roe Plaza and Dolley Madison Office Building — experience significant performance declines, resulting in higher loss expectations. In CSAIL 2016-C5, downgrades to the 'AAAsf' and 'AAsf' rated categories are not expected due to expected paydown from defeased loans and loans with a high likelihood of refinancing but could occur if a majority of the remaining non-defeased loans fail to pay off at their maturity, deal-level expected losses increase significantly and/or interest shortfalls occur on the 'AAAsf' rated classes. Downgrades to the 'Asf' and 'BBsf' rated categories, which have Negative Outlooks, would occur without performance stabilization and improved recovery prospects on the FLOCs and specially serviced loans, and/or if more loans than expected fail to refinance at or prior to maturity. Further downgrades to the distressed classes would occur as losses on FLOCs and specially serviced loans are realized and/or become more certain. In CSAIL 2015-C1, downgrades to the 'AAAsf', 'Asf' and 'BBsf' rated classes assigned Negative Outlooks are possible without performance stabilization on the 500 Fifth Avenue office property and should recovery prospects and performance on the specially serviced loans, including Westfield Trumbull, Westfield Wheaton, The Boulevard at Tallahassee, St. Louis Premium Outlets, Bayshore Mall and Gulfstream Manor MHP deteriorate further. A downgrade to the 'AAAsf' rated class would occur if an interest shortfall were to occur or is expected to occur. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade For CSAIL 2015-C4, further upgrades to the 'Asf' and 'BBBsf' rating categories would occur with continued CE increases from additional loan repayments, improved loss expectations on FLOCs and stable-to-improved performance of the remaining loans in the pool. For CSAIL 2016-C5, upgrades to the 'AAAsf' and 'AAsf' rated categories would occur with stable to improved asset performance, particularly performance stabilization on the FLOCs, coupled with significant improvement in CE and/or defeasance. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'Asf' and 'BBsf' rated categories may occur as the number of FLOCs are reduced, or if the office loans in the pool stabilize and there is sufficient CE to the classes. Upgrades to distressed classes are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans, and there is sufficient CE to the classes. For CSAIL 2015-C1, given the pool's adverse selection concerns, upgrades are not expected but may occur with significant deleveraging due to loan payoffs, better than expected recoveries on specially serviced loans and/or higher recovery expectations or greater certainty of refinancing for 500 Fifth Avenue. 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. CSAIL 2018-CX12: DBRS Confirms B(high) Rating on G-RR Certs ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2018-CX12 issued by CSAIL 2018-CX12 Commercial Mortgage Trust as follows: -- 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 X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since Morningstar DBRS' last review. The pool continues to report a healthy weighted-average debt service coverage ratio (DSCR) of more than 2.00 times (x) and two loans, representing 18.2% of the pool, are shadow-rated investment grade. While there are concerns for a few loans, including Queens Place (Prospectus ID#5, 7.2% of the pool), which will see its collateral property's occupancy rate sharply, to approximately 25.0% as discussed below, a stressed value analysis suggests that the loan's senior debt remains insulated from projected losses at this point in time, supporting the credit rating confirmations with this review. As of the July 2025 remittance, 36 of the original 41 loans remain in the pool, with an aggregate principal balance of $580.0 million, representing a collateral reduction of 13.8% since issuance as a result of loan amortization and repayments. There has been one loan liquidated with a relatively small loss, reducing the unrated Class NR-RR balance by approximately $435,000. Three loans, representing 4.2% of the pool, are defeased. By property type, the pool is most concentrated by loans backed by retail and lodging properties, which represent 39.9% and 22.3% of the pool, respectively. The pool benefits from limited exposure to loans secured by office collateral, with only four loans, collectively representing 9.4% of the pool. Seven loans, representing 34.7% of the pool, are being monitored on the servicer's watchlist and one loan, representing 7.1% of the pool, is in special servicing. The Queens Place loan, secured by a 223,068-square-foot (sf) enclosed power center, shadow anchored by Target in Queens, New York, was added to the servicer's watchlist in March 2025 after the property's largest tenant, Macy's (40.1% of net rentable area (NRA)) gave notice that it would vacate at its lease expiry in August 2025. In addition, the property's second-largest tenant, Best Buy (25.0% of NRA), vacated at lease expiry in March 2025. With these departures, the collateral occupancy is expected to fall to approximately 24.3%. While the loan has reported a healthy DSCR since issuance, coverage is expected to fall drastically with these departures. The loan is currently under a cash trap and, according to the July 2025 reserve report, has approximately $3.0 million of reserves available. The property benefits from its location in a dense commercial corridor, which includes the 1.1 million-sf Queens Center Mall, just 0.1 miles from the subject. The borrower is reportedly in talks with several tenants to backfill portions of Macy's space. Notably in 2022, after the third-largest tenant, DSW, vacated its space, it was backfilled with Lidl (15.7% of NRA, lease expires January 2039) shortly thereafter. Given significant upcoming vacancies, Morningstar DBRS analyzed the loan with a stressed LTV of 100.0% and an increased probability of default resulting in an expected loss (EL) just more than twice the pool average EL. The transaction's only loan in special servicing, Riverfront Plaza (Prospectus ID#4, 7.1% of the pool), is secured by a 949,875-sf, Class A office complex in Richmond, Virginia. The loan transferred to special servicing in January 2024 after the borrower failed to meet excess cash requirements, which were activated after the property's second-largest tenant, Truist Bank (14.9% of NRA), went dark in February 2022 ahead of its 2025 lease expiry. Cash management has remained in place and the special servicer is reportedly working with the borrower to return the loan to the master servicer. According to the December 2024 rent roll, the property was 77.5% leased (including Truist Bank, who continues to pay rent). Following Truist Bank's departure and in absence of leasing activity, physical occupancy would drop to approximately 62.6%, with the loan's DSCR projected to fall from the 1.48x figure reported at YE2024, to approximately 1.31x. According to Reis, the Richmond Central Business District submarket reported a vacancy rate of 14.8% as of Q2 2025, which is projected to decline marginally over the next five years. In the analysis for this review, Morningstar DBRS stressed the loan's LTV to exceed 100.0% and increased its probability of default, resulting in an EL that was approximately three times the pool average EL. At issuance, Morningstar DBRS assigned investment-grade shadow ratings on 20 Times Square (Prospectus ID#1, 9.6% of the pool) and Aventura Mall (Prospectus ID#3, 8.6% of the pool). With this review, Morningstar DBRS confirmed that the performance of both 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. DBJPM 2017-C6: Fitch Lowers Rating on Class E-RR Certs to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 10 classes of DBJPM 2017-C6 Mortgage Trust commercial mortgage pass-through certificates, series 2017-C6. The Rating Outlooks remain Negative for classes C and X-B. Following the downgrades to classes D, X-D, and E-RR, the classes were assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2017-C6 A-3 23312JAC7 LT AAAsf Affirmed AAAsf A-4 23312JAE3 LT AAAsf Affirmed AAAsf A-5 23312JAF0 LT AAAsf Affirmed AAAsf A-M 23312JAH6 LT AAAsf Affirmed AAAsf A-SB 23312JAD5 LT AAAsf Affirmed AAAsf B 23312JAJ2 LT AA-sf Affirmed AA-sf C 23312JAK9 LT A-sf Affirmed A-sf D 23312JAQ6 LT BB-sf Downgrade BBB-sf E-RR 23312JAS2 LT B-sf Downgrade Bsf F-RR 23312JAU7 LT CCCsf Affirmed CCCsf X-A 23312JAG8 LT AAAsf Affirmed AAAsf X-B 23312JAL7 LT A-sf Affirmed A-sf X-D 23312JAN3 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrades reflect increased pool loss expectations since Fitch's last rating action, primarily driven by higher expected losses to the specially serviced loan Starwood Capital Group Hotel Portfolio (9.7%). Fitch's deal-level 'Bsf' rating case loss is 5.5% compared to 4.7% at the last rating action. The transaction has realized losses of about $12.3 million since issuance that are affecting the non-rated class G-RR. Two loans (Long Meadow Farms and Union Hotel - Brooklyn) have been liquidated since Fitch's prior review. This resulted in a total of $7.8 million in realized losses, which was inline with Fitch's expectations at the prior rating action. The Negative Outlooks reflects the potential for downgrades should any Fitch Loan of Concern (FLOCs) experience further performance declines, most notably the Starwood Capital Hotel Portfolio and 211 Main Street (7.1%). Together, these loans account for 65% of the deal-level expected losses. In addition, the Negative Outlooks reflect the potential for downgrades if additional loans transfer to special servicing, or with extended workouts and further declines in values. Largest Contributors to Loss Expectations: The Starwood Capital Group Hotel Portfolio is the largest contributor to overall expected deal-level loss and has experienced the biggest increase in loss expectations since Fitch's last rating action. The loan is secured by a portfolio comprised of 65 hotels totaling 6,370 keys located across 21 states. The loan transferred to special servicing in March 2025 for imminent maturity default. The servicer is actively negotiating modification terms with the borrower, Starwood Capital Group. The loan is paid through June 2025 and has remained current since issuance. Portfolio performance continues to lag post-pandemic. The YE 2023 NOI is 37% below YE 2019 and 26% below the Fitch issuance NCF. The servicer-reported portfolio NOI DSCR was 1.36x as of YE 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Total average portfolio occupancy, ADR, and RevPAR was 66%, $121, and $79, respectively, as of the TTM ended September 2024 compared to 54%, $92, and $49 at YE 2020 and 74%, $116, and $86 at YE 2019. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects an 11.50% cap rate to the YE 2023 NOI and heightened probability of default because the loan transferred to special servicing. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 7.6%. The second largest contributor to loss expectations is the 211 Main Street loan, secured by a 417,266-sf single-tenant office building in San Francisco, CA that is leased to Charles Schwab through April 2028. The loan was initially transferred to special servicing in March 2024 prior to loan maturity in April 2024. In May 2024, the special servicer closed a four-year extension with the borrower, with no additional extension options available. During the extension period, the former interest-only loan will amortize on a 30-year amortization schedule and be cash managed. To date, the loan has been paid down by $1.5 million. The loan returned from the special servicer in November 2024, with a new maturity date of April 2028. Charles Schwab has relocated its headquarters from San Francisco to Westlake, TX and has downsized to six floors from 17 floors, operating in 38% of the building. The lease expires in 2028 with no termination options. Fitch's 'Bsf' rating case loss of 13% (before concentration add-ons) reflects a 9.5% cap rate and the YE 2023 NOI with a 30% stress accounting for Schwab moving operations and the declining rental rates in San Francisco. Changes in Credit Enhancement (CE): As of the August 2025 distribution date, the pool's aggregate balance has been reduced by 26.9% to $827.9 million from $1.13 billion at issuance. Four loans (10% of the pool) are fully defeased. Ten loans (53.1%) are full-term interest-only (IO). Cumulative interest shortfalls of approximately $927 thousand are affecting the non-rated class G-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, including Starwood Capital Group Hotel Portfolio and 211 Main Street, or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBsf' 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.. Downgrades to 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. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. 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, 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. DGWD TRUST 2025-INFL: Fitch Assigns Bsf Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to DGWD Trust 2025-INFL commercial mortgage pass through certificates as follows: - $202,825,000 class A 'AAAsf'; Outlook Stable;| - $32,680,000 class B 'AA-sf'; Outlook Stable; - $25,650,000 class C 'A-sf'; Outlook Stable; - $36,100,000 class D; 'BBB-sf'; Outlook Stable; - $55,385,000 class E; 'BB-sf'; Outlook Stable; - $34,485,000 class F; 'Bsf'; Outlook Stable; - $20,375,000a class VRR. 'NRsf'; Outlook Stable; (a) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $407.5 million, two-year, floating-rate, interest-only mortgage loan with three, one-year extension options. The mortgage is secured by the borrowers' fee simple interest in a portfolio of 50 industrial properties and one land parcel, comprising approximately 3.7 million sf located across five states and six markets. TPG Real Estate (TPG), acquired 38 assets (known as the Dogwood Portfolio) located across Boise, ID, El Paso, TX, Austin, TX, Spokane, WA and Winston-Salem, MA in a series of transactions during 2022 and 2023. TPG will be acquiring the remaining 13 assets known as the Nashville portfolio with the closing of this loan. Mortgage loan proceeds and $56.7 million of sponsor equity were used to refinance $298.1 million of existing debt (secured by the Dogwood portfolio), acquire the Nashville portfolio for $156.2 million, fund $1.6 million of outstanding landlord obligations, and pay closing costs. Goldman Sachs Bank USA and Bank of America, N.A. are co-originating the mortgage loan. They are the mortgage loan sellers and sponsors of the trust. Midland Loan Services is the servicer and KeyBank National Association is the special servicer. Computershare Trust Company, N.A is the trustee and certificate administrator. The certificates follow a pro rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $27.6 million. This is 9.4% lower than the issuer's NCF and 4.9% lower than the trailing 12 months (TTM) ended May 2025 NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of approximately $368.1 million. High Fitch Leverage: The $407.5 million mortgage loan equates to debt of approximately $110 psf with a Fitch-stressed LTV ratio and debt yield of 110.7% and 6.8%, respectively. The Fitch market LTV at the lowest rated tranche, 'Bsf', is 87.8%, based on a blend of the Fitch cap rate (7.50%) and the weighted average (WA) appraisal cap rate (5.63%). The loan represents approximately 68.3% of the appraised value of $596.4 million (inclusive of a 2.0% portfolio premium). Fitch applied a penalty to the LTV hurdles of 2.50% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 50 properties, all primarily industrial, and one land parcel (3.7 million sf) located across five states and six MSAs. The three largest state concentrations are Idaho (1,748,861 sf; 30 properties), Tennessee (1,004,192 sf; 13 properties), and Texas (630,759 sf; six properties). The three largest MSAs Boise, ID (47.3% of NRA; 49.2% of allocated loan amount, ALA), Nashville, TN (27.2% of NRA; 27.6% of ALA) and El Paso, TX (13.9% of NRA; 12.5% of ALA). The portfolio also exhibits significant tenant diversity as it features over 120 distinct tenants, with no tenant occupying more than 4.4% of NRA. Institutional Sponsorship: Founded in 2009, TPG Real Estate is a diversified real estate investor with offices in New York, San Francisco, and London. focuses on opportunistic, value-add real estate investments primarily in North America and Europe. The platform invests across property types by acquiring assets, portfolios, and real estate-heavy companies. They seek to create value through active management, repositioning, and strategic capital improvements. According to its website, TREP has executed numerous transactions, and currently manages a portfolio with $18 billion of AUM. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf'/BBsf'/'Bsf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf''/BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCooper LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DK TRUST 2025-LXP: Fitch Assigns B-sf Final Rating on Cl. HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to DK Trust 2025-LXP commercial mortgage pass-through certificates, series 2025-LXP. - $173,500,000a class A 'AAAsf'; Outlook Stable; - $32,100,000a class B 'AA-sf'; Outlook Stable; - $25,200,000a class C 'A-sf'; Outlook Stable; - $35,500,000a class D 'BBB-sf'; Outlook Stable; - $54,300,000a class E 'BB-sf'; Outlook Stable; - $36,600,000a class F 'Bsf'; Outlook Stable; - $18,800,000ab class HRR 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $376.0 million, two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The mortgage is secured by the borrowers' fee simple and/or leasehold interests in a portfolio of 20 single-tenanted industrial facilities, including 11 manufacturing and distribution properties, four warehouse and distribution properties, three manufacturing, distribution and warehouse properties, and two cold storage properties comprising approximately 6.3 million square feet (sf) located across 11 states. The mortgage loan is used to pay down the existing debt of $345.5 million, return $15.9 million in equity to the sponsor, fund $5.8 million of upfront reserves and cover the closing cost of $9.8 million. The loan is sponsored by a joint venture between affiliates of Davidson Kempner Capital Management LP and LXP Industrial Trust. The loan was co-originated by JPMorgan Chase Bank, National Association and Morgan Stanley Bank, N.A., which assigns its interest to Morgan Stanley Mortgage Capital Holdings LLC. KeyBank National Association is the servicer and the special servicer. Deutsche Bank National Trust Company is the trustee. Computershare Trust Company, N.A. is the certificate administrator. BellOak, LLC acts as the operating advisor. The certificates follows a sequential-pay structure. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $27.5 million. Fitch applied an 8.0% cap rate to derive a value of approximately $305.4 million. High Fitch Leverage: The $376.0 million whole loan equates to debt of approximately $59.88 per sf (psf) with a Fitch stressed loan-to-value (LTV) ratio and debt yield of 123.1% and 7.3%, respectively. The loan represents approximately 74.8% of the appraised value of $503.0 million. Fitch increased the LTV hurdles by 2.50% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio shows moderate geographic diversity, with 20 single tenanted industrial properties (6.3 million sf) located across 11 states and 16 markets. The three largest state concentrations are Kentucky (1.7 million sf; five properties), Alabama (442,275 sf; two properties) and Texas (449,895 sf; two properties). The three largest metropolitan statistical areas (MSAs) by allocated loan amount (ALA) are Houston, TX (7.2% of net rentable area (NRA); 13.2% of the ALA), Chicago IL (3.0% of NRA; 12.0% of ALA) and Columbus, GA (2.6% of NRA; 10.1% of ALA). No other MSA accounts for more than 8.8% of ALA. Institutional Sponsorship: The sponsorship is a joint venture between affiliates of Davidson Kempner Capital Management LP and LXP Industrial Trust. Davidson Kempner is a private investment firm focused on global real estate with AUM of approximately $35 billion. LXP Industrial is a public REIT specializing in industrial real estate. As of June 2025, the company owns and operates 56.4 million sf across 116 properties in the U.S. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/ 'A-sf'/ 'BBB-sf'/ 'BB-sf'/ 'Bsf'/ 'B-sf'; - 10% NCF Decline: 'AAsf'/ 'A-sf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'/ 'CCC+sf'/ 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/ 'BB-sf'/ 'Bsf'/ 'B-sf'; - 10% NCF Increase: 'AAAsf'/ 'AAsf'/ 'A+sf'/ 'BBBsf'/ 'BBsf'/ 'B+sf'/ 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. EMPOWER CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt from Empower CLO 2023-2 Ltd./Empower CLO 2023-2 LLC, a CLO managed by Empower Capital Management LLC that was originally issued in August 2023. At the same time, S&P withdrew its ratings on the original class A-1 loans and class A-1, A-2, B, C, D, and E debt following payment in full on the Aug. 22, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The original class D debt was replaced by two new classes of debt, D-1R and D-2R, which are sequential in payment. -- The reinvestment period was extended to Oct. 15, 2030. -- The non-call period was extended to Oct. 15, 2027. -- The legal final maturity dates for the replacement debt and the subordinated debt were extended to Oct. 15, 2038. -- The target initial par amount remains at $500 million. There is 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 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 Empower CLO 2023-2 Ltd./Empower CLO 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) Ratings Withdrawn Empower CLO 2023-2 Ltd./Empower CLO 2023-2 LLC Class A-1 to NR from 'AAA (sf)' Class A-1 loans to NR from 'AAA (sf)' Class A-2 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 Empower CLO 2023-2 Ltd./Empower CLO 2023-2 LLC Subordinated notes, $49.30 million: NR NR--Not rated. EXETER AUTOMOBILE 2025-4: S&P Assigns BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2025-4's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.24%, 50.03%, 41.82%, 31.36%, and 25.08% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P's expected cumulative net loss of 20.75% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within our credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2025-4 Class A-1, $117.990 million: A-1+ (sf) Class A-2, $266.480 million: AAA (sf) Class A-3, $266.461 million: AAA (sf) Class B, $138.261 million: AA (sf) Class C, $143.195 million: A (sf) Class D, $190.320 million: BBB (sf) Class E, $120.995 million: BB- (sf) FORTRESS CREDIT XXIII: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Fortress Credit BSL XXIII Ltd./Fortress Credit BSL XXIII 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 FC BSL CLO Manager V LLC, a subsidiary of Fortress Investment Group LLC. The preliminary ratings are based on information as of Aug. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Fortress Credit BSL XXIII Ltd./ Fortress Credit BSL XXIII LLC Class A, $252.0 million: AAA (sf) Class B, $42.0 million: AA (sf) Class C (deferrable), $28.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated Notes, $39.02 million: NR NR--Not rated. FS RIALTO 2021-FL3: DBRS Confirms B(low) Rating on Cl. G Debt ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its credit ratings on two classes issued by FS Rialto 2021-FL3 Issuer, Ltd. as follows: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) In addition, Morningstar DBRS changed the trends on Classes B and C to Positive from Stable. The trends on all remaining classes are Stable. The credit rating upgrades and trend changes to Positive from Stable for Classes B and C reflect the increased credit enhancement to the transaction since the previous Morningstar DBRS credit rating action in May 2025, which has increased to 29.2% as of July 2025 reporting. Additionally, the transaction benefits from a concentration of loans backed by multifamily collateral (19 loans, representing 93.5% of the current trust balance), which has historically proven to better retain property value and cash flow compared with other property types. Morningstar DBRS notes the increased credit risk related to some of the borrower's business plans and loan exit strategies that have lagged, including two loans in special servicing (8.5% of the current trust balance). Additionally, there are 13 loans (58.4% of the current trust balance) with scheduled maturity dates over the next 12 months, all of which have been negatively affected by increased debt service costs stemming from the high interest rate environment. This risk is somewhat mitigated by the unrated, first-loss note of $99.2 million as well as the balance currently rated below investment grade by Morningstar DBRS across Classes F and G, totaling $106.3 million, which provides significant cushion against realized losses should the increased risks for individual underperforming loans ultimately result in defaults and dispositions. Morningstar DBRS analyzed 16 loans with higher loan-to-value ratios (LTVs) and/or elevated probability of defaults (PODs) to increase the expected loss (EL) at the loan level, as applicable, reflecting the widening of capitalization rates and downward pressure on property values since issuance. 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 as well as business plan updates on select loans The initial collateral consisted of 26 floating-rate mortgage assets with an aggregate cut-off date balance of $1.13 billion secured by 68 mostly transitional commercial real estate properties. The transaction included a reinvestment period that expired with the October 2023 payment date. As of the July 2025 remittance, the transaction had an outstanding balance of $803.4 million with 20 floating-rate loans remaining in the trust. Twelve of the original loans at issuance remain in the transaction, representing 73.9% of the current trust balance. Since Morningstar DBRS' previous credit rating action in May 2025, three loans with a former cumulative trust balance of $86.1 million were paid off. Beyond the multifamily concentration noted above, the remaining loan is secured by a hotel property. Through July 2025, the lender had advanced cumulative loan future funding of $96.7 million to 14 outstanding individual borrowers. The largest advance, $22.4 million, was to the borrower of the Ashcroft Portfolio loan, which is secured by a portfolio of five garden-style multifamily properties totaling 1,688 units in Georgia and Texas. The advanced funds went toward funding the borrower's capital expenditure (capex) program across the portfolio. Through Q1 2025, the borrower had completed renovations across 1,049 units, resulting in average monthly rental rate premiums of $156 per unit, as well as exterior renovations including amenity upgrades and new property signage. The Q1 2025 collateral manager report noted the portfolio was 91.0% occupied, in line with the occupancy rate of 92.2% at YE2024. To maintain a high occupancy rate and continue to lease available units during renovations, the sponsor decreased average monthly rental rates for select units throughout the portfolio. There remains $6.4 million of loan future funding available to the borrower to fund additional capex, including interior upgrades for the remaining 639 units. An additional $20.7 million of loan future funding allocated to six of the outstanding individual borrowers remains available. The largest portion of available funding ($10.0 million) is for the borrower of the Barnsley Resort loan, which is secured by a full-service three-story inn with 55 keys, 85 cottages, resort-style amenities, and indoor meeting and event space. Loan future funding is available to finance interior cottage renovations, a 50-key expansion of the inn, common area upgrades, and exterior renovations. According to updates from the collateral manager, about $9.3 million of future funding has already been advanced to fund full and partial cottage upgrades as well as common area upgrades. The servicer reported seven loans, representing 42.8% of the current trust balance, on its watchlist as of the July 2025 reporting because of upcoming maturity dates and/or low debt service coverage ratio (DSCR) figures as of the most recent reporting. Two loans, representing 5.6% of the current trust balance, were also classified as nonperforming matured loans: Wildwood Austin (Prospectus ID#20; 4.7% of the current pool balance) and NYC Midtown West Multifamily (Prospectus ID#39; 0.8% of the current pool balance). Both loans will likely be modified to extend their respective maturity dates. Based on the most recent reporting, 18 loans, representing 92.6% of the current trust balance, have a DSCR that is below breakeven, suggesting more loans should be on the servicer's watchlist for a low DSCR. In total, 14 loans, representing 82.0% of the current pool balance, have been modified as a result of lagging business plans and borrowers' loan exit strategies. Terms for modifications vary from loan to loan. However, common terms have allowed borrowers to extend maturity dates without meeting required property performance tests, to extend renovation completion dates, and to waive or defer the requirement to purchase new interest rate cap agreements. In most cases, borrowers must contribute additional equity to the loans to secure a modification. As previously mentioned, there are two loans in special servicing. The Morgan loan (Prospectus ID#9; 7.3% of the current pool balance) is secured by a garden-style apartment property in Austin, Texas. The loan transferred to special servicing in April 2025 and is current as of July 2025 reporting. According to the Q1 2025 update from the collateral manager, the loan was modified, extending the final maturity date out a year to August 2027 in exchange for a $1.5 million principal payment. The property also was accepted into the Texas housing finance corporation tax abatement program, which exempts the property from real estate taxes in exchange for an annual ground lease payment and a portion of units at the property set aside as affordable housing. The loan is scheduled to return to the master servicer by August 2025. As of Q1 2025, the property was 77.6% occupied, down from about 84.0% at YE2024 and 93.0% at YE2023. Prior to the transfer, the borrower had used $3.3 million of loan future funding for unit renovations and exterior repairs. However, the borrower paused unit renovations as the renovated units have only achieved nominal average monthly rent premiums compared with the nonrenovated units. Morningstar DBRS expects the borrower to fund any future property renovations as the future funding balance has been exhausted. In the analysis for this review, Morningstar DBRS applied an increased LTV adjustment to increase the loan's EL. The resulting EL is lower than the EL for the pool. The other specially serviced loan, Nob Hill (Prospectus ID#27; 1.2% of the current pool balance), is secured by a garden-style apartment property in Houston. The loan transferred to special servicing in June 2024 for payment default and was modified in April 2025, extending the loan's maturity to January 2026. As of Q1 2025, the property had an occupancy rate of 73.8%, down from 78.0% at YE2024 and 84.0% and at YE2023. Prior to the transfer, the borrower had used $18.4 million of loan future funding to complete 300 unit renovations, exterior renovations, and deferred maintenance. Renovated units are reportedly achieving monthly rental rate premiums between $100 and $125 per unit. There have been minimal changes to the business plan year over year as available future funding of $5.5 million remains outstanding. According to the collateral manager, the sponsor has prioritized curing tenant delinquencies and renting vacant units over resuming renovations. In its analysis, Morningstar DBRS applied an increased POD adjustment to increase the loan's EL. The resulting EL is approximately two times greater than the EL for the pool. There are six loans that have scheduled maturity dates by YE2025, the majority of which have extension options. In the event property performance does not qualify for the extension options, Morningstar DBRS expects the borrowers and lenders to negotiate mutually beneficial loan modifications to extend loans, some of which would likely include fresh sponsor equity infusions to fund principal curtailments, fund carry reserves, or purchase new interest rate cap agreements. 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. 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. GALAXY CLO XXV: Moody's Ups Rating on $200,000 Cl. F-R Notes to B1 ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (collectively, the "Refinancing Notes") issued by Galaxy XXV CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$1,875,000 Class X-RR Senior Floating Rate Notes due 2036, Assigned Aaa (sf) US$285,000,000 Class A-1-RR Senior Floating Rate Notes due 2036, Assigned Aaa (sf) Additionally, Moody's have taken rating action on the following outstanding notes originally issued by the Issuer in April 2024 (the "First Refinancing Date"): US$200,000 Class F-R Deferrable Junior Floating Rate Notes due 2036, Upgraded to B1 (sf); previously on April 25, 2024 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. PineBridge Galaxy 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 one other class of secured notes and two classes of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing, including extension of the Refinancing Notes' non-call period. Moody's rating action on the Class F-R Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, the Notes benefited from a shortening of the weighted average life (WAL). 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: $474,015,366 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2838 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 46.77% Weighted Average Life (WAL): 6.0 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. GALAXY XXV: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Galaxy XXV CLO, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Galaxy XXV CLO, Ltd. X-RR LT NRsf New Rating A-1-RR LT NRsf New Rating A-2-R 36319XAN7 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 36319XAQ0 LT PIFsf Paid In Full AA+sf B-RR LT AA+sf New Rating C-R 36319XAS6 LT PIFsf Paid In Full A+sf C-RR LT A+sf New Rating D-1-R 36319XAU1 LT PIFsf Paid In Full BBB+sf D-1-RR LT BBB+sf New Rating D-2-R 36319XAW7 LT PIFsf Paid In Full BBB+sf D-2-RR LT BBB+sf New Rating E-R 36319YAG0 LT PIFsf Paid In Full BB+sf E-RR LT BB+sf New Rating Transaction Summary Galaxy XXV CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PineBridge Galaxy LLC. The secured notes, excluding the class F-R notes, will be refinanced on Aug. 27, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $474 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 96.69% first-lien senior secured loans and has a weighted average recovery assumption of 74%. 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 1.7-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The Weighted Average Life (WAL) used for the transaction stress portfolio is nine 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. Key Provision Changes The refinancing is being implemented via the Third Supplemental Indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for classes A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR and E-RR notes are 1.11%, 1.40%, 1.55%, 1.80%, 2.70% and 5.75% compared to the spreads of 1.42%, 1.70%, 2.00%, 2.40%, 3.60% and 6.50% for classes A-1-R, A-2-R, B-R, C-R, D-1-R and E-R, respectively, before refinancing. The coupon for class D-2-RR notes is 8.0021%, compared to the coupon of 7.89% for class D-2-R notes. - Class A-1-R notes and A-1-R loans are consolidated into class A-1-RR notes. - Class D-1 and D-2 notes are refinanced to sequential tranches from pro-rata tranches. - The non-call period for the refinanced notes is extended to July 25, 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 370 assets from 327 primarily high-yield obligors. The portfolio balance is approximately $474 million, excluding defaulted assets and including principal cash. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 48.8% of the current portfolio par balance, while 51.2% of the ratings were derived using Fitch's Issuer Default Rate Equivalency Map. There are no assets unrated by Fitch or without public ratings from other agencies in the portfolio. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level. - Largest five obligors: 2.5% each, for an aggregate of 12.5%. - Largest three industries of 15%, 12%, and 12%, respectively. - Assumed risk horizon: 6.0 years. - Minimum weighted average spread of 3.19%. - Fixed rate assets: 5.0%. - Assets rated 'CCC+' or below: 7.5%. - Non-first priority senior secured assets: 10%. - Minimum weighted average coupon of 7.00%. The transaction will exit the reinvestment period in April 2027. Current Portfolio Fitch generated indicative default and recovery statistics of the current portfolio using its portfolio credit model (PCM) on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the current portfolio at the 'AAAsf' rating stress were 40.2% and 39.1%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'AA+sf' rating stress were 39.4% and 48.2%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'A+sf' rating stress were 34.8% and 57.8%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BBB+sf' rating stress were 29.0% and 67.2%, respectively. The PCM default and recovery rate outputs for the current portfolio at the 'BB+sf' rating stress were 23.9% and 72.8%, respectively. In the current portfolio analysis, the class A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR and E-RR notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf' and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 14.3%, 13.1%, 12.6%, 9.0%, 5.8% and 12.3%, respectively. Fitch Stressed Portfolio (FSP) Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using PCM on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 48.0% and 36.3%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 46.6% and 44.4%, respectively. The PCM default and recovery rate outputs for the FSP at the 'A+sf' rating stress were 40.9% and 53.5%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 34.7% and 62.8%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB+sf' rating stress were 28.8% and 68.1%, respectively. In the analysis of the FSP, the class A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR and E-RR notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf' and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 5.7%, 4.7%, 4.8%, 3.1%, 0.9% and 6.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-2-RR, between 'BBB+sf' and 'AA+sf' for class B-RR, between 'BB+sf' and 'A+sf' for class C-RR, between 'B-sf' and 'BBBsf' for class D-1-RR, and between less than 'B-sf' and 'BBB-sf' for class D-2-RR and between less than 'B-sf' and 'BB+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, and 'A+sf' for class D-2-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. ESG Considerations Fitch does not provide ESG relevance scores for Galaxy XXV CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GCAT TRUST 2025-INV3: Moody's Assigns B1 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2025-INV3 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities and serviced by PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac), AmeriHome Mortgage Company, LLC (AmeriHome) and NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: GCAT 2025-INV3 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (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 Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on August 12, 2025, because the issuer will not be issuing this class. 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 0.67%, in a baseline scenario-median is 0.38% and reaches 7.28% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. 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. GCAT TRUST 2025-INV3: Moody's Ups Rating on Cl. B-5 Certs to (P)B1 ------------------------------------------------------------------ Moody's Ratings has upgraded provisional ratings of 2 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2025-INV3 Trust, and sponsored by Blue River Mortgage III LLC due to an update in the methodology. The securities are backed by a pool of GSE-eligible residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities and serviced by PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac), AmeriHome Mortgage Company, LLC (AmeriHome) and NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). 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: GCAT 2025-INV3 Trust Cl. B-4, Upgraded to (P)Ba1 (sf), previously on August 12, 2025 assigned (P)Ba2 (sf) Cl. B-5, Upgraded to (P)B1 (sf), previously on August 12, 2025 assigned (P)B2 (sf) RATINGS RATIONALE The upgrades are driven by the adoption of the updated methodology for rating US residential mortgage-backed securitizations titled "US Residential Mortgage-backed Securitizations." The update replaces the methodology titled "Moody's Approach to Rating US RMBS Using the MILAN Framework" published on July 18, 2024. 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 0.67%, in a baseline scenario-median is 0.38% and reaches 7.28% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. 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. GOAL STRUCTURED 2015-1: Fitch Affirms 'BB' Rating on Class B Notes ------------------------------------------------------------------ Fitch Ratings has revised the Goal Structured Solutions 2015-1 (Goal 2015-1) class B notes Outlook to Negative from Stable and affirmed the class A notes at 'AA+sf'. Fitch has also affirmed the Goal Capital Funding Trust 2006-1 (Goal 2006-1) class A notes at 'AA+sf' and class B notes at 'A+sf'. Fitch has affirmed the Goal Capital Funding Trust 2007-1 (Goal 2007-1) class A and class B notes at 'AA+sf' and 'BBBsf', respectively. The Rating Outlooks for all classes of 2006-1 and 2007-1 are Stable. Entity/Debt Rating Prior ----------- ------ ----- Goal Structured Solutions Trust 2015-1 A 38021FAA9 LT AA+sf Affirmed AA+sf B 38021FAB7 LT BBsf Affirmed BBsf Goal Capital Funding Trust 2007-1 A-4 38021DAD8 LT AA+sf Affirmed AA+sf A-5 38021DAF3 LT AA+sf Affirmed AA+sf B-1 38021DAJ5 LT BBBsf Affirmed BBBsf Goal Capital Funding Trust 2006-1 A-6 38021BAF7 LT AA+sf Affirmed AA+sf B 38021BAG5 LT A+sf Affirmed A+sf Transaction Summary Goal 2006-1: Both the class A and class B notes pass the credit and maturity stresses with sufficient credit enhancement (CE). Trust performance remains stable and in-line with Fitch's assumptions over the last year. Fitch has affirmed the class A-6 and B notes. Goal 2007-1: Both the class A and class B notes pass the credit and maturity stresses with sufficient CE. Trust performance remains stable and in line with Fitch's assumptions over the last year. Fitch has affirmed the class A-4, A-5 and B-1 notes. Goal 2015-1: Fitch has affirmed the rating for class A notes. The Outlook for the class B notes has been revised to 'Negative' as they failed Fitch's credit and maturity stresses at the commensurate rating level. The notes also produce principal shortfalls in the rising and stable interest rate scenarios. The Negative Outlook also reflects remaining term to maturity rising more than 10 months in the current review. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable Outlook by Fitch. The notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and SAP provided by ED. Collateral Performance: Goal 2006-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 35.00% and a 96.25% default rate under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the 'AA' default rate is 95.94% . Fitch maintained the sustainable constant default rate (sCDR) of 5.2% and sustainable constant prepayment rate (sCPR), both voluntary and involuntary of 9.5%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AA+' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 2.58% (2.68% at July 31, 2024), 8.21% (9.19%), and 34.38% (32.2%), respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The 31-60 days past due (DPD) dipped to 2.02% while the 91-120 DPD jumped to 1.24% from 2.22% and 0.80%, respectively, at the last review. The borrower benefit is assumed to be approximately 0.27% based on information provided by the sponsor. Goal 2007-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 36.75% and a 100.0% default rate under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the 'AA' default rate is 96.33%. Fitch maintained the sCDR of 5.8% and sCPR of 10.5%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AA+' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 3.67% (3.55% at May 31, 2024), 8.82% (9.36%), and 28.32% (29.4%), respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The 31-60 dpd increased to 2.59% while the 91-120 dpd improved to 0.65% compared to 2.45% and 1.21%, respectively at May 31, 2024. The borrower benefit is assumed to be approximately 0.29% based on information provided by the sponsor. Goal 2015-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 48.50% and a 100.0% default rate under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the 'AA' default rate is 98.95%. Fitch has maintained the sCDR of 10.0% and sCPR of 18.0%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AA' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 4.34% (4.65% at July 31, 2024), 10.57% (12.51%), and 29.61% (29.06%), respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The 31-60 dpd spiked to 9.41% from 3.37% at June 30, 2024, whereas the 91-120 dpd improved slightly to 2.13% from 2.28% in the last review. The borrower benefit is assumed to be approximately 0.04% based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. For transactions that were modeled for this review, Fitch applies its standard basis and interest rate stresses as per criteria. Payment Structure: Goal 2006-1: CE is provided by OC, excess spread and, for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 102.69%. Liquidity support is provided by a reserve account sized at its floor of $2,949,961. Goal 2007-1: CE is provided by OC, excess spread and, for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 102.62%. Liquidity support is provided by a reserve account sized at its floor of $1,648,140. Goal 2015-1: CE is provided by OC, excess spread, and for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 104.24%. Liquidity support is provided by a reserve account sized at its floor of $150,000. Operational Capabilities: Day-to-day servicing is provided by the Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch believes PHEAA to be an acceptable servicer due to its extensive track record as one of the largest servicer of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Goal 2006-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Asf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AA+sf'; class B 'BBBsf. Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'A+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'A+sf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'A+sf'; - IBR usage increase 50%: class A 'AA+sf'; class B 'A+sf'; - Remaining term increase 25%: class A 'AA+sf'; class B 'A+sf'; - Remaining term increase 50%: class A 'Asf'; class B 'Asf'. Goal 2007-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBsf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'AA+f'; - IBR usage increase 50%: class A 'AA+sf'; class B: 'AA+sf'; - Remaining term increase 25%: class A 'AA+sf'; class B 'CCCBsf'; - Remaining term increase 50%: class A 'AAsf'; class B 'CCCsf'. Goal 2015-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'BBsf'; - IBR usage increase 50%: class A 'AA+sf'; class B: 'BBsf'; - Remaining term increase 25%: class A 'AA+sf'; class B 'BBsf'; - Remaining term increase 50%: class A 'AA+sf'; class B 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Goal 2006-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest achievable ratings. The ratings below are for class B. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Asf'; - Basis spread decrease 0.25%: class B 'Asf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining term decrease 25%: class B 'AA+sf'. Goal 2007-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest achievable ratings. The ratings below are for class B. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'BBBsf'; - Basis spread decrease 0.25%: class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining term decrease 25%: class B 'AA+sf'. Goal 2015-1 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'Bsf'; - Basis spread decrease 0.25%: class A 'AA+sf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR usage decrease 25%: class A 'AA+sf'; class B 'Bsf'; - Remaining term decrease 25%: class A AA+sf'; class B 'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2015-GC30: DBRS Cuts Rating on 3 Tranches to Csf ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC30 issued by GS Mortgage Securities Trust 2015-GC30 as follows: -- Class B to CCC (sf) from AA (low) (sf) -- Class C to CCC (sf) from A (low) (sf) -- Class D to C (sf) from B (low) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-B to CCC (sf) from AA (sf) -- Class X-D to C (sf) from B (sf) -- Class PEZ to CCC (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class F at C (sf) -- Class X-A at AAA (sf) Classes B, C, D, E, F, X-B, X-D, and PEZ have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. Classes A-S and X-A have Stable trends. The credit rating downgrades for Classes D, X-D, and E (which previously had Negative trends) reflect Morningstar DBRS' increased liquidated loss projections for the pool as a result of the recoverability analysis for the nine loans left outstanding. Given all remaining loans in the pool are past their scheduled maturities, Morningstar DBRS credit ratings are based largely on a liquidation analysis. The analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for expected servicer expenses. Morningstar DBRS liquidated all remaining loans, projecting total liquidated losses of $119.3 million, which have increased from the $92.3 million at the April 2025 review. The increase from the April 2025 review is because of four new loans, representing 25.7% of the pool, which have since transferred to special servicing. Morningstar DBRS liquidated these along with the two non-specially serviced loans as part of the aforementioned liquidation analysis. Projected losses would now fully erode up to the Class E certificate and wipe out approximately 77.0% of the D certificate, supporting credit rating downgrades on Classes D, X-D, and E. Morningstar DBRS has limited tolerance for unpaid interest, which as of the August 2025 remittance, totalled $4.9 million, having increased from $2.2 million at the April 2025 review. All scheduled interest has been shorted through Class B for the last three reporting periods. The servicer has deemed the Bank of America Plaza loan (Prospectus ID#5, 16.2% of the pool) nonrecoverable, a primary contributor to the ongoing shortfalls. As reported in the August 2025 remittance report, $304,303 of the monthly interest shortfall figure is attributed to the loans in special servicing, with the remaining $608,000 in shorted interest the result of the servicer's diversion of received interest to pay down the principal balance of the Class A-S certificate. While Morningstar DBRS is not projecting realized losses for Classes B and C, Morningstar DBRS' tolerance for shorted interest at the AA (sf) and A (sf) credit rating categories is limited to one to two periods, supporting the credit rating downgrades for Classes B, C, X-B, and PEZ. The largest loan in special servicing is the Selig Office Portfolio (Prospectus ID#2, 45.4% of the pool), which is secured by a portfolio of nine office buildings totaling 1.6 million square feet (sf) throughout Seattle. The subject loan of $123.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and CGCMT 2015-GC31 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. According to the servicer, the lender completed a 90-day forbearance at the original maturity in April 2025 and has extended the forbearance an additional 90 days until October 2025. The Borrower had requested the loan extension to allow time to finalize leasing and secure refinancing for the portfolio, negotiations remain ongoing. Occupancy has been declining in recent years and was most recently reported at 62.8% as of June 2025, compared with the issuance occupancy rate of 92.3%. For the same time periods, the loan reported a debt service coverage ratio of 1.77 times (x) and 2.22x, respectively. Over the next 12 months, there is cumulative rollover risk of 20% of the portfolio net rentable area (NRA), which could continue to complicate refinancing efforts. Office properties within the Central Seattle submarket reported an average vacancy rate of 23.4% in Q2 2025, according to a Reis report. Given the low in-place occupancy rate and moderate rollover, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for similar Seattle office properties (also owned by the subject loan sponsor) in other Morningstar DBRS-rated CMBS transactions. Based on those comparable values, a haircut of 67% was applied to the October 2020 appraisal of $741.0 million, with the analyzed liquidation scenario resulting in a loss severity of more than 40%, or approximately $50.5 million. The second-largest loan in special servicing is Bank of America Plaza, a 742,244 sf office property in St. Louis' central business district. The loan transferred to special servicing in May 2023 for imminent monetary default following the lease expiry of the largest tenant, Bank of America (previously 29.8% of the NRA), in June 2023. Bank of America renewed only 22.5% of their space; however, servicer commentary indicates the tenant negotiated for rent abatements. According to the servicer's reporting, the property reported an occupancy of 48.2% as of the March 2025 rent roll, a significant decline from just the March 2023 occupancy of 83.4%. As performance and occupancy have continued to decline, the borrower has indicated it will not continue to fund any shortfalls, and the lender is moving forward with the foreclosure process. Morningstar DBRS considered a liquidation scenario based on a 20% haircut to the $8.4 million December 2024 appraisal (sharply below the issuance appraised value of $72.5 million), resulting in a projected loss severity approaching 90.0%. 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 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 rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. GS MORTGAGE 2025-NQM3: DBRS Finalizes Bsf Rating on Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-NQM3 (the Certificates) issued by GS Mortgage-Backed Securities Trust 2025-NQM3 (GSMBS 2025-NQM3 or the Trust) as follows: -- $278.0 million Class A-1 at AAA (sf) -- $25.6 million Class A-2 at AA (high) (sf) -- $32.1 million Class A-3 at A (sf) -- $13.5 million Class M-1 at BBB (sf) -- $9.3 million Class B-1 at BB (high) (sf) -- $7.6 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A-1 certificates reflects 25.00% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (sf), BBB (sf), BB (high) (sf), and 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-RPL4: DBRS Gives B(high) Rating on Cl. B-2 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned credit ratings to the Mortgage-Backed Securities, Series 2025-RPL4 (the Notes) issued by GS Mortgage-Backed Securities Trust 2025-RPL4 (the Trust or the Issuer) as follows: -- $238.8 million Class A-1 at AAA (sf) -- $17.7 million Class A-2 at AA (high) (sf) -- $256.5 million Class A-3 at AA (high) (sf) -- $271.5 million Class A-4 at A (high) (sf) -- $284.0 million Class A-5 at BBB (high) (sf) -- $15.0 million Class M-1 at A (high) (sf) -- $12.5 million Class M-2 at BBB (high) (sf) -- $7.7 million Class B-1 at BB (high) (sf) -- $6.0 million Class B-2 at B (high) (sf) The Class A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Notes reflects 24.50% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 18.90%, 14.15%, 10.20%, 7.75%, and 5.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the Notes. The Notes are backed by 2,108 loans with a total principal balance of $332,946,147 as of the Cut-Off Date (July 31, 2025). The portfolio is approximately 182 months seasoned and contains 67.8% modified loans. The modifications happened more than two years ago for 86.8% of the modified loans. Within the pool, 529 mortgages have non-interest-bearing deferred amounts, which equate to 31.4% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 96.8% of the loans in the pool are current. Approximately 0.2% of the loans are in bankruptcy (all bankruptcy loans are performing) and 3.2% are 30 days delinquent. Approximately 53.4% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 79.7% have been 0 x 30 for at least the past 12 months under the MBA delinquency method. Approximately 71.9% of the pool is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (28.1%). Goldman Sachs Mortgage Company (GSMC) and MCLP Asset Company, Inc. (together with GSMC, the Mortgage Loan Sellers) acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. 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 Notes) 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 mortgage loans will be serviced by NewRez LLC doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint) and Nationstar Mortgage LLC dba Rushmore Servicing (Rushmore, together with Shellpoint, the Servicers) will service the mortgage loans. All of the mortgage loans being serviced by interim servicers, Fay Servicing, LLC, Selene Finance LP, and Select Portfolio Servicing, Inc., will be transferred to Rushmore on September 11, 2025, and September 9, 2025, respectively. There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicers or any other party to the transaction. However, the related Servicers are obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicers deem such advances recoverable). On or after the payment date when the aggregate unpaid principal balance on the mortgage loans is less than 25% of the aggregate cut-off date unpaid principal balance, the Controlling Holder will have the option to purchase the Issuer's remaining property at the minimum price (optional cleanup call). The Controlling Holder will be the beneficial owner of more than 50% of the Class B-5 Notes (if no longer outstanding, the next most subordinate class of the Notes, other than the Class X Notes). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class A-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the Notes after paying the transaction parties' fees and net weighted-average coupon (WAC) shortfalls, and making deposits on to the breach reserve account. The credit ratings reflect transactional strengths that include the following: -- Loan-to-value ratios, -- Seasoning, -- Satisfactory third-party due diligence review, and -- Current loan status. The transaction also includes the following challenges: -- Representations and warranties standard, -- No servicer advances of delinquent principal and interest, and -- Assignments, endorsements, and missing documents. 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 current interest amount, any interest shortfall amount, and the related class principal balances. 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 rating on the Class A-1 Notes does not address the payment of any net WAC shortfall 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. GS MORTGAGE 2025-RPL4: Fitch Gives 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-RPL4 (GSMBS 2025-RPL4). Entity/Debt Rating ----------- ------ GS Mortgage-Backed Securities Trust 2025-RPL4 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating Transaction Summary The notes are supported by 2,108 seasoned performing and reperforming loans with a total balance of approximately $333 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch considers the home price values of this pool as 10.1% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.3% YoY nationally as of May 2025 despite modest regional declines, but are still being supported by limited inventory). RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage RPL first lien loans. As of the cutoff date, the pool was 96.8% current. Approximately 55.5% of the loans (i) were treated as having clean payment histories for the past two years or more (clean current) or (ii) have been clean since origination if seasoned less than two years. In addition, 67.8% of loans have a prior modification. The borrowers have a weak credit profile (682 FICO and 45% debt-to-income ratio [DTI]) and relatively moderate leverage (56.0% sustainable loan-to-value ratio [sLTV]). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, net weighted average coupon shortfalls and the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. 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 various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 75bps. ESG Considerations GS Mortgage-Backed Securities Trust 2025-RPL4 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to due to the adjustment for the Rep & Warranty framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HIGLEY PARK: Fitch Assigns 'BBsf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Higley Park CLO, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Higley Park CLO, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Higley Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.28% first lien senior secured loans and has a weighted average recovery assumption of 73.65%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, , '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. Date of Relevant Committee 15-Aug-2025 ESG Considerations Fitch does not provide ESG relevance scores for Higley 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. HIGLEY PARK: Moody's Assigns B3 Rating to $250,000 Cl. F Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Higley Park CLO, Ltd. (the Issuer or Higley Park): US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Higley Park is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not first lien loans, cash and eligible investments. The portfolio is approximately 100% ramped as of the closing date. Blackstone CLO Management 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 seven 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: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3243 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. HIN TIMESHARE 2020-A: Fitch Affirms 'Bsf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed all outstanding ratings of HIN Timeshare Trust (HINTT) 2020-A, HINNT 2022-A LLC, HINNT 2024-A LLC, THOR 2024-A, LLC, and HINNT 2025-A LLC. The Rating Outlooks remain Stable for all classes of notes. Holiday Inn Club Vacations Incorporated (HICV) is the originator and servicer of all transactions. Entity/Debt Rating Prior ----------- ------ ----- HINNT 2024-A LLC A 40472QAA5 LT AAAsf Affirmed AAAsf B 40472QAB3 LT Asf Affirmed Asf C 40472QAC1 LT BBBsf Affirmed BBBsf D 40472QAD9 LT BBsf Affirmed BBsf E 40472QAE7 LT Bsf Affirmed Bsf HIN Timeshare Trust 2020-A A 40439HAA7 LT AAAsf Affirmed AAAsf B 40439HAB5 LT Asf Affirmed Asf C 40439HAC3 LT BBBsf Affirmed BBBsf D 40439HAD1 LT BBsf Affirmed BBsf E 40439HAE9 LT Bsf Affirmed Bsf HINNT 2025-A LLC A 433403AA0 LT AAAsf Affirmed AAAsf B 433403AB8 LT A-sf Affirmed A-sf C 433403AC6 LT BBBsf Affirmed BBBsf D 433403AD4 LT BB-sf Affirmed BB-sf HINNT 2022-A LLC A 40486JAA5 LT AAAsf Affirmed AAAsf B 40486JAB3 LT Asf Affirmed Asf C 40486JAC1 LT BBBsf Affirmed BBBsf D 40486JAD9 LT BBsf Affirmed BBsf E 40486JAE7 LT Bsf Affirmed Bsf THOR 2024-A, LLC A 88517QAA1 LT Asf Affirmed Asf B 88517QAB9 LT BBBsf Affirmed BBBsf C 88517QAC7 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Rating Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. As of the July 2025 collection period, the 61+ day delinquency rates for HINTT 2020-A, HINNT 2022-A, HINNT 2024-A, THOR 2024-A, HINNT 2025-A were 3.46%, 3.59%, 3.52%, 5.47%, and 2.24%, respectively. Cumulative gross defaults (CGDs; adjusted for substitutions) are currently at 28.09%, 23.61%, 12.12%, 14.42%, and 3.02%, respectively. CGDs for 2020-A and 2022-A are currently above their initial rating cases of 24.00%, and 22.00%. While HINTT 2024-A and THOR 2024-A are currently within initial expectations, they are projecting above their initial rating cases of 22.00% and 28.00%. HINNT 2025-A remains only four months outstanding and currently within initial expectations. Due to optional repurchases and substitutions by the seller, none of the transactions have experienced a net loss to date. The option to repurchase and substitute defaulted loans is capped at a combined 35%; HINTT 2020-A is currently the closest to reaching the cap, with an unadjusted CGD of 33.13%. To account for recent performance in HINTT 2020-A, HINNT 2022-A. HINNT 2024-A, and THOR 2024-A, Fitch revised the lifetime CGD proxies upward to 32.00%, 32.50%, 24.50%, and 33.50%, respectively, from 30.00%, 29.00%, 22.00%, and 28.00%. The proxy for HINNT 2025-A was maintained at 22.00%. The updated rating case default proxies for the revised transactions were conservatively derived using extrapolations based on performance to date. In certain cases, updated extrapolations were higher than the final CGD proxies. The servicer has the right, but not the obligation, to substitute or repurchase defaulted loans. As such, Fitch's analysis does not give any explicit credit to previously substituted or repurchased defaults, resulting in zero losses on most of the outstanding transactions. When accounting for previously substituted or repurchased defaults, the lifetime CGDs are materially lower than the CGD proxies. As such, Fitch believes the CGD proxies are appropriately conservative and account for the weaker performance. Under Fitch's stressed cash flow assumptions, loss coverage for the notes were consistent with the recommended multiples, any shortfalls were considered nominal and are within the range of the multiples for the current ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxies, and impact available loss coverage and multiples levels for the transactions. - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. - Fitch ran a down sensitivity for these transactions that would raise the CGD proxy by 2x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to three categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults would lead to higher CE levels and consideration for potential upgrades. Fitch applied an up sensitivity for each transaction, by reducing the rating case proxy by 20%. Reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HOMEWARD OPPORTUNITIES 2025-RRTL2: DBRS Assigns B(low) on M2 Debt ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RRTL2 (the Notes) to be issued by Homeward Opportunities Fund Trust 2025-RRTL2 (HOF 2025-RRTL2 or the Issuer) as follows: -- $207.2 million Class A1 at (P) A (low) (sf) -- $175.5 million Class A1A at (P) A (low) (sf) -- $31.7 million Class A1B at (P) A (low) (sf) -- $18.2 million Class A2 at (P) BBB (low) (sf) -- $17.6 million Class M1 at (P) BB (low) (sf) -- $13.5 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 23.25% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 16.50%, 10.00%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of an 18-month revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 209 mortgage loans with a total principal balance of approximately $136,290,803; -- Approximately $133,709,197 in the Accumulation Account; and -- Approximately $2,000,000 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may be extended, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include, but are not limited to: -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum WA Loan-to-Cost ratio (LTC) of 80.0%. -- A maximum NZ WA As-Repaired Loan-To-Value (ARV LTV) of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit, or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicing Administrator. In the HOF 2025-RRTL2 revolving portfolio, RTLs may be: -- Fully funded: (1) With no obligation of further advances to the borrower, or (2) with a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. -- Partially funded: With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the HOF 2025-RRTL2 eligibility criteria, unfunded commitments are limited to 50.0% of the assets of the issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans, and (2) amounts in the Accumulation Account. CASH FLOW STRUCTURE AND DRAW FUNDING The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A1, A1A, A1B, and A2 fixed rates listed in the Credit Ratings table in the related presale report will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances, which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Each Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicers will satisfy Rehabilitation Disbursement Requests by (1) for loans with funded commitments, releasing funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, releasing funds from principal collections on deposit in the related Servicers' Custodial Account (Rehabilitation Advances). If amounts in the applicable Servicers' Custodial Account are insufficient to fund a Rehabilitation Advance, the Depositor may advance funds from the Accumulation Account. The Depositor will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover the first three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,000,000. On the payment dates occurring in September, October, and November 2025, the Paying Agent will withdraw a specified amount to be included in available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for NBIA's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at par plus interest and fees (the Redemption Price). On any Payment Date following the termination of the Reinvestment Period, the Depositor, at its option, may purchase all of the mortgage loans at the Redemption Price. Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans as of the Initial Cut-Off Date. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material representations and warranties (R&W) breach, a material document defect, or a diligence defect that the Sponsor is unable to cure; -- The Sponsor elects to exercise its Repurchase Option; or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Homeward Opportunities Fund LP, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow standard protocol, which includes a review of the affected area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. The credit ratings reflect transactional strengths that include the following: -- Robust pool composition defined by eligibility criteria. -- Historical paydowns and payoffs. -- Solid historical performance. -- Structural enhancements. -- Third-party due-diligence review framework. The transaction also includes the following challenges: -- Funding of future construction draws. -- RTL loan characteristics. -- R&W framework. -- No advances of DQ interest. 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 Interest Payment Amount, the Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings on the Class A1, Class A1A, and Class A1B Notes also address the credit risk associated with the increased rate of interest applicable to such classes if such classes remain outstanding on the step-up date (August 2027) 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. 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. HPS LOAN 2021-16: Moody's Assigns Ba3 Rating to $22MM E-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes issued by HPS Loan Management 2021-16, Ltd. (the "Issuer"). Moody's rating action is as follows: US$310,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$5,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$65,000,000 Class B-R Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$26,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$31,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$22,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, 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. HPS Investment Partners, 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 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: extension of the non-call period and the updates to the reference rate definition. 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: $492,966,987 Defaulted par: $3,481,792 Diversity Score: 81 Weighted Average Rating Factor (WARF): 2737 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.24% Weighted Average Recovery Rate (WARR): 46.20% Weighted Average Life (WAL): 5.70 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. HPS PRIVATE 2023-1: 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-L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Private Credit CLO 2023-1 LLC, a CLO managed by HPS Investment Partners LLC that was originally issued in June 2023 and not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Subordinated notes, $93.9 million: NR NR--Not rated. IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-R3 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-L-R3 loans and class A-1-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 notes from Ivy Hill Middle Market Credit Fund IX-R LLC, a CLO managed by Ivy Hill Asset Management L.P. that was originally issued in October 2014 and underwent a second refinancing in March 2022. The class A-2-R3 debt was not rated by S&P Global Ratings. At the same time, S&P withdrew its ratings on the original class X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt following payment in full on the Aug. 21, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-L-R3 loans and class A-1-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 notes were issued at a floating spread, replacing the current floating spread. -- The replacement class A-2-R3 was issued at a floating spread, replacing the current fixed coupon. -- The non-call period was extended by 3.33 years. -- The target initial par amount was increased to $900.00 million. -- The reinvestment period and stated maturity were extended by 3.25 years. -- The first payment date following the refinancing is Jan. 23, 2026. -- 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 Ivy Hill Middle Market Credit Fund IX-R LLC Class A-1-R3, $483.00 million: AAA (sf) Class A-L-R3 loans(i), $30.00 million: AAA (sf) Class B-R3, $81.00 million: AA (sf) Class C-R3 (deferrable), $72.00 million: A (sf) Class D-1-R3 (deferrable), $54.00 million: BBB- (sf) Class D-2-R3 (deferrable), $18.00 million: BBB- (sf) Class E-R3 (deferrable), $36.00 million: BB- (sf) Ratings Withdrawn Ivy Hill Middle Market Credit Fund IX-R LLC Class X-RR to NR from 'AAA (sf)' Class A-1R-RR to NR from 'AAA (sf)' Class A-1T-RR to NR from 'AAA (sf)' Class A-2-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A- (sf)' Class D-RR to NR from 'BBB- (sf)' Class E-RR to NR from 'BB- (sf)' Other Debt Ivy Hill Middle Market Credit Fund IX-R LLC Class A-2-R3, $18.00 million: NR Subordinated notes, $182.00 million: NR (i)All or a portion of class A-L-R3 loans can be converted into class A-1-R3 notes with certain restrictions, including that a minimum of $250,000 must be converted. The decrease in the loan class results in an increase in A-1-R3 notes. NR--Not rated. JPMBB COMMERCIAL 2015-C32: DBRS Cuts Rating on 4 Tranches to Csf ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded the credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C32 issued by JPMBB Commercial Mortgage Securities Trust 2015-C32 as follows: -- Class A-S to CCC (sf) from AA (low) (sf) -- Class B to C (sf) from BBB (sf) -- Class C to C (sf) from CCC (sf) -- Class E to D (sf) from C (sf) -- Class X-A to CCC (sf) from AA (sf) -- Class X-B to C (sf) from BBB (high) (sf) -- Class EC to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class D at C (sf) Morningstar DBRS changed the trends on Classes A-4 and A-5 to Negative from Stable. The credit ratings assigned to Classes A-S, B, C, D, E, X-A, X-B, and EC do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS also withdrew the credit ratings on Classes F and G, which carried a D (sf) credit rating. The credit rating on Class E was downgraded due to a loss to the trust that was reflected with the July 2025 remittance. The transaction incurred a loss of $11.0 million, wiping out Class F and eroding Class E. The loss was mainly tied to non-recoverable advances for the three largest loans in the pool, all of which are in special servicing. Morningstar DBRS will subsequently discontinue/withdraw the credit ratings in 30 days. The credit rating downgrades on Classes A-S, X-A, B, X-B, C, EC, and D are the result of increased loss projections stemming from the specially serviced loans, further discussed below. Since Morningstar DBRS' last review of the transaction in January 2025, three additional loans have transferred to special servicing, bringing the pool's total special servicing concentration to 29 loans (63.0%) from 26 loans (37.3%). With this review, Morningstar DBRS liquidated eight of those loans, projecting losses of approximately $184 million, an increase in the projected losses of $162 million from the January 2025 review. The increase in losses was driven by lower appraised values for some loans since the previous credit rating action coupled with the three additional loans that transferred to the special servicer and were liquidated. Losses now erode the entirety of Class C and begin to bleed into Class B, supporting the credit rating downgrades. In addition to the deterioration in credit enhancement resulting from the increased liquidated losses, Morningstar DBRS remains concerned about the risk of increasing interest shortfalls, which total $30.6 million as of the August 2025 remittance, with interest being fully shorted up to the Class A-S certificate, further supporting the credit rating downgrades. Given the proximity to maturity of most loans in the pool, Morningstar DBRS' expects that the pool's composition will wind down to primarily defaulted or underperforming assets. Exclusive of the specially serviced loans, Morningstar DBRS identified six additional loans, representing 14.3% of the remaining pool balance, for maturity risk including the Park Place I & II Portfolio (Prospectus ID#10; 4.9% of the pool) and Robinson Plaza (Prospectus ID#18; 2.7% of the pool) loans. Both of these loans are secured by office properties beginning to exhibit signs of distress from declining occupancy and/or increased near-term rollover risk, performance declines, and collateral located in soft office submarkets with limited investor demand. If these loans default at maturity, Morningstar DBRS expects that the servicer may begin shorting interest for these loans. Currently the entirety of the interest due on Class A-S is being shorted and, in the event that additional interest is shorted, Classes A-4 and A-5 may be at risk, warranting the Negative trends. As of the August 2025 remittance, 52 of the original 89 loans remain outstanding with a pool balance of $551.4 million, representing a collateral reduction of 52.0% since issuance. Of the 29 loans in special servicing, 21 loans, collectively representing 7.7% of the pool, are secured by multifamily properties in California. All 21 of those loans recently transferred because of a trigger event related to ongoing litigation associated with their common sponsor. According to the servicer, the receiver in place plans to repay all the loans at maturity. Given this, and based on the collateral performance, liquidated losses are not expected for any of those loans. The largest loan in the pool, Civic Opera Building (Prospectus ID#2; 12.0% of the pool), is secured by the borrower's fee-simple interest in a 915,162-square-foot (sf) office property in Chicago's West Loop District that is pari passu with a companion note in the JPMBB Commercial Mortgage Securities Trust 2015-C31 transaction, which is also rated by Morningstar DBRS. The loan has been in special servicing since July 2020 and, according to servicer commentary from August 2025, the lender is continuing with the foreclosure process with a receiver now in place and a recourse component added. Litigation continues and the case is now in the discovery phase with the lender attempting to re-engage the borrower for a settlement. Occupancy as of the March 2025 rent roll was 45.7% with an additional 12.3% of rollover in the next twelve months. An appraisal dated May 2025 valued the property at $100.9 million, a decline from the September 2024 value of $109.8 million and a 54.1% decline from the appraised value of $220.0 million at issuance. Morningstar DBRS' analysis included a liquidation scenario based on a 30% haircut to the May 2025 appraised value of $100.9 million to reflect the continued declining occupancy, upcoming rollover, and weak submarket fundamentals, resulting in projected losses of $41.1 million equating to a loss severity of more than 60% with this review. The second-largest loan in special servicing is Hilton Suites Chicago Magnificent Mile (Prospectus ID#1; 11.7% of the pool), which is secured by a 345-key full-service hotel in the Magnificent Mile district of Chicago. The loan transferred to special servicing in May 2020, and became real estate owned (REO) in April 2023. According to the August 2025 servicer commentary, the property is not currently being marketed for sale but is projected to be put up for sale upon the conclusion of an ongoing tax appeal. According to the May 2025 STR report, the property's occupancy rate, average daily rate, and revenue per available room (RevPAR) were reported at 68.8%, $215.48, and $148.33, respectively, for the trailing 12-month period, with a RevPAR penetration of 114.5%. Those figures remain mostly unchanged from the prior year reporting. A February 2024 appraisal valued the asset at $61.9 million, representing a 44.9% reduction in value from the issuance figure of $112.4 million but remaining in line with the March 2023 figure of $63.1. Morningstar DBRS liquidated this loan from the pool based on a 30% haircut to the February 2024 value of $61.9 million, resulting in projected losses of $27.8 million or a loss severity in excess of 43%. The third-largest loan in special servicing is secured by the fee-simple interest in Palmer House Retail Shops (Prospectus ID#3; 10.5% of the pool), a 134,536 sf mixed-use property comprising retail (40.2% of net rentable area (NRA)), office (10.7% of NRA), and parking (49.1% of NRA) space as part of the non-collateral Palmer House Hotel in Chicago. The loan transferred to special servicing in July 2020 and became REO in June 2024. As of the November 2024 rent roll, the collateral reported an occupancy rate of 38.0% for the retail and office portions compared with 47.1% in October 2023 and 90.1% at issuance. A June 2024 appraisal valued the collateral at $18.4 million, representing an 80.1% decline in value compared with the $92.6 million valuation at issuance. With this review, Morningstar DBRS applied a 25% haircut to the updated May 2025 appraisal of $13.7 million in its liquidation scenario, resulting in a loss of $57.7 million or a 100% loss severity. At issuance, Morningstar DBRS shadow-rated the U-Haul Portfolio loan (Prospectus ID#5; 0.03% of the pool) as investment grade. With this review, Morningstar DBRS confirmed that the performance of this loan 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 Classes X-A and X-B 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. Notes: All figures are in U.S. dollars unless otherwise noted. JPMDB COMMERCIAL 2016-C4: Fitch Affirms Bsf Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 12 classes of JPMDB Commercial Mortgage Securities Trust, series 2016-C4 (JPMDB 2016-C4). The Rating Outlooks on classes A-S, B, C, D, X-A, X-B and X-C remain Negative. Additionally, Fitch has affirmed 12 classes of JPMCC Commercial Mortgage Securities Trust 2016-JP4 commercial mortgage pass-through certificates (JPMCC 2016-JP4). The Outlooks on classes A-S, B, C, X-A and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2016-C4 A-2 46646RAH6 LT AAAsf Affirmed AAAsf A-3 46646RAJ2 LT AAAsf Affirmed AAAsf A-S 46646RAN3 LT AAAsf Affirmed AAAsf A-SB 46646RAK9 LT AAAsf Affirmed AAAsf B 46646RAP8 LT A-sf Affirmed A-sf C 46646RAQ6 LT BBB-sf Affirmed BBB-sf D 46646RAB9 LT Bsf Affirmed Bsf E 46646RAC7 LT CCCsf Affirmed CCCsf F 46646RAD5 LT CCsf Affirmed CCsf X-A 46646RAL7 LT AAAsf Affirmed AAAsf X-B 46646RAM5 LT A-sf Affirmed A-sf X-C 46646RAA1 LT Bsf Affirmed Bsf JPMCC 2016-JP4 A-2 46645UAR8 LT AAAsf Affirmed AAAsf A-3 46645UAS6 LT AAAsf Affirmed AAAsf A-4 46645UAT4 LT AAAsf Affirmed AAAsf A-S 46645UAX5 LT AAAsf Affirmed AAAsf A-SB 46645UAU1 LT AAAsf Affirmed AAAsf B 46645UAY3 LT A-sf Affirmed A-sf C 46645UAZ0 LT BBB-sf Affirmed BBB-sf D 46645UAC1 LT CCCsf Affirmed CCCsf E 46645UAE7 LT CCsf Affirmed CCsf X-A 46645UAV9 LT AAAsf Affirmed AAAsf X-B 46645UAW7 LT A-sf Affirmed A-sf X-C 46645UAA5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and Increase in 'B' Loss Expectations: The rating affirmations reflect generally stable pool performance. JPMDB 2016-C4 deal-level 'Bsf' ratings case losses are 8.3% compared to 6.8% at the prior rating action; deal-level 'Bsf' rating case losses are 13.7% in JPMCC 2016-JP4 compared to 11.8% at the last rating action. Fitch Loans of Concern (FLOCs) comprise eight loans (24.3% of the pool) in JPMDB 2016-C4 including three loans in special servicing (9%) and eight loans (26.3%) in JPMCC 2016-JP4 with three loans (11.7%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines or rollover concerns. The Negative Outlooks in the JPMDB 2016-C4 transaction reflect the high office concentration of 56.2% and the potential for downgrades should performance of the FLOCs, which include Westfield San Francisco, Riverwood Corporate Centre, 1 Kaiser Plaza, 100 Oceangate and 60 Madison Avenue, fail to stabilize, and/or with prolonged workouts of loans in special servicing. The Negative Outlooks in the JPMCC 2016-JP4 transaction reflect the office concentration of 36.4% and the potential for downgrades with sustained underperformance and lack of stabilization of the FLOCs, Riverway, Summit Mall, International Plaza, 1140 Avenue of the Americas, 80 Park Plaza and Franklin Marketplace and/or if more loans than expected default at or prior to maturity. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest overall contributor to loss in JPMCC 2016-C4 is the Westfield San Francisco Centre loan (2.6%), 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 $195 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 overall expected pool loss is the Riverwood Corporate Center I & III (2.2%) asset, which is secured by two suburban office buildings located in Pewaukee, Wisconsin. The loan transferred to special servicing in February 2025 due to payment default. According to servicer updates, foreclosure is being pursued. Occupancy was 63% as of March 2024. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 70.9% is based on a discount to a recent appraisal value, which reflects a recovery of $39 psf. 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. Occupancy has since remained unchanged. 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 27.8% reflects the YE 2024 NOI, a 10% cap rate and factors a higher probability of default to account for the decline in performance and heightened refinance risk. The largest contributor to loss and largest increase in loss since the prior rating action in JPMCC 2016-JP4 is the Riverway loan (6.7%), secured by a four-building suburban office property totaling 869,120-sf located in Rosemont, IL (1.5 miles from O'Hare International Airport). The property consists of three office buildings and a 10,409-sf daycare center. As of the June 2024 rent roll the property was 58% occupied with the largest tenant, U.S. Foods, Inc. (33.9% of NRA) expiring in February 2029. Occupancy has struggled to recover after the departure of Central States Pension Fund which vacated 22% of the NRA in 2019. Cash flow has been insufficient to service the debt since 2020. The loan transferred to special servicing in May of 2023 for imminent default due to cash flow issues and the borrower has stopped funding shortfalls. The servicer is dual tracking foreclosure and workout discussions with the borrower. Fitch's 'Bsf' rating case loss of 82.2% (prior to concentration adjustments) reflects a discount to a recent appraisal value reflecting a stressed value of $59 psf. The second largest overall contributor to loss expectations in JPMCC 2016-JP4 is the 1140 Avenue of the Americas loan (3%) which is secured by a 242,466-sf Class A office building in Midtown, Manhattan. A decline in occupancy has led to reduced cash flow, which is insufficient to cover debt service and operating expenses. Per the December 2024 rent roll, the property was 74.1% occupied compared to 81% at YE 2023 and 91% at underwriting. The YE 2023 NOI is 48% below YE 2022 and 80% below the Fitch issuance NCF. The borrower has indicated a lack of funds to maintain the property and has expressed willingness to cooperate with the lender in returning the property. The servicer reported that foreclosure proceedings are underway. The servicer-reported YE 2023 NOI DSCR was 0.40x; however, the sponsor has continued to pay debt service as they try to stabilize occupancy and the loan remains current. Per the servicer, the largest tenant City National Bank (14.4% of NRA; exp. June 2033) extended 10 years in 2023 but at reduced rent. Per the servicer, the tenant is now paying approximately $116 psf compared to their prior rental rate of $124 psf. The second largest tenant is now 1140 Office Suites LLC (10.3% of NRA; exp. March 2031), a coworking space. They signed a lease in December 2023, filling the space of the former third largest tenant, Innovate NYC's (6.8%). The coworking tenant received a rent abatement through March 2024 and half abatement through the remainder of 2024. Fitch's 'Bsf' rating case loss of 85.1% (prior to concentration add-ons) reflects a Fitch value of $16.1 million as well as a high probability of default given a short-term ground lease and declining performance. Fitch's value incorporates the YE 2023 NOI with an adjustment for rent abatements ending in 2024. Fitch also applied a cap rate of 12% reflecting the elevated risk associated with the ground lease which expires in 2066. The current annual ground lease payment is $4.75 million. Fitch's loss expectation includes the potential for significant loan refinancing challenges. These challenges stem from declining performance and market conditions since issuance, upcoming tenant rollover and possible further performance deteriorating. The high ground lease payment and short remaining term compound these issues. Changes in Credit Enhancement (CE): As of the August 2025 distribution date, the aggregate balance of the JPMDB 2016-C4 transaction has been paid down by 20% since issuance. As of the July 2025 distribution date, the aggregate balance of the JPMCC 2016-JP4 transaction has been paid down by 19.4% since issuance. The JPMDB 2016-C4 transaction includes six loans (12.5% of the pool) that have fully defeased and JPMCC 2016-JP4 has four (3.7%) fully defeased loans. Cumulative interest shortfalls totaling $1.3 million are impacting the non-rated NR and class F of JPMDB 2016-C4, which has also recorded $12 million in realized losses to date. $4.8 million in interest shortfalls are affecting classes D and E and the non-rated F and NR classes in JPMCC 2016-JP4. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes with Stable Outlooks are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include Westfield San Francisco, Riverwood Corporate Centre, 1 Kaiser Plaza, 100 Oceangate and 60 Madison Avenue in JPMCC 2016-C4; and Riverway, Summit Mall, International Plaza, 1140 Avenue of the Americas, 80 Park Plaza and Franklin Marketplace in JPMCC 2016-JP4. Downgrades to in the 'BBBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with prolonged workouts or greater certainty of losses on the specially serviced loans. 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 '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 but could occur 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 unlikely, but possible with better-than-expected recoveries on specially serviced loans and/or significantly higher improved performance of the FLOCs. These FLOCs include Westfield San Francisco, Riverwood Corporate Centre, 1 Kaiser Plaza, 100 Oceangate and 60 Madison Avenue in JPMCC 2016-C4; and Riverway, Summit Mall, International Plaza, 1140 Avenue of the Americas, 80 Park Plaza and Franklin Marketplace in JPMCC 2016-JP4. 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 55: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 55, Ltd. Entity/Debt Rating ----------- ------ KKR CLO 55, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 55, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.49% first-lien senior secured loans and has a weighted average recovery assumption of 74.39%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 55, 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. LEHMAN XS 2005-5N: Moody's Upgrades Rating on 2 Tranches to B1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds issued by Lehman XS Trust Series 2005-5N. The collateral backing this deal consists of option ARM mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Lehman XS Trust Series 2005-5N Cl. 1-A2, Upgraded to B1 (sf); previously on May 6, 2022 Upgraded to Caa1 (sf) Cl. 1-A3, Upgraded to B1 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 2-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa2 (sf) Cl. 2-A2, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 3-A2, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. 3-A3C, Upgraded to Caa3 (sf); previously on Oct 22, 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. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in 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. LHOME MORTGAGE 2025-RTL3: DBRS Finalizes B Rating on M2 Debt ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on LHOME Mortgage Trust 2025-RTL3 (LHOME 2025-RTL3 or the Issuer) as follows: -- $324.8 million Class A1 at A (low) (sf) -- $24.4 million Class A2 at BBB (low) (sf) -- $29.5 million Class M1 at BB (low) (sf) -- $21.3 million Class M2 at B (sf) The A (low) (sf) credit rating reflects 22.85% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 17.05%, 10.05%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2025-RTL3 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 802 mortgage loans with a total unpaid principal balance (UPB) of approximately $201,255,213 -- Approximately $200,000,000 in the Accumulation Account -- Approximately $19,797,419 in the RP Accumulation Account -- Approximately $3,500,000 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. LHOME 2025-RTL3 represents the 23rd RTL securitization issued by the Sponsor, Kiavi Funding, Inc. (Kiavi). Founded in 2013 as LendingHome Funding Corporation and re-branded as Kiavi in November 2021, Kiavi is a privately held technology-enabled lender that provides business-purpose loans for real estate investors engaged in acquiring, renovating and either reselling or holding for investment purposes single-family residential properties. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum nonzero weighted-average (NZ WA) FICO score of 740. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 91.5%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 73.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Asset Manager. In the LHOME 2025-RTL3 revolving portfolio, RTLs may be: (1) Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds held back by the Servicer (Interest Reserve Holdback Amounts) for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the LHOME 2025-RTL3 eligibility criteria, unfunded commitments are limited to 40.0% of the portfolio by aggregate principal limit. CASH FLOW STRUCTURE AND DRAW FUNDING The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in February 2028, the Class A1 and A2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will satisfy Rehabilitation Disbursement Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer (Rehabilitation Advances) or (b) directing the release of funds from the Accumulation Account. The Servicer will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account. The Asset Manager may direct the Paying Agent to remit funds from the RP Accumulation to the Accumulation Account in accordance with the Indenture and the REMIC provisions. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-Funding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $3,500,000. On the payment dates occurring in September, October and November 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Kiavi RTL originations have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated Kiavi's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this rating report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to repurchase a loan because of a material breach, a material document defect, or the loan is a non-REMIC qualified mortgage. -- The Depositor elects to exercise its Repurchase Option. -- An automatic repurchase is triggered in connection with the third-party due diligence review. -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Kiavi, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by mortgage properties that are within certain disaster areas. Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the affected area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with representations and warranties (R&W) specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. The credit ratings reflect transactional strengths that include the following: -- Robust Pool Composition Defined by Eligibility Criteria. -- Historical paydowns and payoffs. -- Solid historical performance with favorable resolutions. -- Structural enhancements. -- Third-party due diligence review framework. The transaction also includes the following challenges: -- Primary valuation of automated valuation models. -- Funding of future construction draws. -- RTL loan characteristics. -- Representations and warranties framework. -- No advances of DQ interest. MF1 2025-FL20: DBRS Finalizes B(low) Ratings on 3 Tranches ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes (the Notes) issued by MF1 2025-FL20, LLC (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class F-E at BB (high) (sf) -- Class F-X at BB (high) (sf) -- Class G at BB (low) (sf) -- Class G-E at BB (low) (sf) -- Class G-X at BB (low) (sf) -- Class H at B (low) (sf) -- Class H-E at B (low) (sf) -- Class H-X at B (low) (sf) All trends are Stable. The initial collateral consists of 21 floating-rate mortgage loans and participations in mortgage loans and mortgage/mezzanine loan combinations. Four collateral interests that are cross-collateralized and cross-defaulted with another loan in the pool were rolled up and treated as one collateral interest. The first of these roll ups is the Nashville Roll-Up, which comprises collateral interest numbers 1 and 2, Alcove and Prime Apartments (9.0% of the initial pool balance). The other collateral interests treated as one collateral interest by Morningstar DBRS are collateral interest numbers 18 and 19, Jones Estates MHC Portfolio - Pool B and Jones Estates MHC Portfolio - Pool A (3.1% of the initial pool balance). The collateral is encumbered by $1.7 billion of debt, composed of $1.1 billion going into the trust, $56.0 million in future funding, $576.7 million of funded pari passu debt, and $66.9 million in existing mezzanine debt. Four collateral interests (150 Lawrence Street, Alexan 5151, Cobblestone on the Lake, and Prose in the Pines), representing 18.4% of the initial pool balance, are delayed collateral interests, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer has 90 days after closing to acquire the delayed collateral interests. The transaction is a managed vehicle, which includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $88.9 million to a total target collateral principal balance of $1.2 billion. Morningstar DBRS assessed the ramp collateral interests using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool's weighted average (WA) expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new collateral interests and funded companion participations. If a delayed collateral interest is not expected to close or fund prior to the purchase termination date, then the Issuer may acquire any delayed close collateral interest at any time during the ramp-up acquisition period. The eligibility criteria indicates that only multifamily, manufactured housing, furnished apartment properties, and student housing can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establishes minimum debt-service coverage ratio (DSCR), loan-to-value ratio (LTV), and Herfindahl requirements. Furthermore, certain events within the transaction require the Issuer to obtain RAC. Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for all acquisitions of companion participations. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, 11 loans, representing 57.3% of the pool, have remaining future funding participations totaling $56.0 million, which the Issuer may acquire in the future. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow (NCF), all loans except for one (Oak City Apartments; 2.1% of the initial pool balance) had a Morningstar DBRS As-Is DSCR of 1.00 time (x) or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized NCF was below 1.00x for 15 of the 21 loans (80.2% of the initial pool balance), which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. 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 are the related Principal 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, the credit ratings do not address nonpayment risk associated with Defaulted and Deferred Interest Distribution 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. 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. MORGAN STANLEY 2017-C33: DBRS Lowers Rating on Cl. F Certs to Csf ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C33 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 as follows: -- Class D to BB (high) (sf) from BBB (sf) -- Class X-D to BBB (low) (sf) from BBB (high) (sf) -- Class E to CCC (sf) from BB (high) (sf) -- Class F to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class 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 maintained the Negative trends on Classes D and X-D. There are no trends for Classes E and F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The trends on all remaining classes are Stable. The credit rating downgrades and Negative trends reflect Morningstar DBRS' concern with the four loans in special servicing, Pearlridge Uptown II (Prospectus ID#4, 7.1% of the pool), Key Center Cleveland (Prospectus ID#5, 6.2% of the pool), D.C. Office Portfolio (Prospectus ID#8, 6.4% of the pool), and 141 Fifth Avenue (Prospectus ID#10, 4.5% of the pool), as well as one of the three loans on the servicer's watchlist, Pentagon Center (Prospectus ID#3, 9.1% of the pool) and). The Pearlridge Uptown II, D.C. Office portfolio, and 141 Fifth Avenue loans have all transferred to special servicing since Morningstar DBRS' previous credit rating action for either maturity default or imminent monetary default. The Pentagon Center, Key Center Cleveland, and D.C. Office Portfolio loans are backed by office properties, making up the bulk of the pool's total office exposure, which is 17.8% of the pool balance. With this review, Morningstar DBRS liquidated the D.C. Office Portfolio and 141 Fifth Avenue loans, resulting in estimated realized losses of $26.3 million, contained to the unrated Class G, but significantly eroding credit support to the junior bonds. The analyzed scenario supported the credit rating downgrades, and the possibility for further deterioration in the ultimate recovery scenarios supports the Negative trends. The credit rating confirmations reflect the otherwise stable performance of the transaction, as the majority of loans continue to perform as expected, as evidenced by the weighted-average debt service coverage ratio (DSCR) for the pool of 1.74 times (x), as of the August 2025 remittance. Per the August 2025 reporting, 39 of the original 44 loans remain in the trust, with an aggregate principal balance of $548.9 million, representing a collateral reduction of 21.8% since issuance. There are 10 loans, representing 25.5% of the pool, that are fully defeased. As previously noted, there are three loans, representing 15.6% of the pool, on the servicer's watchlist. The D.C. Office Portfolio loan is secured by three Class B office buildings in Washington, D.C. The loan transferred to special servicing for imminent monetary default in May 2025 and is 30 to 59 days delinquent as of the August 2025 remittance. The loan was previously monitored on the servicer's watchlist for a low DSCR, which has persisted with the Q1 2025 annualized figure at 0.12x, down from the YE2024 and YE2023 DSCRs of 0.68x and 0.95x, respectively, and significantly less than the Morningstar DBRS figure derived at issuance of 1.41x. The portfolio reported a consolidated Q1 2025 occupancy of 86%, which is slightly lower than the issuance figure of 89%. According to Reis, the Washington, D.C office market had a 15.5% vacancy rate as of Q2 2025, which is slightly lower than the Q2 2024 vacancy rate of 16.2%. Although the recent improvements in the portfolio's occupancy rate are encouraging signs, the portfolio's extended reporting of below breakeven cash flows and exposure to tenant rollover through the remainder of the loan term suggest that the as-is value has likely fallen significantly since issuance. As the loan is now approaching 60 days delinquent, Morningstar DBRS elected to analyze a conservative scenario for the loan based on a 65% haircut to the issuance appraised value, resulting in an implied loss of approximately $15.5 million for the trust's pari passu portion of the whole loan. Morningstar DBRS also analyzed a liquidation scenario for the 141 Fifth Avenue loan, which is secured by a 4,425-square-foot (sf) retail portion of a 14-story mixed-use building in Manhattan. The servicer placed the loan on its watchlist in October 2023 following the departure of the property's sole tenant, HSBC Bank USA, in October 2022 and transferred the loan to special servicing in July 2025 for imminent monetary default. Per the most recent servicer commentary, the borrower failed to make the July 2025 payment and stated that they can no longer make payments. Given the extended vacancy and the recent delinquency, Morningstar DBRS liquidated the loan from the pool using a 60% haircut to the March 2017 appraised value of $39.0 million, resulting in an implied loss of approximately $10.8 million. The largest specially serviced loan, Pearlridge Uptown II, is secured by a 154,944-sf section of a super-regional mall in Aiea, Hawaii. The loan transferred to special servicing in May 2025 for maturity default and is currently designated as a performing matured balloon. Despite the May 2025 maturity default, the property's performance remains in line with issuance expectations. As of March 2025, the property was 92% occupied, which remains in line with the YE2024 and issuance figures of 92% and 96%, respectively. As a result, the loan reported a Q1 2025 annualized net cash flow (NCF) of $5.6 million (DSCR of 2.25x), which is greater that the Morningstar DBRS NCF of $5.2 million. Considering the loan's status in special servicing, Morningstar DBRS applied a stressed loan-to-value ratio ratio (LTV) and elevated probability of default (POD), resulting in an expected loss greater than double the pool's average. The second largest specially serviced loan, Key Center Cleveland, is secured by a 2.1 million-sf, mixed-use property in Cleveland, comprising a 400-key hotel, two Class A office buildings, and an underground parking garage. The loan has been in special servicing since November 2020; as of the most recent servicer commentary, the loan is being monitored while the borrower worked to raise additional equity to fund leasing and property improvement plan costs. As of the August 2025 remittance, the loan reported less than 30 days delinquent and the annualized Q1 2025 NCF was $21.4 million (a DSCR of 1.34x), in line with the YE2023 NCF of $21.2 million (a DSCR of 1.33x) and the Morningstar DBRS NCF derived at issuance of $20.4 million (a DSCR of 1.28x). Morningstar DBRS has not received an updated STR report as of the date of this press release, but per the May 2023 STR report, the hotel reported occupancy at 66.7%, average daily rate at $185, and revenue per available room (RevPAR) at $123 for the trailing 12 months ended May 2023 (T-12 May 2023). All three metrics exhibited a healthy recovery from pandemic lows, and the T-12 ended May 2023 RevPAR exceeded the issuance figure of $108. For the office portion of the collateral, scheduled tenant rollover is minimal in the next 12 months, and the largest tenant, KeyBank National Association (26.7% of the net rentable area), remains in place with a lease expiration in June 2030. According to Reis, the Downtown office submarket reported a Q2 2025 vacancy rate of 21.3%. Given the loan's extended status in special servicing and the challenged office market in Cleveland, Morningstar DBRS analyzed the loan using a stressed LTV and elevated POD, resulting in an expected loss more than double the pool's 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 Class X-A, Class X-B, and Class 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. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-H1: DBRS Cuts Rating on 2 Tranches to Csf ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2017-H1 issued by Morgan Stanley Capital I Trust 2017-H1 as follows: -- Class E-RR to BB (low) (sf) from BB (sf) -- Class F-RR to CCC (sf) from B (low) (sf) -- Class G-RR to C (sf) from CCC (sf) -- Class H-RR to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at BB (high) (sf) -- Class X-A at AAA (sf) -- Class X-B at BBB (high) (sf) -- Class X-D at BBB (low) (sf) Morningstar DBRS changed the trend on Class E-RR to Stable from Negative. There are no trends for Classes F-RR, G-RR, and H-RR, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. All other classes have Stable trends. The credit rating downgrades reflect Morningstar DBRS' increased liquidated loss projections since the previous credit rating action in September 2024. Morningstar DBRS downgraded Classes C, D, E, and X-E as part of its prior credit rating action, primarily as a result of projected liquidated losses of $15.6 million tied to One Presidential (Prospectus ID#13; 3.0% of the current pool), a real estate owned suburban office property outside of Philadelphia. At that time, Morningstar DBRS also changed the trend to Negative from Stable for Classes B, C, D, X-B, and X-D, and trend on Classes E-RR and F-RR are Negative, citing the potential of further value deterioration for that loan and a select number of other underperforming loans. Morningstar DBRS noted concerns surrounding the other specially serviced loans at the time, including Selig Portfolio (Prospectus ID#8; 4.5% of the current pool balance) and Magnolia Hotel Denver (Prospectus ID#9; 3.6% of the pool balance), borrowers of both loans were amid loan modification negotiations. Since then, the Magnolia Hotel Denver transferred back to the master servicer in December 2024 following a loan modification, terms of which included an equity injection from the borrower, increased interest rates, and maturity date extension through May 2026. In the analysis for this review, Morningstar DBRS considered liquidation scenarios for Selig Portfolio and One Presidential, two of the three loans currently in special servicing, based on a haircut to the most recent appraisal values. Selig Portfolio was re-appraised for $149.8 million as of February 2025 and One Presidential was re-appraised at $18.3 million as of April 2025; this compares with the issuance appraised values of $335.3 million and $50.3 million, respectively. The resulting combined losses of $44.6 million fully erode the balances of Class J-RR and H-RR, and partially erode Class G-RR, significantly reducing the credit enhancement for the junior bonds. Outside of the loans in special servicing, Morningstar DBRS has identified six other loans, representing 16.8% of the pool balance, primarily backed by office properties, that continue to exhibit performance declines. Excluding the defeased loans, the pool is most concentrated by office properties, which represent 37.7% of the pool balance. Where applicable, Morningstar DBRS increased the POD penalty and/or stressed LTVs for loans exhibiting increased risks from issuance. The resulting weighted-average (WA) expected loss (EL) for these loans is almost three times the pool's WA EL. Morningstar DBRS notes the credit deterioration and increased term default risk in the pool are reflected in its current credit ratings, thereby supporting the trend change to Stable from Negative on Class E-RR. The credit rating confirmations reflect the otherwise stable performance of the remainder of the transaction, as exhibited by the pool's WA debt service coverage ratio (DSCR) of approximately 1.84 times (x) and a WA debt yield of 12.1% based on the most recent year-end financials. As of the August 2025 remittance, 51 of the original 58 loans remain in the trust, with an aggregate balance of $910.5 million, representing a collateral reduction of 16.5% since issuance. There are eight fully defeased loans, representing 7.3% of the current pool balance. Thirteen loans, representing 26.4% of the current pool balance, are being monitored on the servicer's watchlist primarily for performance-related concerns. Morningstar DBRS' loss expectations are primarily driven by the largest loan in special servicing, Selig Portfolio, which is secured by seven office buildings totaling 1.1 million square feet in Seattle. The subject loan of $41.9 million represents a pari passu portion of a $239.0 million whole loan, with the additional senior notes secured in the GSMS 2014-GC22 (also rated by Morningstar DBRS) and CGCMT 2014-GC23 (not rated by Morningstar DBRS) transactions. The loan transferred to the special servicer in March 2024 for an imminent maturity default and subsequently missed its May 2024 maturity date. The borrower failed to execute multiple previously agreed loan modifications and as per the most recent servicer commentary, a receiver was appointed in March 2025 and title is expected in August 2025. Occupancy has been declining in recent years, most recently reported at 47.1% according to the August 2025 rent roll, down from the issuance occupancy rate of 85.4%. There is upcoming tenant rollover concern with leases totaling 17.4% of the net rentable area scheduled to expire by YE2026. According to Reis, office properties in the Central Seattle submarket reported an average vacancy rate of 23.4% as of Q2 2025, an increase from the Q2 2024 figure of 19.3%. Given the rollover risk, softening submarket fundamentals, and generally challenged office landscape in Seattle, Morningstar DBRS applied a conservative haircut of 30.0% to the most recent appraised value in its liquidation scenario, resulting in implied losses are $25.4 million or a loss severity of 62%. 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 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 rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM6: DBRS Finalizes Bsf Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-NQM6 (the Certificates) issued by Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6 (the Issuer) as follows: -- $294.9 million Class A-1 at AAA (sf) -- $255.9 million Class A-1-A at AAA (sf) -- $39.0 million Class A-1-B at AAA (sf) -- $23.4 million Class A-2 at AA (high) (sf) -- $36.5 million Class A-3 at A (sf) -- $14.2 million Class M-1 at BBB (sf) -- $7.4 million Class B-1 at BB (high) (sf) -- $8.6 million Class B-2 at B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 24.35% of credit enhancement provided by the subordinated Certificates. The AA (high) (sf), A (sf), BBB (sf), BB (high) (sf), and B (sf) credit ratings reflect 18.35%, 9.00%, 5.35%, 3.45%, 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 the Certificates. The Certificates are backed by 821 loans with a total principal balance of approximately $389,847,818 as of the Cut-Off Date (August 1, 2025). The pool is, on average, three months seasoned with loan ages ranging from one to 24 months. The Mortgage Loan Seller originated approximately 12.0% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-Off Date, from Hometown Equity Mortgage, LLC, and 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 72.5% and 25.8% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 35.9% of the loans by balance are designated as non-QM. Approximately 56.0% 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 7.7% of the pool is designated as QM Safe Harbor, and there are 0.4% QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (1) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3, and Class XS Certificates; or (2) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of Class XS may, at its option, on or after the earlier of (1) the payment date in August 2028 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on Class A-1-A then Class A-1-B followed by a reduction of the Class A-1-A then Class A-1-B Certificate balances (IIPP), before an allocation of interest then principal to Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-2 and Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1-A, A-1-B, A-2, A-3, M-1 and B1. Of note, the Class A-1-A, A-1-B, A-2, and A-3 Certificate 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, A-1-B, A-2, and A-3 Certificate Cap Carryover Amounts. Natural Disasters/Wildfires: The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the transaction's final 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 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 reviews. 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 for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1-A, A-1-B, 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. OAKTREE CLO 2025-31: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings Oaktree CLO 2025-31 Ltd./Oaktree CLO 2025-31 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree Capital Management L.P. The 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. Rating Assigned Oaktree CLO 2025-31 Ltd. Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.00 million: NR NR--Not rated. OCTAGON 78: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 78, Ltd. Entity/Debt Rating ----------- ------ Octagon 78, Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Octagon 78, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.57, 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 97.43% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.58% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 78, 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. OCTAGON INVESTMENT 26: S&P Lowers Class E-R Notes Rating to B-(sf) ------------------------------------------------------------------ S&P Global Ratings took various rating actions on 18 classes of notes from three broadly syndicated CLO transactions: Voya CLO 2013-2 Ltd., Carlyle Global Market Strategies CLO 2014-4-R Ltd., and Octagon Investment Partners 26 Ltd. The ratings actions include 11 upgrades, one downgrade, and six affirmations. At the same time, S&P removed seven of the raised ratings from CreditWatch, where they were placed with positive implications on Aug. 11, 2025, due to a combination of paydowns and indicative cash flow results at that time; and removed the lowered rating from CreditWatch negative, where it was placed on Aug. 11, 2025. The rating actions follow S&P's review of each transaction's performance using data from their respective trustee reports. In its review, S&P analyzed each transaction's performance and cash flows and applied its global corporate CLO criteria. The transactions have all exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. The upgrades primarily reflect an increase in the credit support, while the downgrade reflects a decline in credit support at the prior rating level. 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 the rated outstanding classes all 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, we also incorporate other considerations into our decision to raise, lower, affirm, 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. Meanwhile, the downgrade primarily reflects 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. See the table below for the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings list Rating Issuer Class CUSIP To From Voya CLO 2013-2 Ltd. A-1-R 92916WAA7 AAA (sf) AAA (sf) Main rationale: Cash flows pass at the current rating level. Voya CLO 2013-2 Ltd. A-2a-R 92916WAC3 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Voya CLO 2013-2 Ltd. A-2b-R 92916WAE9 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Voya CLO 2013-2 Ltd. B-R 92916WAG4 AA+ (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Voya CLO 2013-2 Ltd. C-R 92916WAJ8 BBB+ (sf) BBB- (sf) Main rationale: Senior note paydowns, overcollateralization (O/C) improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, which aligns with the raised rating, as well as the results of additional sensitivity analyses S&P ran to consider the exposures to both 'CCC'/'CCC-' rated assets and assets trading at low market values. Voya CLO 2013-2 Ltd. D-R 92916YAA3 BB- (sf) B+ (sf) Main rationale: Rating raised back to its original rating due to passing cash flows and increase in credit support. Voya CLO 2013-2 Ltd. E-R 92916YAC9 CCC+ (sf) CCC+ (sf) Main rationale: S&P said, "We believe this class still aligns with our definition of 'CCC' and depends on favorable business, financial, and economic conditions to meet its financial commitment. Although the cash flow results pointed to a lower rating, we affirmed the rating based on the current credit support and the CLO's relatively low exposure to 'CCC'/'CCC-' rated obligors. At this time, we did not downgrade this class to 'CC' because we don't consider its default to be virtually certain." Carlyle Global Market Strategies CLO 2014-4-R, Ltd. A-1A 14316CAC7 AAA (sf) AAA (sf) Main rationale: Cash flows pass at the current rating level. Carlyle Global Market Strategies CLO 2014-4-R, Ltd. A-2 14316CAG8 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Carlyle Global Market Strategies CLO 2014-4-R, Ltd. B 14316CAJ2 AA+ (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Carlyle Global Market Strategies CLO 2014-4-R, Ltd. C 14316CAL7 BBB (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. S&P said, "Although our base-case analysis indicated a one notch higher rating, our rating action considered the class's credit enhancement (which aligns with the upgraded rating), as well as the low cushion in the results of additional sensitivity analyses we ran to consider the exposures to both 'CCC'/'CCC-' rated assets and assets trading at low market values." Carlyle Global Market Strategies CLO 2014-4-R, Ltd. D 14314TAA6 B+ (sf) B+ (sf) Main rationale: Cash flows pass at the current rating level. Carlyle Global Market Strategies CLO 2014-4-R, Ltd. E 14314TAB4 CCC+ (sf) CCC+ (sf) Main rationale: S&P said, "We believe this class still aligns with our definition of 'CCC' and depends on favorable business, financial, and economic conditions to meet its financial commitment. Although the cash flow results pointed to a lower rating, we affirmed this tranche's rating based on the current credit support and the CLO's relatively low exposure to 'CCC'/'CCC-' rated obligors. At this time, we did not downgrade this class to 'CC' as we don't consider its default to be virtually certain." Octagon Investment Partners 26 Ltd. A-1-R 67590YAL4 AAA (sf) AAA (sf) Main rationale: Cash flows pass at the current rating level. Octagon Investment Partners 26 Ltd. B-R 67590YAQ3 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Octagon Investment Partners 26 Ltd. C-R 67590YAS9 AA+ (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, increase in credit support, and passing cash flows. Octagon Investment Partners 26 Ltd. D-R 67590YAU4 BBB (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. S&P said, "Although our base-case analysis indicated a one notch higher rating, our rating action considered the credit enhancement, which aligns with the upgraded rating, as well as the low cushion in the results of the additional sensitivity analyses we ran to consider the exposures to both 'CCC'/'CCC-' rated assets and assets trading at low market values." Octagon Investment Partners 26 Ltd. E-R 675714AE9 B- (sf) B+ (sf)/Watch Neg Main rationale: Decline in credit support and failing cash flows at the previous rating level. S&P said, "Our rating action considered the existing level of credit enhancement, which aligns with the 'B- (sf)' rating. We don't believe this tranche aligns with our definition of 'CCC', and it is not dependent on favorable business, financial, and economic conditions to meet its financial commitment." OPORTUN FUNDING 2022-1: DBRS Confirms BB(low) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed the outstanding credit rating from Oportun Funding 2022-1. Debt Rating Action ---- ------ ------ Class C Notes BB(low) (sf) Confirmed The credit rating action is based on the following analytical considerations: -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit rating. -- As of the August 25, 2025 payment date, the current cumulative net loss (CNL) is 16.02%. The initial expected CNL was 8.63%. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The credit rating action is the result of performance to date, Morningstar DBRS' assessment of future performance assumptions, and the increasing levels of credit enhancement. -- 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. 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. OPORTUN ISSUANCE 2025-C: Fitch Gives 'BB-sf' Rating on Class E Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the ABS issued by Oportun Issuance Trust 2025-C (OPTN 2025-C). Entity/Debt Rating Prior ----------- ------ ----- Oportun Issuance Trust 2025-C 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 BB-sf New Rating BB-(EXP)sf Transaction Summary OPTN 2025-C is backed by a revolving pool of fixed-rate fully amortizing secured and unsecured consumer loans originated by Oportun Financial Corporation (Oportun) or its affiliates, as well as through certain third-party originators, with the loans then sold to Oportun. Oportun is the sponsor of the transaction. OPTN 2025-C is Oportun's 26th term securitization and the second to be rated by Fitch. Since assigning the expected ratings, the size of the OPTN 2025-C receivables pool was increased along with the size of note balances. This did not alter the pool composition, which remains consistent. The increase in pool balance and note balance did not materially alter the absolute level of credit enhancement. Overall, these updates did not affect the assigned ratings, which remain unchanged from the expected ratings. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) Vantage score for OPTN 2025-C is 664, with approximately 3.1% of the pool consisting of borrowers without a Vantage score, reflecting Oportun's focus on serving customers with limited or no credit history. The pool consists of 66.2% renewal loans, which is the lowest composition for such loans since OPTN 2022-A. The proportion of secured loans in the securitized trusts has increased steadily, with the OPTN 2025-B pool exhibiting the highest percentage to date at 8.9%. The current OPTN 2025-C pool consists of 7.8% secured loans, which is lower than the previous transaction, but higher than all earlier transactions. The WA contract rate of the loans is 27.5%, lower than in the prior 2025-B transaction. Rewritten loans account for 0.3% of the pool. However, this share can increase to as high as 4.5% of the pool during a revolving period. A rewritten loan is a one-time rewrite offered by Oportun to severely delinquent borrowers who have experienced a long-term financial hardship. A rewritten loan is essentially a new loan document with a principal balance equal to the balance of the original loan while the original loan is paid off. Elevated But Improving Performance Trends: Oportun's managed portfolio experienced a notable increase in default rates for loans originated in 2021 and 2022, compared to previous years, attributed to new borrowers originated through online aggregators along with a deterioration in the broader unsecured consumer loan market. In response, the company implemented significant underwriting changes in 3Q22, which led to a material improvement in default rates. However, despite this improvement, default rates remain higher than historical levels. Based on the current composition of loans as of the statistical calculation date, Fitch's default assumption for the OPTN 2025-C pool is 14.3%. However, a base case default assumption of 15.23% was assigned to the worst case portfolio to account for the revolving nature of the pool and is used in analysis until the end of the revolving period. The 15.23% base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the U.S. labor market. The base case default assumption was established using Oportun's historical performance data since 2019. However, Fitch focused on vintages since 2023 as relevant comparative years due to the significant underwriting changes undertaken by the company. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 62.49%, 37.79%, 22.84%, 9.39%, and 2.58% of the initial pool balance for the class A, B, C, D, and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 4.65x the base case default rate for the 2025-C series. The stress multiples decrease proportionally between the "median" and "low" multiple range for lower rating levels as described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history, exposure to changing economic conditions from higher loan terms and the length of the revolving period, which exposes the trust to the potential for performance degradation due to negative pool migration. Assurance for True Lender Status for Partner Bank-Loan Origination: Oportun's securitization transactions involve consumer loans originated by Oportun, Inc. and its partner bank, Pathward, N.A. (Pathward), a national bank. The bank's true lender status in the context of Oportun's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Oportun, rather than Pathward, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for OPTN 2025-C, which reduces exposure to such loans by adherence to certain usury limits. Fitch also performed an operational risk review and deemed Oportun's compliance, legal and operational capabilities acceptable to meet consumer protection regulations, along with the unique aspects of its loan products, such as an overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: PF Servicing, LLC (PF Servicing), a wholly owned subsidiary of Oportun, is the servicer of the receivables. The servicer has an acceptable track record of servicing consumer loans. In addition, Systems & Services Technologies, Inc. is the named backup servicer, which also has an acceptable record of servicing consumer loans, reducing servicing disruption. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption an additional 10%, 25%, and 50%, and examining rating implications. These increases of the base-case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flow and loss coverage levels over the life of the investments under higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Increased default base case by 10%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'; Increased default base case by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'Bsf'/'NRsf'; Reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 25%: 'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'BB-sf'; Reduced recovery base case by 50%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AA-sf'/'A-sf'/'BBBs-f'/'BBsf'/'Bsf'; Increased default base case by 50% and reduced recovery base case by 50%: 'Asf'/'BBBsf'/'BB+sf'/'Bsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% lower than the projected base-case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ORIGEN MANUFACTURED 2002-A: S&P Raises M-2 Notes Rating to 'CCC+' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on five classes from Green Tree Financial Corp. Manufactured Housing Trust 1996-4, 1996-5, and 1997-4, Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs Series 2002-A, and Origen Manufactured Housing Contract Trust Collateralized Notes 2007-B. S&P also affirmed its ratings on one class from Green Tree Financial Corp. Manufactured Housing Trust 1997-6. The transactions are backed by collateral pools of manufactured housing loans that are currently serviced by Shellpoint Mortgage Servicing (a division of Newrez LLC). S&P said, "The rating actions reflect each transaction's collateral performance to date, our expectations regarding future collateral performance, the transactions' growth in credit enhancement levels, our lowered expected remaining losses, the estimated time horizon for the notes to be paid in full, and other credit factors, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment." Table 1 Collateral performance (%) As of the July 2025 Distribution Date Pool Current 60+ day Series Mo. factor CNL delinq.(i) Green Tree 1996-4 350 0.35 17.22 5.66 Green Tree 1996-5 349 0.42 17.45 10.75 Green Tree 1997-4 337 0.82 18.04 3.10 Green Tree 1997-6 334 0.91 17.61 3.44 Origen 2002-A 279 3.77 29.61 5.60 Origen 2007-B 213 2.46 16.80 3.22 (i)Aggregate 60-plus-day delinquencies as a percentage of the current pool balance. Mo.--Month. CNL--Cumulative net loss. Delinq.--Delinquencies. Green Tree--Green Tree Financial Corp. Manufactured Housing Trust. Origen 2002-A--Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs Series 2002-A. Origen 2007-B--Origen Manufactured Housing Contract Trust Collateralized Notes 2007-B. Table 2 CNL expectations for Green Tree Financial Corp. Manufactured Housing Trust transactions (%) Prior revised Revised lifetime Series lifetime CNL exp.(i) CNL exp.(ii) 1996-4 17.40-17.60 Up to 17.35 1996-5 17.65-17.85 Up to 17.60 1997-4 18.40-18.60 Up to 18.25 1997-6 17.75-18.25 Up to 17.90 (i)As of August 2024. (ii)As of August 2025. CNL--Cumulative net loss. CNL— exp.--CNL expectations. Table 3 CNL expectations for Origen Manufactured Housing transactions (%) Prior revised Revised lifetime Series lifetime CNL exp.(i) CNL exp.(ii) 2002-A 31.00-31.50 30.50-31.00 2007-B 17.75-18.25 Up to 17.00 (i)As of August 2024. (ii) As of August 2025. CNL--Cumulative net loss. CNL-- exp.--CNL expectations. S&P said, "The raised and affirmed ratings reflect our view that hard credit support, as a percentage of the amortizing pool balance compared with our expected remaining losses, is commensurate with the respective ratings. "As defined in our criteria, 'CCC+ (sf)', 'CCC (sf)', and 'CCC- (sf)' ratings reflect our view that the related classes are vulnerable to nonpayment and are dependent upon favorable business, financial, and economic conditions in order to be paid interest and/or principal according to the terms of each transaction. Additionally, the 'CC (sf)' ratings reflect our view that the related classes remain virtually certain to default." RATINGS RAISED Green Tree Financial Corp. Manufactured Housing Trust Rating Series Class To From 1996-4 M-1 BB+ (sf) CCC (sf) 1996-5 M-1 BB (sf) CCC (sf) 1997-4 M-1 BB (sf) CCC (sf) Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs Series 2002-A Class To From M-2 CCC+ (sf) CCC (sf) Origen Manufactured Housing Contract Trust Collateralized Notes 2007-B Class To From A A- (sf) B (sf) RATING AFFIRMED Green Tree Financial Corp. Manufactured Housing Trust Series Class Rating 1997-6 M-1 CCC-(sf) PALMER SQUARE 2024-2: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------------- DBRS Ratings Limited (Morningstar DBRS) took the following the credit rating actions on the notes issued by Palmer Square European Loan Funding 2024-2 DAC (the Issuer) as follows: -- Class A Notes confirmed at AAA (sf) -- Class B Notes upgraded to AA (high) (sf) from AA (sf) -- Class C Notes upgraded to A (high) (sf) from A (sf) -- Class D Notes confirmed at BBB (sf) -- Class E Notes confirmed at BB (sf) The credit ratings on the Class A Notes and the Class B Notes address the timely payment of interest and ultimate payment of principal by the legal final maturity date. The credit ratings on the Class C Notes, the Class D Notes, and the Class E Notes address the ultimate payment of principal and interest by the final maturity date in May 2034. CREDIT RATING RATIONALE The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of defaults, as of 5 August 2025 (corresponding to the August 2025 payment date); -- Weighted average risk score (WARS) and recovery rate assumptions on the remaining pool of collateral debt obligations. -- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels at the August 2025 payment date. -- No event of default has occurred. The Issuer is a static cash flow collateralised loan obligation (CLO) transaction collateralised by a EUR 625 million portfolio of primarily floating-rate senior-secured loans and bonds to high-yield corporate borrowers based in Europe, the United States, and Canada. Palmer Square Europe Capital Management LLC acts as the Servicer. The Issuer is allowed to sell assets under certain conditions and is not allowed to reinvest proceeds into acquiring new collateral debt obligations other than those arising from refinancing or restructuring of collateral debt obligations already in the portfolio that meet certain criteria, so called Loss Mitigation Obligations (LMOs). Deferral of interest payments on the Class C, Class D, and Class E Notes and accelerated repayment of the rated notes are subject to coverage tests. The legal final maturity date is on 15 May 2034. Optional redemption of the rated notes is permitted from 11 September 2025. PORTFOLIO PERFORMANCE As of August 5, 2025, there were no LMOs, Bankruptcy Exchanges, Defaulted Obligations, Credit Impaired Obligations or Restructured Obligations. Senior secured loans represented the majority of the portfolio, at 93.1% of the collateral balance, up from 91.0% at closing, including 2.4% of cov-lite loans, down from 3.5% at closing. The remaining consisted of high-yield secured bonds (5.7%, down from 7.5% at closing) and high-yield unsecured bonds (1.2%, down from 1.5% at closing). Morningstar DBRS evaluated the credit risk of the portfolio with a WARS of 22.0%, up from 21.7% at closing. Despite a mild increase in the WARS, the portfolio credit quality has remained stable, in line with a B credit risk level. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS evaluated the credit risk of the portfolio with a WARS of 22.0%, up from 21.7% at closing. Morningstar DBRS also updated its recovery rate at the B (sf) credit rating level to 75.3% from 74.8% at closing. The increase in the recovery rate is driven by the increased proportion of senior secured loans. CREDIT ENHANCEMENT CE to the notes consists of overcollateralisation. As of the August 2025 payment date, CE to the rated notes increased as follows compared to closing: -- CE to the Class A to 36.5% from 32.0%; -- CE to the Class B to 24.1% from 21.3%; -- CE to the Class C to 18.0% from 16.0%; -- CE to the Class D to 12.7% from 11.4%; and -- CE to the Class E to 7.7% from 7.0%. The upgrade on the Class B and Class C notes is driven by the transaction deleverage. As of the August 2025 payment date, the coverage tests were met; there has not been any acceleration of the principal repayment of the rated notes, nor an interruption of the interest payments on the Class C, Class D, and Class E Notes since closing. As of the August 2025 payment date, the ratio of the aggregate collateral balance to the outstanding balance of the Class A Notes was 152.8%, above the 102.5% threshold, which, if not met, constitutes an event of default. At closing, the transaction benefited from an interest reserve of EUR 5.6 million, which was fully used on the first payment date. As of the August 2025 payment date, the Interest Smoothing Account and Expense Reserve Account remained unfunded. Citibank N.A., London Branch (Citibank London) acts as the account bank for the transaction. Based on the Morningstar DBRS private credit rating of Citibank London, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. 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 transaction's 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. PALMER SQUARE 2025-4: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2025-4 Ltd./Palmer Square CLO 2025-4 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The preliminary ratings are based on information as of Aug. 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Palmer Square CLO 2025-4 Ltd./Palmer Square CLO 2025-4 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $3.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $35.0 million: NR NR--Not rated. PMT LOAN 2025-J2: DBRS Finalizes B(low) Rating on Cl. B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-J2 (the Notes) to be issued by PMT Loan Trust 2025-J2 (PMTLT 2025-J2 or the Trust) as follows: -- $255.4 million Class A-1 at AAA (sf) -- $255.4 million Class A-2 at AAA (sf) -- $172.4 million Class A-3 at AAA (sf) -- $172.4 million Class A-4 at AAA (sf) -- $83.0 million Class A-5 at AAA (sf) -- $83.0 million Class A-6 at AAA (sf) -- $103.4 million Class A-7 at AAA (sf) -- $103.4 million Class A-8 at AAA (sf) -- $129.3 million Class A-9 at AAA (sf) -- $129.3 million Class A-10 at AAA (sf) -- $83.0 million Class A-11 at AAA (sf) -- $83.0 million Class A-11X at AAA (sf) -- $137.9 million Class A-12 at AAA (sf) -- $137.9 million Class A-13 at AAA (sf) -- $25.9 million Class A-14 at AAA (sf) -- $25.9 million Class A-15 at AAA (sf) -- $8.6 million Class A-16 at AAA (sf) -- $8.6 million Class A-17 at AAA (sf) -- $34.5 million Class A-18 at AAA (sf) -- $34.5 million Class A-19 at AAA (sf) -- $34.5 million Class A-20 at AAA (sf) -- $34.5 million Class A-21 at AAA (sf) -- $43.1 million Class A-22 at AAA (sf) -- $43.1 million Class A-23 at AAA (sf) -- $68.9 million Class A-24 at AAA (sf) -- $68.9 million Class A-25 at AAA (sf) -- $33.0 million Class A-26 at AA (high) (sf) -- $33.0 million Class A-27 at AA (high) (sf) -- $33.0 million Class A-28 at AA (high) (sf) -- $288.4 million Class A-29 at AA (high) (sf) -- $194.7 million Class A-30 at AA (high) (sf) -- $288.4 million Class A-31 at AA (high) (sf) -- $255.4 million Class A-32 at AAA (sf) -- $33.0 million Class A-33 at AA (high) (sf) -- $288.4 million Class A-X1 at AA (high) (sf) -- $172.4 million Class A-X4 at AAA (sf) -- $83.0 million Class A-X5 at AAA (sf) -- $83.0 million Class A-X6 at AAA (sf) -- $103.4 million Class A-X8 at AAA (sf) -- $129.3 million Class A-X10 at AAA (sf) -- $137.9 million Class A-X13 at AAA (sf) -- $25.9 million Class A-X15 at AAA (sf) -- $8.6 million Class A-X17 at AAA (sf) -- $34.5 million Class A-X19 at AAA (sf) -- $34.5 million Class A-X21 at AAA (sf) -- $68.9 million Class A-X25 at AAA (sf) -- $33.0 million Class A-X26 at AA (high) (sf) -- $33.0 million Class A-X27 at AA (high) (sf) -- $33.0 million Class A-X28 at AA (high) (sf) -- $194.7 million Class A-X30 at AA (high) (sf) -- $255.4 million Class A-X32 at AAA (sf) -- $33.0 million Class A-X33 at AA (high) (sf) -- $2.1 million Class B-1 at AA (low) (sf) -- $5.0 million Class B-2 at A (low) (sf) -- $2.1 million Class B-3 at BBB (low) (sf) -- $1.2 million Class B-4 at BB (low) (sf) -- $450.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-3A Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-X1, A-X5, A-X6, A-X8, A-X15, A-X17, A-X21, A-X27, A-X28, A-X32, and A-X33 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-12, A-13, A-14, A-16, A-18, A-19, A-20, A-22, A-23, A-24, A-25, A-26, A-27, A-29, A-30, A-31, A32, A-33, A-X4, A-X5, AX6, A-X10, A-X13, A-X19, A-X25, A-X26, A-X30, A-X32 and A-X33 are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22, A-23, A-24, A-25 and A-32 are super-senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-26, A-27, A-28, and A-33) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 15.00% of credit enhancement provided by subordinated Notes. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 4.00%, 3.30%, 1.65%, 0.95%, 0.55%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. PMTLT 2025-J2 represents a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Notes. The Notes are backed by 226 loans with a total principal balance of $300,418,378 as of the Cut-Off Date (August 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The WA original combined loan-to-value ratio for the portfolio is 70.4%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule subject to the average prime offer rate designation. PennyMac Corp. (PennyMac; the Servicer) originated and will service all the mortgage loans. Citibank, N.A. will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or until the Servicer or Fiscal Agent deems such P&I advances to be unrecoverable (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes; -- Well-qualified borrowers; -- Satisfactory third-party due diligence review; -- Structural enhancements; and -- 100% current loans. The transaction also includes the following challenges: -- Limited securitization and performance history; -- A representations and warranties framework; -- Limited advances of delinquent P&I; and -- The servicing administrator's financial capabilities. 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, Interest Shortfall, and Debt Amount. 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. PMT LOAN 2025-J2: Moody's Assigns (P)Ba3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 58 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-J2, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (70.1% by balance) and GSE-eligible (29.9% by balance) residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3A Loans, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aa1 (sf) Cl. A-27, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X5*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X13*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X17*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aa1 (sf) Cl. A-X27*, Assigned (P)Aa1 (sf) Cl. A-X28*, Assigned (P)Aa1 (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aaa (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)Ba3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.24%, in a baseline scenario-median is 0.09% and reaches 4.31% 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 "US Residential Mortgage-backed Securitizations" published in August 2025. 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. POPULAR ABS 2005-6: Moody's Hikes Rating on Cl. A-5 Certs to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class A-5 issued by Popular ABS Mortgage Pass-Through Trust 2005-6. 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 is as follows: Issuer: Popular ABS Mortgage Pass-Through Trust 2005-6 Cl. A-5, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating action reflects the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, Moody's updated loss expectation on the underlying pool and Moody's revised loss-given-default expectation for each bond. The bond 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 action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PREFERRED TERM XX: Moody's Ups Rating on $42.85MM Cl. C Notes to B2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XX, Ltd.: US$84,600,000 Floating Rate Class A-2 Senior Notes due 2038 (current balance of $76,512,990), Upgraded to Aa1 (sf); previously on June 13, 2022 Upgraded to Aa2 (sf) US$75,500,000 Floating Rate Class B Mezzanine Notes due 2038 (current balance of $68,282,869), Upgraded to A3 (sf); previously on June 13, 2022 Upgraded to Baa2 (sf) US$42,850,000 Floating Rate Class C Mezzanine Notes due 2038 (current balance of $41,144,462), Upgraded to B2 (sf); previously on June 13, 2022 Upgraded to B3 (sf) Preferred Term Securities XX, Ltd., issued in December 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, insurance and REIT trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio in the past year. The Class A-1 notes have paid down by approximately $10 million since August 2024, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-2, Class B and Class C notes have improved to 181.9%, 127.0% and 107.4%, respectively, from levels of 177.1%, 125.9% and 107.2%, respectively, a year ago. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1095 from 1150 as of a year ago. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $287 million Defaulted/deferring par: $42 million Weighted average default probability: 9.63% (implying a WARF of 1095) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-1 notes because its expected loss remains commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. 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 portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PREFERRED TERM XXVIII: Moody's Hikes Rating on 2 Tranches to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXVIII, Ltd.: US$45,700,000 Floating Rate Class A-2 Senior Notes Due March 22, 2038 (current balance of $38,524,807.88), Upgraded to Aaa (sf); previously on October 31, 2022 Upgraded to Aa1 (sf) US$44,400,000 Floating Rate Class B Mezzanine Notes Due March 22, 2038 (current balance of $37,428,916.17), Upgraded to A1 (sf); previously on October 31, 2022 Upgraded to A2 (sf) US$36,000,000 Floating Rate Class C-1 Mezzanine Notes Due March 22, 2038 (current balance of $$31,363,055.19), Upgraded to Ba1 (sf); previously on October 31, 2022 Upgraded to Ba3 (sf) US$8,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due March 22, 2038 (current balance of $6,969,568.28) Upgraded to Ba1 (sf); previously on October 31, 2022 Upgraded to Ba3 (sf) Preferred Term Securities XXVIII, Ltd., issued in November 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios over the past year. The Class A-1 notes have paid down by approximately 24.72% or $9.21 million since August 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Senior Coverage Test, Class B notes and Class C notes have improved to 262.02%, 167.72% and 122.55%, respectively, from August 2024 levels of 240.2%, 160.5% and 119.8%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $174.4 million Defaulted par: $40.5 million Weighted average default probability: 11.51% (implying a WARF of 1242) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios includes, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class A-1 notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. 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 portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. RCKT MORTGAGE 2025-CES8: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES8 (RCKT 2025-CES8). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES8 A-1A LT AAAsf New Rating AAA(EXP)sf A1-B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 7,858 closed-end second lien (CES) loans, with a total balance of approximately $698 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure, in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(sf)' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.9% above a long-term sustainable level, compared with 11.0% on a national level as of 1Q25, down 0.5% QoQ. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 2.3% YoY nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 7,858 loans totaling approximately $698 million and seasoned at about three months in aggregate, as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 743, a debt-to-income ratio (DTI) of 39.4% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 76.9%. Of the pool, 99.4% of the loans are of a primary residence and 0.6% represent investor properties or second homes, and 94.4% of loans were originated through a retail channel. Additionally, 65.0% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 14.1% are higher-priced qualified mortgages (HPQMs). Due to the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180-Day Charge-off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Consolidated Analytics, Inc. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.1% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 24bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES8 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to lower operational risk considering the R&W, transaction due diligence results, as well as originator and servicer quality, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RIN LLC V: Moody's Assigns (P)Ba3 Rating to $8MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CLO refinancing notes to be issued and one class of loans to be incurred by RIN V LLC (the Issuer): US$206,000,000 Class A-1-R Floating Rate Senior Notes due 2036, Assigned (P)Aaa (sf) US$50,000,000 Class A-1-R-L Loans maturing 2036, Assigned (P)Aaa (sf) US$8,000,000 Class A-2-R Floating Rate Senior Notes due 2036, Assigned (P)Aaa (sf) US$40,000,000 Class B-R Floating Rate Senior Notes due 2036, Assigned (P)Aa1 (sf) US$24,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2036, Assigned (P)A2 (sf) US$24,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2036, Assigned (P)Baa3 (sf) US$8,000,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2036, Assigned (P)Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. The Issuer is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted and merchant subsectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of permitted debt securities (senior secured bond, senior secured note, second priority senior secured note and high-yield bond) and second lien loans. The portfolio is approximately 75% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the Portfolio Advisor) 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 three year reinvestment period. Thereafter, reinvestment in assets is not permitted after the reinvestment period. In addition to the issuance of the Refinancing Debt, 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 applying the Monte Carlo simulation framework in Moody's CDOROM(TM), as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in 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 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1600 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2600 Weighted Average Spread (WAS): 2.49% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.7% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.8% Weighted Average Life (WAL): 8.0 years Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 61.0% B2 Default Probability Rating Obligations: 17.00% B3 Default Probability Rating Obligations: 10.00% Project Finance Infrastructure Obligors: 50.00% Methodology Underlying the Rating Action: The methodologies used in these ratings were "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. RIN V LLC: Moody's Assigns Ba3 Rating to $8MM Class E-R Notes ------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes issued and one class of loans incurred by RIN V LLC (the Issuer): US$206,000,000 Class A-1-R Floating Rate Senior Notes due 2036, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class A-1-R-L Loans Notes maturing 2036, Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-2-R Floating Rate Senior Notes due 2036, Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B-R Floating Rate Senior Notes due 2036, Definitive Rating Assigned Aa1 (sf) US$24,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2036, Definitive Rating Assigned A2 (sf) US$24,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2036, Definitive Rating Assigned Baa3 (sf) US$8,000,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2036, Definitive Rating Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. The Issuer is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted and merchant subsectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of permitted debt securities (senior secured bond, senior secured note, second priority senior secured note and high-yield bond) and second lien loans. The portfolio is approximately 95% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the Portfolio Advisor) 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 three year reinvestment period. Thereafter, reinvestment in assets is not permitted after the reinvestment period. In addition to the issuance of the Refinancing Debt, 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 applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in 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 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1600 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2600 Weighted Average Spread (WAS): 2.49% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.7% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.8% Weighted Average Life (WAL): 8.0 years Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 61.0% B2 Default Probability Rating Obligations: 17.00% B3 Default Probability Rating Obligations: 10.00% Project Finance Infrastructure Obligors: 50.00% Methodology Underlying the Rating Action The methodologies used in these ratings were "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. ROCKFORD TOWER 2025-2: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower 2025-2, Ltd. Entity/Debt Rating ----------- ------ Rockford Tower 2025-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Rockford Tower 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Rockford Tower Capital Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.12 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% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.48% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Rockford Tower 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose 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 Finalizes B Rating on B-2 Debt ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Asset-Backed Securities, Series 2025-CES1 (the Notes) issued by SAIF Securitization Trust 2025-CES1 (SAIF 2025-CES1 or the Issuer) as follows: -- $174.6 million Class A-1 at AAA (sf) -- $10.2 million Class A-2 at AA (sf) -- $11.6 million Class A-3 at A (sf) -- $11.6 million Class M-1 at BBB (sf) -- $9.0 million Class B-1 at BB (sf) -- $5.9 million Class B-2 at B (sf) The AAA (sf) credit rating reflects 23.20% of credit enhancement provided by the subordinated notes. The AA (sf), A (sf), and BBB (sf), BB (sf), and 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 The full description of the strengths, challenges, and mitigating factors is detailed in the related report. 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. The associated financial obligations are listed at the end of this Press Release. 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. SARANAC CLO III: Moody's Lowers Rating on $24MM E-R Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Saranac CLO III Limited: US$24,500,000 Class C-R Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on Aug 14, 2024 Upgraded to Aa3 (sf) US$24,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2030, Upgraded to Baa2 (sf); previously on Apr 20, 2022 Upgraded to Ba1 (sf) Moody's have also downgraded the rating on the following notes: US$24,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2030 (current balance $24,092,500.28), Downgraded to Caa3 (sf); previously on Aug 14, 2024 Downgraded to Caa2 (sf) Saranac CLO III Limited, originally issued in August 2014 and refinanced in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in May 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These 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 August 2024. The Class A-LR notes and the A-FR notes have been paid down by approximately 95.5% or $50.4 million and $25.0 million, respectively, since August 2024. Based on Moody's calculations, the Class C-R OC and the Class D-R OC ratios are currently at 164.57% and 123.87%, respectively, versus August 2024 levels of 134.87% and 116.10%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E-R notes is currently at 99.24% versus August 2024 level of 101.92%. Furthermore, Moody's calculated weighted average spread (WAS) and Diversity Score have been deteriorating and the current levels are 3.41% and 35, respectively, compared to 3.52% and 49, respectively, in August 2024. Moody's notes that Moody's calculated OC ratios do not incorporate any haircuts. No actions were taken on the Class A-LR, Class A-FR, and Class B-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $120,172,559 Defaulted par: $2,816,519 Diversity Score: 35 Weighted Average Rating Factor (WARF): 3786 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.41% Weighted Average Recovery Rate (WARR): 46.60% Weighted Average Life (WAL): 2.7 years Par haircut in OC tests and interest diversion test: 6.69% 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. SCULPTOR CLO XXIX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class B-R, C-R, D-1R, D-2R, and E-R debt from Sculptor CLO XXIX Ltd./Sculptor CLO XXIX LLC, a CLO managed by Sculptor CLO Advisors LLC, a subsidiary of Sculptor Capital Management that was originally issued in October 2021 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. 27, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept.3, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original 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 Sculptor CLO XXIX Ltd./ Sculptor CLO XXIX LLC (Refinancing And Extension) Class X-R, $5.00 million: NR Class A-R, $252.00 million: NR Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $20.00 million: BBB (sf) Class D-2R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Subordinated notes, $48.00 million: NR NR--Not rated. STUDENT LOAN 2002: Moody's Downgrades Rating on 7 Tranches to Ba1 ----------------------------------------------------------------- Moody's Ratings has downgraded eight classes of notes for Student Loan Consolidation Center Student Loan Trust I (2002 Indenture) sponsored by Goal Financial LLC. The securitization is backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by US government for a minimum of 97% of defaulted principal and accrued interest. 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: Student Loan Consolidation Center Student Loan Trust I (2002 Indenture) Ser. 2002A-2, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002A-3, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002A-6, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002-2A-9, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002-2A-11, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002-2A-13, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Ser. 2002-2A-15, Downgraded to Ba1 (sf); previously on Oct 10, 2024 Downgraded to Baa2 (sf) Sub. Ser. 2002-2B-2, Downgraded to Ba2 (sf); previously on Oct 10, 2024 Downgraded to Ba1 (sf) RATINGS RATIONALE The rating actions reflects updated performance of the transaction and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. Due to the high utilization of forbearance and Income-based Repayment Plans (IBR) by borrowers, the weighted average remaining term has continued to rise, increasing the risk of the notes not paying down by the legal final maturity date. All the outstanding notes are auction rate securities (ARS), and Moody's analysis also reflects considerations around the issuer's ability to prioritize paydown on auction rate notes depending on parity levels. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "FFELP Student 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 if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the ratings owing to a reduction in credit enhancement. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if Moody's were to downgrade the rating on the United States government. SYMPHONY CLO XVIII: S&P Assigns BB- (sf) Rating on Cl. E-R4 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R4, A-R4, B-R4, C-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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO 2021-2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- TCW CLO 2021-2, Ltd. X-R LT AAAsf New Rating AAA(EXP)sf A-RL LT AAAsf New Rating AAA(EXP)sf A-RN LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-JR LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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 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 23.54 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 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. Date of Relevant Committee August 19, 2025 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. TPG CLO 2025-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TPG CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ TPG CLO 2025-1, Ltd A-1 LT NRsf New Rating A-1N LT NRsf New Rating A-2 LT AAAsf New Rating A-L LT NRsf 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 Transaction Summary TPG CLO 2025-1, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Angelo, Gordon & Co. L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.78% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for TPG CLO 2025-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. UBS COMMERCIAL 2019-C16: Fitch Lowers Rating on F-RR Debt to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 11 classes of UBS Commercial Mortgage Trust 2019-C16 (UBS 2019-C16). Classes E-RR and F-RR have been assigned Negative Outlooks following their downgrades. The Rating Outlook on classes D and D-RR have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- UBS 2019-C16 A-2 90276YAB9 LT AAAsf Affirmed AAAsf A-3 90276YAD5 LT AAAsf Affirmed AAAsf A-4 90276YAE3 LT AAAsf Affirmed AAAsf A-S 90276YAH6 LT AAAsf Affirmed AAAsf A-SB 90276YAC7 LT AAAsf Affirmed AAAsf B 90276YAJ2 LT AA-sf Affirmed AA-sf C 90276YAK9 LT A-sf Affirmed A-sf D 90276YAN3 LT BBB+sf Affirmed BBB+sf D-RR 90276YAQ6 LT BBB-sf Affirmed BBB-sf E-RR 90276YAS2 LT B+sf Downgrade BB+sf F-RR 90276YAU7 LT B-sf Downgrade BB-sf G-RR 90276YAW3 LT CCCsf Downgrade B-sf H-RR 90276YAY9 LT CCsf Downgrade CCCsf X-A 90276YAF0 LT AAAsf Affirmed AAAsf X-B 90276YAG8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.2% compared to 5.1% at the prior rating action. Fitch Loans of Concerns (FLOCs) comprise 13 loans (39.3% of the pool), including three specially serviced loans (12.2%). The downgrades are driven by increased loss expectations primarily from higher expected losses on Dominion Tower (7.4%) due to a higher probability of default given the loan being up to 60 days delinquent in June 2025. The loan is now current. The Negative Outlooks reflect the high concentration of FLOCs and potential for downgrades if performance of the Dominion Tower, as well as the specially serviced loans including the largest loan in the pool, The Colonnade Office Complex (8.0%) continues to decline and/or if additional loans experience performance and value declines. Largest Contributors to Expected Loss: The Dominion Tower loan, secured by a 403,276-sf office building located in Norfolk, VA's central business district, is the largest contributor to overall loss expectations and the largest increase in loss expectations since Fitch's prior rating action. It is a FLOC due to tenant rollover concerns. Per the July 2025 rent roll, the property was 74.2% occupied with lease rollover of 35.4% through 2027: 11.5% in 2025 (15.7% of rent), 14.2% in 2026 (20.4% of rent), and 9.4% in 2027 (12.3% of rent). The top tenant, Trader Interactive, (9.7%; expires in December 2025), was subleasing to CMG CMA (a regional shipping company). The servicer confirmed Trader Interactive will not be renewing its lease and no longer needs the space. As a result, occupancy could fall to 64.5%. The loan was current as of August and July 2025. However, it was 60 days delinquent in June 2025. According to CoStar, comparable properties in the Downtown Norfolk submarket had 21.3% vacancy and 25.9% availability rates and market asking rent of $26.65 compared to 18.1%, 23.2%, and $27.10 at Fitch's prior rating action. The total Downtown Norfolk submarket had 12.4% vacancy and 15.0% availability rates and market asking rent of $24.51 compared to 12.2%, 15.3% and $24.81 at Fitch's prior rating action. Fitch's 'Bsf' rating case loss of 32.7% (prior to concentration add-ons) reflects a 25% stress to the YE 2023 net operating income (NOI) given the high tenant rollover, a 10% cap rate, and elevated probability of default given the delinquency history. Quince Diamond Executive Center (1.4%), a 108,827-sf suburban office property located in Gaithersburg, MD is the second-largest contributor to overall loss expectations. The loan transferred to special servicing in March 2024 for imminent monetary default. As of March 2025, servicer reported occupancy was 42% and DSCR was well below 1.0x. No tenant represents more than 7% NRA. Fitch's 'Bsf' rating case loss of 71.4% (prior to concentration add-ons) is based on a stress to the most recent appraisal, reflecting a Fitch value of approximately $29 psf. The largest loan in the transaction, The Colonnade Office Complex (8.0%), transferred to special servicing in September 2023 for Imminent Monetary Default and did not repay at its February 2024 maturity. The loan is secured by a 1.1 million-sf suburban office in Addison, TX. A receiver was appointed in May 2024 and continues to focus on leasing efforts. The property was a reported 69.8% occupied as of July 2025. The special servicer is currently discussing a potential extension/assumption of the debt with a third party while also exploring taking the asset to market via a receivership sale. Fitch's 'Bsf' rating case loss is nominal, as it is based on the most recent appraisal, which continues to be higher than the outstanding securitized debt. Updated Credit Enhancement: As of the July 2025 remittance report, the transaction has been reduced by 13.6% since issuance. Cumulative interest shortfalls are $473,000, affecting the non-rated class NR-RR; there have been no realized losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued amortization and loan repayments. However, downgrades could occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, are likely with lack of performance stabilization of the FLOCs and/or prolonged workouts and valuation declines of the loans in special servicing. These FLOCs include Dominion Tower, Quince Diamond Executive Center, and The Colonnade Office Complex. Downgrades to classes in the 'Bsf' rated category are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and/or with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur with a greater certainty of losses and/or as losses are realized. 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 improved deal-level loss expectations and sustained performance improvement and stabilization 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 of interest shortfalls. Upgrades to the 'Bsf', 'CCCsf' and 'CCsf' category rated classes are not likely, but would be possible in the later years in a transaction if the performance of the remaining pool is stable, recoveries and/or valuations on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UPGRADE RECEIVABLES 2024-1: DBRS Confirms B Rating on Class E Notes ------------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed five credit ratings from Upgrade Receivables Trust 2024-1. Ratings Debt Rated Rating Action ---------- ------ ------ Class A Notes AA (low) (sf) Confirmed Class B Notes A (low) (sf) Confirmed Class C Notes BBB (low) (sf) Confirmed Class D Notes BB (low) (sf) Confirmed Class E Notes B (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 CNL expectation and the current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple 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. -- 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. 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. UPX HIL 2025-1: Fitch Assigns 'BB-sf' Rating on Class C Notes ------------------------------------------------------------- Fitch Ratings has assigned 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 Cross River Bank, the originating partner bank, via the originating and underwriting platform provided by the Upgrade HI program. 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 Prior ----------- ------ ----- UPX HIL 2025-1 Issuer Trust Class A LT A-sf New Rating A-(EXP)sf Class B LT BBB-sf New Rating BBB-(EXP)sf Class C LT BB-sf New Rating BB-(EXP)sf 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 3.9% 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 ratings of up to 'A-sf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than the initial base case. Fitch models cash flows with the revised default estimates while holding all other modeling assumptions constant. Rating sensitivity to increased base case defaults rates: - Ratings for class A, B and C notes: 'A-sf'/'BBB-sf'/'BB-sf'; - Increased base case default by 10%: 'BBBsf'/'BB+sf'/'B+sf'; - Increased base case default by 25%: 'BBB-sf'/'BBsf'/'Bsf'; - Increased base case default by 50%: 'BB+sf'/'BB-sf'/'CCCsf'. 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. Due to the limitations in historical data, Fitch applies a rating cap at 'Asf' to the transaction. Rating sensitivity to decreased base case defaults rates: - Ratings for class A, B and C notes: 'A-sf'/'BBB-sf'/'BB-sf'; - Decreased base case default by 50%: 'Asf'/'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. VERTICAL BRIDGE 2025-1: DBRS Finalizes BB Rating on Class D Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following Vertical Bridge Secured Tower Revenue Notes, Series 2025-1 (collectively, the Notes) issued by Vertical Bridge CC, LLC (the Issuer): -- $388,000,000, Class A Notes rated AA (sf) -- $68,300,000, Class B Notes rated A (sf) -- $87,000,000, Class C Notes rated BBB (low) (sf) -- $51,800,000, Class D Notes rated BB (sf) The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Stable cash flows with modest growth, since trust inception (VB 2016-2) with consistent Annualized Run Rate Revenue and Annualized Run Rate Net Cash Flow generation over time. The DSCR has also remained stable over time with ample cushion against cash trapping and amortization period triggers. (2) Mission-critical nature of the assets, which are perceived as vital to the continuity of each tenant's operations as well as to the overall daily functioning of the general economy through broadcast/media, telecommunications, technology, and data transmission. (3) The largest tenants, iHeart Media, Inc. (iHeart Media) and, Cumulus Media, have demonstrated the mission-critical nature of cell towers with all of their leases affirmed, and no disruption of lease payments to Vertical Bridge, through their respective bankruptcies. Both companies have emerged with deleveraged balance sheets. (4) High barriers to entry and high historical lease renewal rates. Given significant federal, state, and local regulatory processes required to construct towers, cell tower companies offer telecommunication, radio, and TV operators the most cost-effective means to co-locate on their towers as a favorable alternative to building towers of their own. This has also driven a historically high lease renewal rate of at least 98% as tenants face significant switching costs. (5) Vertical Bridge's market position as the largest private company managing cell towers, combined with its history of portfolio growth and successful tower acquisitions, supports its long-term financial prospects. (6) Morningstar's DBRS operational review of Vertical Bridge as the originator and operator. Morningstar DBRS conducted a telephone operational review of Vertical Bridge and has deemed the company to be an acceptable originator and operator of cell tower leases. (7) Midland Loan Services role as servicer. (8) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date for the class A, class B and class C notes as well as ultimate interest and ultimate principal for the class D notes. -- Morningstar DBRS determination of stabilized net cash flows for the cell tower portfolio, application of a stressed capitalization rate to the portfolio NCF to estimate the portfolio value, and the application of loan-to-value (LTV) ratios against the portfolio value to derive ratings. -- Modest contractual lease escalators and operating expense escalators in the cash flow scenarios in addition to the steep cash flow haircuts applied to stress the largest portfolio concentration; -- 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. (9) The tower sites serve as vital broadcast infrastructure. (10) The structural features of the transaction, such as the cash trap mechanism and amortization period triggers, which help to accelerate the paydown of the Notes balance upon deterioration in the tower portfolio. (11) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Vertical Bridge, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on Class A, Class B, Class C, and Class D Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest and Accrued Note interest, and unpaid principal amount on Class A, Class B, Class C, and Class D Notes, and the Interest on Unpaid Interest on Class D Notes. 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, the related Post-ARD Additional Interest and Interest on Unpaid Interest for Class A, Class B, and Class C Notes, and the Post-ARD Additional Interest on the Class D Notes. 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. VOYA CLO 2025-4: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2025-4, Ltd. Entity/Debt Rating ----------- ------ VOYA CLO 2025-4, LTD. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating D-3 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Voya CLO 2025-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.89, 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 99.92% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.88% 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 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, and 'A-sf' for class D-3 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2025-4, 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. WELLS FARGO 2017-RC1: DBRS Confirms Csf Rating on Class F Certs --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-RC1 issued by Wells Fargo Commercial Mortgage Trust 2017-RC1 as follows: -- 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 AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BB (high) (sf) -- Class X-D at BBB (low) (sf) -- Class E at CCC (sf) -- Class F at C (sf) Morningstar DBRS also changed the trends on Classes B, C, D, X-B, and X-D to Stable from Positive. There are no trends on Classes E and F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. All other classes carry Stable trends. The credit rating confirmations reflect the transaction's overall stable performance since Morningstar DBRS' previous credit rating action in May 2025. The pool continues to exhibit healthy credit metrics as evidenced by the weighted-average debt service coverage ratio (DSCR) of 1.56 times (x) as of the most recent financial reporting available, no loans delinquent or in special servicing, and 12 loans (26.4% of the pool) that are fully defeased. During the May 2025 review, Morningstar DBRS upgraded Classes B, C, D, X-B, and X-D to reflect the increased credit support available to those classes as a result of successful loan repayments coupled with the 11 loans (23.1% of the pool) that were fully defeased at that time. Morningstar DBRS also changed the trends on those same classes to Positive from Stable reflect the overall stable to improving performance of the remaining loans in the pool and increased credit support as result of the aforementioned paydowns. With this review, Morningstar DBRS changed the trends on Classes B, C, D, X-B, and X-D back to Stable from Positive to reflect new concerns about select loans that have reported performance declines since the previous review in May 2025. Where applicable, Morningstar DBRS increased the probability of default (POD) and/or loan-to-value ratios (LTVs) for loans exhibiting performance concerns. Two of the primary contributors were the Palms of Carrollwood (Prospectus ID#11, 4.3% of the pool) and Whitehall Corporate Center VI (Prospectus ID#12, 2.9% of the pool), discussed further below. As of the August 2025 remittance, 52 of the original 60 loans remain in the pool with a trust balance of $428.2 million, representing a collateral reduction of 31.8% since issuance. Outside of the defeased loans, retail-backed loans represent the largest property type concentration, accounting for 25.9% of the current pool balance, followed by multifamily properties at 16.7%. Loans secured by the office property type make up 13.1% of the current pool balance. There are 12 loans, representing 22.1% of the pool balance, on the servicer's watchlist, most of which are being monitored for credit-related reasons such as low DSCR or low occupancy. Palms of Carrollwood is secured by a 167,887-square-foot (sf) anchored retail center in Tampa. The loan is currently on the watchlist for low occupancy, low DSCR, and the bankruptcy of a major tenant, Sam Ash Music Corporation (Sam Ash). Sam Ash, which formerly occupied 14.2% of the net rentable area (NRA), filed for chapter 11 bankruptcy in May 2024 and subsequently closed all remaining stores across 16 states, including the store at the subject. Bed Bath & Beyond (21.4% of the NRA) also vacated ahead of its lease expiry in January 2026, following its own chapter 11 bankruptcy filing in April 2023. As of the March 2025 rent roll, the property was 52.3% occupied, a moderate decline from the YE2023 figure of 62.0% but well below the 88% at YE2021. There is also notable tenant rollover risk, with 15.8% of the NRA having leases scheduled to expire within the next 12 months, including the largest tenant at the property, The Fresh Market (12.5% of the NRA, lease expires May 2026). Despite the declining occupancy and tenant rollover, the March 2025 rent roll noted new leasing activity at the property, including Barnes & Noble (9.7% of the NRA, lease expires April 2035), which has already taken up occupancy, and Burlington Coat Factory (11.9% of the NRA, lease expires September 2035) on a 10-year lease set to begin in October 2025. Annualizing the financials for the trailing six-month period ended June 30, 2025, yields a net cash flow (NCF) of nearly $874,000 (DSCR of 0.98x), compared with the YE2024 NCF of $1.0 million (DSCR of 1.13x). Updated leasing activity is a positive development; however, occupancy will likely remain below historical highs, which could complicate refinancing efforts in March 2027. Morningstar DBRS analyzed this loan with an elevated POD as well as a stressed LTV to account for the declining tenancy, resulting in an expected loss that was more than triple the pool average. Whitehall Corporate Center VI is secured by a 116,855-sf office center in Charlotte, North Carolina. The loan is currently on the servicer's watchlist for a servicing trigger event and a low occupancy flag. Occupancy has been declining in recent years, with a March 2025 figure of 73.3%, compared with 76.0% at YE2023 and 90.7% at issuance. Despite the 12.8% rollover noted at Morningstar DBRS' last review, occupancy has seen only a marginal decline, indicating some tenant retention. Only the second-largest tenant, ABX Converting Acquisition (ABX) (12.3% of the NRA, lease expires December 2025), has a lease expiring within the next 12 months. According to the servicer, ABX will be vacating at its lease expiry; however, the borrower already has a replacement tenant lined up to fill the vacant space, with the lease terms unknown at this time. As per Reis, the Airport/Parkway office submarket had a vacancy rate of 24.5% as of Q2 2025, a marginal improvement from the Q2 2024 vacancy rate of 26.7%; however, it will be a significant challenge to backfill the subject to issuance levels. According to the YE2024 financial reporting, the property generated approximately $970,000 of NCF (DSCR of 1.03x), down from $1.1 million (DSCR of 1.14x) at YE2023. To reflect the increased default risk ahead of the loan's January 2027 maturity date, Morningstar DBRS analyzed this loan with an elevated POD as well as a stressed LTV, resulting in an expected loss that was more than four times the pool average. Morningstar DBRS also identified two additional loans of concern that could pose maturity default risk, namely International Paper Global HQ (Prospectus ID#3, 8.5% of the pool) and Peachtree Mall (Prospectus ID#14, 2.0% of the pool). International Paper Global HQ is secured by a 214,060-sf office property that is part of a larger four-building corporate campus known as International Place. The subject is 100.0% leased to International Paper, through to its lease expiry in April 2027. Morningstar DBRS' cautious outlook for this loan stems from a lease expiration that is only three months after the loan matures, coupled with several rounds of layoffs and plant closures in 2025. Morningstar DBRS analyzed this loan with a stressed LTV, resulting in an expected loss that was nearly double the pool average. The Peachtree Mall loan is secured by a 536,202-sf portion of a larger 821,687-sf regional mall in Columbus, Georgia. The loan is sponsored by Brookfield Property Group LLC and is being monitored on the servicer's watchlist for an upcoming maturity date in December 2025. The property was 85.1% occupied as of March 2025. Morningstar DBRS notes that the NCF has remained below issuance expectations for years, with the YE2024 figure of $7.4 million approximately 20.0% lower than the expectation at issuance. According to a tenant sales report dated December 2024, total in-line tenant sales were $310.0 per sf (psf) compared with $318.0 psf at YE2023. Morningstar DBRS analyzed this loan with an elevated POD, resulting in an expected loss that was more than triple the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. 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 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 rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. WFLD 2014-MONT: DBRS Confirms CCC(sf) Rating on Class D Certs ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2014-MONT issued by WFLD 2014-MONT Mortgage Trust as follows: -- Class A at AA (low) (sf) -- Class B at BBB (low) (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) Morningstar DBRS changed the trends on Classes A, B, and C to Stable from Negative. Class D has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect the overall performance of the transaction, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in October 2024. Morningstar DBRS updated its loan-to-value ratio (LTV) Sizing Benchmarks in the analysis for this review, the results of which suggest the current credit ratings continue to appropriately account for the credit risk of the transaction. The trend changes on Classes A, B, and C to Stable from Negative reflect the positive year-over-year net cash flow (NCF) improvement for the underlying collateral, which improved to $28.2 million at YE2024 from $25.3 million at YE2023, representative of an 11.3% increase. The loan is secured by 835,597 square feet (sf) of the 1.3 million-sf Westfield Montgomery Mall in Bethesda, Maryland, located 15 miles north of Washington, D.C. Additional loan collateral includes a condominium ownership interest in 61,559 sf of space on the first level of the mall and the 25,849-sf Westlake Crossing neighborhood center. The loan is sponsored by Unibail-Rodamco-Westfield. The mall is anchored by Macy's, Macy's Home, and Nordstrom, none of which are part of the loan collateral; however, Nordstrom operates on a ground lease expiring in October 2030 as the tenant recently executed a five-year renewal. Following a loan modification in 2024, the loan's maturity was extended two years to August 2026, conditional on an immediate $16.0 million principal paydown and additional de-leveraging totaling $5.5 million scheduled to occur throughout the loan's remaining term. The collateral was most recently appraised in June 2024, valuing the collateral at $353.0 million, which represented a 48.1% decline from the original appraised value of $680.0 million at closing. Based on the YE2024 NCF figure and the updated property value, the indicative capitalization (cap) rate is 8.0%, which Morningstar DBRS determined to be reasonable in its current analysis of the transaction. With the current credit rating action, Morningstar DBRS concluded to a property value of $345.4 million, derived by applying an 8.0% cap rate to the updated Morningstar DBRS NCF figure of $27.6 million. The resulting LTV on the current loan balance of $331.5 million is 96.0%. Morningstar DBRS also maintained positive qualitative adjustments totaling 4.0% to account for the subject's property quality and its location within an affluent area with good market fundamentals. According to the March 2025 rent roll, the collateral was 93.0% leased; however, the occupancy rate declines to 91.4% when the 21,391-sf space formerly leased to Forever 21, which went bankrupt and vacated the property in May 2025, is excluded. The largest collateral tenants include a 16-screen American Multi-Cinema theater (AMC; 7.3% of the net rental area (NRA), lease expiry in March 2034), Akira (2.2% of the NRA; lease expiry in February 2027), and Lucky Strike (1.9% of the NRA, lease expiry in January 2026). Upcoming tenant rollover risk from March 2025 through YE2025 includes 39 tenants, occupying 13.3% of the NRA. Among these tenants include Gap/Gap Kids (1.7% of the NRA) and Arhaus Furniture (1.2% of the NRA); however, major tenants Lucky Strike Lanes (1.9% of the NRA) and Zara (1.5% of the NRA) also have scheduled lease expirations in January 2026. According to an update from the servicer, Zara renewed its lease and will relocate within the mall, assuming the larger space formerly occupied by Gap/Gap Kids, which has vacated the mall. Zara's current 12,000-sf space will be demised into several smaller retail suites. The servicer also confirmed Urban Outfitters will assume the space formerly occupied by Merlo (0.9% of the NRA), Arhaus Furniture executed a lease renewal through January 2027, Foot Locker will relocate and expand into a 12,000-sf space in the Macy's Home wing with a scheduled opening in early 2026, and lease renewal negotiations are ongoing with Lucky Strike Lanes. All tenant lease terms are currently pending as of this press release. Regarding the former Forever 21 space, the servicer confirmed the borrower is pursuing a lease with an immersive and interactive art exhibit, which would run through June 2027 with a mutual termination option in June 2026, if executed. The option would be expected to be executed if a traditional retail tenant is interested in the space. According to the tenant sales report for the trailing 12 months (T-12) ended March 31, 2025, sales volumes declined from the T-12 ended June 30, 2024; however, sales figure remain above T-12 ended June 30, 2023, levels. As of the most recent sales reporting, in-line tenants achieved sales of $866 per square foot (psf), down from the June 2024 figure of $938 psf. When Apple and Tesla were removed, in-line sales were reported at $619 psf, down from the June 2024 figure of $641 psf and above the June 2023 figure of $554 psf. During the same period, the 16-screen AMC reported similar sales trends with sales of approximately $370,000 per screen, below the June 2024 figure of $414,000 per screen and above the June 2023 figure of $323,000 per screen. 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. WOODMONT 2019-6: S&P Affirms BB-(sf) Rating on Class E2 Notes ------------------------------------------------------------- S&P Global Ratings took various rating actions on 20 classes of notes from U.S. middle market CLO transactions Woodmont 2019-6 L.P. and Garrison MML CLO 2019-1 L.P. Of the 20 ratings, S&P raised four ratings and affirmed 16. Seven were removed from CreditWatch with positive implications, where they were placed in February 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. We analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions." The two transactions have exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. The upgrades are primarily due to an increase in the credit support. 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 to 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, we also incorporate other considerations into our 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. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a higher rating for some classes of notes, we took the rating action after considering one or more qualitative factors listed above. The ratings table below lists the key driving factors behind our actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings List Rating Issuer Class To From Woodmont 2019-6 L.P. A-1-R AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Woodmont 2019-6 L.P. A-1-R2 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Woodmont 2019-6 L.P. A-2-R AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Woodmont 2019-6 L.P. A-2-R2 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Woodmont 2019-6 L.P. B-R AA+ (sf) AA (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 several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. B-R2 AA+ (sf) AA (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 several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. C-R A (sf) A (sf)/Watch POS Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. C-R2 A (sf) A (sf)/Watch POS Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. D-R BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. D-R2 BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. E BB- (sf) BB- (sf) Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Woodmont 2019-6 L.P. E2 BB- (sf) BB- (sf) Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Garrison MML CLO 2019-1 L.P. A-1F AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Garrison MML CLO 2019-1 L.P. A-1R AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Garrison MML CLO 2019-1 L.P. A-1S AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Garrison MML CLO 2019-1 L.P. A-1T AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Garrison MML CLO 2019-1 L.P. A-2F AA+ (sf) AA (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 several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Garrison MML CLO 2019-1 L.P. A-2T AA+ (sf) AA (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 several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Garrison MML CLO 2019-1 L.P. B A (sf) A (sf)/Watch POS Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." Garrison MML CLO 2019-1 L.P. C BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. S&P said, "Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as the results of additional sensitivity analyses we ran to consider the exposures to 'CCC' rated assets and to defaulted assets." O/C--Overcollateralization. ZAIS CLO 18: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its 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 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. On the August 21, 2025, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P assigned ratings to the new class X-R, A-1R, A-JR, B-R, C-1R, C-FR, D-1R, D-FR, D-JR, and E-R debt. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Subordinated notes, $45.38 million: NR NR--Not rated. [] DBRS Reviews 75 Classes From 14 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 75 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 14 transactions reviewed, 11 are classified as reverse mortgages and three as home equity investments. Of the 75 classes reviewed, Morningstar DBRS upgraded its credit ratings on two classes, confirmed its credit ratings on 60 classes and discontinued its credit ratings on 13 classes due to being paid-in-full. THE Issuers are: - CFMT 2022-HB10, LLC - CFMT 2024-HB15, LLC - Unlock HEA Trust 2023-1 - Point Securitization Trust 2023-1 - Unison Trust 2023-2 - Brean Asset-Backed Securities Trust 2023-RM7 - Finance of America HECM Buyout 2022-HB1 - Finance of America HECM Buyout 2022-HB2 - Brean Asset-Backed Securities Trust 2022-RM4 - Brean Asset-Backed Securities Trust 2022-RM5 - Brean Asset-Backed Securities Trust 2021-RM2 - Brean Asset-Backed Securities Trust 2022-RM3 - Brean Asset-Backed Securities Trust 2023-SRM1 - Finance of America Structured Securities Trust 2023-S3 A list of the Ratings is available at https://tinyurl.com/32ww4wz5 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The credit rating discontinuations reflect full repayment of outstanding obligations. 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 "Rating and Monitoring U.S. Reverse Mortgage Securitizations," methodology published on September 30, 2024 (https://dbrs.morningstar.com/research/440088). 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. [] DBRS Takes Rating Actions on 45 US RMBS Transactions ------------------------------------------------------- DBRS, Inc., on August 21, 2025,(Morningstar DBRS) reviewed 435 classes from 45 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 45 transactions reviewed, 42 are classified as legacy RMBS and three are classified as ReREMICs of legacy RMBS. Of the 435 classes reviewed, Morningstar DBRS upgraded its credit ratings on eight classes and confirmed its credit ratings on 427 classes. The Issuers are: - Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1 - Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1 - Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 - Wells Fargo Home Equity Asset-Backed Securities 2007-1 Trust - Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust - Citigroup Mortgage Loan Trust 2008-3 - New Century Home Equity Loan Trust 2005-2 - New Century Home Equity Loan Trust 2005-4 - Impac CMB Trust Series 2005-1 - New Century Home Equity Loan Trust, Series 2005-B - MASTR Adjustable Rate Mortgages Trust 2005-8 - Park Place Securities Inc., Series 2005-WHQ1 - Impac CMB Grantor Trust 2005-1-1 - Impac CMB Grantor Trust 2005-1-2 - Impac CMB Grantor Trust 2005-1-4 - Impac CMB Grantor Trust 2005-1-5 - Impac CMB Grantor Trust 2005-1-6 - Impac CMB Grantor Trust 2005-1-7 - RALI Series 2006-QS2 Trust - RALI Series 2006-QH1 Trust - Fremont Home Loan Trust 2006-B - Aegis Asset Backed Securities Trust 2005-3 - Impac CMB Trust Series 2005-3 - Citigroup Mortgage Loan Trust 2009-4 - Securitized Asset Backed Receivables LLC Trust 2005-FR4 - Securitized Asset Backed Receivables LLC Trust 2006-FR4 - Securitized Asset Backed Receivables LLC Trust 2007-BR1 - Securitized Asset Backed Receivables LLC Trust 2006-WM4 - Securitized Asset Backed Receivables LLC Trust 2006-HE2 - Securitized Asset Backed Receivables LLC Trust 2007-NC1 - Securitized Asset Backed Receivables LLC Trust 2007-BR2 - Securitized Asset Backed Receivables LLC Trust 2006-NC2 - Securitized Asset Backed Receivables LLC Trust 2006-WM2 - Securitized Asset Backed Receivables LLC Trust 2007-NC2 - Securitized Asset Backed Receivables LLC Trust 2006-NC3 - Securitized Asset Backed Receivables LLC Trust 2007-BR4 - Securitized Asset Backed Receivables LLC Trust 2006-FR2 - Securitized Asset Backed Receivables LLC Trust 2007-BR3 - Securitized Asset Backed Receivables LLC Trust 2007-BR5 - Securitized Asset Backed Receivables LLC Trust 2006-FR3 - Securitized Asset Backed Receivables LLC Trust 2006-HE1 - Securitized Asset Backed Receivables LLC Trust 2006-WM3 - Residential Asset Securitization Trust 2005-A15 - CSMC Series 2008-2R - MASTR Asset Backed Securities Trust 2006-HE3 A list of the Rating Actions is available at: https://tinyurl.com/2s38mz3y 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. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. 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. 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. [] Moody's Takes Rating Action on 16 Bonds from 6 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 16 bonds from 6 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2 Cl. M-8, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Cl. M-9, Upgraded to Ca (sf); previously on Oct 31, 2008 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE7 Cl. I-A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Cl. I-A-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-1A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Cl. II-1A-3, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-2A, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE2 Cl. I-A-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-1A-4, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-2A, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Cl. II-3A, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Issuer: HSI Asset Loan Obligation Trust 2007-WF1 Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR3 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1 Cl. M-9, Upgraded to Caa3 (sf); previously on Feb 22, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation 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 on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in 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 16 Bonds from 8 US RMBS Deals --------------------------------------------------------------- Moody's Ratings, on Aug. 25, 2025, upgraded the ratings of 14 bonds and downgraded the rating of one bond from eight 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: CSFB Mortgage Pass-Through Certificates, Series 2001-HE17 Cl. A-1, Upgraded to Aa2 (sf); previously on Oct 29, 2024 Upgraded to Baa1 (sf) Cl. A-2, Upgraded to Aa2 (sf); previously on Oct 29, 2024 Upgraded to Aa3 (sf) Underlying Rating: Upgraded to Aa2 (sf); previously on Oct 29, 2024 Upgraded to Aa3 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook stable on Jul, 2024) Cl. A-IO*, Upgraded to Aa2 (sf); previously on Oct 29, 2024 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Downgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH5 Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Ca (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2007-2 Cl. A-4, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2004-4 Cl. B-1, Upgraded to Ba3 (sf); previously on Dec 20, 2018 Upgraded to Caa2 (sf) Issuer: RAMP Series 2005-EFC1 Trust Cl. M-6, Upgraded to A3 (sf); previously on Oct 21, 2024 Upgraded to Ba3 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2 Cl. A-2B, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2006-BNC1 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A4, Downgraded to Caa1 (sf); previously on Feb 24, 2016 Upgraded to B1 (sf) Cl. A5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M6, Upgraded to A1 (sf); previously on Feb 6, 2024 Upgraded to Ba1 (sf) Cl. M7, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) *Reflects Interest-Only Class 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. Many 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 downgrade of Class A4 from Structured Asset Investment Loan Trust 2006-BNC1 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The rating upgrade for Class M-6 of RAMP Series 2005-EFC1 Trust is attributed to its commencement of amortization in June 2025, resulting in a shorter time to maturity and a higher likelihood of repayment. In addition, the credit enhancement for Class M-6 grew by 11% over the past 12 months. The rating upgrade for Class M6 of Structured Asset Securities Corp Trust 2006-WF1 reflects the increase in credit enhancement of 8% over the past 12 months as well as the recoupment of interest shortfalls that existed at the time of Moody's last reviews. The rating upgrade for Class B-1 of NovaStar Mortgage Funding Trust, Series 2004-4, reflects the build-up in credit enhancement of 11% over the past 12 months, stable pool performances, and losses recovered on the subordinate bond (Class B-2) over the past year. 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 21 Bonds from 8 US RMBS Deals --------------------------------------------------------------- Moody's Ratings, on Aug. 22, 2025, upgraded the ratings of 14 bonds and downgraded the ratings of six bonds from eight US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, prime jumbo and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GSAMP Trust 2004-OPT Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on May 1, 2009 Downgraded to C (sf) Cl. B-4, Upgraded to Caa3 (sf); previously on May 1, 2009 Downgraded to C (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 16, 2016 Upgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Dec 11, 2019 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Issuer: GSAMP Trust 2005-HE6 Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 4, 2024 Downgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2006-AB1 Cl. A-3A, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-3B, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-HE1 Cl. M-2, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2006-NC1 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 4, 2024 Downgraded to B2 (sf) Cl. M-2, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust Series 2006-MTA1 Cl. 1A-1, Upgraded to Caa2 (sf); previously on Dec 30, 2010 Downgraded to Ca (sf) Cl. 2A-1B, Upgraded to Caa3 (sf); previously on Dec 30, 2010 Downgraded to C (sf) Issuer: Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 Cl. 1-B1, Upgraded to Caa2 (sf); previously on Apr 21, 2009 Downgraded to C (sf) Issuer: SG Mortgage Securities Trust 2005-OPT1 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 Nov 4, 2024 Downgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on May 5, 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. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Each of the downgraded bonds has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. Class A-3A from MASTR Asset Backed Securities Trust 2006-AB1 benefits from a financial guaranty insurance policy. The bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, the upgrade reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 11 Bonds From 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on Aug. 22, 2025, upgraded the ratings of 11 bonds from seven 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: Aames Mortgage Investment Trust 2004-1 Cl. M7, Upgraded to Ca (sf); previously on Apr 1, 2013 Affirmed C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-OPT2 Cl. M-6, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2005-WMC1 Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 4, 2013 Affirmed C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6 Cl. M-5, Upgraded to Caa1 (sf); previously on May 24, 2018 Upgraded to Caa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE8 Cl. A-1, Upgraded to Ba3 (sf); previously on Apr 11, 2018 Upgraded to Caa2 (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 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Issuer: People's Choice Home Loan Securities Trust 2005-3 Cl. M4, Upgraded to Caa3 (sf); previously on Mar 6, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrade on Class A-1 from Morgan Stanley ABS Capital I Inc. Trust 2006-HE8 is a result of the improving performance of the related pool. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 24 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded 24 ratings from eight US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1 Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-AR6 Cl. 2-A4, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AR1 Cl. A2, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Cl. A3, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Cl. A4, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: Fieldstone Mortgage Investment Trust 2007-1 Cl. 2-A1, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Downgraded to Ca (sf) Cl. 2-A2, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Cl. 2-A3, Upgraded to Caa1 (sf); previously on Apr 8, 2013 Affirmed Ca (sf) Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6 Cl. M-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2007-5 Cl. 1AF2A, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AF3A, Upgraded to Caa2 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AF4A, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AF5A, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AF6, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AF7A, Upgraded to Caa1 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 1AV1, Upgraded to Caa1 (sf); previously on Jul 5, 2018 Downgraded to Ca (sf) Cl. 2A1B, Upgraded to Ca (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. 2A2A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. 2A3A, Upgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Issuer: HomeBanc Mortgage Trust 2005-4 Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 27, 2019 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Oct 14, 2010 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2005-AB1 Cl. A-5A, Upgraded to Ca (sf); previously on Apr 22, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Ca (sf); previously on Apr 22, 2010 Downgraded to C (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-5B, Upgraded to Ca (sf); previously on Apr 22, 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 5 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings, on Aug. 21, 2025, upgraded the ratings of five bonds from two US residential mortgage-backed transactions (RMBS), backed by prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2021-J1 Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 15, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 24, 2024 Upgraded to A1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 15, 2024 Upgraded to Ba3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2021-2 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Jan 24, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 15, 2024 Upgraded to A3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction below 0.02% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, by 1.20x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 8 Bonds from 6 US RMBS Deals ----------------------------------------------------------- Moody's Ratings, on Aug. 22, 2025, upgraded the ratings of eight bonds from six US residential mortgage-backed transactions (RMBS), backed by manufactured housing loans issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1 Cl. B-1, Upgraded to Aaa (sf); previously on Oct 8, 2024 Upgraded to A1 (sf) Cl. B-2, Upgraded to Ca (sf); previously on Mar 30, 2009 Downgraded to C (sf) Issuer: Conseco Finance Securitization Corp. Series 2001-4 Class M-1, Upgraded to Aa2 (sf); previously on Oct 8, 2024 Upgraded to Baa2 (sf) Class M-2, Upgraded to Ca (sf); previously on Aug 31, 2004 Downgraded to C (sf) Issuer: Conseco Finance Securitizations Corp. Series 2001-2 Cl. A, Upgraded to Aaa (sf); previously on Oct 8, 2024 Upgraded to A2 (sf) Issuer: Conseco Finance Securitizations Corp. Series 2001-3 Class M-1, Upgraded to Ca (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: CSFB ABS Trust Manufactured Housing Pass-Through Certificates 2001-MH29 Cl. B-1, Upgraded to Baa1 (sf); previously on Oct 8, 2024 Upgraded to Ba1 (sf) Issuer: CSFB Manufactured Housing Pass-Through Certificates, Series 2002-MH3 Cl. M-2, Upgraded to Baa2 (sf); previously on Oct 8, 2024 Upgraded 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 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 rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 1.2x on average for these bonds upgraded over the past 12 months. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***