250907.mbx

250907.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, September 7, 2025, Vol. 29, No. 249 Headlines ALLEGANY PARK CLO: Moody's Assigns Ba3 Rating to $20MM E-RR Notes AMMC CLO 32: S&P Assigns BB- (sf) Rating on Class E Notes ANCHORAGE CAPITAL 19: Moody's Gives B3 Rating to $250,000 F-R Notes APIDOS CLO LIV: Fitch Assigns 'BB+'(EXP)sf' Rating on Class E Notes BALLYROCK CLO 19: S&P Affirms BB- (sf) Rating on Class D Notes BANK 2019-BNK20: Fitch Lowers Rating on Class D Certs to 'BB-sf' BBAM US V: S&P Assigns BB- (sf) Rating on Class E Notes BBCMS MORTGAGE 2025-5C37: Fitch Gives B-(EXP) Rating on G-RR Certs BDS 2025-FL15: Fitch Assigns 'B-sf' Final Rating on Class G Notes CANYON CLO 2025-2: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes CENT CLO 21: S&P Lowers Class E-R2 Notes Rating to 'D (sf)' CITIGROUP COMMERCIAL 2016-P5: Fitch Cuts Rating on C Notes to BB-sf CROWN CITY I: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes FIGRE TRUST 2025-HE5: S&P Assigns B- (sf) Rating on Class F Notes GARNET CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes GOLUB CAPITAL 50(B)-R: Moody's Assigns Ba3 Rating to Cl. E-R2 Notes GOLUB CAPITAL 58(B)-R: Fitch Assigns 'BB-(EXP)' Rating on E-R Notes GS MORTGAGE-BACKED 2025-NQM3: S&P Assigns 'B' Rating on B-2 Certs INVESCO US 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes JP MORGAN 2025-7MPR: Moody's Assigns Ba2 Rating to Cl. B-2 Certs JP MORGAN 2025-CES4: S&P Assigns B- (sf) Rating on Cl. B-2 Notes JP MORGAN 2025-CES4: S&P Assigns Prelim 'B-' Rating on B-2 Notes JP MORGAN 2025-DSC2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs JPMCC 2015-JP1: Fitch Lowers Rating on Class C Certs to 'BB-sf' JPMDB COMMERCIAL 2016-C2: Moody's Cuts Rating on 2 Tranches to Ba2 LEHMAN BROTHERS 2007-3: S&P Affirms CC (sf) Rating on Cl. B Notes MAGNETITE XLVIII: Fitch Assigns 'BBsf' Rating on Class E Notes MORGAN STANLEY 2025-NQM6: S&P Assigns B (sf) Rating on B-2 Certs NEUBERGER BERMAN 36R: Fitch Assigns 'BB-sf' Rating on Class E Notes NORTHWOODS CAPITAL 20: S&P Assigns Prelim BB- Rating on ER2 Notes PMT LOAN 2025-J2: Moody's Assigns Ba1 Rating to Cl. B-4 Certs RAD CLO 30: Fitch Assigns 'BB-(EXP)sf' Rating on Class D Notes REGATTA 35: Fitch Assigns 'BB-sf' Rating on Class E Notes ROCKFORD TOWER 2022-1: Moody's Gives Ba3 Rating to $20MM E-R Notes SCULPTOR CLO XXIX: S&P Assigns BB- (sf) Rating on Class E-R Notes SEQUOIA MORTGAGE 2025-8: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs SIXTH STREET XVIII: S&P Assigns Prelim B- (sf) Rating on F-R Notes SOUND POINT VI-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa1 SOUND POINT VII-R: Moody's Cuts Rating on $20MM Cl. E Notes to B3 SOUND POINT VIII-R: Moody's Cuts Rating on $13MM Class F Notes to C SYCAMORE TREE 2025-7: S&P Assigns BB- (sf) Rating on Class E Notes TRINITAS CLO XIV: S&P Assigns BB- (sf) Rating on Class E-R-2 Notes VERUS SECURITIZATION 2025-8: S&P Assigns Prelim B+ (sf) on B2 Notes VOYA CLO 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLINGTON MANAGEMENT 5: S&P Assigns Prelim 'BB-' Rating on E Notes WESTLAKE AUTOMOBILE 2024-2: S&P Affirms 'BB' Rating on Cl. E Certs [] Moody's Takes Rating Action on 20 Bonds From 8 US RMBS Deals [] Moody's Takes Rating Action on 33 Bonds from 13 US RMBS Deals [] Moody's Takes Rating Action on 5 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 16 Bonds From 2 US RMBS Deals [] Moody's Upgrades Ratings on 21 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 53 Bonds From 3 US RMBS Deals ********* ALLEGANY PARK CLO: Moody's Assigns Ba3 Rating to $20MM E-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes ("Refinancing Notes") issued by Allegany Park CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) A comprehensive review of all credit rating for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Blackstone CLO Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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, the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and changes to certain collateral quality tests. 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: $493,054,571 Defaulted par: $0 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2935 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.15% Weighted Average Recovery Rate (WARR): 46.24% Weighted Average Life (WAL): 5.48 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. AMMC CLO 32: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AMMC CLO 32 Ltd./AMMC CLO 32 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by American Money Management Corp. The preliminary ratings are based on information as of Aug. 28, 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 AMMC CLO 32 Ltd./AMMC CLO 32 LLC Class A-1, $248.00 million: NR Class A-2, $8.00 million: NR 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-2F (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $40.00 million: NR NR--Not rated. ANCHORAGE CAPITAL 19: Moody's Gives B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Anchorage Capital CLO 19, Ltd. (the Issuer): US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Anchorage Collateral Management, L.L.C. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3146 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. APIDOS CLO LIV: Fitch Assigns 'BB+'(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO LIV. Entity/Debt Rating ----------- ------ Apidos CLO LIV A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO LIV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', 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 97.63% first lien senior secured loans and has a weighted average recovery assumption of 71.82%. 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 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LIV. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALLYROCK CLO 19: S&P Affirms BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, and C-R notes and class A-1-R loans from Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in April 2022. At the same time, S&P withdrew its ratings on the class A-1, A-2, B, and C notes and class A-1 loans following payment in full on the Aug. 28, 2025, refinancing date. S&P also affirmed its rating on the class D notes, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Oct. 20, 2025. -- The non-call period was extended to Aug. 28, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D notes (which were not refinanced). Given the class D notes were already placed on CreditWatch with negative implications, we affirmed our 'BB-(sf)/Watch Neg' rating. We will continue to review whether, in our view, the rating assigned to the notes remains consistent with the credit enhancement available to support it and take rating actions as we deem necessary." Replacement And Original Debt Issuances Replacement debt -- Class A-1-R loans, $50.00 million: Three-month CME term SOFR + 1.1100% -- Class A-1-R notes, $222.00 million: Three-month CME term SOFR + 1.1100% -- Class A-2-R notes (deferrable), $51.00 million: Three-month CME term SOFR + 1.6000% -- Class B-R notes (deferrable), $25.50 million: Three-month CME term SOFR + 1.9000% -- Class C-R notes (deferrable), $25.50 million: Three-month CME term SOFR + 3.1000% Original/Outstanding debt -- Class A-1 loans, $50.00 million: Three-month CME term SOFR + 1.3300% -- Class A-1 notes, $222.00 million: Three-month CME term SOFR + 1.3300% -- Class A-2 notes, $51.00 million: Three-month CME term SOFR + 1.9500% -- Class B notes (deferrable), $25.50 million: Three-month CME term SOFR + 2.3500% -- Class C notes (deferrable), $25.50 million: Three-month CME term SOFR + 3.5000% -- Class D notes (deferrable), $17.00 million: Three-month CME term SOFR + 7.1100% --Subordinated notes (deferrable), $42.00 million 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 Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC Class A-1-R loans, $50.00 million: AAA (sf) Class A-1-R notes, $222.00 million: AAA (sf) Class A-2-R notes, $51.00 million: AA Class B-R notes (deferrable), $25.50 million: A (sf) Class C-R notes (deferrable), $25.50 million: BBB- (sf) Ratings Withdrawn Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC Class A-1 loans to NR from 'AAA (sf)' Class A-1 notes to NR from 'AAA (sf)' Class A-2 notes to NR from 'AA (sf)' Class B notes to NR from 'A (sf)' Class C notes to NR from 'BBB- (sf)' Rating Affirmed Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC Class D notes: BB- (sf)/Watch Neg Other Debt Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC Subordinated notes, $42.00 million: NR NR--Not rated. BANK 2019-BNK20: Fitch Lowers Rating on Class D Certs to 'BB-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed six classes of BANK 2019-BNK20 Commercial Mortgage Pass-Through Certificates Series 2019-BNK20. Classes C, D, and X-B were assigned Negative Rating Outlooks following their downgrades. The Outlook for class B remains Negative. Additionally, the Outlook for class A-S has been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK20 A-2 06540AAC5 LT AAAsf Affirmed AAAsf A-3 06540AAD3 LT AAAsf Affirmed AAAsf A-S 06540AAG6 LT AAAsf Affirmed AAsf A-SB 06540AAB7 LT AAAsf Affirmed AAAsf B 06540AAH4 LT AA-sf Affirmed AA-sf C 06540AAJ0 LT BBB-sf Downgrade A-sf D 06540AAM3 LT BB-sf Downgrade BBsf E 06540AAP6 LT CCCsf Downgrade Bsf F 06540AAR2 LT CCsf Downgrade CCCsf G 06540AAT8 LT Csf Downgrade CCsf X-A 06540AAE1 LT AAAsf Affirmed AAAsf X-B 06540AAF8 LT BBB-sf Downgrade A-sf X-D 06540AAK7 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 6.9% from 6.1% at Fitch's prior rating action. Five loans (17.9% of the pool) are considered Fitch Loans of Concern (FLOCs), including two specially serviced loans (6.8%). The downgrades on classes C, D, E, F, G, X-B, and X-D reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by continued performance declines of the specially serviced 214-224 West 29th Street (6.5%), The Tower at Burbank (8.8%), and Eleven Seventeen Perimeter (1.5%) loans. The expected losses on these three office loans comprise 74% of the overall deal-level expected losses. The Negative Outlooks reflect the potential for future downgrades should performance of the FLOCs continue to decline or if updated valuations of the 214-224 West 29th Street loan decline beyond expectations. Additionally, the office concentration in the pool is 43.7%. Largest Contributors to Loss: The largest contributor and largest increase to expected losses since the prior rating action is the 214-224 West 29th Street (6.5%) loan, which is secured by a 200,454-sf office property located in Manhattan's Chelsea neighborhood. The loan transferred to special servicing in September 2024 due to a payment default. A receiver has been appointed, and the servicer is proceeding with foreclosure while continuing to discuss alternative workout strategies with the borrower. The most recent servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) at YE 2023 was 1.04x when the property was reported to be 67% occupied. According to the most recent October 2024 servicer-provided rent roll, the property was 11.8% occupied by nine tenants. Near term lease rollover includes 4.5% of NRA across four leases in 2025. At issuance, WeWork occupied 51% of the NRA. However, the company filed for bankruptcy and has vacated. The sponsor (Walter & Samuels, Inc) filed a lawsuit in 2021 against WeWork for defaulting on the lease and allegedly attempting to move the tenants to different WeWork locations. According to media reports, WeWork is seeking permission from a bankruptcy court to reject of number of leases, including at the subject property. According to CoStar, the property lies within the Chelsea office submarket of New York, NY. As of 2Q25, submarket asking rents averaged $63.16 psf and the vacancy rate was 14.7%. Fitch's 'Bsf' case loss of 58.2% (prior to a concentration adjustment) reflects a Fitch-stressed value of $159 psf, down from $807 psf at the time of the issuance appraisal value. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 49.1%. The second largest contributor to expected losses is The Tower at Burbank (8.8%). The loan is secured by a 32-story office tower totaling 490,807-sf located in Burbank, CA. Major television and movie studios located near the subject include NBC Universal, Disney, and Warner Bros and many of the property's tenants are media and film related, including Disney (27.4% of NRA), Vubiquity Inc (11.4%), STX Filmworks (8.0%), and Picture Head, LLC (7.6%). Vubiquity's space at the property is largely dark. WeWork occupied 15.2% of the NRA at issuance but closed its space in late 2022. Occupancy has declined to 75.2% as of a servicer-reported March 2025 rent roll from 97.0% at issuance. The DSCR as of YE 2024 was reported to be 2.56x. Fitch's 'Bsf' case loss of 7.9% (prior to a concentration adjustment) is based on a 9.75% cap rate and reflects a 20% stress to the YE 2024 NOI. The third-largest contributor to expected losses is the Eleven Seventeen Perimeter (1.5%) loan, which is secured by a 392,726-sf suburban office building located in Atlanta, GA. The property's largest tenants include, Tropical Smoothie Cafe (6.4% of NRA), John Snellings Insurance Agency (3.9%), and EMC Corporation (3.8%). Occupancy was 48.5% as of the servicer-provided December 2024 rent roll and the reported DSCR was 0.79x for the same period, compared to a YE 2023 occupancy of 49.4% and DSCR of 0.79x. The loan has remained current since issuance. According to CoStar, the property lies within the Central Perimeter office submarket of Atlanta, GA. As of 2Q25, submarket asking rents averaged $30.71 psf and the vacancy rate was 22.8%. Fitch's 'Bsf' case loss of 43.0% (prior to a concentration adjustment) is based on a 10.0% cap rate to the YE 2024 NOI, and factors in an increased probability of default due to the loan's deterioration in performance and weak submarket fundamentals. Increased Credit Enhancement (CE): As of the August 2025 remittance reporting, the pool's aggregate balance has been reduced by 8.7% to $1.1 billion from $1.2 billion at issuance. One loan, League City Storage (1.2% of the pool) is fully defeased. Thirty loans (60.3%) are full-term IO, and 13 loans (23.2%) were partial-term IO, which have all started amortizing. Interest Shortfalls: Cumulative interest shortfalls totaling $472,543 are currently impacting the risk retention class RRI and non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their 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, or interest shortfalls occur or are expected to occur. A downgrade to the junior 'AAAsf' rated class with a Negative Outlook is possible if FLOC performance or recovery expectations deteriorate further, particularly for the specially serviced 214-224 West 29th Street loan. A downgrade is possible if expected losses increase and there is limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' category currently with Negative Outlooks class may occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to classes with Negative Outlooks rated 'BBB-sf', and 'BB-sf' are possible if FLOC performance deteriorates further, there are additional transfers to special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased 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 'BBsf' category rated class are not likely until the later years in the 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 possible with better-than-expected recoveries 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. BBAM US V: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its 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 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 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: NR NR—Not rated. BBCMS MORTGAGE 2025-5C37: Fitch Gives B-(EXP) Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C37 commercial mortgage pass-through certificates series 2025-5C37 as follows: - $1,881,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $180,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $337,182,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $519,063,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $70,444,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $38,930,000 class B 'AA-(EXP)sf'; Outlook Stable; - $27,807,000 class C 'A-(EXP)sf'; Outlook Stable; - $137,181,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $15,757,000c class D 'BBB(EXP)sf'; Outlook Stable; - $15,757,000bc class X-D 'BBB(EXP)sf'; Outlook Stable; - $10,196,000cd class E-RR 'BBB-(EXP)sf'; Outlook Stable; - $15,575,000cd class F-RR 'BB-(EXP)sf'; Outlook Stable; - $11,123,000cd class G-RR 'B-(EXP)sf'; Outlook Stable; Fitch does not expect to rate the following classes: - $32,441,658cd class J-RR. a) The initial certificate balances of A-2 and A-3 are unknown but expected to be $517,182,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those certificates. The expected class A-2 balance range is $0-$180,000,000, and the expected class A-3 balance range is $337,182,000-$517,182,000. The balance for the class A-2 reflects the top point of its range. The balance for class A-3 reflects the bottom point of its range. b) Notional Amount and interest only. c) Privately Placed and pursuant to Rule 144A. d) Horizontal risk retention interest. CE- Credit enhancement, NR-Not Rated. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 30 loans secured by 143 commercial properties having an aggregate principal balance of $741,518,659 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc. (24.3%), 3650 Capital, LLC (22.0%), Citi Real Estate Funding Inc. (15.1%), Goldman Sachs Mortgage Company (12.7%), Bank of Montreal (8.4%), Société Générale Financial Corporation (7.8%), BSPRT CMBS Finance, LLC (5.7%), and UBS AG New York Branch (3.8%). The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be 3650 REIT Loan Servicing LLC. The trustee and certificate administrator are expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 88.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $246.1 million represents a 15.1% decline from the issuer's aggregate underwritten NCF of $290.0 million. Fitch Leverage: The pool 's Fitch leverage is slightly lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.5% is slightly lower than the 2025 YTD five-year multiborrower transaction average of 100.6% and the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.9% is slightly higher than the 2025 YTD average of 9.6% but lower than the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: Fitch assigned two loans, representing 10.5% of the pool by balance, investment-grade ratings. Vertex HQ received an investment-grade rating of 'A-sf*' on a standalone basis. ILPT 2025 Portfolio received an investment-grade rating of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is slightly lower than the 2025 YTD average of 10.6% and lower than the 2024 average of 12.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 103.5% and 9.6%, respectively, compared to the equivalent five-year multiborrower 2025 YTD LTV and DY averages of 104.6% and 9.6%, respectively. Pool Concentration: The pool concentration is in-line with recently rated Fitch transactions. The top 10 loans make up 61.9%, which is in-line with the 2025 YTD five-year multiborrower average of 62.1% and but worse than the 2024 average of 60.2%. The pool's effective loan count of 19.2 is below the 2025 YTD and 2024 10-year averages of 21.3 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else 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 Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+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. BDS 2025-FL15: Fitch Assigns 'B-sf' Final Rating on Class G Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the BDS 2025-FL15 LLC notes as follows: - $647,038,000 class A 'AAAsf'; Outlook Stable; - $122,187,000 class A-S 'AAAsf'; Outlook Stable; - $77,756,000a class B 'AA-sf'; Outlook Stable; - $0b class B-E 'AA-sf'; Outlook Stable; - $0c class B-X 'AA-sf'; Outlook Stable; - $61,093,000a class C 'A-sf'; Outlook Stable; - $0b class C-E 'A-sf'; Outlook Stable; - $0c class C-X 'A-sf'; Outlook Stable; - $40,267,000a class D 'BBBsf'; Outlook Stable; - $0b class D-E 'BBBsf'; Outlook Stable; - $0c class D-X 'BBBsf'; Outlook Stable; - $18,050,000a class E 'BBB-sf'; Outlook Stable; - $0b class E-E 'BBB-sf'; Outlook Stable; - $0c class E-X 'BBB-sf'; Outlook Stable; - $37,489,000d class F 'BB-sf'; Outlook Stable; - $26,382,000d class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $80,532,947de Income notes. (a) Exchangeable Notes: The class B, class C, class D and class E notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions; provided that at the time of the exchange, such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the exchangeable notes, received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (b) MASCOT P&I notes. (c) MASCOT Interest-Only notes. (d) Retained notes. (e) Horizontal risk retention interest, estimated to be 7.25% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $914,794,948 and does not include future funding. Transaction Summary The primary assets of the trust are 23 loans secured by 23 commercial properties with an aggregate principal balance of $914,794,948, including two delayed-close loans totaling $48.75 million, as of the cut-off date. The pool includes ramp-up collateral interest of approximately $196,000,000. The pool includes $47,322,241 of future funding. The loans were contributed to the trust by BDS V Loan Seller LLC. Trimont LLC is the master and special servicer. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed net cash flow (NCF) analysis on 18 loans totaling 69.9% of the pool by balance. Fitch's resulting NCF of $41.8 million represents an 8.8% decline from the issuer's underwritten NCF of $45.8 million, excluding loans for which Fitch conducted an alternate value analysis. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 136.0% is lower than the 2025 YTD CRE CLO average and 2024 CRE CLO average of 140.4% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.3% is lower than the 2025 YTD CRE CLO and 2024 CRE CLO average of 6.4% and 6.5%, respectively. Average Pool Concentration: The pool's concentration is comparable to that of recently rated Fitch CRE CLO transactions. The top 10 loans account for 68.4% of the pool, which is slightly lower than the 2024 CRE CLO average of 70.5%, but higher than the 2025 YTD average of 57.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 14.4 (given partial credit to the ramp cash-collateral interest). Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.0%, as 100.0% of the pool consists of interest‐only loans. The pool's percentage paydown of 0.0% is worse than the 0.4% 2025 YTD CRE CLO average and the 0.6% 2024 CRE CLO average. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf' /'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf' /'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CANYON CLO 2025-2: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Canyon CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ Canyon CLO 2025-2, Ltd. A-1 Loans LT NR(EXP)sf Expected Rating A-1 Notes LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Canyon CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.7% first-lien senior secured loans and has a weighted average recovery assumption of 72.89%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 Canyon CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CENT CLO 21: S&P Lowers Class E-R2 Notes Rating to 'D (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on Cent CLO 21 Ltd.'s class D-R2 and E-R2 to 'D (sf)' from 'B- (sf)' and 'CCC (sf)', respectively. At the same time, S&P discontinued its ratings on class A-2-R3, B-R3, and C-R2. Cent CLO 21 Ltd. is U.S. cash flow CLO transaction. The rating actions follow S&P's review of the transaction's redemption, which occurred on July 1, 2025. According to the notices provided by the trustee, the class D-R2 and E-R2 noteholders unanimously agreed to receive a lower amount than the full interest and currently outstanding principal amount as their redemption price, which permitted the redemption to proceed. Following this, the transaction liquidated all collateral obligations from its portfolio and used the principal proceeds to pay down the rated notes on the July 1, 2025, redemption date. S&P said, "Classes A-2-R3, B-R3, and C-R2 were paid down completely, and their accrued interest was paid; as a result, we discontinued our ratings on these notes. The amount of principal proceeds received from the liquidation, however, was inadequate to pay in full the rated balance of the interest due (including deferred) and principal on the class D-R2 and E-R2 notes. "Though the class D-R2 and E-R2 noteholders agreed to receive a lower amount, our ratings address the likelihood that securities receive their timely interest and full principal by their legal final maturity date. We lowered the rating on the class D-R2 and E-R2 notes to 'D (sf)' as a reflection of these balances not being fully repaid." Ratings Lowered And Discontinued Cent CLO 21 Ltd./Cent CLO 21 Corp. Class D-R2 to 'D (sf)' from 'B- (sf)' Class E-R2 to 'D (sf)' from 'CCC (sf)' Ratings Discontinued Cent CLO 21 Ltd./Cent CLO 21 Corp. Class A-2-R3 to NR from 'AAA (sf)' Class B-R3 to NR from 'AA+ (sf)' Class C-R2 to NR from 'BBB+ (sf)' NR--Not rated. CITIGROUP COMMERCIAL 2016-P5: Fitch Cuts Rating on C Notes to BB-sf ------------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed three classes of Citigroup Commercial Mortgage Trust 2016-P5. Fitch has also assigned Negative Outlooks to five classes following their downgrades. The Rating Outlooks are Stable for the three affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P5 A-3 17325DAC7 LT AAAsf Affirmed AAAsf A-4 17325DAD5 LT AAAsf Affirmed AAAsf A-AB 17325DAE3 LT AAAsf Affirmed AAAsf A-S 17325DAF0 LT A-sf Downgrade AA-sf B 17325DAG8 LT BBB-sf Downgrade A-sf C 17325DAH6 LT BB-sf Downgrade BBB-sf D 17325DAL7 LT CCCsf Downgrade B-sf E 17325DAN3 LT CCsf Downgrade CCCsf X-A 17325DAJ2 LT A-sf Downgrade AA-sf X-B 17325DAK9 LT BBB-sf Downgrade A-sf X-D 17325DAU7 LT CCCsf Downgrade B-sf KEY RATING DRIVERS 'Bsf' Loss Expectations; Upcoming Maturities: The downgrades reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by value degradation of the specially serviced office Fitch Loans of Concern (FLOCs) National Business Park (2.6%) and 332 South Michigan (4.0%), and further performance deterioration on the Plaza American I & II (8.2%) and College Boulevard Portfolio (4.5%) office FLOCs. Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 15.4% from 10.9% at the prior rating action. The transaction has 13 FLOCs (48.1% of the pool), including four loans (12.2%) in special servicing. The pool has significant upcoming maturities as the majority of the loans are scheduled to mature in 2026. The Negative Outlooks reflect the elevated office concentration of 41.8% and the potential for downgrades if the performance of the specially serviced loans and office FLOCs, National Business Park, Plaza American I & II, College Boulevard Portfolio, and 332 South Michigan, fail to stabilize, deteriorate further, or if there are prolonged workouts of loans in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses relative to the outstanding classes' 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 rating actions also incorporate this analysis. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the second-largest contributor to overall pool loss expectations is the National Business Park loan, which is secured by a leasehold interest in a 450,543-sf portfolio comprising five office buildings in Princeton, NJ. In August 2023, the loan was transferred to the special servicer due to imminent monetary default, with a receiver appointed to manage the assets. As of December 2024, occupancy was 53%, and cash flow has remained insufficient to cover operating expenses. The collateral is subject to ground leases, with maturity dates in 2037 with two 10-year extension options. The short-term nature of these leases, along with the uncertainty of the ground rent during the extension periods are primary factors contributing to the significant impairment to value. Modification discussions with the borrower have ended as the borrower is no longer willing to contribute additional equity to stabilize the assets. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) reflects a full loss to the loan given the substantial risk caused by the encumbrance of the short-term ground leases. The second-largest increase in loss since the prior rating action and the third-largest contributor to overall pool loss expectations is the Plaza America I & II loan, which is secured by a 514,615-sf suburban office property consisting of two buildings that are part of the larger Plaza America office campus in Reston, VA. This FLOC was flagged for occupancy declines and upcoming rollover risk. As of the March 2025 rent roll, occupancy was 60.5% compared with 75% in YE 2023 primarily due to the former largest tenant, Software AG (12.0% NRA), vacating upon its February 2024 lease expiration along with additional smaller tenants rolling in 2024. According to the servicer, the borrower has secured new leases with smaller tenants, including Arup US INC (2.0% NRA), which assumed a portion of the 18th floor, although lease terms were noted provided. Current major tenants include NVR, Inc. (11.8%, April 2026) and Stanley Martin Communities (6.8%, April 2030). The servicer-reported YE 2024 net operating income (NOI) debt service coverage ratio (DSCR) was 1.50x, compared with 2.06x at YE 2023, 2.12x at YE 2022, 2.00x at YE 2021, and 1.97x at YE 2020. In addition, upcoming rollover includes approximately 15% of the NRA through 2026. Fitch's 'Bsf' rating case loss of 28% (prior to concentration add-ons) reflects a 10% cap rate, the YE 2024 NOI and a higher probability of default to account for the upcoming rollover and anticipated refinance concerns. The third-largest increase in loss since the prior rating action and the fifth-largest contributor to overall pool loss expectations is the College Boulevard Portfolio loan, which is secured by a portfolio of five office buildings in Overland, KS totaling 768,461 sf. The five office buildings are 7101 College Boulevard, Commerce Plaza I, Commerce Plaza II, Financial Plaza II, and Financial Plaza III. The largest tenants include BOKF National Association (5% of portfolio NRA; lease expiry in December 2032) and Partners, Inc. (3.6%; January 2027). The loan has been designated as a FLOC for occupancy declines, upcoming rollover risk, and refinancing concerns. The portfolio was 66% occupied as of the December 2024 rent roll. The occupancy has declined from 76% at September 2022 and 93% at issuance due to multiple small tenants vacating at lease expiration. Near-term rollover includes 21.4% of the NRA by February 2026. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2023 NOI, and a higher probability of default to account for the declining performance and anticipated refinance concerns. The largest contributor to overall pool loss expectations is the 332 South Michigan loan, which is secured by an office property in the East Loop submarket of Chicago, IL. The collateral includes floors 1-14, while floors 12-20 are residential units that are non-collateral. The loan transferred to special servicing in October 2023 due to imminent monetary default, and a receiver subsequently took over the management and leasing of the property. As of August 2025, the servicer commentary noted that the receiver is in the process of reviewing purchase offers for the property. The servicer-reported YE 2023 NOI DSCR declined to -0.05x from 1.02x at YE 2022. Fitch requested updated financials but these have not been provided. According to the March 2025 rent roll, occupancy declined further to 61.4% from 67.5% at March 2024 as a result of Intrax English Academies, LLC (5.2% NRA) and Blackstone Group (0.9% NRA) vacating upon their respective lease expirations in May 2024 and December 2024. The largest tenants include RGN-Chicago L, LLC (Regus; 15.3% NRA; lease expiry in December 2033), which took over the former WeWork at YE 2022, and Compass Lexecon (14.6% NRA, June 2030). According to CoStar and as of August 2025, the Chicago East Loop office submarket reported weak fundamentals; the vacancy rate increased slightly over the last 12 months from 25.1% to 25.6%. Fitch's 'Bsf' rating case loss of 77% (prior to concentration add-ons) reflects a stressed value of approximately $20 psf, factoring in the most recent appraisal value, which has declined by 88% from the appraisal value at issuance. Change in Credit Enhancement (CE): As of the August 2025 distribution date, the pool's aggregate balance has been reduced by 19.7% to $736.5 million from $917.4 million at issuance. Ten loans (14.2%) are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly or interest shortfalls are expected to affect these classes. - Downgrades to the 'Asf' category rated classes with Negative Outlooks could occur should performance of the FLOCs, most notably National Business Park, Plaza America I & II, College Boulevard Portfolio, and 332 South Michigan deteriorate further, higher-than-expected losses on the specially serviced loans or more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'BBsf' category rated classes with Negative Outlooks are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to the 'CCCsf and 'CCsf' rated classes would occur if more loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'Asf' category rated classes are not expected, but possible with increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of the FLOCs, including National Business Park, Plaza America I & II, College Boulevard Portfolio, and 332 South Michigan. - 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' category rated class is 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' rated classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CROWN CITY I: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt from Crown City CLO I/Crown City CLO I LLC, a CLO managed by Western Asset Management Co. LLC that was originally issued in June 2020 and underwent a refinancing in July 2021 that was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Sept. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 11, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the July 2021 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 Crown City CLO I/Crown City CLO I LLC Class X-RR, $3.50 million: AAA (sf) Class A-1-RR, $217.00 million: AAA (sf) Class A-2-RR, $10.50 million: AAA (sf) Class B-RR, $38.50 million: AA (sf) Class C-RR (deferrable), $21.00 million: A (sf) Class D-1-RR (deferrable), $16.63 million: BBB (sf) Class D-2-RR (deferrable), $6.13 million: BBB- (sf) Class E-RR (deferrable), $11.38 million: BB- (sf) Subordinated notes, $59.90 million: NR NR--Not rated. FIGRE TRUST 2025-HE5: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to FIGRE Trust 2025-HE5's mortgage-backed notes. The transaction is an RMBS securitization backed by first- and subordinate-lien, simple-interest, fixed-rate, and fully amortizing residential mortgage loans that are open-ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 6,187 initial HELOCs plus 360 subsequent draws (6,547 HELOC mortgage loans), which are all ability-to-repay-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned FIGRE Trust 2025-HE5(i) Class A, $322,660,000: AAA (sf) Class B, $34,545,000: AA- (sf) Class C, $53,257,000: A- (sf) Class D, $26,149,000: BBB- (sf) Class E, $20,871,000: BB- (sf) Class F, $13,674,000: B- (sf) Class G, $8,636,904: NR Class XS, notional(ii): NR Class FR(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate owned properties as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit into the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. N/A--Not applicable. NR--Not rated. GARNET CLO 2: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Garnet CLO 2 Ltd./Garnet CLO 2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Garnet Credit Management LLC. The preliminary ratings are based on information as of Aug. 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Garnet CLO 2 Ltd./Garnet CLO 2 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $46.30 million: NR NR--Not rated. GOLUB CAPITAL 50(B)-R: Moody's Assigns Ba3 Rating to Cl. E-R2 Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the "Refinancing Notes") issued by Golub Capital Partners CLO 50(B)-R, Ltd. (the "Issuer"). Moody's rating action is as follows: US$316,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2035 (the "Class A-1-R2 Notes"), Assigned Aaa (sf) US$22,000,000 Class E-R2 Secured Deferrable Floating Rate Notes due 2035 (the "Class E-R2 Notes"), Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. OPAL BSL 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. In addition to the issuance of the Refinancing Notes and four other classes of secured notes, the Issuer also previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. Other changes to transaction features in connection with the refinancing include extension of the non-call period. No action was taken on the Class A-2-R notes because its expected losses remain commensurate with its 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: $546,058,705 Defaulted par: $2,167,355 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3008 Weighted Average Spread (WAS): 3.15% Weighted Average Coupon (WAC): 4.17% Weighted Average Recovery Rate (WARR): 46.81% Weighted Average Life (WAL): 5.26 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. GOLUB CAPITAL 58(B)-R: Fitch Assigns 'BB-(EXP)' Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the Golub Capital Partners CLO 58(B)-R, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 58(B)-R, Ltd. A-1-L-R Loan LT AAA(EXP)sf Expected Rating A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Golub Capital Partners CLO 58(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by OPAL BSL LLC that originally closed on Dec. 15, 2021. This is the first refinancing of the original transaction where the existing secured notes will be refinanced in whole on Sept. 3, 2025. Net proceeds from the issuance of the secured debt and the existing subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 26.63 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.22% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.49% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 52% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-L-R loans and A-1-R notes, between 'BBBsf' and 'AA+sf' for class A-2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-L-R loans, A-1-R notes and 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 notes, 'AA+sf' for class C-R notes, 'Asf' for class D-1-R notes, 'Asf' for class D-2-R notes, and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 58(B)-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GS MORTGAGE-BACKED 2025-NQM3: S&P Assigns 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2025-NQM3's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, co-operatives, and condotels. The pool consists of 939 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned GS Mortgage-Backed Securities Trust 2025-NQM3 Class A-1, $278,026,000: AAA (sf) Class A-2, $25,579,000: AA (sf) Class A-3, $32,066,000: A (sf) Class M-1, $13,530,000: BBB (sf) Class B-1, $9,268,000: BB (sf) Class B-2, $7,599,000: B (sf) Class B-3, $4,634,426: NR Class X(i): NR Class SA, $106,816(ii): NR Class PT, $370,702,426: NR Class R, N/A: NR (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period, which initially is $370,702,426. (ii)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. Entitled to the class SA monthly remittance amount, if any. N/A--Not applicable. NR--Not rated. INVESCO US 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2025-2, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2025-2, Ltd. A LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Invesco U.S. CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5 L.P.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.43 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.58% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.7% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'A+sf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. JP MORGAN 2025-7MPR: Moody's Assigns Ba2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 11 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-7MPR, and sponsored by JPMorgan Chase Bank, National Association (JPMCB). The securities are backed by a pool of prime jumbo (93.4% by balance) and GSE-eligible (6.6% by balance) residential mortgages aggregated by JPMorgan Chase Bank, National Association (JPMCB), originated and serviced by multiple entities. Issuer: J.P. Morgan Mortgage Trust 2025-7MPR Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1C, Definitive Rating Assigned Aaa (sf) Cl. A-1D, Definitive Rating Assigned Aaa (sf) Cl. A-1M, Definitive Rating Assigned Aa1 (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa1 (sf) Cl. B-1, Definitive Rating Assigned Baa3 (sf) Cl. B-2, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings for Class A-2, Class M-1 and Class B-1 of Aa2 (sf), Baa1 (sf) and Baa3 (sf) are one notch higher than the provisional ratings of (P)Aa3 (sf), (P)Baa2 (sf) and (P)Ba1 (sf) respectively. The definitive rating for Class B-2 of Ba2 (sf) is three notches higher than the provisional rating of (P)B2 (sf). The difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than what Moody's modeled when the provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.55%, in a baseline scenario-median is 0.25% and reaches 9.24% 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. JP MORGAN 2025-CES4: S&P Assigns B- (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2025-CES4's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, and fully amortizing residential mortgage loans to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool has 4,124 loans and comprise qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay-compliant (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 reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES4(i) Class A-1A, $347,746,000: AAA (sf) Class A-1B, $17,170,000: AAA (sf) Class A-1-X, $364,916,000: AAA (sf) Class A-1(ii), $364,916,000: AAA (sf) Class A-2, $19,343,000: AA- (sf) Class A-3, $16,083,000: A- (sf) Class M-1, $13,258,000: BBB- (sf) Class B-1, $8,911,000: BB- (sf) Class B-2, $6,738,000: B- (sf) Class B-3, $5,433,944: NR Class A-IO-S, notional(iii): NR Class XS, notional(iv): NR Class PT, N/A: NR Class A-R, N/A(v): NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)Certain proportions of the class A-1-X, A-1A, and A-1B notes are exchangeable for the class A-1 notes and vice versa. (iii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing prior to the servicing transfer date and serviced by Nationstar Mortgage LLC doing business as Rushmore Servicing on or after the servicing transfer date. (iv)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (v)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. JP MORGAN 2025-CES4: S&P Assigns Prelim 'B-' Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-CES4's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool has 4,124 loans and comprise qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of Aug. 28, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES4(i) Class A-1A, $347,746,000: AAA (sf) Class A-1B, $17,170,000: AAA (sf) Class A-1-X, $364,916,000: AAA (sf) Class A-1(ii), $364,916,000: AAA (sf) Class A-2, $19,343,000: AA- (sf) Class A-3, $16,083,000: A- (sf) Class M-1, $13,258,000: BBB- (sf) Class B-1, $8,911,000: BB- (sf) Class B-2, $6,738,000: B- (sf) Class B-3, $5,433,944: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iv): NR Class PT, N/A: NR Class A-R, N/A(v): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)Certain proportions of the class A-1-X, A-1A and A-1B notes are exchangeable for the class A-1 notes, and vice versa. (iii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing prior to the servicing transfer date and serviced by Nationstar Mortgage LLC doing business as Rushmore Servicing on or after the servicing transfer date. (iv)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (v)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. JP MORGAN 2025-DSC2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2025-DSC2's mortgage-backed certificates. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (including loans with initial interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and five- to 10-unit multifamily properties. The pool consists of 1,792 business-purpose investment property loans, which are all ability to repay (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 (R&W) framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's U.S. economic outlook, which considers our current projections for 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 J.P. Morgan Mortgage Trust 2025-DSC2 Class A-1A, $201,255,000: AAA (sf) Class A-1B, $37,132,000: AAA (sf) Class A-1, $238,387,000: AAA (sf) Class A-2, $35,090,000: AA- (sf) Class A-3, $46,229,000: A- (sf) Class M-1, $16,524,000: BBB (sf) Class B-1, $19,494,000: BB- (sf) Class B-2, $10,211,000: B- (sf) Class B-3, $5,385,091: NR Class A-IO-S, notional(i): NR Class XS, notional(ii): NR Class A-R, not applicable: NR (i)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the cutoff date. (ii)Excess servicing strip. NR--Not rated. JPMCC 2015-JP1: Fitch Lowers Rating on Class C Certs to 'BB-sf' --------------------------------------------------------------- Fitch Ratings has downgraded 11 and affirmed three classes of JPMCC Commercial Mortgage Securities Trust 2015-JP1 (JPMCC 2015-JP1) commercial mortgage pass-through certificates. Fitch has also assigned Negative Rating Outlooks to five classes following the downgrades and the Outlook for class A-5 remains Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2015-JP1 A-4 46590KAD6 LT AAAsf Affirmed AAAsf A-5 46590KAE4 LT AAAsf Affirmed AAAsf A-S 46590KAG9 LT AA-sf Downgrade AAAsf A-SB 46590KAF1 LT AAAsf Affirmed AAAsf B 46590KAH7 LT BBB-sf Downgrade A-sf C 46590KAK0 LT BB-sf Downgrade BBB-sf D 46590KAL8 LT CCCsf Downgrade BB-sf E 46590KBA1 LT CCsf Downgrade B-sf F 46590KAS3 LT Csf Downgrade CCCsf G 46590KAU8 LT Dsf Downgrade CCsf X-A 46590KAN4 LT AA-sf Downgrade AAAsf X-B 46590KAP9 LT BBB-sf Downgrade A-sf X-D 46590KAR5 LT CCCsf Downgrade BB-sf X-E 46590KAY0 LT CCsf Downgrade B-sf KEY RATING DRIVERS Increasing 'Bsf' Loss Expectations: The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven by ongoing performance deterioration and the recent transfer of the 32 Avenue of the Americas (23.4%) and 7700 Parmer (17.5%) loans to special servicing. Deal-level 'Bsf' rating case losses have increased to 16.08% from 6.91% at the prior rating action. Fitch Loans of Concern (FLOCs) comprise fifteen loans (69.9% of the pool) including nine loans in special servicing (23.2%). The Negative Outlooks reflect the substantially elevated office concentration of 54.5% and the potential for downgrades should performance of the specially serviced loans and FLOCs, Heinz 57 Center (9.7%) and The 9 (0.6%), fail to stabilize, deteriorate further or with prolonged workouts of loans in special servicing. Without performance stabilization, improved recovery prospects and/or if more loans than expected fail to refinance at maturity and/or expected losses increase, further downgrades are possible. Due to the significant near-term loan maturities and increasing pool concentrations, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality, and then ranked them by their perceived likelihood of repayment and/or loss expectations. Largest Contributors to Loss: The largest overall contributor to loss is the 32 Avenue of the Americas loan (23.4%), secured by a 1.2 million-sf office property/data center in New York, NY. The property was identified as a FLOC due to sustained performance declines and has been transferred to special servicing as of Aug. 15, 2025 due to imminent maturity default. Occupancy has fallen to 57% as of 2Q25, in line with YE 2024, but a decline from 60.5% at YE 2023, and remains lower than YE 2020 occupancy of 89%. Due to the occupancy declines, NOI DSCR has fallen to 1.22x compared to 1.09x at YE 2024 and 1.15x as of YE 2023 and 2.00x at issuance. In addition to the decline in occupancy, the subjects' operating expenses have increased. Compared to issuance levels, real estate taxes have risen 55% and general and administrative expenses have increased 115%, contributing to a 38% increase in total operating expenses. Overall, YE 2024 NOI has declined 5.1% yoy and remains 45.6% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 20% (prior to concentration adjustments) reflects a 9.5% cap rate and 10% stress to the YE 2024 NOI and factors an increased probability of default due to the loan's heightened default concerns. The loan matures in November 2025. The second largest overall contributor to loss is the Heinz 57 Center loan (9.7%), secured by a 699,610 sf office building in Pittsburgh, PA. The building is primarily occupied by Heinz North America which represents 44.3% of the building NRA on a lease through July 2026. As of June 2025, occupancy had declined to 71% due to ground floor retail tenant, Burlington Coat Factory (20.1% of NRA) vacating at lease expiration in March 2024. As of June 2025, NOI DSCR was 1.47x, below NOI DSCR of 1.76x as of YE 2024, but in line with YE 2023. Occupancy is expected to fall further as University of Pittsburgh Medical Center, which has been subleasing space from Heinz, has intentions of vacating the building. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 40% reflects a Fitch valuation in line with recent appraisal values of comparable properties in the submarket equating to value of $55 psf. It also incorporates a higher probability of default to account for the expected decline in occupancy, heightened refinance risk and value degradation in the submarket. The third largest overall contributor to loss is the 7700 Parmer loan (17.5%), secured by a 911,579-sf office property in Austin, TX. The largest tenants include Google (33.3% of NRA) expiring in September 2027 and Electronic Arts (19.2%) with lease expiration in August 2026. Property occupancy declined to 81% in 2023 from 99% in 2022 due to the downsize of eBay from 24% of the property to 10%, and the departure of Fair Isaac (2.7% of NRA) and Deloitte (1.5%) in 2023 at their respective lease expiration dates. YE 2023 NOI is down 38% yoy and is 11% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 20% reflects a 10% stress to the YE 2024 NOI with a cap rate of 9.5% and factors a higher probability of default to account for concentrated near-term rollover contributing to heightened refinance risk. Increase to Credit Enhancement: As of the August 2025 distribution date, the pool's aggregate principal balance has paid down by 46.5% to $427.8 million from $799.2 million at issuance. Cumulative interest shortfalls totaling $2.3 million are affecting the non-rated classes G and NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated class with Negative Outlooks are likely with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. In particular, the failure to renew major tenants at the 7700 Parmer property would be a key contributing factor to a potential downgrade. Downgrades to classes rated in the 'AAsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf' and 'BBsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern include 32 Avenue of the Americas, Heinz 57 Center, 7700 Parmer, The 9, Courtyard by Marriott McDonough, and Marketplace at Augusta - Townsend. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' category may be possible with significantly increased credit enhancement (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 'BBBsf' 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. JPMDB COMMERCIAL 2016-C2: Moody's Cuts Rating on 2 Tranches to Ba2 ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on four classes in JPMDB Commercial Mortgage Securities Trust 2016-C2, Commercial Mortgage Pass-Through Certificates, Series 2016-C2 as follows: Cl. A-3A, Affirmed Aaa (sf); previously on Jul 11, 2023 Affirmed Aaa (sf) Cl. A-3B, Affirmed Aaa (sf); previously on Jul 11, 2023 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 11, 2023 Affirmed Aaa (sf) Cl. A-S, Downgraded to Baa1 (sf); previously on Jul 11, 2023 Downgraded to A1 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 11, 2023 Affirmed Aaa (sf) Cl. B, Downgraded to Ba2 (sf); previously on Jul 11, 2023 Downgraded to Baa2 (sf) Cl. X-A*, Downgraded to Aa3 (sf); previously on Jul 11, 2023 Affirmed Aa1 (sf) Cl. X-B*, Downgraded to Ba2 (sf); previously on Jul 11, 2023 Downgraded to Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, Cl. A-S and Cl. B, were downgraded due to a decline in pool performance and higher expected losses from specially serviced loans as well as the exposure to high Moody's LTV loan with declining performance. Specially serviced loans represent 21.5% of the pool, including 100 East Pratt (8.4% of the pool), which is secured by an office property which has had a significant decline in occupancy after the largest tenant vacated the property in 2024. The other loans in special servicing include the Doubletree Houston Intercontinental Airport (5.7% of the pool), which has accrued significant servicer advances in combination with performance declines and the Palisades Center (4.5% of the pool), a regional mall with significant declines in performance in recent years. Furthermore, two of the top five largest loans in the pool have a Moody's LTV above 150% and are likely to face heightened refinance risk at their upcoming maturity dates. These high Moody's LTV loans include Quaker Bridge Mall (12.6% of the pool), which is secured by a regional mall that has lost two of its anchor tenants and performance remains below pre-pandemic levels and Four Penn Center (6.8% of the pool), which is secured by an office property with a recent large decline in occupancy and loan DSCR. The majority of the loans in the pool mature within the next nine months and given the higher interest rate environment and loan performance, certain loans may be unable to pay off at their maturity date, which may increase interest shortfall risk for the outstanding classes. The ratings on the IO classes were downgraded based on a decline in the credit quality of their referenced classes. Social risk for this transaction is high (IPS S-4). Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 17.5% of the current pooled balance, compared to 10.9% at Moody's last review. Moody's base expected loss plus realized losses is now 12.9% of the original pooled balance, compared to 8.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the August 15, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 26% to $661.0 million from $892.8 million at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 12.6% of the pool, with the top ten loans (excluding defeasance) constituting 69.4% of the pool. One loan, constituting 9.1% of the pool, has an investment-grade structured credit assessment. Four loans, constituting 8.2% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14, compared to 15 at Moody's last review. Ten loans, constituting 41.0% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool resulting in a loss. Four loans, constituting 21.5% of the pool, are currently in special servicing. The largest specially serviced loan is the 100 East Pratt Loan ($55.8 million -- 8.4% of the pool), which represents a pari-passu portion of a $102.6 million mortgage loan. The loan is secured by an approximately 663,000 square feet (SF), 28-story, Class A office building located in downtown Baltimore, Maryland. The property also includes an 8-level parking garage with 932 parking spaces. The former largest tenant, T. Rowe Price, a global asset management firm that occupied 443,000 SF (67% of the NRA) exercised their early lease termination option, inclusive of a $20.4 million termination fee and vacated their space during April 2025. In March 2025, the property was reported as 90% leased, however incorporating the most recent tenant departure of T.Rowe Price and Jone Lang LaSalle, the property would be approximately only 20% occupied. While the loan has amortized approximately 7% since securitization and had a DSCR above 1.80X in March 2025, Moody's expects the cash flow to decline significantly (absent of additional leasing activity) in 2025. The loan is last paid through its June 2025 payment date and is reported to have over $42 million in reserves. Furthermore, the loan has a maturity date in April 2026 and if the borrower is unable to significantly lease up space, Moody's expects this loan to have heightened refinance risk. The second largest specially serviced loan is the DoubleTree Houston Intercontinental Airport Loan ($38.0 million -- 5.7% of the pool), which is secured by a 313 key full-service hotel located in Houston, Texas. The loan transferred to special servicing in June 2020 due to imminent default at the borrower's request in relation to business disruptions from the coronavirus pandemic. The property was not generating sufficient cash flow to cover debt service and the borrower was unwilling to fund shortfalls. The borrower consented to the appointment of a receiver, which has since been appointed and was working to stabilize operations. The loan has been deemed non-recoverable by the master servicer and remains last paid through its October 2020 payment date. The loan has accrued over $13.3 million of servicer advances, representing over 35% of the outstanding loan amount and an appraisal reduction of 57% of the outstanding loan amount has been recorded. Due to the significant delinquency of the loan and inability to improve property operations, Moody's expects a significant loss from this loan. The third largest specially serviced loan is the Palisades Center Loan ($30.0 million -- 4.5% of the pool), which represents a pari passu portion of a $259.1 million senior mortgage loan. The $30 million trust portion is pari passu with the $229.1 million senior A note within the Palisades Center Trust 2016-PLSD large loan transaction. The property is also encumbered with a $159.4 million subordinate companion loan and $141.5 million in mezzanine debt. The loan is secured by a 1.9 million square feet (SF) portion of a 2.2 million SF super regional mall located in West Nyack, New York. The mall is anchored by Home Depot, Target, BJ's Wholesale Club and Dick's Sporting Goods, and shadow anchored by Macy's. Property performance was already declining prior to 2020 but was further significantly impacted by the coronavirus pandemic and performance has remained well below levels at securitization. The loan first transferred to special servicing in 2020 and the original April 2021 maturity date was eventually extended to October 2022. The loan modification also included a 6-month principal and interest forbearance. The loan returned to the master servicer in May 2021, however, the loan returned to special servicing for imminent default ahead of its October 2022 maturity date and was again unable to pay off at its already extended maturity date. The loan received an additional 30-day forbearance period that expired on November 8, 2022. The special servicer commenced foreclosure proceedings in February 2023 and a receiver and property manager were assigned in September 2024. The loan is last paid through its February 2024 payment date and further negotiations around another loan modification are ongoing. The most recent appraisal valued the property 73% below the appraisal at securitization. The fourth largest specially serviced loan is the Legends at Kingsville Loan ($18.3 million -- 2.8% of the pool), which is secured by a 504-bed (198-unit), three-story student housing complex that caters to the student population of Texas A&M University - Kingsville. The loan transferred to special servicing in October 2022 due to imminent monetary default. Property performance has declined as a result lower occupancy due to declining enrollment at Texas A&M University and higher than expected non-controllable operating expenses. The property is restricted to only leasing to Junior and Senior level students and is highly dependent on student enrollment at the campus. A receiver was appointed in August 2023 to manage and stabilize the property and occupancy for the 2024/2025 school year was approximately 76%. The special servicer and receiver are currently reviewing targeted pre-leasing levels for the 2025/2026 school year with a goal of reaching 85% occupancy. Moody's estimates an aggregate $73.6 million loss for the specially serviced loans (51.8% expected loss on average). As of the August 2025 remittance statement cumulative interest shortfalls were $5.7 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2024 operating results for 96% of the pool, and full or partial year 2025 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 127%, compared to 130% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25.4% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 10.5%. Moody's actual and stressed conduit DSCRs are 1.40X and 0.92X, respectively, compared to 1.44X and 0.89X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the 787 Seventh Avenue Loan ($60.0 million -- 9.1% of the pool), which is secured by the borrower's fee interest in a 1.7 million SF, 50-story, Class A office building located on the Westside of Midtown Manhattan. The loan represents a pari passu portion of a $566.0 million senior mortgage loan and the whole mortgage loan includes a $214.0 million junior mortgage note. The asset is also encumbered with a $220.0 million mezzanine loan. The property is located on Seventh Avenue between West 51st and West 52nd Streets in Manhattan. Major tenants at the property include BNP Paribas, Sidley Austin, and Wilkie Farr & Gallagher. The largest tenant in the building, BNP Paribas, had an initial lease expiration in December 2022 but extended their lease for 20 years while downsizing their space. Property performance has declined since 2019 as a result of lower rental revenue and higher operating expenses but is expected to stabilize and begin to improve as there has been recent leasing and the upcoming tenant lease rollover profile is minimal. The property was 98% leased as of March 2025. This loan is interest-only throughout the ten-year term. Moody's structured credit assessment is baa3 (sca.pd). The top three conduit loans represent 26.9% of the pool balance. The largest loan is the Quaker Bridge Mall Loan ($83.3 million -- 12.6% of the pool), which is secured by the borrower's fee interest in 357,221 SF portion of a 1.1 million SF super-regional mall located in Lawrenceville, New Jersey. The loan represents a pari passu portion of a $150.0 million senior mortgage loan and there is also $30.0 million of subordinate debt in the form of a B-note. At securitization, non-collateral anchor tenants included Macy's, Sears and JC Penney and one anchor tenant, Lord & Taylor, owned its improvements but leased the land from the borrower. However, Sear's vacated their space in September 2018 and Lord & Taylor closed during 2020 as a part of their larger chapter 11 bankruptcy filing. The loan previously transferred to special servicing in November 2020 due to payment default and the loan was subsequently brought current and returned to the master servicer in October 2021. Property performance has generally declined compared to 2018, and the 2024 NOI was 18% lower than in 2018. As of March 2025, in-line occupancy was 77% compared to 83% in December 2019. The loan is interest only throughout the entire 10-year term with an interest rate of 4.2% and had a reported NOI DSCR of 1.82X in March 2025 compared to 2.51X in 2018. Moody's LTV and stressed DSCR are 160% and 0.73X, respectively, compared to 142% and 0.80X at last review. The second largest loan is the Williamsburg Premium Outlets Loan ($50.0 million -- 7.6% of the pool), which is secured by a 522,000 SF open-air outlet center located in Williamsburg, Virginia, approximately 45 miles southeast of Richmond. The loan represents a pari passu portion of a $185.0 million mortgage loan. The property is located along I-64, the primary highway for tourists traveling from Norfolk and Virginia Beach from Richmond and Washington DC. The property was 78% leased as of March 2025 compared to 79% as of December 2021 and 86% as of December 2020. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 109% and 0.97X, respectively, compared to 105% and 1.00X at last review. The third largest loan is the Four Penn Center Loan ($44.7 million -- 6.8% of the pool), which is secured by the borrower's fee simple interest in a 522,600 SF, multi-tenant office building located in the central business district of Philadelphia, Pennsylvania. Property performance declined in 2018 after the loss of two major tenants but improved in 2023 after property occupancy rebounded. However, occupancy has since declined again, and the property was 65% leased as of March 2025 compared to 59% in December 2020 and 84% at securitization. The Market West office submarket of Philadelphia reported a high vacancy rate of 16.9% as of Q2 2025 compared to 8.1% in 2016 according to CBRE Econometric Advisors. The loan has amortized almost 7% since securitization and reported a NOI DSCR of 1.06X as of March 2025. Moody's LTV and stressed DSCR are 161% and 0.69X, respectively, compared to 134% and 0.81X at last review. LEHMAN BROTHERS 2007-3: S&P Affirms CC (sf) Rating on Cl. B Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes, lowered its ratings on one class, and affirmed its ratings on 12 classes from four small business loan securitizations. These transactions are ABS backed by payments from small business loans. S&P summarizes each transaction's performance below. CNL Commercial Mortgage Loan Trust 2003-1 S&P Global Ratings raised its rating on CNL Commercial Mortgage Loan Trust 2003-1's class B certificates. The upgrades primarily reflect the portfolios' ongoing performance improvement and resultant increase in credit enhancement. According to the June 2025 servicer report, the transaction is backed by 11 loans with a balance of $863,000 and a fully funded reserve account with $886,900. The outstanding certificate balance is $863,100. There are no 90-plus-day delinquent, bankrupt, foreclosed, or real estate-owned (REO) loans as of June 2025. Cumulative realized losses are 0.64% of the original pool balance, and one loan is currently delinquent. The reserve account can be used to pay both principal and interest, but cannot be used to call the notes. The deal has sufficient coverage from the reserve account alone to pay the entirety of the outstanding certificates. S&P said, "We upgraded our rating on the class A2 certificates to 'AA+ (sf)' from 'A+ (sf)'. We affirmed our rating on the senior note class A1 at 'AA+ (sf)'." Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 S&P Global Ratings raised its rating on Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3's class M2 certificates and affirmed its ratings on the M3 and B class certificates. The upgrade primarily reflects the portfolios' ongoing performance improvement and resultant increase in credit enhancement. The affirmations primarily reflect the stable performance of the underlying pool and our view that the credit enhancement is sufficient to support the ratings at the current level. According to the June 2025 servicer report, the transaction is backed by 21 loans with a total pool balance of $7.50 million, the reserve account is $0, and the outstanding certificate balance is $20.06 million. There is one loan ($828,000) that is 90-plus-day delinquent, and one loan ($277,000) is classified as a foreclosure. Cumulative realized losses are 22.8% of the original pool balance, and 11.0% of the pool is delinquent. The deal is, overall, undercollateralized; however, class M2, which is now the only class receiving principal, is overcollateralized by 50.3%, an improvement from prior reviews. S&P said, "We upgraded our rating on the class M2 certificates to 'B (sf)' from 'CCC- (sf)' given the significant improvement in credit enhancement for the now senior note. We affirmed our rating on the subordinate note classes M3 and B at 'CC (sf)'." Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 S&P Global Ratings raised its rating on Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2's class M1 certificates, affirmed its ratings on the class M2, M4, and M5 certificates, and lowered its rating on the class M3 certificates. The portfolio performance is deteriorating. Despite this, the credit enhancement has increased enough to upgrade class M1 and is sufficient to affirm class M2, M4, and M5. Credit enhancement is insufficient for, and results in a downgrade for, class M3. According to the June 2025 servicer report, the transaction is backed by 85 loans with a balance of $17.7 million and a total outstanding certificate balance of $48.9 million. Cumulative realized losses are 20.64% of the original pool balance. The reserve account is depleted, and the transaction is currently undercollateralized, with the certificate balance exceeding the collateral balance by 63.70% (i.e., classes M2, M3, M4, and B do not have sufficient collateral to cover their full outstanding balance). Total delinquencies are 2.63% of the pool balance, and 17.3% of loans are foreclosed; no loans are REO or bankrupt loans. S&P said, "We upgraded our 'B+ (sf)' rating on class M1 to 'A+ (sf)', which is the only class receiving principal and interest. We affirmed our 'CCC+ (sf)' rating on class M2, which is undercollateralized and only receiving interest. We downgraded our rating on class M3 to 'CC (sf)' from 'CCC- (sf)' because it is no longer current in interest or principal payments, and sufficient collateral is lacking to support its full outstanding balance. Using the same rationale, we affirmed our ratings on the M4, M5, and B classes at 'CC (sf)'." Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 S&P Global Ratings raised its rating on Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3's class M1 certificates and affirmed its ratings on the M3, M2, M4, M5, and B certificates. The upgrade primarily reflects the portfolio's ongoing performance improvement and resultant increase in credit enhancement. The affirmations primarily reflect the stable performance of the underlying pool and S&P's view that the credit enhancement is sufficient to support the ratings at the current level. According to the June 2025 servicer report, the transaction is backed by 121 loans with a balance of $39.3 million; the outstanding certificate balance is $84.7 million. Cumulative realized losses are 20.5% of the original pool balance. The reserve account is depleted, and the transaction is undercollateralized, with the certificate balance exceeding the collateral balance by 53.6% (i.e., classes M2, M3, M4, M5, and B do not have sufficient collateral to cover their full outstanding balance). Total delinquencies are 2.65% of the pool balance, and 14.81% of the pool consists of bankrupt and foreclosed loans; there are no REO loans. Currently, classes M1 and M2 are receiving interest, and class M1 is receiving principal payments. Neither class M1 nor M2 have any carryforward interest amounts. S&P said, "We raised our rating on class M1 to 'A+ (sf)' from 'BB (sf)' because collateral that is less than 90 days delinquent provides 5.1x coverage of the outstanding certificate balance. We affirmed our 'CCC- (sf)' rating on class M2, which, though undercollateralized, is still receiving interest and has no accumulated interest or principal shortfalls. The class M3, M4, M5, and B certificates are not receiving any principal or interest and have significant carryforward amounts. We affirmed our ratings on classes M3, M4, M5, and B at 'CC (sf)'." S&P said, "We will continue to review whether, in our view, the ratings assigned to the certificates remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." Ratings Raised CNL Commercial Mortgage Loan Trust 2003-1 Class A2 to 'AA+ (sf)' from 'A+ (sf)' Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 Class M2 to 'B (sf)' from 'CCC- (sf)' Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Class M1 to 'A+ (sf)' from 'B+ (sf)' Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class M1 to 'A+ (sf)' from 'BB (sf)' Rating Lowered Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Class M3 to 'CC (sf)' from 'CCC- (sf)' Ratings Affirmed CNL Commercial Mortgage Loan Trust 2003-1 Class A1: AA+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 Class M3: CC (sf) Class B: CC (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Class M2: CCC+ (sf) Class M4: CC (sf) Class M5: CC (sf) Class B: CC (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class M2: CCC- (sf) Class M3 CC (sf) Class M4: CC (sf) Class M5: CC (sf) Class B: CC (sf) MAGNETITE XLVIII: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLVIII, Limited. Entity/Debt Rating ----------- ------ Magnetite XLVIII, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Magnetite XLVIII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 98% first-lien senior secured loans and has a weighted average recovery assumption of 73.72%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, and '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 Magnetite XLVIII, 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MORGAN STANLEY 2025-NQM6: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and 5- to 10-unit multi-family properties. The pool consists of 821 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/HPML, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including S&P Global Ratings reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals; and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6 Class A-1-A, $255,935,000: AAA (sf) Class A-1-B, $38,984,000: AAA (sf) Class A-1, $294,919,000: AAA (sf) Class A-2, $23,391,000: AA- (sf) Class A-3, $36,451,000: A- (sf) Class M-1, $14,229,000: BBB- (sf) Class B-1, $7,408,000: BB (sf) Class B-2, $8,576,000: B (sf) Class B-3, $4,873,818: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R-PT, $19,494,768: NR Class PT, $370,353,050: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $389,847,818. NR--Not rated. NEUBERGER BERMAN 36R: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 36R, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 36R, 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 F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 36R, Ltd. (the issuer) is a reissuance of Neuberger Berman Loan Advisers CLO 36, Ltd., which was not previously rated by Fitch. Neuberger Berman Loan Advisers CLO 36R, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 94.54% first lien senior secured loans and has a weighted average recovery assumption of 73.86%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and '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 Neuberger Berman Loan Advisers CLO 36R, 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. NORTHWOODS CAPITAL 20: S&P Assigns Prelim BB- Rating on ER2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class XR2, AR2, BR2, CR2, D1AR, D1BR, D2R2, and ER2 debt from Northwoods Capital 20 Ltd./Northwoods Capital 20 LLC, a CLO managed by Angelo, Gordon & Co. L.P. that was originally issued in December 2019 and underwent a refinancing in January 2021. The preliminary ratings are based on information as of Sept. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 5, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. At that time, we expect to withdraw our ratings on the existing class X, A-1-R, A-2a-R, A-2b-R, B-1-R, B-2-R, C-R, D-R, and E-R debt and assign ratings to the replacement class XR2, AR2, BR2, CR2, D1AR, D1BR, D2R2, and ER2 debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the existing debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class CR2 and ER2 debt are expected to be issued at a lower spread than the existing debt. -- The stated maturity and reinvestment period will be extended by 6.75 years whereas the non-call period will be extended by 5.75 years. -- Of the identified underlying collateral obligations, 97.87% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.68% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- The transaction is showing very thin cushions in cash flow results, 10 basis points (bps) for the class D2R2 debt and 30 bps for the class ER2 debt. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Northwoods Capital 20 Ltd./Northwoods Capital 20 LLC Class XR2, $2.25 million: AAA (sf) Class AR2, $274.50 million: AAA (sf) Class BR2, $67.50 million: AA (sf) Class CR2 (deferrable), $27.00 million: A (sf) Class D1AR (deferrable), $17.00 million: BBB- (sf) Class D1BR (deferrable), $10.00 million: BBB- (sf) Class D2R2 (deferrable), $2.00 million: BBB- (sf) Class ER2 (deferrable), $14.60 million: BB- (sf) Subordinated notes, $72.18 million: NR NR--Not rated. PMT LOAN 2025-J2: Moody's Assigns Ba1 Rating to Cl. B-4 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 57 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-J2, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (70.10% by balance) and GSE-eligible (29.90% 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, 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-11X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aa1 (sf) Cl. A-27, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X5*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X13*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X17*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aa1 (sf) Cl. A-X27*, Definitive Rating Assigned Aa1 (sf) Cl. A-X28*, Definitive Rating Assigned Aa1 (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aaa (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned Ba3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-3A Loans, assigned on August 21, 2025, because the Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.24%, 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. RAD CLO 30: Fitch Assigns 'BB-(EXP)sf' Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RAD CLO 30, Ltd. Entity/Debt Rating ----------- ------ RAD CLO 30, Ltd. A-1a LT NR(EXP)sf Expected Rating A-1b LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C-1 LT BBB-(EXP)sf Expected Rating C-2 LT BBB-(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary RAD CLO 30, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.12 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 99.28% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.69% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1, and between less than 'B-sf' and 'BB+sf' for class C-2 and between less than 'B-sf' and 'BB-sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b 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, 'AA+sf' for class B, 'A+sf' for class C-1, and 'Asf' for class C-2 and 'BBB+sf' for class D. 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 RAD CLO 30, 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. REGATTA 35: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 35 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 35 Funding 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 Notes LT NRsf New Rating Transaction Summary Regatta 35 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. 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 23.64 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 97.68% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.73% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 Regatta 35 Funding 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. ROCKFORD TOWER 2022-1: Moody's Gives Ba3 Rating to $20MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (the "Refinancing Notes") issued by Rockford Tower CLO 2022-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$287,900,000 Class A-1R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Rockford Tower Capital Management, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes which will remain outstanding. In addition to the issuance of the Refinancing Notes and three other classes of secured notes, the non-call period will be extended. No action was taken on the Class A-2 notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $491,751,564 Defaulted par: $6,827,990 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2789 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.32% Weighted Average Recovery Rate (WARR): 45.82% Weighted Average Life (WAL): 5.75 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. SCULPTOR CLO XXIX: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class B-R, C-R, D-1R, D-2R, and E-R debt from 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. On the Sept. 3, 2025, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P assigned its ratings to the replacement 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 Sculptor CLO XXIX Ltd./Sculptor CLO XXIX LLC 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) Other Debt 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 Subordinated notes, $48.00 million: NR NR--Not rated. SEQUOIA MORTGAGE 2025-8: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-8 (SEMT 2025-8). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-8 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 441 loans with a total balance of approximately $544.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included four loan drops from the prior pool. Fitch re-ran its asset analysis and its proposed loss coverage levels did not change. In addition, Fitch received an updated structure based off the new deal balance and confirmed there were no changes from its expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 441 loans totaling approximately $544.3 million and seasoned at about five months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 780 and a 36.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 79.3% sustainable loan-to-value (sLTV) and a 71.1% mark-to-market combined loan-to-value (cLTV). Overall, 93.9% of the pool loans are for a primary residence, while 6.1% are loans for second homes; 71.7% of the loans were originated through a retail channel. In addition, 100.0 of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 10.5% nationally as of 1Q25, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices.) Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially - first to the super-senior classes (A-9, A-12, A-18, and A-26F) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-8 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.4% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 22 bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-8 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to due to strong counterparties and well-controlled operational considerations, which have a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIXTH STREET XVIII: S&P Assigns Prelim B- (sf) Rating on F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R debt and proposed new class X and F-R debt from Sixth Street CLO XVIII Ltd./Sixth Street CLO XVIII LLC, a CLO managed by Sixth Street CLO XVIII Management LLC that was originally issued in April 2021. The preliminary ratings are based on information as of Sept. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 8, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement class A-1-R debt and proposed new class X and F-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The new class X debt will be issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $0.267 million, beginning on the second payment date. -- The new class F-R debt will also be issued in connection with this refinancing. -- The non-call period will be extended to Sept. 8, 2027. -- The reinvestment period will be extended to Oct. 17, 2030. -- The legal final maturity dates for the replacement debt will be extended to Oct. 17, 2038. -- The legal final maturity date for the subordinated notes will be extended to Oct. 17, 2125. -- An additional $3.4 million in subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sixth Street CLO XVIII Ltd./Sixth Street CLO XVIII LLC Class X, $4.00 million: AAA (sf) Class A-1-R, $240.00 million: AAA (sf) Class F-R (deferrable), $0.40 million: B- (sf) Other Debt Sixth Street CLO XVIII Ltd./Sixth Street CLO XVIII LLC Class A-2-R, $26.00 million: NR Class B-R, $30.00 million: NR Class C-R (deferrable), $32.00 million: NR Class D-1-R (deferrable), $24.00 million: NR Class D-2-R (deferrable), $3.00 million: NR Class E-R (deferrable), $13.00 million: NR Subordinated notes, $44.65 million: NR NR--Not rated. SOUND POINT VI-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO VI-R, Ltd.: US$66 million Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 9, 2024 Affirmed Aa2 (sf) US$30 million (Current outstanding amount US$30,8M) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Jul 9, 2024 Downgraded to B1 (sf) US$12 million (Current outstanding amount US$14,1M) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jul 9, 2024 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$390 million (Current outstanding amount US$191.5M) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 9, 2024 Affirmed Aaa (sf) US$33 million Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Jul 9, 2024 Affirmed A2 (sf) US$33 million Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on Jul 9, 2024 Downgraded to Ba1 (sf) Sound Point CLO VI-R, Ltd., issued in October 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The upgrade on the rating on the Class B notes is primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in July 2024. The downgrades to the ratings on the Class E and F notes are due to deterioration of the key credit metrics of the underlying pool since the last rating action in July 2024. The affirmations on the ratings on the Class A, C and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated July 2025 [1], the WARF was 3,820, compared with 3,284 the June 2024 [2] as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 18.10% of the underlying portfolio, versus 9.10% in June 2024. The Class A notes have paid down by approximately USD198.5 million 49% since the last rating action in July 2024 and as a result of the deleveraging, over-collateralisation (OC) has increased for the most senior classes. According to the trustee report dated July 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 133.65%, 119.24%, 107.64% and 98.89% compared to June 2024 [2] levels of 124.74%, 116.33%, 108.97% and 103.05%, respectively. Moody's note that the July 2025 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD367,014,008.9 Defaulted Securities: USD7,236,607 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3509 Weighted Average Life (WAL): 3.16 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.48% Weighted Average Recovery Rate (WARR): 45.97% Par haircut in OC tests and interest diversion test: 4.78% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the August 2025 trustee report was published at the time Moody's were completing Moody's analysis of the July 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SOUND POINT VII-R: Moody's Cuts Rating on $20MM Cl. E Notes to B3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes: US$56 million Class B-R Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 8, 2021 Assigned Aa1 (sf) US$29 million Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Oct 23, 2018 Assigned A2 (sf) US$30 million Class D Mezzanine Secured Deferrable Floating Rate Notes, Downgraded to Ba1 (sf); previously on Aug 14, 2020 Confirmed at Baa3 (sf) US$20 million (Current outstanding amount US$20,170,596) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B3 (sf); previously on Aug 14, 2020 Confirmed at Ba3 (sf) US$10 million (Current outstanding amount US$11,798,353) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Apr 26, 2023 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$310 million (Current outstanding amount US$128,296,283) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 8, 2021 Assigned Aaa (sf) US$15 million Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 8, 2021 Assigned Aaa (sf) Sound Point CLO VII-R, Ltd., issued in October 2018 and later refinanced in June 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The upgrades on the ratings on the Class B-R and C notes are primarily a result of the deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since August 2024. The Class A-1-R notes have paid down by approximately USD132.0 million (42.6%) in the last 12 months and USD181.7 million (58.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the Class A-1-R, A-2-R, B-R and C notes. According to the trustee report dated August 2025[1] the Class A/B and Class C ratios are reported at 139.13% and 121.46%, compared to August 2024[2] levels of 127.14% and 116.91%, respectively. The downgrades to the ratings on the Class D, E and F notes are due to the deterioration of the key credit metrics of the underlying pool over the last twelve months since August 2024. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated August 2025[1], the WARF was 3503, compared with 2930 the August 2024[2] report. Securities with ratings of Caa1 or lower currently make up approximately 24.0% of the underlying portfolio, versus 13.8% in August 2024 twelve months ago. The over-collateralization ratios for Class D and Class E have declined to 107.35% and 99.64% in August 2025[1] compared with 107.92% and 102.66% in August 2024[2]. The affirmations on the ratings on the Class A-1-R and A-2-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD291.0m Defaulted Securities: USD4.1m Diversity Score: 60 Weighted Average Rating Factor (WARF): 3498 Weighted Average Life (WAL): 3.16 years Weighted Average Spread (WAS): 3.47% Weighted Average Recovery Rate (WARR): 46.11% Par haircut in OC tests and interest diversion test: 5.3% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SOUND POINT VIII-R: Moody's Cuts Rating on $13MM Class F Notes to C ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO VIII-R, Ltd.: US$20 million Class D-1 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Nov 25, 2024 Affirmed Baa2 (sf) US$14 million Class R2-D2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Nov 25, 2024 Affirmed Baa2 (sf) US$29 million Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Nov 25, 2024 Downgraded to B3 (sf) US$13 million (Current outstanding amount US$18.5M) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to C (sf); previously on Nov 25, 2024 Downgraded to Ca (sf) Moody's have also affirmed the ratings on the following notes: US$63M (Current outstanding amount US$38.6M) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 25, 2024 Affirmed Aaa (sf) US$25 million Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 25, 2024 Upgraded to Aaa (sf) US$6 million Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes, Affirmed Aaa (sf); previously on Nov 25, 2024 Upgraded to Aaa (sf) Sound Point CLO VIII-R, Ltd., issued in April 2019 and partially refinanced in February 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class D-1 and R2-D2 notes are primarily a result of the full repayment of the Class A-R notes and the deleveraging of the Class B-R notes following amortisation of the underlying portfolio since the last rating action in November 2024. The rating downgrades on the Class E and F notes reflect the specific risks to the junior notes posed by credit deterioration and the par loss observed in the underlying CLO portfolio since the last rating action in November 2024. The Class A-R Notes were paid off in full on payment date in April 2025. Since then Class B-R notes have been deleveraging by approximately USD24.4 million (38.8%). As a result of the deleveraging, over-collateralisation (OC) has increased for the senior tranches of the capital structure. According to the trustee report dated August 2025 [1] the Senior, Class C and Class D OC ratios are reported at 328.71%, 182.24% and 122.42% compared to November 2024 [2] levels of 185.15%, 145.66% and 118.04%, respectively. At the same time, the Class E OC ratio decreased to 95.64% in August 2025 [1] report from 101.61% in November 2024 [2], and is currently failing. While the transaction doesn't have an explicit Class F OC ratio, its implicit level has decreased following the loss of par to 83.91% in August 2025 [1] from 94.06% in November 2024 [2]. Moody's also note that the Class F deferred interest has increased to $5,529,202 in August 2025 [1] from $3,725,595 reported in November 2024 [2]. Additionally, the credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated August 2025[1], the WARF was 3716, compared with 3299 in the November 2024 [2] report. Securities with ratings of Caa1 or lower make up approximately 24.10% of the underlying portfolio in August 2025 [1] report, versus 13.28% in November 2024 [2]. The affirmations on the ratings on the Class B-R, C-1-R and C-2-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD135,765,678 Defaulted Securities: USD2,333,505 Diversity Score: 40 Weighted Average Rating Factor (WARF): 3715 Weighted Average Life (WAL): 2.70 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.50% Weighted Average Recovery Rate (WARR): 45.35% Par haircut in OC tests and interest diversion test: 7.47% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SYCAMORE TREE 2025-7: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Sycamore Tree CLO 2025-7 Ltd./Sycamore Tree CLO 2025-7 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sycamore Tree CLO Manager LLC. The 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 Sycamore Tree CLO 2025-7 Ltd./Sycamore Tree CLO 2025-7 LLC Class A-1, $305.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $45.00 million: NR NR--Not rated. TRINITAS CLO XIV: S&P Assigns BB- (sf) Rating on Class E-R-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R-2, A-2-R-2, B-R-2, C-R-2, D-R-2, and E-R-2 debt from Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in December 2020 and underwent a partial refinancing in May 2024. At the same time, S&P withdrew its ratings on the outstanding class A-1-R, A-2-R, B-R, C-R, D, and E debt following payment in full on the Sept. 3 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 March 3, 2026. -- No additional assets were purchased on the Sept. 3, 2025, refinancing date, and the target initial par amount remains at $550 million. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1-R-2, $330.00 million: Three-month CME term SOFR + 1.10% -- Class A-2-R-2, $27.50 million: Three-month CME term SOFR + 1.45% -- Class B-R-2, $60.50 million: Three-month CME term SOFR + 1.70% -- Class C-R-2 (deferrable), $33.00 million: Three-month CME term SOFR + 2.10% -- Class D-R-2 (deferrable), $27.50 million: Three-month CME term SOFR + 3.15% -- Class E-R-2 (deferrable), $19.25 million: Three-month CME term SOFR + 6.75% Outstanding debt -- Class A-1-R, $330.00 million: Three-month CME term SOFR + 1.34% -- Class A-2-R, $27.50 million: Three-month CME term SOFR + 1.54% -- Class B-R, $60.50 million: Three-month CME term SOFR + 1.95% -- Class C-R(deferrable), $33.00 million: Three-month CME term SOFR + 2.40% -- Class D(deferrable), $27.50 million: Three-month CME term SOFR + 4.56% -- Class E(deferrable), $19.25 million: Three-month CME term SOFR + 8.30% 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 Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Class A-1-R-2, $330.00 million: AAA (sf) Class A-2-R-2, $27.50 million: AAA (sf) Class B-R-2, $60.50 million: AA (sf) Class C-R-2 (deferrable), $33.00 million: A (sf) Class D-R-2 (deferrable), $27.50 million: BBB- (sf) Class E-R-2 (deferrable), $19.25 million: BB- (sf) Ratings Withdrawn Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Class A-1-R to NR from AAA (sf) Class A-2-R to NR from AAA (sf) Class B-R to NR from AA (sf) Class C-R to NR from A (sf) Class D to NR from BBB- (sf) Class E to NR from BB- (sf) Other Debt Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Subordinated notes, $54.00 million: NR NR--Not rated. VERUS SECURITIZATION 2025-8: S&P Assigns Prelim B+ (sf) on B2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-8's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, townhouses, five- to 10-unit multifamily residences, condotels, mixed-use properties, and cooperatives. The pool consists of 1,165 qualified mortgage (QM)/non-higher-priced mortgage loan (HPML; safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay (ATR)-exempt loans from 1,175 properties. The preliminary ratings are based on information as of Sept. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned Verus Securitization Trust 2025-8(i) Class A-1, $337,956,000: AAA (sf) Class A-1A, $291,628,000: AAA (sf) Class A-1B, $46,328,000: AAA (sf) Class A-1F, $84,489,000: AAA (sf) Class A-1IO, $84,489,000(ii): AAA (sf) Class A-2, $38,220,000: AA (sf) Class A-3, $55,014,000: A (sf) Class M-1, $22,874,000: BBB (sf) Class B-1, $17,372,000: BB (sf) Class B-2, $11,582,000: B+ (sf) Class B-3, $11,582,579: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iii): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated Aug.29, 2025. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes and will not be entitled to payments of principal. The class A-1IO note rate on each accrual period up to but excluding the accrual period in September 2029 will be an annual rate equal to the excess, if any, of the lesser of 7.000% and the product of the net WAC rate for that payment date divided by the class A-1/A-1F blended rate and 7.000%; over the class A-1F note rate for that payment date. Beginning with the accrual period in September 2029, and on each accrual period thereafter, the class A-1IO note rate will be an annual rate equal to the excess, if any, of the lesser of 8.000% and the product of the net WAC rate for that payment date divided by the step-up class A-1/A-1F blended rate and 8.000%; over the note rate on the class A-1F notes for that payment date. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (xii)The excess servicing strip plus excess prepayment interest minus compensating interest. VOYA CLO 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2025-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- VOYA CLO 2025-4, LTD. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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', in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.89, which 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%, which 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. Fitch believes 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. Date of Relevant Committee 21 August 2025 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. WELLINGTON MANAGEMENT 5: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Wellington Management CLO 5 Ltd.'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 Wellington Management CLO Advisors LLC. The preliminary ratings are based on information as of Aug. 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Wellington Management CLO 5 Ltd./Wellington Management CLO 5 LLC Class A, $188.00 million: AAA (sf) Class A loans, $60.00 million: AAA (sf) Class B, $56.00 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, $40.70 million: NR NR—Not rated. WESTLAKE AUTOMOBILE 2024-2: S&P Affirms 'BB' Rating on Cl. E Certs ------------------------------------------------------------------ S&P Global Ratings raised its ratings on 20 classes of notes and affirmed its ratings on 14 classes of notes from Westlake Automobile Receivables Trust (Westlake) 2022-3, 2023-1, 2023-2, 2023-3, 2023-4, 2024-1, and 2024-2. These are ABS transactions backed by subprime retail auto loan receivables originated and serviced by Westlake Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and its expectations regarding future collateral performance; Our remaining cumulative net loss (CNL) expectations for each transaction and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes each notes' creditworthiness is consistent with the raised and affirmed ratings. The transactions are performing worse than S&P's initial or prior CNL expectations. As such, it revised and raised its expected CNLs for these transactions. Table 1 Collateral performance (%)(i) Pool Current Current Current 60-plus-day Series Month factor CGL CRR CNL delinq. Ext. 2022-3 34 24.10 19.40 26.96 14.17 1.79 9.07 2023-1 31 30.27 17.52 29.30 12.39 1.57 8.21 2023-2 29 31.87 15.82 29.03 11.23 1.76 8.22 2023-3 24 41.29 14.41 27.46 10.46 1.60 7.77 2023-4 21 46.57 11.72 27.69 8.47 1.42 7.48 2024-1 17 56.06 8.45 28.15 6.07 1.36 7.14 2024-2 14 62.23 6.00 29.42 4.23 1.28 6.76 (i)As of the August 2025 distribution date. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Ext.--Extension rate. Table 2 CNL expectations (%) Original Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2022-3 12.50 14.25 17.25 2023-1 12.50 12.75 16.50 2023-2 12.50 12.50 15.75 2023-3 12.50 12.50 17.00 2023-4 12.50 12.50 15.25 2024-1 12.50 N/A 13.75 2024-2 12.50 N/A 12.75 (i)Revised in August 2024. Revised in December 2024 for series 2023-4. (ii)Revised in August 2025. CNL exp.--Cumulative net loss expectations. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, which will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the August 2025 distribution date, each transaction is at its specified target overcollateralization level (except 2023-3, which is marginally below its target) and specified reserve levels. Each transaction's sequential principal payment structure has led to an increase in hard credit enhancement since issuance. Table 3 Hard credit support(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2022-3 C 24.00 71.57 2022-3 D 15.05 34.44 2022-3 E 10.50 15.56 2023-1 B 34.50 94.17 2023-1 C 24.10 59.81 2023-1 D 15.60 31.74 2023-1 E 10.70 15.55 2023-2 B 35.60 90.98 2023-2 C 29.00 70.28 2023-2 D 18.00 35.77 2023-2 E 12.30 17.89 2023-3 A-3 40.30 90.37 2023-3 B 33.75 74.50 2023-3 C 23.05 48.59 2023-3 D 14.25 27.28 2023-3 E 9.25 15.17 2023-4 A-2 40.80 83.37 2023-4 A-3 40.80 83.37 2023-4 B 34.25 69.30 2023-4 C 23.55 46.33 2023-4 D 14.65 27.20 2023-4 E 9.50 16.15 2024-1 A-3 47.35 86.76 2024-1 B 38.35 70.70 2024-1 C 28.65 53.40 2024-1 D 18.75 35.74 2024-1 E 12.30 24.23 2024-2 A-2-A 43.35 71.36 2024-2 A-2-B 43.35 71.36 2024-2 A-3 43.35 71.36 2024-2 B 35.85 59.31 2024-2 C 25.20 42.19 2024-2 D 15.70 26.93 2024-2 E 11.30 19.86 (i)As of the August 2025 distribution date. Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone, without giving credit to the excess spread, was sufficient, in our view, to support the rating actions. For the other classes, we incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transactions' performance to date. "In addition to our break-even cash flow analyses, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectations. "In our view, the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, based on the cash flow results, demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended July 31, 2025 (the August 2025 distribution date). We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Westlake Automobile Receivables Trust Rating Series Class To From 2022-3 C AAA A 2022-3 D AA- BBB 2023-1 B AAA AA+ 2023-1 C AAA A 2023-1 D A BBB 2023-2 B AAA AA 2023-2 C AAA A+ 2023-2 D A+ BBB+ 2023-3 B AAA AA 2023-3 C AA+ A 2023-3 D BBB+ BBB 2023-4 B AAA AA 2023-4 C AA+ A 2023-4 D BBB+ BBB 2024-1 B AAA AA+ 2024-1 C AA+ A+ 2024-1 D A+ BBB 2024-2 B AAA AA 2024-2 C AA A 2024-2 D BBB+ BBB RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2022-3 E BB 2023-1 E BB+ 2023-2 E BB+ 2023-3 A-3 AAA 2023-3 E BB 2023-4 A-2 AAA 2023-4 A-3 AAA 2023-4 E BB 2024-1 A-3 AAA 2024-1 E BB 2024-2 A-2-A AAA 2024-2 A-2-B AAA 2024-2 A-3 AAA 2024-2 E BB [] Moody's Takes Rating Action on 20 Bonds From 8 US RMBS Deals --------------------------------------------------------------- Moody's Ratings, on Aug. 28, 2025, upgraded the ratings of 20 bonds from 8 US residential mortgage-backed transactions (RMBS), backed by Alt-A, 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: Citigroup Mortgage Loan Trust 2007-AHL2, Asset-Backed Pass-Through Certificates, Series 2007-AHL2 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-3A, Upgraded to Caa1 (sf); previously on May 12, 2015 Downgraded to Ca (sf) Cl. A-3B, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Cl. A-3C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AR4 Cl. 1-A1A, Upgraded to Caa1 (sf); previously on May 19, 2010 Downgraded to Caa2 (sf) Issuer: CSFB Home Equity Asset Trust 2006-6 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Jul 11, 2018 Upgraded to Caa3 (sf) Issuer: Fieldstone Mortgage Investment Trust 2006-3 Cl. 2-A2, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. 2-A3, Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. 2-A4, Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Ownit Mortgage Loan Trust 2006-7 Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Confirmed at Ca (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2005-OP2 Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Cl. M-5, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR4 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Issuer: TBW Mortgage-Backed Trust Series 2006-5 Cl. A-3, Upgraded to Caa1 (sf); previously on Mar 18, 2013 Affirmed Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses 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 Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 33 Bonds from 13 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings, on Aug. 28, 2025, upgraded the ratings of 21 bonds and downgraded the ratings of 12 bonds from 13 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: ABFC Asset-Backed Certificates, Series 2005-HE1 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 12, 2013 Affirmed C (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 12, 2013 Affirmed C (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC3 Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-FRE1 Cl. A-3, Upgraded to Ba1 (sf); previously on Oct 25, 2024 Upgraded to Ba3 (sf) Cl. A-4, Upgraded to Ba3 (sf); previously on Oct 25, 2024 Upgraded to B1 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1 Cl. M-5, Downgraded to Caa1 (sf); previously on Jul 23, 2018 Downgraded to B1 (sf) Cl. M-6, Downgraded to Caa1 (sf); previously on Jan 18, 2017 Upgraded to B1 (sf) Cl. M-7, Upgraded to Caa1 (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-12 Cl. 1-A, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Oct 25, 2024 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-2 Cl. M-2, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Ca (sf) Cl. M-3, Upgraded to Ca (sf); previously on Oct 26, 2016 Reinstated to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-BC1 Cl. 1-A, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Upgraded to B1 (sf) Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Upgraded to B1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 25, 2024 Upgraded to B1 (sf) Issuer: New Century Home Equity Loan Trust 2005-3 Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 14, 2016 Upgraded to B1 (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-1 Cl. M-2, Downgraded to Caa1 (sf); previously on Jul 11, 2018 Upgraded to B1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Issuer: Saxon Asset Securities Trust 2004-1 Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to C (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Feb 3, 2009 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 21, 2016 Downgraded to C (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to C (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to C (sf) Issuer: UCFC Home Equity Loan Trust 1998-D BV-1, Upgraded to Caa1 (sf); previously on Jul 3, 2018 Upgraded to Ca (sf) MF-2, Upgraded to Caa1 (sf); previously on Mar 23, 2011 Downgraded to Ca (sf) MV-1, Downgraded to Caa1 (sf); previously on Oct 21, 2024 Downgraded to B2 (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust Cl. M-7, Downgraded to Caa1 (sf); previously on Oct 28, 2024 Downgraded to B2 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Dec 17, 2018 Upgraded to Caa3 (sf) Cl. M-9, Upgraded to Caa1 (sf); previously on Mar 14, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Some of 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. The rating downgrades on Class 2-A-3 from CWABS Asset-Backed Certificates Trust 2006-12, Class 1-A and Class 2-A-4 from CWABS Asset-Backed Certificates Trust 2007-BC1, and Class M-2 from Merrill Lynch Mortgage Investors Trust Series 2006-HE1 are the result of missed interest that is unlikely to be recouped. Additionally, the rating action on Class M-7 from Citigroup Mortgage Loan Trust 2006-WFHE1 is also attributed to missed interest that is unlikely to be recouped. However, the rating on this class is being updated to reflect a lower expected loss as a percent of the original bond balance. These classes have incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. The rating upgrade of Class A-3 and Class A-4 from Carrington Mortgage Loan Trust, Series 2007-FRE1 are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Credit enhancement grew by 6.5% on average for these bonds upgraded over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 5 Bonds From 3 US RMBS Deals -------------------------------------------------------------- Moody's Ratings, on Aug. 28, 2025, upgraded the ratings of five bonds from three US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE6 Cl. M7, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR3 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 8, 2010 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Jul 5, 2018 Upgraded to Ca (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2007-1 Cl. I-1A, Upgraded to Caa2 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 16 Bonds From 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 16 bonds from two US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2024-CMI1 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Upgraded to Aa3 (sf); previously on Oct 28, 2024 Definitive Rating Assigned A1 (sf) Cl. B-1-3IO*, Upgraded to A1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Upgraded to Aa2 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IO*, Upgraded to Baa1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 28, 2024 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 28, 2024 Definitive Rating Assigned B1 (sf) Issuer: RATE Mortgage Trust 2024-J3 Cl. B-2, Upgraded to A2 (sf); previously on Oct 4, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Oct 4, 2024 Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Upgraded to A2 (sf); previously on Oct 4, 2024 Definitive Rating Assigned A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, by 1.28x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 21 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings, on Aug. 29, 2025, upgraded the ratings of 21 bonds from four US residential mortgage-backed transactions (RMBS), backed by agency-eligible investor property 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: GCAT 2022-INV3 Trust Cl. 1-A-13, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. 1-A-14, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. 1-A-X-14*, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-13, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-14, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. 2-A-X-14*, Upgraded to Aaa (sf); previously on Aug 30, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 5, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Nov 5, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 5, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 5, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 5, 2024 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Nov 5, 2024 Upgraded to Aa2 (sf) Issuer: MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV2 Cl. B-3, Upgraded to A3 (sf); previously on Nov 25, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 25, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 25, 2024 Upgraded to Ba3 (sf) Issuer: MFA 2021-AEINV1 Trust Cl. B-3, Upgraded to A3 (sf); previously on Nov 21, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 21, 2024 Upgraded to Ba3 (sf) Issuer: MFA 2021-AEINV2 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 18, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 18, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Nov 21, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 21, 2024 Upgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction below 0.01% 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 17% 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 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 53 Bonds From 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 53 bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime, prime jumbo, and option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: American Home Mortgage Investment Trust 2007-1 Cl. A-1-A, Upgraded to Caa1 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. A-1-C, Upgraded to Caa2 (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Option One Mortgage Loan Trust 2007-FXD1 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. III-A-4, Upgraded to Caa1 (sf); previously on Apr 9, 2018 Upgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Apr 9, 2018 Upgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. III-A-5, Upgraded to Caa3 (sf); previously on Apr 16, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. III-A-6, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Wells Fargo Mortgage Backed Securities 2007-7 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-7, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-8, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-9, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-10, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-11, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-12, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-13, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-14, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-15, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-16, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-17, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-18, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-19, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-20, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-21, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-22, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-23, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-24, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-25, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-26, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-27, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-28, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-29, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-30, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-31, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-32, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-33, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-34, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-35, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-36, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-38, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-39, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-40, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-41, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Upgraded to Caa2 (sf) Cl. A-42, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-43, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-44, Upgraded to Caa1 (sf); previously on Nov 20, 2015 Downgraded to Caa2 (sf) Cl. A-49, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Affirmed Caa2 (sf) Cl. A-50, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-51*, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) Cl. A-PO, Upgraded to Caa1 (sf); previously on Apr 2, 2013 Downgraded to Caa2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change 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 rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. 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