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250914.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 14, 2025, Vol. 29, No. 256 Headlines 720 EAST VIII: S&P Assigns BB- (sf) Rating on Class E Debts ANGEL OAK 2025-R1: S&P Assigns Prelim B (sf) Rating on B-2 Certs APEX CREDIT 2021-2: Moody's Assigns Ba3 Rating to Class D-R Notes APIDOS CLO LIV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ARES LXV: S&P Assigns BB- (sf) Rating on Class E-R Notes ARES XXXIV CLO: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes BALLYROCK CLO 30: S&P Assigns BB- (sf) Rating on Class D Notes BBCMS MORTGAGE 2020-C7: DBRS Cuts Rating on 2 Tranches to CCC BENCHMARK 2019-B11: DBRS Confirms Csf Rating on 4 Cert. Classes BENCHMARK 2025-B41: Fitch Assigns B-sf Final Rating on Two Tranches BENEFIT STREET 42: S&P Assigns BB- (sf) Rating on Class E Notes BX 2021-21M: DBRS Confirms BB(low) Rating on Class F Certs CANYON CLO 2023-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes CANYON CLO 2025-2: Fitch Assigns 'BB+sf' Rating on Class E Notes CANYON CLO 2025-2: Moody's Assigns B3 Rating to $250,000 F Notes CARLYLE US 2020-2: S&P Assigns BB- (sf) Rating Class D-R2 Notes CARMAX SELECT 2025-B: S&P Assigns Prelim BB (sf) Rating on E Notes CARVANA AUTO 2025-P3: S&P Assigns Prelim BB (sf) Rating on N Notes CEDAR FUNDING II: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes CIFC FUNDING 2019-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes CIFC FUNDING 2021-VII: S&P Assigns BB- (sf) Rating on E-R Notes CITIGROUP 2017-B1: DBRS Puts B(low) Rating on G Debt on Review Neg CITIGROUP 2017-P8: Moody's Cuts Rating on Cl. V-3AC Certs to Ba1 DBJPM 2016-C1: DBRS Lowers Rating on 2 Tranches to Csf DBJPM 2017-C6: DBRS Confirms Bsf Rating on Class F-RR Certs DIAMETER CREDIT III: Moody's Ups Rating on $24MM E Notes from Ba2 ECAF I: Fitch Hikes Rating on 2 Note Classes to 'CCC+sf' ELARA HGV 2025-A: Fitch Assigns 'BB(EXP)' Rating on Class D Notes ELARA HGV 2025-A: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes FLATIRON CLO 28: Fitch Assigns 'BB-sf' Rating on Class E-R Notes FORTRESS CREDIT III: S&P Affirms BB (sf) Rating on Cl. E-R Notes FORTRESS CREDIT XIX: Moody's Gives B3 Rating to $200,000 F-R Notes GARNET CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes GOLUB CAPITAL 58(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes GRACIE POINT 2025-1: S&P Assigns BB (sf) Rating on Cl. D Notes GS 2025-DSC1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs GS MORTGAGE 2019-GC42: DBRS Lowers Rating on G-RR Certs to Csf HGI CRE 2022-FL3: DBRS Confirms B(low) Rating on Class G Debt HOMES 2025-AFC3: S&P Assigns Prelim B (sf) Rating on B-2 Notes ICG US 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes JAMESTOWN CLO XII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes KEY COMMERCIAL 2019-S2: DBRS Confirms Bsf Rating on Class F Certs MADISON PARK LXX: Fitch Assigns 'BB+sf' Rating on Class E Notes MAGNETITE LTD XXXII: Moody's Gives B3 Rating to $250,000 F-R Notes MORGAN STANLEY 2006-10SL: S&P Cuts Cl. A-1 Notes Rating to D (sf) MORGAN STANLEY 2013-C11: DBRS Confirms Csf Rating on Class B Certs NEUBERGER BERMAN 48: Moody's Assigns Ba3 Rating to $24MM E-R Notes NORTHWOODS CAPITAL 20: S&P Assigns BB- (sf) Rating on E-R2 Notes OCTAGON INVESTMENT 45: S&P Affirms B (sf) Rating on E-R Notes ORION CLO 2025-6: S&P Assigns BB- (sf) Rating on Class E Notes PARK AVENUE 2021-1: S&P Assigns BB- (sf) Rating on Class D-R Notes PARK BLUE 2025-IX: Fitch Assigns 'BB+sf' Rating on Class E Notes PEACE PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes PMT LOAN 2025-INV9: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PROGRESS RESIDENTIAL 2025-SFR5: DBRS Gives (P)B(low) on G Certs RR 18 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes SEQUOIA MORTGAGE 2025-9: Fitch Assigns 'B(EXP)' Rating on B5 Certs SIXTH STREET XVIII: S&P Assigns B- (sf) Rating on Cl. F-R Notes SOUND POINT V-R: Moody's Cuts Rating on $26MM Class E Notes to 'B1' SOUND POINT XX: Moody's Cuts Rating on $40MM Class E Notes to B3 TCP WHITNEY: S&P Assigns BB- (sf) Rating on Class E-R2 Notes TRIMARAN CAVU 2019-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes TRINITAS CLO XXIII: S&P Assigns BB- (sf) Rating on Class E-R Notes TRTX 2022-FL5: DBRS Confirms B(low) Rating on Class G Notes TRUPS FINANCIALS 2025-2: Moody's Assigns (P)Ba2 Rating to D Notes VOYA CLO 2020-1: S&P Affirms B+ (sf) Rating on Class E-R Notes [] Moody's Review Ratings on 25 Classes of 5 ABS by Tricolor Auto [] Moody's Takes Rating Action on 29 Bonds from 10 US RMBS Deals [] Moody's Takes Rating Action on 42 Bonds from 13 US RMBS Deals [] S&P Takes Various Actions on 117 Classes From 88 US RMBS Deals [] S&P Takes Various Actions on 269 Classes From 52 US CMBS Deals ********* 720 EAST VIII: S&P Assigns BB- (sf) Rating on Class E Debts ----------------------------------------------------------- S&P Global Ratings assigned its ratings to 720 East CLO VIII Ltd./720 East CLO VIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Northwestern Mutual Investment Management Co. LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO VIII Ltd./720 East CLO VIII LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $32.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $32.20 million: NR NR--Not rated. ANGEL OAK 2025-R1: S&P Assigns Prelim B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Angel Oak Mortgage Trust 2025-R1's mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities (RMBS) transaction backed by seasoned first-lien and second lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of 81 months. The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, and two- to four-family residential properties. The pool consists of 835 loans, which are qualified (QM)/non-HPML (safe harbor), QM rebuttable presumption, non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Sept. 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and originators; -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) Angel Oak Mortgage Trust 2025-R1 Class A-1A, $88,499,000: AAA (sf) Class A-1F, $80,000,000: AAA (sf) Class A-2, $15,712,000: AA (sf) Class A-3, $21,022,000: A+ (sf) Class M-1, $5,309,000: BBB (sf) Class B-1, $2,493,000, BB (sf) Class B-2, $2,058,000: B (sf) Class B-3, $1,626,233: NR Class X, notional(ii): NR Class A-IO-S, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii) The notional amount 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 $216,719,233. NR--Not rated. N/A--Not applicable. APEX CREDIT 2021-2: Moody's Assigns Ba3 Rating to Class D-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of refinancing notes (collectively, the "Refinancing Debt") issued by Apex Credit CLO 2021-2 Ltd. (the "Issuer"). Moody's rating action is as follows: US$180,000,000 Class A-1AR Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$12,000,000 Class A-1BR Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$36,000,000 Class A-2R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$16,500,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$16,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$14,250,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Apex Credit Partners LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Debt and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing, including extension of non-call period. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $299,854,771 Defaulted par: $1,485,747 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2857 Weighted Average Spread (WAS): 3.58% Weighted Average Recovery Rate (WARR): 45.53% Weighted Average Life (WAL): 5.5 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 a 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. APIDOS CLO LIV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO LIV (the Issuer): US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos CLO LIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 89% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3072 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 4.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. ARES LXV: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-R, and E-R debt from Ares LXV CLO Ltd./Ares LXV CLO LLC, a CLO managed by Ares U.S. CLO Management III LLC-Series A that was originally issued in June 2022. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the Sept. 10, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to July 25, 2026. -- No additional assets were purchased on the Sept. 10, 2025, refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $492.00 million: Three-month CME term SOFR + 1.12% -- Class A-2-R, $28.00 million: Three-month CME term SOFR + 1.50% -- Class B-R, $88.00 million: Three-month CME term SOFR + 1.65% -- Class C-R (deferrable), $48.00 million: Three-month CME term SOFR +1.85% -- Class D-R (deferrable), $48.00 million: Three-month CME term SOFR +2.95% -- Class E-R (deferrable), $29.20 million: Three-month CME term SOFR +6.40% -- Subordinated notes, $73.50 million: Not applicable Original debt -- Class A-1, $492.00 million: Three-month CME term SOFR + 1.44% -- Class A-2, $28.00 million: Three-month CME term SOFR + 1.75% -- Class B, $88.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $48.00 million: Three-month CME term SOFR +2.45% -- Class D (deferrable), $48.00 million: Three-month CME term SOFR +3.65% -- Class E (deferrable), $29.20 million: Three-month CME term SOFR +7.10% -- Subordinated notes, $73.50 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "On a standalone basis, the results of the cash flow analysis indicated a one-notch lower rating on the class E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, and that the refinancing is overall a positive development that decreased the class E's margin of failure, we assigned our rating to the class E-R debt. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Ares LXV CLO Ltd./Ares LXV CLO LLC Class A-1-R, $492.00 million: AAA (sf) Class B-R, $88.00 million: AA (sf) Class C-R (deferrable), $48.00 million: A (sf) Class D-R (deferrable), $48.00 million: BBB- (sf) Class E-R (deferrable), $29.20 million: BB- (sf) Ratings Withdrawn Ares LXV CLO Ltd./Ares LXV CLO LLC Class A-1 to NR from AAA (sf) Class B to NR from AA (sf) Class C (deferrable) to NR from A (sf) Class D (deferrable) to NR from BBB- (sf) Class E (deferrable) to NR from BB- (sf) Other Debt Ares LXV CLO Ltd./Ares LXV CLO LLC Class A-2-R, $28.00 million: NR Subordinated notes, $73.50 million: NR NR--Not rated. ARES XXXIV CLO: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Ares XXXIV CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares XXXIV CLO Ltd. X LT NRsf New Rating A1-R4 LT NRsf New Rating A2-R4 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R2 LT Asf New Rating D1-R2 LT BBB-sf New Rating D2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Ares XXXIV CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC that closed Sept. 2, 2015 and was not rated by Fitch. On Sept. 4, 2025, the CLO's existing secured notes will be redeemed in full with refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.06 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 97.57% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.33% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 A2-R4, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D1-R2, and between less than 'B-sf' and 'BB+sf' for class D2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2-R4 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, 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-R3, 'AAsf' for class C-R2, 'Asf' for class D1-R2, and 'A-sf' for class D2-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares XXXIV CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BALLYROCK CLO 30: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 30 Ltd./Ballyrock CLO 30 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ballyrock Investment Advisors LLC, a subsidiary of Fidelity Management & Research Co. LLC. The 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 Ballyrock CLO 30 Ltd./Ballyrock CLO 30 LLC Class A-1a, $310.00 million: AAA (sf) Class A-1b, $20.00 million: AAA (sf) Class A-2, $50.00 million: AA (sf) Class B (deferrable), $30.00 million: A (sf) Class C-1 (deferrable), $30.00 million: BBB (sf) Class C-2 (deferrable), $5.00 million: BBB- (sf) Class D (deferrable), $15.00 million: BB- (sf) Subordinated notes, $48.78 million: NR NR--Not rated. BBCMS MORTGAGE 2020-C7: DBRS Cuts Rating on 2 Tranches to CCC ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2020-C7 issued by BBCMS Mortgage Trust 2020-C7 as follows: -- Class C to BBB (high) (sf) from A (high) (sf) -- Class D to BB (sf) from BBB (low) (sf) -- Class E to CCC (sf) from B (low) (sf) -- Class X-E to CCC (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class AS at AAA (sf) -- Class B at AA (high) (sf) -- Class F at CCC (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-F at CCC (sf) Morningstar DBRS changed the trend on Classes AS, B, and X-B to Negative from Stable. The trends on Classes C and D remain Negative. There are no trends for Classes E, F, X-E, and X-F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. All other trends are Stable. The credit rating downgrades on Classes C, D, X-E, and E (which previously carried Negative trends) reflect Morningstar DBRS' increased loss projections for four of the five loans (19.7% of the pool) in special servicing and the continued erosion of credit support available to those classes based on the updated liquidation scenarios, as further described below. At the last review, Morningstar DBRS projected losses of approximately $19.0 million. With this review, projected losses have increased above $25.0 million, which would nearly erode the entirety of Class G and reduce the credit enhancement available to the junior bonds in the capital stack, supporting the credit rating downgrades. In addition to concerns with increased projected losses, there is also ongoing shorted interest to rated bonds, which is expected to continue building until the specially serviced loans are disposed of or resolved. As of the August 2025 remittance, cumulative unpaid interest totalled approximately $1.3 million, up from $0.9 million at the last credit rating action. Based on scheduled monthly collections, excluding any unexpected fees, Morningstar DBRS expects interest shortfalls on Class E will continue with the September 2025 reporting, and as a result, interest shortfall on the certificate will match Morningstar DBRS' tolerance for unpaid interest limited to six remittance periods for the BB (sf) and B (sf) credit rating categories, further supporting the credit rating downgrade of Class E (which previously had a Negative trend) to CCC (sf) with this review. The Negative trends on Classes AS, X-B, B, C, and D reflect Morningstar DBRS' concerns regarding loans not yet in special servicing, most notably 525 Market Street - Trust (Prospectus ID#2, 7.7% of the current pool balance), The Arbors (Prospectus ID#10, 4.1%), and 650 Madison Avenue - Trust (Prospectus ID#13, 2.7%). As part of its review, Morningstar DBRS identified four loans, representing nearly 17.2% of the pool balance, primarily secured by office properties, that continue to exhibit credit deterioration. In the analysis for this review, Morningstar DBRS applied updated loan-to-value ratio (LTV) stresses and probability of default (POD) penalties to these loans, where applicable, resulting in a weighted-average (WA) expected loss (EL) approximately 3.0 times (x) greater than the pool's average. Coinciding with the projected deterioration in credit support, the updated CMBS Insight Model output continues to show negative pressure to the credit ratings toward the middle and bottom of the capital stack. The Negative trends are further supported by the increased propensity for interest shortfalls on those same classes in the event additional loans transfer to the special servicer increased interest shortfalls could become more pervasive through the middle of the capital stack. The credit rating confirmations in the middle and upper part of the capital stack reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the last credit rating action. The pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) and debt yield exceeding 2.06 times (x) and 10.0%, respectively, based on the most recent year-end financial reporting available. In addition, two loans, representing 10.0% of the pool balance, are shadow-rated investment grade by Morningstar DBRS. According to the August 2025 remittance, 47 of the original 49 loans remain in the pool with a total trust balance of approximately $781.0 million, representing a collateral reduction 3.2% from issuance. Three loans, representing 1.0% of the pool, that are fully defeased. The pool is most concentrated with loans secured by multifamily and office collateral, which represents 30.1% and 26.1% of the pool balance, respectively. There are 13 loans on the servicer's watchlist, representing 40.2% of the pool, which are primarily being monitored for delinquent taxes, occupancy concerns, low debt service coverage ratios (DSCR), and deferred maintenance. The largest loan in the pool, Parkmerced (Prospectus ID#1, 8.0% of the pool) is secured by a 3,165-unit apartment complex in San Francisco. The $1.5 billion mortgage loan consists of a $547.0 million senior loan as well as a subordinate debt composed of a $708.0 million B note and a $245.0 million C note. There is also a $275.0 million in mezzanine debt in place. The trust debt represents a pari passu portion of the senior loan. The loan was transferred to special servicing at the borrower's request ahead of the December 2024 loan maturity and is now listed as performing matured balloon. After the negotiations and failed implementation on a possible loan modification ended, a receiver was put in place in March 2025, as the servicer actively pursues foreclosure. The property's occupancy rate remains stable year over year at 80.0% as of year-end (YE) 2024; however, the NCF dropped to $31.2 million (a DSCR of 0.64x on the senior debt). According to an article posted in The San Francisco Standard and dated July 2025, the receiver will be investing more than $70.0 million in the property, targeting renovations to more than 400 units, and a new management company has been brought in to improve the property's performance. The property was revalued in April 2025 at $1.4 billion, in line with the July 2024 value, representative of a healthy LTV of 39.10% for the senior debt, suggesting the likelihood of loss to the trust at resolution remains low. The Meridian One Colorado (Prospectus ID#17, 2.0% of the pool) loan is secured by a five story, 140,416 sf Class B suburban office property located in Englewood, Colorado. The loan transferred to special servicing in July 2023 due to imminent monetary default as the largest tenant, Burns & McDonnell Engineering (67.5% of the NRA), vacated the property at its lease expiration in June 2023. A receiver was appointed in December 2023 and according to the August 2025 servicer commentary a sale process is being evaluated. According to December 2024 rent roll, the subject was only 16% occupied, below the YE2022 and issuance figure of 100%. As per the most recent financials, the loan reported a trailing three-month DSCR for the period ended March 31, 2025 of -1.21x. As per Reis, office properties in the Southeast Suburban submarket reported a vacancy rate of 26.1% in Q2 2025. At issuance, the subject was valued was $23.6 million, which has since declined to $5.1 million as of the updated October 2024 appraisal, representing a value decline of approximately 78.0% since issuance. In its analysis, Morningstar DBRS liquated the loan with a conservative haircut to the October 2024 appraisal value, which resulted a fully write down of the loan or implied loss of $15.6 million. The 525 Market Street - Trust loan is secured by the fee, leasehold, and subleasehold interests in 525 Market Street, a 38 story, 1.1 million square foot (sf) Class A office tower in San Francisco's central business district. The whole loan of $682.0 million encompasses the $60.0 million trust loan, $410.0 million pari passu notes, and subordinate B note debt of $212.0 million. The loan is sponsored by a joint venture between New York State Teachers' Retirement System (advised by J.P. Morgan Asset Management) and RREF America REIT II, Inc., a Maryland Corporation. The loan was added to the servicer's watchlist in November 2024 due to low occupancy concerns. As of the March 2025 rent roll, the property was 76.6% occupied down from 95.0% at issuance, with approximately 16.7% of the net rentable area (NRA) scheduled to rollover in next 24 months, including confirmed dark tenants Wells Fargo Bank (2.5% of the NRA, leases expiration in May 2026). The largest tenants at the building include Amazon.com Services, Inc. (39.0% of the NRA, lease expires between 2028 and 2031); and Disney Streaming Services LLC (3.5% of the NRA, lease expires in July 2027). As per Reis, office properties within the North Financial District submarket reported a high average vacancy rate of 22.7% in Q2 2025, rising from 19.8% at Q2 2024. As per the most recently reported financials, the loan reported a DSCR of 1.59x for the trailing three month period ended March 31, 2025, compared with YE2024 figure of 2.12x. Due to the depressed tenancy and upcoming rollover, Morningstar DBRS analyzed the loan with a stressed LTV and an elevated POD, resulting in an expected loss that was almost 2x greater than the pool average. At issuance, two loans were shadow-rated investment grade: Acuity Portfolio - Trust (Prospectus ID#8, 5.0% of the current pool balance) and F5 Towers (Prospectus ID#9. 5.0% of the current pool). With this review, Morningstar DBRS confirms that the loan performance trends remain consistent with the investment-grade shadow ratings. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-E, and X-F are interest-only (IO) certificates that reference a single-rated tranche or multiple-rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2019-B11: DBRS Confirms Csf Rating on 4 Cert. Classes --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B11 issued by Benchmark 2019-B11 Commercial Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AA (high) (sf) -- Class B at A (sf) -- Class C at BB (high) (sf) -- Class D at BB (low) (sf) -- Class E at CCC (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class X-B at BBB (low) (sf) -- Class X-D at CCC (sf) -- Class X-F at C (sf) -- Class X-G at C (sf) All trends are Stable with the exception of Classes E, F, G, X-D, X-F, and X-G, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS downgraded the credit ratings on Classes A-S, B, C, D, E, F, G, X-B, X-D, X-F, and X-G during the prior credit rating action to reflect the increased loss projections tied to several loans in special servicing. Morningstar DBRS' analysis suggested that realized losses would fully erode the unrated Class H certificate balance in addition to a portion of the Class G certificate balance, significantly reducing credit support to the lowest-rated principal bonds in the transaction. Since that time, updated appraisals have been made available for the underlying collateral backing the two largest specially serviced loans which indicate the as-is values for those properties remain in line with Morningstar DBRS' assumptions at last review. In addition, the One Parkway North loan (Prospectus ID#29, formerly 1.1% of the pool), was liquidated from the trust with the April 2025 remittance at a realized loss that was below Morningstar DBRS' projected figure, after the servicer successfully negotiated a discounted payoff. Although there is a high concentration of loans secured by office properties, which represent 46.8% of the pool balance, the majority of those loans continue to perform as expected with a weighted-average (WA) debt yield and debt service coverage ratio (DSCR) of 11.1% and 2.5 times (x), respectively. Two top-15 loans, including 101 California Street (Prospectus ID# 4, 5.1% of the pool balance) and Central Tower Office (Prospectus ID# 13, 3.5% of the pool balance), continue to have exposure to upcoming lease rollovers, soft submarket fundamentals and/or have experienced sustained performance declines since issuance; however, Morningstar DBRS notes the overall credit profile of those loans has not deteriorated further since the prior review. The factors outlined above form Morningstar DBRS' primary rationale for the credit rating confirmations and Stable trends with this review. As of the August 2025 remittance, 36 of the original 40 loans remain in the pool with a trust balance of $988.0 million, reflecting a collateral reduction of 10.1% since issuance. To date, the trust has incurred realized losses totaling $5.3 million, which was tied to the liquidation of the One Parkway North loan, as outlined above. Fourteen loans, representing 40.8% of the pool balance, are on the servicer's watchlist; however, only seven of those loans (17.9% of the pool balance) are being monitored for performance related reasons. Three loans, representing 7.0% of the current pool balance, are in special servicing and two loans representing 1.6% of the pool balance have defeased. The largest specially serviced loan, Greenleaf at Howell (Prospectus ID# 15, 2.5% of the pool balance), is secured by a 227,045-sf anchored retail center in Howell Township, New Jersey. At issuance, the property was 100.0% occupied; however, the property's second-largest tenant, Xscape Theatres (25.0% of the net rentable area (NRA)), closed and surrendered its space, bringing occupancy to its current rate of 75.0%. The closure significantly impaired the property's cash flow, as reflected by the March 2025 DSCR of 0.6x. Although the servicer indicated that a loan modification has been executed and the loan is performing under the terms of the modification agreement, the property's appraised value has declined significantly, most recently reported at $32.0 million, down from $66.9 million at issuance. Morningstar DBRS liquidated the loan from the trust based on a haircut to the most recent appraised value, resulting in an implied loss of $14.3 million and a loss severity approaching 60.0%. Morningstar DBRS is projecting the largest liquidated loss amount for the 57 East 11th Street loan (Prospectus ID# 20, 2.0% of the pool balance) which is secured by a 64,460-square-foot (sf) office property with ground-floor retail in the Greenwich Village submarket of New York. The subject note is pari passu with GSMS 2019-GC39 and GS Mortgage Securities Corporation Trust 2019-GC40 (rated by Morningstar DBRS). The loan transferred to special servicing in February 2024 because of payment default. The property was previously fully leased to WeWork Inc. (WeWork) on a lease through October 2034; however, WeWork filed for bankruptcy and rejected the lease at the subject property in November 2023. According to the servicer, a foreclosure sale is scheduled for September 2025. An updated appraisal, dated November 2024, valued the property at $16.9 million, a -77.8% variance from the issuance as-is value of $76.0 million. Given the considerable decline in the property's value since issuance, Morningstar DBRS analyzed this loan with a liquidation scenario, resulting in a projected loss of $16.4 million and a loss severity in excess of 80.0%. The 101 California Street loan is secured by the borrower's fee-simple interest in a 1.3 million-sf, Class A+ office building in San Francisco's financial district. The property was approximately 78.0% occupied as of March 2025, down from 92.1% at issuance with the YE2024 net cash flow (NCF) more than 20.0% below the issuer's underwritten figure. The largest tenant Chime Financial (15.5% of the NRA) has subleased approximately 18.0% of its space; however, its direct lease is not scheduled to expire until 2032. According to a Q2 2025 Reis report, office properties in San Francisco's North Financial District submarket reported a vacancy rate of 22.7%. Given the decline in occupancy and cash flow coupled with soft submarket condition Morningstar DBRS analyzed this loan with a stressed LTV and POD penalty, resulting in an expected loss that was roughly 2.5x greater than the pool average. The Central Office Tower loan is secured by two connected 21-story and six-story office buildings, totaling 164,848 sf, in the Financial District of downtown San Francisco. The loan is currently on the servicer's watchlist because of a decline in the occupancy rate, which fell to approximately 76.0% as of March 2025, down from 99.0% at issuance. The largest tenant, Unity Technologies, who occupies approximately 52.0% of the NRA, has a lease expiration in August 2025 and is confirmed to be departing the property. According to the YE2024 financial reporting, the property generated NCF of $5.9 million (a DSCR of 1.46x), a decline of 37.0% from issuance. Given the imminent tenancy loss and low implied occupancy rate, as well as the soft submarket conditions, which are expected to impair leasing efforts, Morningstar DBRS analyzed this loan with a stressed LTV and PoD penalty, resulting in an expected loss almost five times greater than the pool average. At issuance, Morningstar DBRS assigned an investment-grade shadow rating to one loan, 3 Columbus Circle (Prospectus ID#1, 10.1% of the pool). This assessment was supported by the loans' strong credit metrics, strong sponsorship strength, and historically stable collateral performance. With this review, Morningstar DBRS confirms that the performance of this loan remains consistent with investment-grade characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, X-F, and X-G are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-B41: Fitch Assigns B-sf Final Rating on Two Tranches ------------------------------------------------------------------- Fitch has assigned final ratings and Rating Outlooks to Benchmark 2025-B41 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-B41. - $8,365,000 class A-1 'AAAsf'; Outlook Stable; - $50,750,000 class A-4 'AAAsf'; Outlook Stable; - $354,250,000 class A-5 'AAAsf'; Outlook Stable; - $11,385,000 class A-SB 'AAAsf'; Outlook Stable; - $424,750,000a class X-A 'AAAsf'; Outlook Stable; - $122,115,000a class X-B 'A-sf'; Outlook Stable; - $73,573,000 class A-S 'AAAsf'; Outlook Stable; - $28,822,000 class B 'AA-sf'; Outlook Stable; - $19,720,000 class C 'A-sf'; Outlook Stable; - $17,446,000ab class X-D 'BBB-sf'; Outlook Stable; - $12,135,000ab class X-F 'BB-sf'; Outlook Stable; - $9,102,000abclass X-G 'B-sf'; Outlook Stable; - $11,378,000b class D 'BBBsf'; Outlook Stable; - $6,068,000b class E 'BBB-sf'; Outlook Stable; - $12,135,000b class F 'BB-sf'; Outlook Stable; - $9,102,000b class G 'B-sf'; Outlook Stable; The following classes are not rated by Fitch: - $21,238,114bc class J-RR; - $24,296,688bd class RR Interest a. Notional Amount and interest only. b. Privately Placed and pursuant to Rule 144A. c. Horizontal risk Retention Interest d. Vertical-risk retention interest representing approximately 3.850% of the initial certificate balance of each class. Since Fitch published its expected ratings on Aug. 11, 2025, the following changes have occurred. - Class RR Interest, previously referenced as Class VRR at initial publication, reflects an update to align with the final offering documents; no rating impact. - The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the range of $0-$170,000,000, subject to a variance of plus or minus 5%. The final class balance for class A-4 is $50,750,000. The initial aggregate certificate balance of the A-5 class was expected to be in the range of $236,600,000-$406,600,000, subject to a variance of plus or minus 5%. The final class balance for class A-5 is $354,250,000. - The non-offered eligible vertical interest, class RR Interest, increased from $21,898,574 to $24,296,688. As a result, the balances for all remaining classes decreased, from $8,398,000 to $8,365,000 for class A-1, from $11,430,000 to $11,385,000 for class A-SB, from $426,428,000 to $424,750,000 for class X-A, from $122,599,000 to $122,115,000 for class X-B, from $73,864,000 to $73,573,000 for class A-S, from $28,936,000 to $28,822,000 for class B, from $19,799,000 to $19,720,000 for class C, from $17,514,000 to $17,466,000 for class X-D, from $12,184,000 to $12,135,000 for class X-F, from $9,137,000 to $9,102,000 for class X-G, from 11,422,000 to $11,378,000 for class D, from $6,092,000 to $6,068,000 for class E, from $12,184,000 to $12,135,000 for class F, from $9,137,000 to $9,102,000 for class G, and from $21,322,228 to $21,238,114 for class J-RR. There were no other material changes. The final ratings are based on information provided by the issuer as of Sep. 4, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 43 loans secured by 55 commercial properties having an aggregate principal balance of $631,082,802 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, UBS AG, German American Capital Corporation, National Cooperative Bank, N.A., and Citi Real Estate Funding Inc. The master servicers are Midland Loan services, a Division of PNC Bank, National Association and National Cooperative Bank, N.A. The special servicers are CWCapital Asset Management LLC and National Cooperative Bank, N.A. Computershare Trust Company, National Association is the trustee and certificate administrator. Park Bridge Lender Services LLC is the operating advisor and asset representation reviewer. The certificates follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 85.9% of the pool by balance, including the largest 17 loans and all pari passu loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of approximately $97.7 million represents a 15.1% decline from the issuer's aggregate underwritten NCF of approximately $115.1 million. The NCF decline is greater than both the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 12.7% and 13.2%, respectively. Lower Fitch Leverage: The pool's Fitch leverage is lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 79.7% is lower than both the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 88.3% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 15.5% is higher than both the 2025 YTD and 2024 10-year averages of 13.8% and 14.1%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 28.2% of the pool by balance received an investment-grade credit opinion. BioMed MIT Portfolio (10.0% of pool) received an investment-grade credit opinion of 'A-sf*' on a standalone basis, Rentar Plaza (9.5%) received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis, and Washington Square (8.7%) received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than the 2025 YTD 10-year and the 2024 10-year multiborrower transaction averages of 23.0% and 21.4%, respectively. The pool also contains non-credit opinion co-op loans totaling 15.0% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 99.9% and 9.8%, respectively, compared with the equivalent conduit 10-year 2025 YTD LTV and DY averages of 97.3% and 10.0%, respectively Higher Pool Concentration: The pool is more concentrated than in other recent Fitch-rated transactions. The top 10 loans represent 67.1% of the pool, which is worse than both the 2025 YTD 10-year multiborrower average of 63.3% and the 2024 average of 63.0%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/ below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 42: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO 42 Ltd./Benefit Street Partners CLO 42 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC. The 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 Benefit Street Partners CLO 42 Ltd./ Benefit Street Partners CLO 42 LLC Class A, $384.00 million: AAA (sf) Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $57.00 million: NR NR--Not rated. BX 2021-21M: DBRS Confirms BB(low) Rating on Class F Certs ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed the credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by BX 2021-21M Mortgage Trust: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at AA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations at issuance. As of August 2025, the current pool balance was reported at $748.6 million, reflecting a total collateral reduction to 42.4% since issuance, following the release of 11 properties from the pool, two of which were released since the last credit rating action in September 2024. In the analysis for this review, Morningstar DBRS re-evaluated the loan-to-value (LTV) sizing benchmarks to assess the durability of the credit ratings and considered a stressed scenario by applying a haircut to the in-place net cash flow (NCF), the results of which supported the credit rating confirmations with this review. At issuance, the transaction was secured by the borrower's fee-simple interest in a portfolio of 21 Class A and Class B multifamily properties totaling 6,671 units located across seven states. Prepayment premiums for the release of individual assets is 105.0% of the allocated loan amount (ALA) for the first 30.0% of the original principal balance and 110.0% of the ALA thereafter. The transaction has a partial pro rata structure that allows for pro rata paydowns for the first 30.0% of the original principal balance. Morningstar DBRS applied a penalty to the transaction's capital structure to account for the partial pro rata structure and weak release premiums. As of August 2025, 11 properties, representing 40.1% of the ALA at issuance, have been released, including two property releases, Botanic Waterside and Vale Overland Park (collectively representing 10.9% of the ALA at issuance), that have occurred since the last credit rating action. The current portfolio is concentrated across six states with two properties in Washington (32.1% of the ALA), one property in Colorado (16.4% of the ALA), and two properties in Texas (12.0% of the ALA). The $1.3 billion floating-rate loan is structured with a two-year initial term and three one-year extension options for a fully extended maturity date of October 2026. The extension options are exercisable upon the purchase of an interest rate cap that results in a debt service coverage ratio (DSCR) of at least 1.10 times (x) and provided that the loan is not in default. There are no additional performance triggers, financial covenants, or fees required for the borrower to exercise the remaining extension option. The borrower exercised the two extension options, extending the maturity to October 2025 and the servicer recently placed the loan on the watchlist because of the upcoming maturity date. According to YE2024 financials, the loan reported an NCF figure of $45.3 million, which includes cash flow attributed to the two properties that were released from the portfolio in March and May 2025, respectively. Because of the loan's floating-rate coupon, debt service increased significantly in 2023, resulting in a DSCR of 0.64x as of YE2024. There is an interest rate cap in place, and the borrower is required to purchase a new rate cap in order to exercise the loan's third extension option. Additionally, according to the YE2024 reporting for the unreleased properties, the portfolio continues to demonstrate steady occupancy, reporting a weighted-average (WA) occupancy rate of 94.7%, an improvement over the WA occupancy rate of 92.5% reported in YE2023 and a slight decline from 95.5% at issuance. To test the durability of the credit ratings, Morningstar DBRS analyzed the cash flow under both a base case and stressed scenario, with a 6.5% capitalization rate applied. Morningstar DBRS derived an updated NCF figure for the unreleased collateral based on the YE2024 in-place net operating income for each of the remaining properties in the pool and Morningstar DBRS' issuance assumption for capital expenditures of $250 per unit. The resulting figure was $37.2 million for the remaining 10 properties in the portfolio, an improvement from the Morningstar DBRS issuance NCF of $34.3 million for those same properties. The base case scenario, which is based on a standard surveillance haircut to the updated Morningstar DBRS NCF of $37.2 million, results in a base case Morningstar DBRS value of $560.7 million (LTV of 133.5%). The stressed scenario, which included a 20% haircut to the updated Morningstar DBRS NCF, resulted in a stressed value of $457.8 million (LTV of 163.5%), a -52.9% variance from the issuance appraised value of $972.7 million for the 10 remaining properties. Additionally, Morningstar DBRS maintained qualitative adjustments of 6.75% to the LTV sizing benchmarks to reflect the location of properties within high-growth markets, their stable historic performance, and good property quality. The assigned credit ratings continue to reflect the credit risk associated with the transaction, warranting no credit rating upgrades with this review, as supported by the results of the stressed scenario. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2023-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Canyon CLO 2023-1 Ltd./Canyon CLO 2023-1 LLC, a CLO managed by Canyon CLO Advisors L.P., a subsidiary of Canyon Partners LLC, that was originally issued in September 2023. The preliminary ratings are based on information as of Sept. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 16, 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, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The 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 CME term SOFR than the original debt. -- An additional 'AAA (sf)'-rated class, class A-2-R, is expected to be issued at a 34% par subordination level. -- An additional 'BBB- (sf)'-rated class, class D-2-R, is expected to be issued at an 11% par subordination level. -- The target par will increase from $400 million to $450 million. -- The stated maturity, reinvestment period, and non-call period will be extended by approximately two years. -- The required minimum overcollateralization coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Canyon CLO 2023-1 Ltd./Canyon CLO 2023-1 LLC Class A-1-R, $283.50 million: AAA (sf) Class A-2-R, $13.50 million: AAA (sf) Class B-R, $45.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Other Debt Canyon CLO 2023-1 Ltd./Canyon CLO 2023-1 LLC Subordinated notes, $40.83 million: NR NR--Not rated. CANYON CLO 2025-2: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2025-2, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Canyon CLO 2025-2, Ltd. A-1 Loans LT NRsf New Rating NR(EXP)sf A-1 Notes LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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. Date of Relevant Committee 27 August 2025 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. CANYON CLO 2025-2: Moody's Assigns B3 Rating to $250,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes to be issued and one class of loans to be incurred by Canyon CLO 2025-2, Ltd. (the Issuer or Canyon 2025-2): US$154,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$156,000,000 Class A-1 Loans maturing 2037, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. On the closing date, the Class A-1 Loans (Loans) and the Class A-1 Notes (Notes) have a principal balance of $156,000,000 and $154,000,000, respectively. The aggregate principal balance of the Loans and Notes will not exceed $310,000,000. All or a portion of the Loans may be converted to Notes, with their principal balances decreasing and increasing by the corresponding amount converted. 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. Canyon 2025-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. The portfolio is approximately 95% ramped as of the closing date. Canyon CLO Advisors L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3181 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. CARLYLE US 2020-2: S&P Assigns BB- (sf) Rating Class D-R2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 debt from Carlyle US CLO 2020-2 Ltd./Carlyle US CLO 2020-2 LLC, a CLO managed by Carlyle CLO Management LLC that was originally issued in 2020 and reset in 2021. At the same time, S&P withdrew its ratings on the original class A-1-R, A-2-R, B-R, C-R, and D-R debt following payment in full on the Sept. 5, 2025, refinancing date. S&P also affirmed its rating on the class E-R debt, which was not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to March 5, 2026. -- No additional assets were purchased on the Sept. 5, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R2, $310.00 million: Three-month CME term SOFR + 1.08% -- Class A-2-R2, $70.00 million: Three-month CME term SOFR + 1.55% -- Class B-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 1.70% -- Class C-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 2.90% -- Class D-R2 (deferrable), $17.50 million: Three-month CME term SOFR + 6.00% Original debt -- Class A-1-R, $310.00 million: Three-month CME term SOFR + 1.40% -- Class A-2-R, $70.00 million: Three-month CME term SOFR + 1.86% -- Class B-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.26% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.46% -- Class D-R (deferrable), $17.50 million: Three-month CME term SOFR + 6.96% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the C-R2 and D-R2 refinancing classes as well as the existing class E-R class. Given the overall credit quality of the portfolio and the passing coverage tests, we assigned our ratings on the C-R2 and D-R2 refinancing classes and affirmed our rating on the class E-R debt. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Carlyle US CLO 2020-2 Ltd./Carlyle US CLO 2020-2 LLC Class A-1-R2, $310.00 million: AAA (sf) Class A-2-R2, $70.00 million: AA (sf) Class B-R2 (deferrable), $30.00 million: A (sf) Class C-R2 (deferrable), $30.00 million: BBB- (sf) Class D-R2 (deferrable), $17.50 million: BB- (sf) Ratings Withdrawn Carlyle US CLO 2020-2 Ltd./Carlyle US CLO 2020-2 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Class C-R to NR from 'BBB- (sf)' Class D-R to NR from 'BB- (sf)' Rating Affirmed Carlyle US CLO 2020-2 Ltd./Carlyle US CLO 2020-2 LLC Class E-R (deferrable): B- (sf) Other Debt Carlyle US CLO 2020-2 Ltd./Carlyle US CLO 2020-2 LLC Subordinated notes, $40.45 million: NR NR--Not rated. CARMAX SELECT 2025-B: S&P Assigns Prelim BB (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CarMax Select Receivables Trust 2025-B's automobile receivables-backed notes. The note issuance is an ABS securitization backed by nonprime auto loan receivables. The preliminary ratings are based on information as of Sept. 10, 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 availability of approximately 33.44%, 28.26%, 21.78%, 16.39%, and 14.44% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D and E notes, respectively, based on its stressed cash flow scenarios. These credit support levels provide at least 3.70x, 3.12x, 2.39x, 1.78x, and 1.51x coverage of its expected cumulative net loss (ECNL) of 9.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.78x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' pool of nonprime automobile loans, our view of the collateral's credit risk, and our updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wilmington Trust N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of CarMax Business Services LLC as servicer. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned CarMax Select Receivables Trust 2025-B Class A-1 $140.800 million ($203.800 million if upsized): A-1+ (sf) Class A-2 $210.530 million ($303.160 million if upsized): AAA (sf) Class A-3 $123.660 million ($177.040 million if upsized): AAA (sf) Class B $42.310 million ($60.920 million if upsized): AA (sf) Class C $49.680 million ($71.540 million if upsized): A (sf) Class D $47.760 million ($68.770 million if upsized): BBB (sf) Class E(i) $10.260 million ($14.770 million if upsized): BB (sf) (i)The class E notes are not being offered and are anticipated to be either privately placed or retained by the depositor or another affiliate of CarMax Business Services LLC. CARVANA AUTO 2025-P3: S&P Assigns Prelim BB (sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2025-P3's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of Sept. 10, 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 availability of 16.55%, 13.64%, 9.92%, 6.17%, and 6.30% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.60x coverage of our expected cumulative net loss (ECNL) of 2.75% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC (Bridgecrest) as servicer, as well as the backup servicing agreement with Vervent Inc. (Vervent). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Carvana Auto Receivables Trust 2025-P3(i) Class A-1, $112.00 million: A-1+ (sf) Class A-2, $321.83 million: AAA (sf) Class A-3, $321.83 million: AAA (sf) Class A-4, $160.91 million: AAA (sf) Class B, $34.40 million: AA (sf) Class C, $35.41 million: A (sf) Class D, $25.29 million: BBB (sf) Class N(ii), $29.80 million: BB (sf) (i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CEDAR FUNDING II: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Cedar Funding II CLO, Ltd. Reset transaction. Entity/Debt Rating ----------- ------ Cedar Funding II CLO, Ltd. A-XR3 LT AAAsf New Rating A-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1R3 LT BBB-sf New Rating D-JR3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating F-R3 LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Cedar Funding II CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AEGON USA Investment Management, LLC. This is the third refinancing of the notes where all the existing notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $339.45 million (excluding ~$1.95 million of defaulted assets) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.03% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.53% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 13 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class A-XR3, between 'BBB+sf' and 'AA+sf' for class A-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1R3, and between less than 'B-sf' and 'BB+sf' for class D-JR3 and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-XR3 and class A-R3 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-R3, 'AAsf' for class C-R3, 'A+sf' for class D-1R3, and 'Asf' for class D-JR3 and 'BBB+sf' for class E-R3. 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 Cedar Funding II CLO, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CIFC FUNDING 2019-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2019-V, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2019-V, Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CIFC Funding 2019-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC. The deal originally closed in September 2019 and was reset in December 2021. This is the second reset with existing notes to be redeemed on Sept. 4, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.06 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.36% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.29% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2019-V, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CIFC FUNDING 2021-VII: S&P Assigns BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-R, B-R, C-R, D-R, and E-R debt from CIFC Funding 2021-VII Ltd./CIFC Funding 2021-VII LLC, a CLO managed by CIFC Asset Management LLC that was originally issued in November 2021. At the same time, we withdrew our ratings on the original class X, A-1, A-1L, B, C, D, and E debt following payment in full on the Sept. 4, 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 4, 2026. -- No additional assets were purchased on the Sept. 4, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 23, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The original class A-1 notes and class A-1L loans were combined into the replacement class A-R debt. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt. However, we assigned our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Original Debt Issuances Replacement debt -- Class X-R notes, $1.80 million: Three-month CME term SOFR + 0.85% -- Class A-R notes, $366.00 million: Three-month CME term SOFR + 1.09% -- Class B-R notes, $90.00 million: Three-month CME term SOFR + 1.57% -- Class C-R notes (deferrable), $33.00 million: Three-month CME term SOFR + 1.75% -- Class D-R notes (deferrable), $38.40 million: Three-month CME term SOFR + 2.70% -- Class E-R notes (deferrable), $22.80 million: Three-month CME term SOFR + 4.90% Original debt -- Class X, $1.80 million: Three-month CME term SOFR + .90% + CSA(i) -- Class A-1, $266.00 million: Three-month CME term SOFR + 1.13% + CSA(i) -- Class A-1L, $100.00 million: Three-month CME term SOFR + 1.13% + CSA(i) -- Class B, $90.00 million: Three-month CME term SOFR + 1.6% + CSA(i) -- Class C (deferrable), $33.00 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class D (deferrable), $38.40 million: Three-month CME term SOFR + 3.00% + CSA(i) -- Class E (deferrable), $22.80 million: Three-month CME term SOFR + 6.35% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned CIFC Funding 2021-VII Ltd./CIFC Funding 2021-VII LLC Class X-R, $1.80 million: AAA (sf) Class A-R, $366.00 million: AAA (sf) Class B-R, $90.00 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Class D-R (deferrable), $38.40 million: BBB- (sf) Class E-R (deferrable), $22.80 million: BB- (sf) Ratings Withdrawn CIFC Funding 2021-VII Ltd./CIFC Funding 2021-VII LLC Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class A-1L to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt CIFC Funding 2021-VII Ltd./CIFC Funding 2021-VII LLC Subordinated notes, $54.15 million: NR NR--Not rated. CITIGROUP 2017-B1: DBRS Puts B(low) Rating on G Debt on Review Neg ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) placed its credit ratings on the following seven classes of Commercial Mortgage Pass-Through Certificates, Series 2017-B1 issued by Citigroup Commercial Mortgage Trust 2017-B1 Under Review with Negative Implications: -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class X-F at B (sf) -- Class G at B (low) (sf) There are no trends for these credit ratings. In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) The trends on these classes are Stable. Morningstar DBRS placed the above-mentioned classes Under Review with Negative Implications because of outstanding interest shortfalls for the principal classes as of the August 2025 remittance. The servicer began shorting interest on the lower classes in April 2025 as part of an interest advance clawback for the 4901 West Irving Park loan (Prospectus ID#30, 1.1% of the pool balance), which transferred to special servicing in January 2020 and was last paid in June 2020. While litigation is ongoing with the borrower, the lender has actively been pursuing foreclosure for several years. No formal notice of non-recoverability has been provided; however, reimbursements of nonrecoverable advances and interest on advances have been passed through to the servicer since February 2025, which have resulted in realized loss to the trust of $2.5 million and cumulative interest shortfalls of $2.3 million as of the August 2025 reporting. The interest shortfalls previously extended up through the Class C certificate; however, with the August 2025 reporting, those interest shortfalls were repaid. The reporting showed no additional reimbursements of nonrecoverable advances and interest on advances. Based on scheduled monthly collections, excluding any unexpected fees, Morningstar DBRS expects interest shortfalls on Class D should be recouped with the September 2025 payments. However, this will put the outstanding shortfall timeframe near Morningstar DBRS' shortfall tolerance at the BBB credit rating category, a factor Morningstar DBRS considered when placing the classes Under Review with Negative Implications. Based on the same scheduled collections, interest shortfalls on Classes E, F, G, and H are expected to continue to be shorted. Morningstar DBRS has varying levels of tolerance for unpaid interest relative to a bond's assigned credit rating, limited to one to two remittance periods at the AA and "A" credit rating categories, three to four remittance periods for the BBB credit rating category, and six remittance periods for the BB and B credit rating categories. Should these certificates continue to accrue interest shortfalls beyond the stated tolerance levels, credit rating downgrades would be warranted. The credit rating confirmations in the middle and upper part of the capital stack reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the prior credit rating action in August 2024. The pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) and debt yield exceeding 2.50 times (x) and 12.5%, respectively, based on the most recent year-end financial reporting available. The transaction continues to benefit from increased credit support to the bonds as there has been collateral reduction of 14.6% since issuance, and defeasance collateral represents 6.5% of the current pool balance, as of the August 2025 reporting. In addition, four loans, representing 27.3% of the pool balance, are shadow-rated investment grade by Morningstar DBRS. According to the August 2025 remittance, 44 of the original 48 loans remain within the transaction with a trust balance of $821.8 million. The pool is most concentrated by loans secured by mixed-use and retail properties, together representing 49.3% of the pool balance, with a smaller exposure to loans secured by office properties, representing 11.5% of the pool balance. There are four loans, representing 3.1% of the pool balance, on the servicer's watchlist and two loans, 1.9% of the pool balance, in special servicing. For the purposes of this credit rating action, Morningstar DBRS made adjustments to six loans, representing 16.1% of the pool balance. Where applicable, Morningstar DBRS increased the probability of default (POD) penalties and/or applied stressed loan-to-value ratios (LTVs) for loans exhibiting increased credit risk, resulting in a WA expected loss (EL) for those loans that was over 3.5x the pool average. The 4901 West Irving Park loan is secured by a 60,641 square foot (sf) multi-tenant mixed-use building located in a suburb of Chicago, approximately 10 miles northwest of the CBD. Following the departure of the second-largest tenant, Retro Fitness (30.0% of the net rentable area (NRA)), occupancy fell to 40.5% as of YE2024, while the DSCR fell to 0.22x. An updated appraisal was completed in January 2025, valuing the collateral at $6.1 million, representing a 56.1% decline from the issuance value of $13.9 million. As part of this review, Morningstar DBRS liquidated the loan from the trust based on a haircut to the most recent appraised value, resulting in an implied loss of nearly $6.0 million, or a loss severity above 65.0%. The 411 E. Wisconsin loan is secured by the borrower's fee-simple interest in a 678,839-sf, 30-story office building, an adjacent eight-story parking garage, and a six-story parking garage across the street from the office building in Milwaukee. Occupancy declined to about 75% following the loss of Northwestern Mutual Life Insurance, which vacated in March 2019, and has remained near that level since, most-recently reporting at 73.1% as of YE2024, with a DSCR of 1.11x, a slight decline from 1.27x at YE2023. While the largest two tenants, Quarles & Brady LLP (24.0% of the NRA) and Von Briesen & Roper, S.C. (13.6% of the NRA), have exercised their lease-extension options, extending their lease expirations through September and May 2028, respectively, the sustained occupancy decline from issuance reflects the soft market conditions, as evidenced by vacancy rates of approximately 25.0% according to Reis data. The performance declines, and the concentration of scheduled rollover during the next two years representing approximately 14.0% of the NRA, suggest increased refinance risk for the July 2027 loan maturity. Given these factors, Morningstar DBRS applied a stressed LTV and increased the loan's POD, resulting in an EL that is more than four times the pool average EL. The Wilshire Plaza loan (Prospectus ID#11, 2.6% of the pool) is secured by the borrower's fee-simple interest in a 349,643-sf, suburban office property built in 1986 in Troy, Michigan. As of July 2025, the property was 76.0% occupied, while the loan reported a trailing six-month DSCR of 1.34x, both below the issuer's figures of 89.7% and 1.63x, respectively. While scheduled tenant rollover during the next six months is limited to two tenants, representing 9.0% of the NRA, combined scheduled rollover prior to loan maturity in August 2027 is significant, as 26 tenants (33.7% of NRA) have scheduled lease expirations. Given the property's vintage and a softening submarket with a high vacancy rate of 32.3% according to Reis, Morningstar DBRS anticipates there will be continued leasing challenges. As a result, Morningstar DBRS applied a stressed LTV and increased the loan's POD, resulting in an expected loss that is almost three times the pool average EL. The transaction benefits from four loans that are shadow-rated investment grade: General Motors Building (Prospectus ID#1, 11.3% of the pool), Lakeside Shopping Center (Prospectus ID#2, 7.2% of the pool), Two Fordham Square (Prospectus ID#5, 6.4% of the pool), and Del Amo Fashion Center (Prospectus ID#18, 2.5% of the pool). With this review, Morningstar DBRS confirms that the performance of these four loans is consistent with the investment-grade shadow ratings. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2017-P8: Moody's Cuts Rating on Cl. V-3AC Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on three classes in Citigroup Commercial Mortgage Trust 2017-P8, as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Jul 2, 2024 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jul 2, 2024 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 2, 2024 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 2, 2024 Affirmed Aaa (sf) Cl. A-S, Downgraded to A2 (sf); previously on Jul 2, 2024 Affirmed Aa2 (sf) Cl. X-A*, Downgraded to Aa2 (sf); previously on Jul 2, 2024 Affirmed Aa1 (sf) Cl. V-3AC, Downgraded to Ba1 (sf); previously on Jul 2, 2024 Affirmed Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were affirmed because of their significant credit support and because 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 rating on one P&I class, Cl. A-S, was downgraded due to higher expected losses and a decline in pool performance driven by the exposure to specially serviced and poorly performing loans, as well as the exposure to loans with a high Moody's LTV. Four loans accounting for 18% of the pool are currently in special servicing. The largest is 225 & 233 Park Avenue South (5.9% of the pool), which has already experienced significant deterioration in cash flow and occupancy following the departure of its two largest tenants (an aggregate 68% of the property's NRA) in 2024 and faces further upcoming lease rollover risk from the largest remaining in-place tenant (29% of the NRA) with a lease expiration in May 2026. The second largest specially serviced loan is the Bank of America Plaza loan (4.1% of the pool), which is secured by office property located in Troy, Michigan that experienced significant performance and value declines based on lower occupancy and cash flow since securitization. The remaining two specially serviced loans are secured by a hotel portfolio (4.1% of the pool), which has continued to perform well below its levels in 2019, and an office property (3.5%) that is currently in foreclosure and has recognized an appraisal reduction of approximately 63% of its outstanding loan balance. Moody's also identified four troubled loans (5.5% of the pool) and six additional loans with a Moody's LTV ratio above 130% (13.7% of the pool), which are primarily secured by office properties with declining performance and represent an additional combined 19% of the pool. Furthermore, all the remaining loans mature by September 2027 and given the higher interest rate environment and loan performance, certain loans may be unable to pay off at their maturity dates, which may increase interest shortfall risk for the outstanding classes. The rating on the interest-only (IO) class, Cl. X-A, was downgraded based on the credit quality of the referenced classes. The rating on the exchangeable risk retention class, Cl. V-3AC, was downgraded based on the credit quality of the referenced classes. Cl. V-3AC references Classes A-2, A-3, A-4, A-AB, A-S, B and C. Moody's rating action reflects a base expected loss of 11.5% of the current pooled balance, compared to 7.8% at Moody's last review. Moody's base expected loss plus realized losses is now 10.8% of the original pooled balance, compared to 7.4% 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 2025 distribution date, the transaction's aggregate certificate balance has decreased by 6.7% to $1.01 billion from $1.09 billion at securitization. The certificates are collateralized by 52 mortgage loans ranging in size from less than 1% to 5.9% of the pool, with the top ten loans (excluding defeasance) constituting 44.5% of the pool. One loan, constituting 5.4% of the pool, has an investment-grade structured credit assessment. Seven loans, constituting 9.1% 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 28, the same as at Moody's last review. Eight loans, constituting 15.4% 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. The four loans in specially servicing represent an aggregate 17.7% of the pool. The largest specially serviced loan is the 225 & 233 Park Avenue South Loan ($60.0 million – 5.9% of the pool), which represents a pari passu portion of a $235.0 million senior mortgage loan. The loan is secured by two interconnected, Class A office buildings, totaling 675,756 square feet (SF), located in New York, New York. The property is also encumbered by $195 million in mezzanine debt. The properties are located one block north of Union Square and occupy the entire block between East 18th and East 19th Streets on Park Avenue South. At securitization, major tenants at the property included Facebook (39% of the NRA; lease expiration March 2024), Buzzfeed (29% of the NRA; lease expiration May 2026), and STV, Inc. (20% of the NRA; lease expiration May 2024). The loan transferred to special servicing in March 2024 due to imminent monetary default as a result of significant performance declines due to tenant turnover. Facebook exercised an early termination option and vacated its space in early 2024, and STV, Inc. vacated upon its May 2024 lease expiration. As a result, the year-end 2024 occupancy was only 40% compared to 99% in year-end 2022 and 98% at securitization. Furthermore, the property faces further near term roll over risk as the largest in-place tenant, Buzzfeed (29% of the NRA), has a lease expiration in May 2026, and Buzzfeed has reportedly reduced their footprint and subleased a portion of their space. The year-end 2024 NOI was approximately 85% lower than securitization levels, and the property did not generate sufficient cash flow to cover debt service. The recent servicer commentary indicated the lender and borrower have entered into a loan modification and the loan is expected to return to the master servicer. As of the August 2025 remittance statement, the loan was current on its debt service payments. Moody's included this loan in the conduit statistics below with a Moody's LTV of 116% on the senior mortgage loan. The second largest specially serviced loan is the Bank of America Plaza Loan ($41.8 million – 4.1% of the pool), which is secured by a 438,996 SF, Class A office complex located in Troy, MI. The loan transferred to special servicing in August 2024 due to imminent monetary default and failed to pay off its September 2024 maturity date. The performance deteriorated after the largest tenant at securitization, Bank of America (33% of NRA), vacated the property at lease expiration in December 2022. Occupancy was only 53% in March 2024, compared to 91% in December 2022 and 86% at securitization. The most recent appraisal from August 2024 valued the property 69% below the value at securitization and 41% below the outstanding pooled loan amount. As of the August 2025 remittance, the loan was last paid through its July 2025 payment date and has amortized by 12.1% since securitization. Per the servicer commentary, the servicer and borrower are discussing a potential loan modification and extension. The third largest specially serviced loan is the Starwood Capital Group Hotel Portfolio Loan ($41.8 million -- 4.1% of the pool), which represents a pari passu portion of a $577.3 million mortgage loan. The loan is secured by the borrower's fee and leasehold interests in 65 limited-service, full-service, and extended-stay hotels located across 21 states. Reportedly, two properties (representing approximately 2% of the allocated loan amount) are currently in the process of being sold and released. The two largest state concentrations at securitization were California (10 hotels) and Texas (22 hotels). Six major franchises are represented in the portfolio including Marriott International, Hilton Worldwide, Larkspur Landing, InterContinental Hotels Group, Choice Hotels International, and Carlson. The loan transferred to special servicing in March 2025 due to imminent monetary default and servicer commentary indicates the sponsor intends to sell-off properties to assist with paying down the loan ahead of its loan maturity date in June 2027. The loan has remained current on its debt service payments but continues to perform well below its NOI levels in 2019 and at securitization. The 2024 NOI was 50% lower than in 2019 and the NOI DSCR was 1.36X. The loan is interest-only throughout the entire 10-year loan term and benefits from a low fixed rate of 4.49%, however, due to the higher interest rate environment and underperformance in recent years, Moody's have assumed a moderate loss on this loan. The fourth specially serviced loan is the Grant Building Loan ($35.6 million – 3.5% of the pool) which is secured by a 461,006 SF office building located in Pittsburgh, Pennsylvania. The loan transferred to special servicing in September 2023 due to imminent default and the loan subsequently entered foreclosure and a receiver was appointed in March 2024. The property was 71% leased as of December 2024, compared to 85% in December 2023 and 90% at securitization. Property performance has steadily declined since 2020 as a result of lower revenues and higher operating expenses. The 2024 NOI was 35% lower than in 2018 causing the NOI DSCR to decline to 1.08X as of December 2024. The most recent appraisal from April 2025 indicated a 70% decline in value from securitization and the value was 51% below the loan balance. After an initial interest only period, the loan has amortized 6.4% since securitization, however, it was last paid through June 2024 as of the August 2025 remittance statement. Moody's have also assumed a high default probability for four poorly performing loans, constituting 5.5% of the pool, and have estimated an aggregate loss of $66.3 million (a 37.8% expected loss on average) from these troubled loans and the three specially serviced loans not included in the conduit statistics. The largest troubled loan is the 440 Mamaroneck Avenue Loan ($29.2 million – 2.9% of the pool) which is secured by a five story, 240,000 SF suburban office building located in Harrison, New York. Property performance has declined significantly since 2020 as a result of decline in occupancy. The property was 68% leased in March 2025, compared to 68% in December 2024, 88% in 2020 and 84% at securitization. The largest tenant, TransAmerica Life Insurance, previously downsized their space from 114,940 SF (48% of NRA) to 28,642 SF (12% of NRA). The year end 2024 net operating income (NOI) was more than 63% lower than in 2018. As of the August 2025 remittance, the loan has amortized by 11.5% since securitization and while the loan remains current on debt service payments, the property has not generated sufficient cash flows to cover debt service since 2022 with the NOI DSCR remaining below 0.70X. The second largest troubled loan is the 215 & Town Center Loan ($12.7 million – 1.3% of the pool), which is secured by a 65,126 SF office property located in Las Vegas, Nevada. The property occupancy declined to 58% leased in June 2025, compared to 100% at securitization due to tenant departures at lease expiration dates. The property faces further rollover risk, with 49% of the NRA scheduled to expire within one year. As of the August 2025 remittance, this loan was current and has amortized 6.7% since securitization. The remaining troubled loans are secured by two underperforming limited-service hotels that have experienced declines in net operating income and occupancy since securitization and located in Denton, Texas and Richland, Mississippi. 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 100% of the pool, and full or partial year 2025 operating results for 77% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 113%, compared to 118% 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 20% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.82X and 1.00X, respectively, compared to 1.73X and 0.94X 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 General Motors Building Loan ($55.2 million – 5.4% of the pool), which represents a pari passu portion of a $1.47 billion senior loan. The property is also encumbered by $830.0 million in subordinate debt. The loan is secured by a 50-story, Class A, office building comprised of approximately 2 million SF and includes 188,000 SF of a two-story and below-grade concourse retail space that wraps around the base of the building. The property is located in New York, New York and spans the entire city block bound by 58th Street, 59th Street, Madison Avenue and Fifth Avenue on the southeast corner of Central Park. As of year-end 2024, the property was 99% occupied, compared to 95% at securitization. The largest tenants include Weil, Gotshal & Manges (22% of net rentable area (NRA)) and Aramis (15% of NRA). Both tenants have been at the property since its construction in 1968 and the largest retail tenant is Apple (5.4% of NRA). Moody's structured credit assessment is aaa (sca.pd). The top three conduit loans represent 13.8% of the pool balance. The largest loan is the 9-19 9th Avenue Loan ($55.0 million – 5.4% of the pool), which represents a pari passu portion of a $105.0 million mortgage loan. The loan is secured by an approximately 61,000 SF, five-story retail building located on the southern border of the Meatpacking District in New York, New York. The property is 100% leased to Restoration Hardware and serves as its New York City flagship location. The lease term expires in 2032 with two, 10-year extension options. The loan is interest-only through its entire term. Due to the single-tenant concentration, Moody's values incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 124% and 0.73X, respectively, the same as at last review. The second largest loan is the Corporate Woods Portfolio Loan ($42.7 million – 4.2% of the pool), which represents a pari passu portion of a $189.1 million mortgage loan. The loan is secured by 16 buildings within Corporate Woods, a 29-building master-planned, suburban office park, located in Overland Park, Kansas. The buildings comprise of fifteen, Class A and Class B office properties and one retail property. Property performance has declined since 2019 as a result of decline in revenue and occupancy. As of March 2025, the portfolio was 69% leased, compared to 73% in December 2024 and 93% at securitization. The largest tenant of the portfolio, PNC Bank National Association (8% of NRA), has a lease expiration in 2029 and the remaining tenants account for less than 4% of NRA. As of August 2025, the loan is current and has amortized by 14.5% since securitization. However, the loans NOI DSCR has consistently declined since 2023 due to the lower NOI. Moody's LTV and stressed DSCR are 144% and 0.79X, respectively, compared to 124% and 0.85X at the last review. The third largest loan is the Mall of Louisiana Loan ($42.6 million -- 4.2% of the pool), which represents a pari passu portion of a $294.9 million mortgage loan. The loan is secured by a 776,789 SF portion of a 1,593,545 SF enclosed, two-story super-regional mall located in Baton Rouge, Louisiana and sponsored by Brookfield Properties Retail Group. As of March 2025, the collateral was 75% leased, compared to 77% December 2024 and 92% at securitization. Major tenants include JC Penny, AMC Theater, Dicks Sporting Goods, Nordstrom, and Apple. The property's performance has generally declined since securitization due to lower rental revenues and higher operating expenses and the December 2024 NOI was 12% lower than in 2017. The loan remains current as of the August 2025 remittance statement and had an NOI DSCR of 1.52X as of December 2024. Moody's LTV and stressed DSCR are 127% and 0.83X, respectively, compared to 131% and 0.81X at last review. DBJPM 2016-C1: DBRS Lowers Rating on 2 Tranches to Csf ------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C1 issued by DBJPM 2016-C1 Mortgage Trust (the Trust) as follows: -- Class B to BBB (sf) from A (low) (sf) -- Class C to B (low) (sf) from BBB (low) (sf) -- Class D to C (sf) from CCC (sf) -- Class X-B to B (sf) from BBB (sf) -- Class X-C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-3A at AAA (sf) -- Class A-3B at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class X-D at C (sf) Morningstar DBRS changed the trends on Classes A-M and X-A to Negative from Stable and maintained the Negative trends on Classes B, C, and X-B, while the trends on Classes A-3A, A-3B, A-4, and A-SB are Stable. There are no trends for Classes D, E, F, G, X-C, and X-D, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased liquidated loss projections for the loans in special servicing and concerns over the pool's significant concentration of loans secured by office collateral. There are three specially serviced loans, representing 13.5% of the current pool. All were liquidated in the analysis for this review, with the combined losses of $66.6 million expected to fully erode the balance of Classes E, F, and G, and approximately 55% of the Class D certificate. This compares with total projected liquidated losses of $35.3 million at the last credit rating action in September 2024 stemming from two loans in special servicing (representing 8.8% of the current pool balance), both of which remain specially serviced. Since the prior credit rating action, one additional loan, namely 7700 Parmer (Prospectus ID#9, 4.7% of the current pool balance), has transferred to special servicing, which is discussed in more detail below. Excluding the defeased loans, the pool is most concentrated with loans secured by office properties, which represent approximately 28.4% of the pool balance. Most notably, the following loans have demonstrated consistent performance declines since issuance and have upcoming tenant rollover risk: (1) West Valley Corporate Center (Prospectus ID#8, 4.8% of the pool), (2) Hall Office Park A1/G1/G3 (Prospectus ID#13, 3.6% of the pool), and (3) Jade Corporate Center (Prospectus ID#20, 2.4% of the pool). Where applicable, a stressed analysis for these loans was conducted wherein Morningstar DBRS increased the probability of default and, in certain cases, applied stressed loan-to-value ratios (LTVs) to increase the expected loss (EL) as applicable. The resulting weighted-average (WA) EL for these loans is almost double the pool average EL. Given the credit erosion toward the bottom of the capital stack, Morningstar DBRS downgraded Classes B, C, and D acknowledging the downward pressure implied by the Morningstar DBRS CMBS Insight Model results. Morningstar DBRS' analysis also considers a recoverability scenario given that the transaction is in wind-down with all of the remaining loans in the pool scheduled to mature by April 2026. Apart from the loans currently in special servicing, Morningstar DBRS identified six loans, representing 24.8% of the current pool balance, which are at increased risk of maturity default based on concentrated scheduled tenant rollover or recent declines in performance, primarily backed by office collateral. Based on a recoverability analysis, which considered the likelihood of repayment and value deficiency for the pool as a whole, the six lowest-rated classes are exposed to loss, supporting the Negative trends. The credit rating confirmations reflect the otherwise stable performance of the remainder of the transaction, with the majority of the loans expected to successfully repay at their respective maturity dates based on the performance of the underlying collateral, which remains healthy, as exhibited by a WA debt service coverage ratio (DSCR) of 2.49 times and WA debt yield of 14.69% according to the most recent year-end financials. As of the August 2025 remittance, 31 of the original 33 loans remain in the Trust, with an aggregate balance of $681.9 million, representing a collateral reduction of 16.7% since issuance. Seven loans, representing 13.8% of the pool, are fully defeased. Almost all the loans in the pool are being monitored because of upcoming maturity, with the exception being three loans, totaling 7.4% of the pool, which are being monitored for performance-related concerns. Morningstar DBRS' increased liquidated loss expectations are concentrated with the largest loan in special servicing, Sheraton North Houston (Prospectus ID#4, 5.0% of the pool), which is secured by a 419-key, full-service hotel near the George Bush Intercontinental Airport in Houston. The loan transferred to the special servicer in November 2020 for payment default, and a receiver was appointed in April 2021. According to the servicer's latest commentary, the property was listed for sale from January 2025 to March 2025. The winning bidder has signed the pooling and servicing agreement and is working with Marriott on its franchise approval. Morningstar DBRS analyzed the loan with a liquidation scenario based on the sales price, resulting in a full loss to the Trust. The second-largest contributor to Morningstar DBRS' liquidated loss expectations is the Hagerstown Premium Outlets (Prospectus ID#12, 3.8% of the pool), an open-air retail outlet center in Hagerstown, Maryland, owned and operated by Simon Property Group. This loan is pari passu with JPMCC Commercial Mortgage Securities Trust 2016-JP2, which is also rated by Morningstar DBRS. The loan has been in and out of delinquency since the onset of the COVID-19 pandemic and was most recently transferred to the special servicer after the borrower defaulted on its September 2023 payment. As of the most recent remittance, the special servicer is pursuing foreclosure amid ongoing negotiations with the borrower for a loan modification. However, the borrower appears to have recently negotiated an interest-only (IO) loan modification that was executed in July 2025. The cash flow at the subject has been depressed for several years, with the DSCR hovering near or just below breakeven since 2021. According to the December 2024, rent roll, the property was 50.2% occupied with leases totaling approximately 11.0% of the net rentable area (NRA) scheduled to expire within a year of the loan's maturity date in February 2026. The property was reappraised in December 2024 at $28.4 million, which represents an 81.1% decline from the issuance appraised value of $150.0 million. Morningstar DBRS analyzed this loan with a liquidation scenario based on a conservative haircut of 30% to the most recent appraised value to account for the tenant rollover concerns and the subject's location within a tertiary market. The resulting loss severity is approximately 85% or $21.8 million. The most recent transfer to the special servicer is the 7700 Parmer (Prospectus ID#9, 4.7% of the current pool balance) loan, which is secured by a 911,579-square-foot Class A suburban office property in Austin, Texas. The five-building campus sits on 128 acres in Austin's premier technology district and is sponsored by Accesso Partners. The loan is pari passu with JPMCC Commercial Mortgage Securities Trust 2015-JP1 (also rated by Morningstar DBRS) and JPMBB Commercial Mortgage Securities Trust 2016-C1. The loan transferred to the special servicer with the August 2025 remittance for imminent monetary default, ahead of its December 2025 loan maturity date. According to the June 2025 rent roll, the property was 75.5% occupied with an average rental rate of $40.20 per square foot (psf). According to per Reis, office properties in the Round Rock/Georgetown/Cedar Park submarket reported an average vacancy rate of 19.9% in Q2 2025 with an average asking rental rate of $33.02 psf, which is lower than the property's average rental rate. The largest tenants are Google LLC (33.3% of the NRA, lease expires in September 2027), Electronic Arts Inc. (19.2% of the NRA, lease expires in August 2026), and eBay Inc. (10% of the NRA, lease expires in May 2028). Given the loan's recent transfer to the special servicer, the workout strategy has not yet been determined. However, it is likely the value has deteriorated given the softening submarket fundamentals and year-over-year decline in performance. Morningstar DBRS analyzed this loan with a liquidation scenario by applying a conservative haircut of 50% to the value at issuance, resulting in an implied loss of $10.4 million or a loss severity of 32%. At issuance, 225 Liberty Street (Prospectus ID#5, 5.9% of the current pool balance) was shadow-rated investment grade by Morningstar DBRS. With this review, the shadow rating on the loan was maintained given the strong occupancy, credit tenancy, and high asset quality, all of which are characteristics that are consistent with an investment-grade shadow rating. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, X-C, and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DBJPM 2017-C6: DBRS Confirms Bsf Rating on Class F-RR Certs ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C6 issued by DBJPM 2017-C6 Mortgage Trust as follows: -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E-RR at BB (low) (sf) -- Class F-RR at B (sf) In addition, Morningstar DBRS maintained Negative trends on Classes D, E-RR, F-RR, and X-D. All other trends are Stable. The credit rating confirmations and Stable trends generally reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in September 2024, with the pool benefiting from significant paydown and some defeasance since issuance. The pool continues to exhibit generally healthy credit metrics, with a weighted-average debt service coverage ratio (DSCR) of 1.85 times (x). Aside from select loans exhibiting increased risks as outlined below, pool-level performance indicates generally strong refinance prospects as the transaction approaches wind down starting in Q2 2027. The transaction also benefits from the full repayment of the Gateway Net Lease Portfolio (Prospectus ID#2, previously 7.9% of the pool balance) loan with the September 2024 remittance cycle and the investment-grade shadow rating for the Olympic - Trust (Prospectus ID#3, 9.7% of the pool balance) loan. The loan's continued performance in line with the investment-grade shadow rating has been confirmed with this review. The Negative trends are reflective of the continued difficulties faced by several larger loans backed by office collateral, including the largest loan in the pool, 245 Park Avenue - Trust (Prospectus ID#1, 11.3% of the pool balance). The loan is secured by an office tower in Manhattan and reported YE2024 cash flow figures that were well below issuance levels. The loan is outlined in more detail below. With this review, Morningstar DBRS applied stressed loan-to-value (LTV) ratios and/or upward probability of default (PoD) adjustments to three office loans (20.2% of the pool balance) and four loans (17.1% of the pool balance) secured by retail and lodging properties. The classes with Negative trends are most exposed to the increased default risk for these loans, with the upper and middle portions of the capital stack generally well insulated against losses for those loans, supporting the credit rating confirmations and Stable trends. As of the August 2025 remittance, 30 of the original 41 loans remain in the pool, representing a collateral reduction of 26.9% since issuance. Four loans, representing 10.0% of the current pool balance, are defeased. The pool is concentrated by property type with loans backed by office and retail properties each representing 24.7% of the pool; the third-largest exposure is with loans backed by lodging properties, which represent 15.5% of the pool. There are 12 loans, representing 40.2% of the pool, currently being monitored on the servicer's watchlist; however, only five of those loans, representing 18.5% of the current pool balance, are monitored for performance-related concerns. Since the September 2024 review, two loans, Long Meadow Farms (Prospectus ID#31, previously 1.0% of the pool balance) and Union Hotel - Brooklyn (Prospectus ID#34, previously 0.7% of the pool), were liquidated from the trust with a total cumulative loss of $7.2 million, which is a decline from $8.0 million at the September 2024 review. The losses were contained to the unrated Class G-RR certificate. There is one loan, Starwood Capital Group Hotel Portfolio (Prospectus ID#4, 9.7% of the current pool balance), in special servicing. The specially serviced loan, Starwood Capital Group Hotel Portfolio, is secured by a portfolio of 65 mixed-service hotels, totaling 6,366 keys, in 21 states. The loan represents a pari passu portion of a whole loan (also in the Morningstar DBRS-rated BANK 2017-BNK5 transaction) and transferred to special servicing in February 2025 for imminent monetary default; however, the loan was brought current in the subsequent month. According to the servicer's most recent commentary, the borrower and servicer are discussing a loan modification. According to the December 2024 financials, the combined occupancy rate across the portfolio decreased to 65.0% from the 2023 rate of 67.0%. The portfolio generated a net cash flow (NCF) of $28.3 million at YE2024, down from $37.4 million at YE2023 and a significant decline from the issuance NCF figure of $71.3 million. The year-over-year drop in cash flow is attributed to increased repairs, advertising, marketing expenses, and property insurance. The servicer most recently calculated a DSCR of 1.08x. Although the collateral has not been re-appraised, Morningstar DBRS believes the value has likely declined significantly since the issuance appraisal of $956.0 million. Given the low in-place coverage and implied value decline in the cash flow drop from issuance, the analysis for this review considered an elevated PoD assumption, resulting in an elevated loss (EL) that was greater than twice the pool average. The largest loan in the pool is 245 Park Avenue (Prospectus ID#1; 11.3% of the current pool balance), secured by a 1.7 million square foot (sf), Class A office tower in Midtown Manhattan. The $1.2 billion whole loan has a pari passu structure with pieces securitized across five Morningstar DBRS-rated transactions. The property was 87.1% occupied as of the March 2025 rent roll, an improvement from the YE2024 and YE2023 figures of 85.1% and 74.7%, respectively, but below the issuance figure of 91.0%. Recent leasing momentum at the property has been positive with various online sources indicating that several tenants have signed new leases. The largest tenants at the property are Société Générale (30.4% of the NRA; lease expiration in 2032) and Ares Management (12.3% of the NRA; lease expiration in 2043). Although the annualized June 30, 2025, NCF of $70.3 million (reflecting a DSCR of 1.75x) represents a 27.7% decline from the issuance figure, it compares favorably to the YE2024 figure of $65.8 million (a DSCR of 1.47x) and is in line with the YE2022 figure. Although there have been several positive developments at the property, the collateral's historical occupancy rate has been volatile, resulting in a contraction in cash flow. As such, Morningstar DBRS analyzed the loan with a stressed LTV and elevated PoD penalty in the analysis, resulting in an expected loss that was almost 150% of the pool average. Morningstar DBRS also has concerns with the 211 Main Street loan (Prospectus ID#6, 7.1% of the pool balance), secured by a 417,266-sf office building in downtown San Francisco, solely occupied by the Charles Schwab Corporation (Schwab) on a lease through April 2028. The loan was modified in November 2024 to allow for a four-year maturity extension through April 2028 and a conversion to amortized payments. In 2021, Schwab moved its headquarters to the Dallas-Fort Worth area and has since reduced its footprint to six of 17 floors. Schwab has no termination options and continues to honor the lease. Performance is stable as a result, as evidenced by the stable reported cash flow and DSCR of $17.2 million and 1.85x, respectively, at YE2024. According to the Q2 2025 Reis report, the South Financial District office submarket exhibited a vacancy rate of 23.1% with net absorption of -705,000 sf at YE2024. An updated appraisal dated May 2024 valued the property at $152.0 million, well below the issuance value of $294.0 million. Given the elevated refinance risk, Morningstar DBRS conducted a dark value analysis assuming that Schwab does not renew its lease, resulting in a stressed value of $114.3 million and an LTV of 148.0% on the senior debt. Morningstar DBRS also applied an elevated PoD assumption, which resulted in an EL just over three times the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DIAMETER CREDIT III: Moody's Ups Rating on $24MM E Notes from Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding III, LTD.: US$50,000,000 Class B Senior Secured Fixed Rate Notes due 2038 (the "Class B Notes"), Upgraded to Aaa (sf); previously on December 23, 2024 Upgraded to Aa1 (sf) US$20,000,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on December 23, 2024 Upgraded to A2 (sf) US$20,000,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class D Notes"), Upgraded to A1 (sf); previously on December 23, 2024 Upgraded to Baa2 (sf) US$24,000,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2038 (the "Class E Notes"), Upgraded to Baa3 (sf); previously on December 23, 2024 Upgraded to Ba2 (sf) Diameter Credit Funding III, Ltd., originally issued in October 2020, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in October 2025. A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the end of the deal's reinvestment period in October 2025. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), and higher net interest margin compared to their respective covenant levels. Moody's modeled a WARF of 3247 compared to its current covenant level of 3330, and a weighted average coupon of 6.72% compared to a covenant level of 5.60%. Additionally, the CBO currently benefits from high net interest income on floating rate portfolio assets which represent approximately 32% of the asset pool. These floating rate loans generate a weighted average spread (WAS) of 4.51% over their reference rates, contributing to the net interest margin of the asset pool. No action was taken on the Class A notes because its expected loss remain commensurate with its current rating, after taking into account the CBO'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: $398,161,564 Defaulted par: $421,010 Diversity Score: 52 Weighted Average Rating Factor (WARF): 3247 Weighted Average Spread (WAS): 4.51% Weighted Average Coupon (WAC): 6.72% Weighted Average Recovery Rate (WARR): 36.04% Weighted Average Life (WAL): 4.6 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ECAF I: Fitch Hikes Rating on 2 Note Classes to 'CCC+sf' -------------------------------------------------------- Fitch Ratings has upgraded the ECAF I Ltd. (ECAF) series A-1 and A-2 notes to 'CCC+sf' from 'CCCsf'. Fitch has also affirmed the series B note at 'CCsf'. The Rating Outlook for the A-1 and A-2 notes is Stable following the upgrade. Entity/Debt Rating Prior ----------- ------ ----- ECAF I Ltd. A-1 26827EAA3 LT CCC+sf Upgrade CCCsf A-2 26827EAC9 LT CCC+sf Upgrade CCCsf B-1 26827EAE5 LT CCsf Affirmed CCsf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, and Fitch's assumptions and stresses all inform its modeled cash flows and coverage levels. ECAF's A notes have de-levered since its last review, primarily driven by seven asset sales which resulted in gross sales proceeds of $133 million over the last year. The upgrade reflects improved loan to values (LTVs), $155 million in pay down of the A notes, and the possibility of addition aircraft sales. The B note continues to pay only interest as all notes are three years past their anticipated repayment dates (ARD). Lessee delinquencies continue with aggregate past due amounts increasing since the prior review. Aircraft Collateral and Asset Value Aircraft ABS transaction servicers are reporting continued strong demand for aircraft, particularly those with maintenance green time remaining. In addition, appraiser market values are currently higher than base values for many aircraft types, which has not occurred for several years. Fitch is also seeing continued strong aircraft sale proceeds. Engines with maintenance green time remaining are particularly in demand. Macro Risks Fitch recently revised its sector outlook for aircraft ABS to 'deteriorating' from 'neutral'. This change reflects expectations for a slowdown in global air travel growth, consistent with its forecast for weaker global GDP growth in 2025 and 2026. Global air travel is highly correlated to global GDP. Fitch also expects increased divergence in performance across several categories including domestic versus international travel, geographic footprint, lessee credit strength, and aircraft type and age. Some domestic markets have contracted through May 2025, and there is significant uncertainty about how trade relations and conflicts will be resolved. Conclusive resolutions to tariff conflicts, for example, may prompt Fitch to reevaluate its sector outlook. Despite an anticipated slowdown in the growth rate of air travel, Fitch expects aircraft values will remain supported by the ongoing under-supply of aircraft. This is driven by continued impediments to the construction and delivery of new aircraft and by engine shop capacity issues that reduce total capacity. Fitch expects these supply-side constraints to mitigate demand reductions. ABS performance may be affected by deteriorating credit quality of airline lessees. Despite benefiting from longer-term fixed rental leases and staggered lease expiries, given sufficient financial headwinds, some airlines may seek payment relief in the form of restructures which could reduce cash flows to ABS. Fitch expects securitizations with younger to mid-life aircraft and with adequate lessee quality and diversification to be better positioned to withstand potential pressures on cash flows needed to meet debt service. KEY RATING DRIVERS Asset Value: The Fitch Value for the pool is $259 million, a decrease of $137 million (34.7%), over the last 12 months. Fitch used the most recent appraisals as of June 2025 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years in which case a market value is used. Fitch then uses the lesser of the mean and median of the given value. Using the Fitch Value, the changes in LTVs since Fitch's prior review are as follows: A-1 note 89.9% to 77.7%, A-2 note 89.9% to 77.7% and B note 110.1% to 108.7%. The mean maintenance-adjusted base value (MABV) (depreciated from the appraisal effective date to August 2025) is $266 million. Tiered Collateral Quality: The pool consists of 7 narrowbody (NB) aircraft, 3 widebody (WB) aircraft, 4 engines, and 3 part-out assets with the majority characterized as mid-life aircraft (weighted-average [WA] age of 14.0 years). The WA tier is 1.69. Fitch utilizes three tiers when assessing the desirability and liquidity of aircraft collateral: tier one, which is the most liquid, and tier three which is the least liquid. Additional details regarding Fitch's tiering methodology can be found here. Pool Concentration: ECAF sold seven aircraft and fully parted out one aircraft since its previous review in September 2024. The pool is concentrated with 10 aircraft and four engines on lease to 10 lessees. Additionally, there are three part-out assets. ECAF is geographically concentrated with 68 % of exposure (Fitch Value) in Emerging Asia Pacific. ECAF also has 9% exposure to Developed Europe, 9% to Middle East and Africa, 8% to Emerging Europe, and 6% to South and Central America. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees to be high. Delinquencies by several lessees continue with total arrears increasing since the prior review. Fitch has generally maintained the credit ratings assigned in the prior review. Operation and Servicing Risk: Fitch has found BBAM to be an effective servicer based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies that result in material cashflow declines, lower lease rates, increased loan to values (LTVs) or sales of aircraft below Fitch's projections could lead to a downgrade; - Fitch ran a sensitivity related to multiple down scenarios. The scenarios included a decrease of future lessee ratings to 'CCC', the exclusion of part-out cashflow, and the exclusion of the highest appraisal from the FV calculation. This sensitivity resulted in a zero to one notch decrease in the model-implied ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade; - Fitch ran a sensitivity related to the lessee credit quality in the pool. Fitch assigns a credit rating of 'CCC' or lower to a majority of lessees in the pool. The sensitivity assumes all currently lessees are rated 'B' and that all future lessees will be rated 'B'. This sensitivity resulted in a zero to one notch increase in the model-implied rating; - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. ELARA HGV 2025-A: Fitch Assigns 'BB(EXP)' Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings expects to assign ratings and Outlooks to Elara HGV Timeshare Issuer 2025-A LLC (2025-A) notes. Entity/Debt Rating ----------- ------ Elara HGV Timeshare Issuer 2025-A, LLC A LT AAA(EXP)sf Expected Rating B LT A-(EXP)sf Expected Rating C LT BBB-(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating Transaction Summary The notes will be backed by timeshare loans from a single timeshare site in Las Vegas, NV, LV Tower 52 Vacation Suites, a vacation ownership resort operating as Elara (a Hilton Grand Vacations resort). The loans were originated by LV Tower 52, LLC (LV Tower) under a sales and marketing agreement with Hilton Resorts Corporation (HRC). HRC is a subsidiary of Hilton Grand Vacations, Inc. (HGV). As detailed in the sales and marketing agreement, HRC and Grand Vacation Services, LLC (GVS) provide rebranding, marketing and sales, as well as complete operational management and servicing of the loans. This is LV Tower's seventh term securitization, having issued transactions since 2014. KEY RATING DRIVERS Borrower Risk — Strong Collateral: The 2025-A pool has a weighted average (WA) FICO score of 754, up from 744 in 2023-A. The WA seasoning is 17 months, in line with 2023-A. Overall, Fitch considers the credit quality of the current pool to be slightly stronger. However, the concentration of large original balance loans (greater than $100,000) is 33.1%, up from 13.7% in 2023-A, and the share of upgraded loans is 82.8%, up from 62.5% in 2023-A. Forward-Looking Approach on CGD Proxy — Weakening Performance: The outstanding ABS transactions and the Elara managed portfolio have experienced elevated defaults since 2016. However, the default growth rates for the 2016-2021 vintages have slowed slightly in recent periods. The more recent 2022-2025 vintages are tracking generally in line with earlier weaker vintages. Fitch's initial rating case cumulative gross default (CGD) proxy for 2025-A is 17.0%, in line with that for 2023-A. Single Timeshare Site: The loans are associated with a single resort, Elara, in Las Vegas. However, the owners have the same usage and exchange rights as other HRC timeshare owners and are club members within HRC's system. As such, the risk associated with a single-site property is mitigated. Structural Analysis — Adequate CE: Initial hard credit enhancement (CE) is expected to be 51.30%, 21.90%, 8.90% and 3.00% for class A, B, C and D notes, respectively, down from 54.15%, 25.80%, 11.15% and 7.25%, respectively, in 2023-A. Soft CE is provided by excess spread and is expected to be 8.00% per annum, up from 6.85% in the prior deal. Available CE is sufficient to support stressed multiples of 3.50x, 2.25x, 1.58x and 1.25x at the 'AAAsf', 'A-sf', 'BBB-sf' and 'BBsf' rating levels for class A, B, C and D notes, respectively. Originator Seller/Servicer — Quality of Origination/Servicing: LV Tower and HRC have demonstrated sufficient abilities as originator and servicer of timeshare loans, respectively. This is evidenced by the historical delinquency and default performance of HRC's managed portfolio and previous transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even default coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of two notches, two notches and one rating category, respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from KPMG LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. 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. ELARA HGV 2025-A: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elara HGV Timeshare Issuer 2025-A LLC's timeshare loan-backed notes. The note issuance is an ABS transaction backed by vacation ownership interest (timeshare) loans. The ratings reflect S&P's view of: -- The transaction's credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- The servicer's ability and experience. -- The transaction's ability, on average, to withstand break-even default levels of 64.90%, 42.30%, 31.60%, and 26.50% for the class A, B, C, and D notes, respectively, based on S&P's various stressed cash flow scenarios. These levels are higher than the 3.35x, 2.28x, 1.82x, and 1.43x of its expected cumulative gross defaults of 17.00% for the class A, B, C, and D notes, respectively. -- The transaction's ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under S&P's rating stresses, and its performance under the credit stability and sensitivity scenarios at the respective rating levels. -- The collateral characteristics of the series' timeshare loans, S&P's view of the collateral's credit risk, and our updated macroeconomic forecast and forward-looking view of the timeshare sector. -- The series' bank accounts at Wells Fargo Bank N.A. and Bank of America N.A. and the reserve account, all of which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Grand Vacation Services LLC as servicer, and its views of the company's servicing ability and experience in the timeshare market. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Elara HGV Timeshare Issuer 2025-A LLC's Class A, $116.79 million: AAA (sf) Class B, $69.09 million: A- (sf) Class C, $30.55 million: BBB- (sf) Class D, $13.86 million: BB- (sf) FLATIRON CLO 28: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 28, Ltd.'s refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Flatiron CLO 28 Ltd. A-1-R LT NRsf New Rating A-2 33884EAE1 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 33884EAG6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 33884EAJ0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 33884EAL5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2 33884EAN1 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 33884GAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Flatiron CLO 28 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by NYL Investors LLC, which originally closed in June 2024. Net proceeds from the issuance of the new secured and existing subordinated notes will provide financing on a portfolio of approximately $448 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). 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 23.19, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 1.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. Key Provisional Changes The refinancing is being implemented via the supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Class A-1, A-1-L, A-2, B, C, D-1, D-2, and E notes are being refinanced to new class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes. Class A-1-L is being amalgamated into class A-1-R. - The spreads of classes A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes are 1.08%, 1.40%, 1.50%, 1.70%, 2.40%, 3.70 and 4.60%, respectively, compared to the spreads of 1.32%, 1.32%, 1.55%, 1.65%, 2.10%, 3.00%, 4.25% and 5.75%, for classes A-1, A-1-L, A-2, B, C, D-1, D-2, and E, respectively. - The OC triggers and IDT remain unchanged. - The non-call period of the refinanced notes is extended from June 2025 to September 2026. - The Fitch matrices have been updated to take into consideration the shorter remaining risk horizon of the transaction. Fitch Analysis: The current portfolio presented to Fitch includes 303 assets from 243 primarily high-yield obligors. The portfolio balance is around $448 million (excluding defaulted assets). As per the July trustee report, the transaction passed all coverage tests. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 46.1% of the current portfolio par balance; ratings for 53.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; assets that are unrated by Fitch and have no public ratings from other agencies constitute 0.0% of the portfolio. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three Fitch industries of 17.0%, 14.0% and 14.0%, respectively. - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.00% - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 6.00%; The transaction will exit the reinvestment period in July 2027. Current Portfolio: The Fitch Portfolio Credit Model (PCM) default rate outputs for the current portfolio were 42.2% at the 'AAAsf' rating stress for class A-2-R, 39.4% at the 'AAsf' rating stress for class B-R, 34.7% at the 'A+sf' rating stress for class C-R, 26.4% at the 'BBB-sf' rating stress for class D-1-R, 26.4% at the 'BBB-sf' rating stress for class D-2-R and 22.0% at the 'BBsf' rating stress for class E-R. The PCM assumed recovery rate (RRR) outputs for the current portfolio were 40.3% at the 'AAAsf' rating stress for class A-2-R, 49.2% at the 'AAsf' rating stress for class B-R, 59.1% at the 'A+sf' rating stress for class C-R, 68.6% at the 'BBB-sf' rating stress for class D-1-R, 68.6% at the 'BBB-sf' rating stress for class D-2-R and 74.1% at the 'BBsf' rating stress for class E-R. In the analysis of the current portfolio, class A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 13.3%, 14.3%, 14.4%, 12.8%, 8.8% and 16.1%, respectively. Fitch Stressed Portfolio (FSP): The PCM default rate outputs for the stressed portfolio were 50.2% at the 'AAAsf' rating stress for class A-2-R, 46.8% at the 'AAsf' rating stress for class B-R, 41.4% at the 'A+sf' rating stress for class C-R, 32.1% at the 'BBB-sf' rating stress for class D-1-R, 32.1% at the 'BBB-sf' rating stress for class D-2-R and 26.7% at the 'BBsf' rating stress for class E-R. The PCM assumed recovery rate (RRR) outputs for the stressed portfolio were 34.7% at the 'AAAsf' rating stress for class A-2-R, 41.2% at the 'AAsf' rating stress for class B-R, 51.2% at the 'A+sf' rating stress for class C-R, 60.4% at the 'BBB-sf' rating stress for class D-1-R, 60.4% at the 'BBB-sf' rating stress for class D-2-R and 65.7% at the 'BBsf' rating stress for class E-R. In the analysis of the current portfolio, class A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 0.8%, 1.3%, 1.8% 2.5%, 0.0% and 2.8%, respectively. The rating actions reflect that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BBsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1-R, and 'BBB+sf' for class D-2-R and 'BBB-sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron CLO 28, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. FORTRESS CREDIT III: S&P Affirms BB (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings took various rating actions on 10 classes of debt from two broadly syndicated U.S. CLO transactions. S&P raised its ratings on seven classes and removed six of them from CreditWatch, where S&P had placed them with positive implications on Aug. 11, 2025. At the same time, S&P affirmed its ratings on three classes from the two transactions. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria." Both transactions have exited their respective reinvestment periods and are paying down the notes in the order specified in their respective documents. All upgrades are primarily due to an increase in credit support. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. "In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, affirm, or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or O/C levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of debt, we took the rating action after considering one or more qualitative factors listed. "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 will take rating actions as we deem necessary." Ratings list Rating Issuer Class CUSIP To From Madison Park Funding XL Ltd. A-R-2 55821CAA2 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Madison Park Funding XL Ltd. B-R-2 55821CAC8 AA+ (sf) AA (sf)/Watch Pos Main rationale: Upgraded based on senior note paydowns, improvement in O/C, and passing cash flows at the new rating. While our base-case analysis indicated a higher rating, the rating action took into account the class' credit enhancement, which align with the upgraded rating, as well additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. Madison Park Funding XL Ltd. C-R-2 55821CAE4 A+ (sf) A (sf)/Watch Pos Main rationale: Upgraded based on senior note paydowns, improvement in O/C, and passing cash flows at the new rating. While our base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, which align with the upgraded rating, as well additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. Madison Park Funding XL Ltd. D-R 04964KAU5 BBB (sf) BB+ (sf) Main rationale: Upgraded back to its original rating following senior note paydowns, improvement in O/C, and passing cash flows at its new rating. While our base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, as well additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. Madison Park Funding XL Ltd. E-R 04964LAJ8 B (sf) B (sf) Main rationale: Although our base-case cash flows indicated a one-notch lower rating, our rating decision took into account the class's credit enhancement, exposure to 'CCC'/'CCC-' rated assets and the existing level of credit enhancement, which in our opinion aligns with the current rating. Fortress Credit BSL III Ltd. B-1-R 34960NAN6 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. Fortress Credit BSL III Ltd. B-2-R2 34960NAW6 AAA (sf) AA (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. Fortress Credit BSL III Ltd. C-R 34960NAS5 AAA (sf) A (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. Fortress Credit BSL III Ltd. D-R 34960NAU0 A- (sf) BBB (sf)/Watch Pos Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. While our base-case analysis indicated a higher rating, the rating action took into account additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. Fortress Credit BSL III Ltd. E-R 34960HAE9 BB (sf) BB (sf) Main rationale: Passing cash flows at current rating. Although our base-case analysis indicated a one-notch higher rating, our rating action took into account additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values, which in our opinion aligns with the current rating. O/C--Overcollateralization. FORTRESS CREDIT XIX: Moody's Gives B3 Rating to $200,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Fortress Credit BSL XIX Limited (the "Issuer"). Moody's rating action is as follows: US$297,600,000 Class A-1-R Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$200,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2036, 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. FC BSL CLO Manager IV 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 issuer will issue eight other classes of secured notes and make a variety of other changes to transaction features in connection with the refinancing. These include: extension of the non-call period; changes to the overcollateralization test and interest diversion 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 "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: $478,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3400 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 6.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. GARNET CLO 2: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 58(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Golub Capital Partners CLO 58(B)-R, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 58(B)-R, Ltd. A-1-L-R Loan LT AAAsf New Rating AAA(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf 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. Date of Relevant Committee 28 August 2025 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. GRACIE POINT 2025-1: S&P Assigns BB (sf) Rating on Cl. D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class B, C, and D Gracie Point International Funding 2025-1 LLC's secured floating-rate notes series 2025-1. S&P did not rate the class A and E notes. The transaction is a securitization backed by a SUBI certificate representing the sole ownership interests in a pool of participations, each of which represents a specified percentage interest in a life insurance premium finance loan. Since the issuance of our preliminary ratings, the expected maturities on the notes changed to Aug. 15, 2027, from Aug. 15, 2028, and the stated final maturities changed to Aug. 15, 2028, from Aug. 15, 2029. The maturity change did not impact our assessment of the credit. The ratings reflect S&P's view of: -- The credit enhancement in the form of excess spread and subordination for the class B, C, and D notes; -- The $1,650,000 series reserve account and $10,000,000 letter of credit (LOC), which are available to cover any shortfalls in payments of interest and series expenses due on any payment date; -- The credit quality of the pool's insurance carriers; -- The transaction's structure, including the interest diversion tests in which interest payments on the class B, C, and D notes can be used to pay down the principal of the immediately senior class of notes until it is reduced to zero. The interest diversion tests fail based on certain cumulative carrier insolvency percentages; and -- The ability of the transaction to withstand stressed cash flow assumptions and pay timely payment of interest and the ultimate payment of principal on the B, C, and D notes by the stated maturity date. Ratings Assigned Gracie Point International Funding 2025-1 LLC Class A, $229.000 million: NR Class B, $10.050 million: A (sf) Class C, $22.100 million: BBB (sf) Class D, $10.800 million: Class E, $5.808 million: NR NR—Not rated. GS 2025-DSC1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2025-DSC1'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. These business purpose investor loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums and two- to four-family residential properties. The pool consists of 1,050 ability-to-repay-exempt loans. The preliminary ratings are based on information as of Sept. 4, 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 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 asts view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned GS Mortgage-Backed Securities Trust 2025-DSC1 Class A-1A, $170,955,000: AAA (sf) Class A-1B, $26,712,000: AAA (sf) Class A-1, $197,667,000: AAA (sf) Class A-2, $17,095,000: AA (sf) Class A-3, $24,308,000: A (sf) Class M-1, $10,952,000: BBB (sf) Class B-1, $7,746,000: BB (sf) Class B-2, $5,743,000: B (sf) Class B-3, $3,606,723: Not rated Class X(i): Not rated Class SA, $202,408 (ii): Not rated Class A-IO-S(i): Not rated Class R, not applicable: Not rated (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 is initially $267,117,723. (ii)The balance is equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. The class is entitled to the class SA monthly remittance amount, if any. GS MORTGAGE 2019-GC42: DBRS Lowers Rating on G-RR Certs to Csf -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2019-GC42 issued by GS Mortgage Securities Trust 2019-GC42 (the Issuer) as follows: -- Class D to BBB (low) (sf) from BBB (high) (sf) -- Class X-D to BB (low) (sf) from BBB (sf) -- Class E to B (high) (sf) from BBB (low) (sf) -- Class F-RR to CCC (Sf) from BB (sf) -- Class G-RR to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) In addition, Morningstar DBRS changed the trends on the Class B, Class X-B, and Class C certificates to Negative from Stable. The Class D, Class X-D, and Class E certificates continue to carry Negative trends. All other classes have Stable trends, with the exception of Class F-RR and Class G-RR, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect the increased loss projections for the pool, primarily attributable to the loans in special servicing: North Point Tower (Prospectus ID#2; 6.6% of the current pool balance), 222 Kearney Street (Prospectus ID#21; 2.4% of the current pool balance) and Midland Office Portfolio (Prospectus ID#25; 1.8% of the current pool balance). Since the prior credit rating action in September 2024, the North Point Tower loan transferred to special servicing due to maturity default, and updated appraisals were made available for the underlying collateral backing the 222 Kearney Street and Midland Office Portfolio loans that indicate that the as-is values for those properties have declined more significantly than originally anticipated. Morningstar DBRS analyzed these loans with a liquidation scenario, resulting in projected cumulative losses of approximately $51.8 million. Those losses would erode the entirety of Class H-RR and Class G-RR as well as a portion of Class F-RR, significantly reducing credit support to the lower-rated bonds in the transaction. The Negative trends reflect the continued possibility of further value deterioration for the loans in special servicing and the high concentration of loans secured by office collateral, which account for 38.8% of the current pool balance. The credit rating confirmations reflect the otherwise stable performance of the remaining loans in the transaction, as exhibited by the pool's healthy weighted-average (WA) debt service coverage ratio (DSCR) of approximately 2.56 times (x) and WA loan-to-value ratio of 59.0%, based on the most recent financial reporting. In addition, the senior certificates in the pool continue to benefit from increased credit enhancement as well as four shadow-rated loans, representing 15.7% of the pool balance, which continue to perform in line with Morningstar DBRS' expectations. As of the July 2025 remittance, 34 of the original 36 loans remain in the pool. The initial pool balance of $1.06 billion has been reduced by 6.6% to $990.3 million, with no realized losses to the trust. Four loans, representing 9.6% of the pool balance, are on the servicers' watchlist. The loans on the servicer's watchlist are primarily being monitored for deferred maintenance issues and/or minor declines in operating performance. The largest loan in special servicing is North Point Tower, which is secured by an 873,335-square-foot (sf) Class A office building in Cleveland's central business district. The loan transferred to special servicing in September 2024 for maturity default. Although operating performance remains healthy, with the financial reporting for the trailing nine-month period (T-9) ended September 30, 2024, reflecting a DSCR of 2.71x, the servicer noted that the borrower (Hertz Investment Group) and guarantors have not signed a prenegotiation letter agreement (PNL) for a loan modification. The loan is delinquent having last paid in February 2025 and the lender is currently dual-tracking foreclosure, with the receiver actively assessing capital needs and leasing at the property. The property was 79.9% occupied as of March 2025, in line with the occupancy rate at issuance. The largest tenant, Jones Day, which occupies 39.2% of the net rentable area (NRA), has extended its lease through 2036. As of the second quarter of 2025, the average vacancy rate in the Downtown submarket was 21.3%, a figure that is expected to rise to 24.0% by 2029, according to Reis. Although an updated appraisal has not been made available, Morningstar DBRS notes the lack of leasing momentum at the subject and soft submarket fundamentals and expects that the property's as-is value has deteriorated considerably. Morningstar DBRS liquidated the loan from the pool based on a 60.0% haircut to the issuance value of $145.3 million, resulting in a Morningstar DBRS Value of $58.1 million ($67.0 per sf) and an implied loss approaching $27.5 million. The 222 Kearny Street loan is backed by a 148,000-sf office building in San Francisco. The loan was transferred to the special servicer in July 2023 because of imminent monetary default following declines in occupancy and cash flow, with the servicer currently pursuing a note sale as the workout strategy. The property reported an occupancy rate of 34.3% as of the March 2025 rent roll, a significant decline from the issuance figure of 91.0%. Similarly, the most recent servicer-reported DSCR was below breakeven as of the T-12 period ended September 30, 2024, compared with the YE2023 and YE2022 figures of 1.27x and 2.30x, respectively. According to Reis, the Union Square submarket reported a vacancy rate of 28.3% as of Q2 2025, an increase from 22.7% the prior year. The property was most recently appraised at $18.3 million in June 2024, down 75.6% from the issuance appraised value of $74.8 million. Morningstar analyzed this loan with a liquidation scenario based on a stressed haircut to the most recent appraisal, resulting in a projected loss amount slightly above $20.0 million and loss severity of 85.7%. The Midland Office Portfolio loanr is secured by five office buildings totaling almost 700,000 sf in Midland, Texas. The loan transferred to the special servicer in August 2023 because of monetary default. The asset did not successfully sell out of receivership and became real estate owned (REO) in February 2025. The consolidated occupancy rate for the properties has trended downward over the last few reporting periods, most recently reported at approximately 57.0% as of September 2024, down 85.0% at the time of issuance. The servicer reported an aggregate portfolio net cash flow of $3.7 million (a DSCR of 1.2x) as of the annualized T-9 period ended September 30, 2024, down a little more than 30.0% from the YE2023 figure of $5.6 million and approximately 56.0% below the issuance figure of $8.4 million. The special servicer is currently working with brokers to determine the best exit strategy for each property in the portfolio. The most recent appraisal, as of March 2025, valued the portfolio at $65.9 million, representing a 40.3% decrease from the issuance figure of $110.3 million. For this review, Morningstar DBRS liquidated the loan from the pool based on a 20.0% haircut to the most recent appraised value, resulting in an implied loss of $4.3 million and a loss severity of 24.0%. At issuance, Morningstar DBRS shadow-rated four loans, representing 15.7% of the pool balance, as investment grade. Moffet Towers II Buildings 3 & 4 (Prospectus ID#1; 6.6% of the pool) and 30 Hudson Yards (Prospectus ID#23; 2.0% of the pool), are backed by office properties leased to investment-grade-rated tenants on long-term leases. The other two shadow-rated loans, Woodlands Mall (Prospectus ID#6; 5.0% of the pool) and Grand Canal Shoppes (Prospectus ID#24; 2.0% of the pool), are backed by strong-performing retail properties in desirable markets. With this review, Morningstar DBRS confirms that the performance of all four loans continues to remain consistent with investment-grade characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Class X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. HGI CRE 2022-FL3: DBRS Confirms B(low) Rating on Class G Debt ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed all credit ratings on the classes issued by HGI CRE CLO 2022-FL3, LLC as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) The trend on Class G is Negative. The trends on all remaining classes are Stable. The credit rating confirmations reflect the overall stable performance of the 16 underlying loans in the trust, which are all secured by traditional multifamily collateral. Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. Additionally, most borrowers are progressing with the stated business plans to increase property cash flows and stabilize operations. The trend on Class G remains Negative, reflecting the uncertainty regarding the ongoing resolution timing of the one loan in special servicing, The Lofts at Twenty25 (Prospectus ID#27; 8.3% of the current trust balance), which is discussed in greater detail below. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com. As of the August 2025 remittance, the outstanding transaction balance is $438.1 million with the 16 loans secured by 19 properties. There has been a collateral reduction of 19.9% since the transaction became static in March 2024, following the post-closing, 24-month Reinvestment Period. Of the original 22 loans from transaction closing, 13 loans, representing 74.7% of the current pool balance, remain in the trust. Since September 2024, one loan, representing 3.6% of the current pool balance, has been added to the trust via the transaction's Credit Risk Exchange feature while five loans with a former cumulative trust balance of $86.0 million were successfully paid in full. Leverage across the pool has increased as of August 2025 reporting when compared with issuance metrics, as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 80.3%, with a current WA stabilized LTV of 67.6%. In comparison, these figures were 72.3% and 65.0%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not fully reflect the effects of the current interest rate and capitalization rate environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 10 loans, representing 79.2% of the current trust balance, generally reflective of higher cap rate assumptions as compared with the implied cap rates based on the appraisals. The Lofts at Twenty25 loan transferred to special servicing in June 2024 for payment default with the loan paid through March 2024. The collateral is a 623-unit, high-rise multifamily property in the Buckhead submarket of Atlanta. A total of 214 units are subject to a Land Use Restriction Agreement (LURA), expiring in 2034. The loan has a current senior note balance of $98.9 million with a $36.8 million piece in the trust. The borrower's business plan to complete a $5.1 million capital expenditure (capex) plan stalled as only $1.2 million was advanced prior to the loan becoming delinquent. The lender took title to the property in August 2024. An updated asset summary is currently pending from the collateral manager; however, the lender's stated resolution strategy upon taking title of the asset was to stabilize the property over a multiyear period prior to marketing it for sale. According to the June 2025 rent roll, the property was 69.2% occupied with an average rental rate of $1,261 per unit. The occupancy rate has improved significantly over the June 2024 figure of 27.6%. Property net cash flow (NCF) remains depressed; however, given the ongoing challenges to increase occupancy, reduce bad and collection loss, and complete necessary repairs. The NCF for the trailing 12-month (T-12) ended June 30, 2025, was -$0.1 million. The property was most recently appraised in July 2024 with an as-is value of $74.4 million ($120,000 per unit), down from $149.9 million ($240,000 per unit) at closing. At that time, the appraiser also provided a projected as-stabilized value of $88.4 million ($142,000 per unit). The special servicer has advised an updated appraisal is on order. Morningstar DBRS liquidated the loan in the analysis for this review, with the scenario considering a haircut to the July 2024 as-is appraised value and all outstanding advances as well as expected future advances. The resulting projected loss to the trust was approximately $17.0 million with a loan loss severity of 45.0%, which would be fully contained to the $50.6 million, unrated Class H Notes. There are 10 loans on the servicer's watchlist, representing 67.6% of the current trust balance, which have primarily been flagged for below-breakeven debt service coverage ratios (DSCRs) and upcoming maturity dates. The largest loan on the servicer's watchlist and in the trust, Tzadik Portfolio Pool 4 (Prospectus ID #26; 13.4% of current trust balance), is secured by a portfolio of four multifamily properties totaling 728 units in Tampa, Florida. The loan was added to the servicer's watchlist for the June 2025 maturity date; however, the borrower exercised an available extension option, pushing maturity to June 2026. The borrower also purchased a new interest rate cap agreement with a 2.75% strike rate. The borrower is successfully executing its business plan as it has completed $9.9 million in capex across the portfolio with the reported T-12 ended May 31, 2025, NCF of $5.3 million, equating to a debt service coverage ratio of 1.11 times and a debt yield of 7.1%. As a result of lagging business plans and loan exit strategies, the borrowers of 10 loans, representing 69.0% of the current trust balance, have received loan modifications. Terms for the modifications vary from loan to loan; however, common terms include waiving property performance tests to exercise maturity extensions, loan interest deferrals, and the waiver or modification of replacement interest rate cap agreement terms. The transaction faces elevated near-term maturity risk as 11 loans, representing 57.6% of the current trust balance, will mature by year-end 2025. The collateral manager expects the majority of these loans to pay in full; however, if select borrowers are unable to execute the respective loan exit strategies, all loans have outstanding extension options. Morningstar DBRS expects the borrowers and lenders to agree to loan modifications if borrowers request to exercise available extension options and property performance tests are not met. Based on previously granted terms, future loan modification agreements are also expected to require fresh equity deposits from borrowers. There has been no future funding advanced by the lender to individual borrowers since the previous Morningstar DBRS credit rating action in September 2024 as all loans have been fully funded since Q2 2024 or portions of originally contemplated loan future had previously been waived. In total, the lender has advanced cumulative loan future funding of $35.0 million to 13 of the 16 outstanding individual borrowers. The largest advance to a single borrower, $9.9 million, was made to the borrower of the Tzadik Portfolio Pool 4 loan. CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2025-AFC3: S&P Assigns Prelim B (sf) Rating on B-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to HOMES 2025-AFC3 Trust's series 2025-AFC3 mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of 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 primarily secured by single-family residential properties, townhomes, planned unit developments, condominiums, and two- to four-family residential properties. The pool consists of 964 loans, comprising QM safe harbor (APOR), non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Sept. 9, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) HOMES 2025-AFC3 Trust Class A-1A, $256,193,000: AAA (sf) Class A-1B, $39,843,000: AAA (sf) Class A-1, $296,036,000: AAA (sf) Class A-2, $36,058,000: AA (sf) Class A-3, $41,039,000: A (sf) Class M-1, $10,559,000: BBB (sf) Class B-1, $6,773,000: BB (sf) Class B-2, $3,984,000: B (sf) Class B-3, $3,985,211: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $398,434,211 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. ICG US 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to ICG US CLO 2025-1 Ltd./ICG US CLO 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned ICG US CLO 2025-1 Ltd. /ICG US CLO 2025-1 LLC Class A-1, $240.00million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $2.50 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $37.40 million: NR NR—Not rated. JAMESTOWN CLO XII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Jamestown CLO XII Ltd. reset transaction. Entity/Debt Rating ----------- ------ Jamestown CLO XII Ltd. X-R2 47047JAS3 LT NRsf New Rating A-R2 47047JAU8 LT NRsf New Rating B-R2 47047JAW4 LT AAsf New Rating C-R2 47047JAY0 LT Asf New Rating D-R2 47047JBA1 LT BBB-sf New Rating E-R2 47047QAE8 LT BB-sf New Rating Subordinated 47047QAC2 LT NRsf New Rating Transaction Summary Jamestown CLO XII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Investcorp Credit Management US LLC. It originally closed in March 2019 and underwent its first refinancing in March 2024. The second refinancing is scheduled for Sept. 4, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.83 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.96% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.55% and will be managed to a WARF covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, and between less than 'B-sf' and 'BB+sf' for class D-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, and 'Asf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Jamestown CLO XII 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. KEY COMMERCIAL 2019-S2: DBRS Confirms Bsf Rating on Class F Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-S2 issued by Key Commercial Mortgage Trust 2019-S2 as follows: -- Class A-3 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class X at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (sf) Morningstar DBRS changed the trends on Classes D, E, and F to Negative from Stable. All remaining trends are Stable. The Negative trends reflect Morningstar DBRS' concerns with the sole loan in special servicing, 180 North Wacker Drive (Prospectus ID#2, 9.4% of the pool), as well as the 415 McFarlan Road loan (Prospectus ID#17, 4.0% of the pool), which is secured by office collateral. Both loans have experienced continued performance declines since issuance with the 180 North Wacker Drive loan having transferred to special servicing in February 2025. With this review, Morningstar DBRS also identified select additional as having elevated refinance risk and, in the analysis, applied stressed loan-to-value (LTV) and /or probability of default (POD) adjustments to the loans to reflect the increased credit risk. In the event of further performance issues, property value declines, and /or loan delinquency, the most junior bonds could be exposed to losses, warranting the Negative trends. The credit rating confirmations and Stable trends reflect the overall stable performance of the remaining loans in the pool, as evidenced by the weighted-average debt service coverage ratio (DSCR) for the pool of 1.61 times (x), as of the August 2025 remittance. According to August 2025 reporting, 24 of the original 29 loans remain in the pool, with an aggregate principal balance of $114.3 million, representing a 27.1% collateral reduction since issuance. Four loans, representing 22.3% of the pool, are fully defeased and two loans, representing 5.3% of the pool, are on the servicer's watchlist. The pool is well-diversified by property type, with loans secured by office, retail, and self-storage collateral making up 16.6%, 16.6%, and 15.8% of the current pool balance, respectively. The 180 North Wacker Drive loan is secured by the leasehold interest in a 72,088-square-foot (sf) office building in the West Loop submarket of Chicago. The loan transferred to special servicing in February 2025 for imminent monetary default and is over 121 days delinquent as of the August 2025 remittance. According to the most recent servicer commentary, the special servicer has commenced potential resolution discussions with the borrower with a workout strategy yet to be determined. The loan has a current maturity date of February 2029. As of YE2024, the loan reported a DSCR of 0.77x, a decline from the YE2023 figure of 1.50x and below the Morningstar DBRS figure of 1.25x derived at issuance. According to the March 2025 rent roll, occupancy was reported to be 69.0%, a decrease from the YE2023 figure of 81% and the issuance figure of 86%, but above the YE2021 low of 66.0%. Tenant rollover risk remains a concern with four tenants representing 16.0% of the net rentable area (NRA) that have either had a lease expiration in the past six months or have a scheduled lease expiration in the next 12 months. According to Reis Inc. (Reis), office properties in the West Loop submarket reported a Q2 2025 vacancy rate of 16.4%, an increase over the Q2 2024 reported figure of 12.0%. Given the near-term tenant rollover risk and headwinds facing the office sector, Morningstar DBRS analyzed the loan using a stressed LTV and elevated POD adjustment, resulting in a loan expected loss (EL) greater than four times the EL for the pool. One of the larger loans of concern, 415 McFarlan Road, is secured by a 43,951-sf suburban office building in Kennett Square, Pennsylvania. The loan was previously added to the servicer's watchlist in August 2023 because of a low DSCR but has since been removed, as the property reported a trailing 12-month period ended June 30, 2025, DSCR of 1.41x, an increase over the YE2024 and YE2023 figures of 1.11x and 0.98x, respectively. As of the March 2025 rent roll, the property was 91.4% occupied, up from 86.0% at YE2024 and slightly down from the issuance figure of 92.5%. Tenant rollover risk over the next 12 months is a concern at 20.7% of NRA and 42.7% of NRA by YE2027. According to Reis, office properties in the South Chester submarket reported a Q2 2025 vacancy rate of 21.9%, an increase over the Q2 2024 vacancy rate of 20.5%. Given the performance decline relative to issuance metrics and the soft submarket conditions, Morningstar DBRS believes the collateral value has likely declined, elevating the credit risk to the trust. As such, Morningstar DBRS applied a stressed LTV in its analysis, resulting in a loan EL greater than two times the pool EL. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK LXX: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXX, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXX, Ltd. 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 BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Madison Park Funding LXX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) 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 95.76% first-lien senior secured loans and has a weighted average recovery assumption of 72.8%. 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 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 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, 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 '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 Madison Park Funding LXX, 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. MAGNETITE LTD XXXII: Moody's Gives B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Magnetite XXXII, Limited (the Issuer): US$320,000,000 Class A-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash and eligible investment, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. BlackRock Financial Management, Inc. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended three 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 and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3056 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 7 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. MORGAN STANLEY 2006-10SL: S&P Cuts Cl. A-1 Notes Rating to D (sf) ----------------------------------------------------------------- S&P Global Ratings completed its review of 12 classes from nine U.S. RMBS transactions issued between 2005 and 2007. The review yielded one upgrade, five downgrades, one affirmation, and five withdrawals. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both), and their potential effects on certain classes. Some of these considerations may include: -- Underlying collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Principal-write-down; -- A small loan count; -- Historical and/or outstanding missed interest payments, or interest shortfalls; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmation reflects our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on the class have remained relatively consistent with our prior projections. "We lowered our ratings on four classes to 'D (sf)' because of principal losses in June and July 2025. We also lowered one class due to interest shortfalls, consistent with our "S&P Global Ratings Definitions," Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. One class from one transaction was affected in this review. "We withdrew our ratings on five classes from three transactions primarily due to the small number of loans remaining in the related underlying group or structure. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." Ratings list Rating Issuer name Series Class CUSIP To From Alternative Loan Trust 2005-51 2005-51 1-A-1 12668ACG8 D (sf) CCC (sf) Primary rating driver(s): Principal write-down. GreenPoint Mortgage Funding Trust, Series 2007-AR1 2007-AR1 2-A1A 39539KAD5 D (sf) CCC (sf) Primary rating driver(s): Principal write-down. GSMPS Mortgage Loan Trust 2005-RP1 2005-RP1 1A4 36242DXL2 D (sf) CCC (sf) Primary rating driver(s): Principal write-down. GSMPS Mortgage Loan Trust 2005-RP1 2005-RP1 2A1 36242DXN8 D (sf) CCC (sf) Primary rating driver(s): Principal write-down. Home Equity Loan Trust 2005-HS1 2005-HS1 A-I-4 76110VRX8 NR CC (sf) Primary rating driver(s): Criteria no longer applicable. Home Equity Loan Trust 2005-HS1 2005-HS1 A-I-5 76110VRY6 NR CC (sf) Primary rating driver(s): Criteria no longer applicable. Home Equity Mortgage Trust 2005-4 2005-4 M-1 2254584D7 B (sf) B (sf) Irwin Home Equity Loan Trust 2006-1 2006-1 IIA-3 464126CZ2 NR BB+ (sf) Primary rating driver(s): Criteria no longer applicable. Irwin Home Equity Loan Trust 2006-1 2006-1 IIA-4 464126DA6 NR BB+ (sf) Primary rating driver(s): Criteria no longer applicable. Irwin Home Equity Loan Trust 2007-1 2007-1 IIA-3 46412RAD7 BBB (sf) BB+ (sf) Primary rating driver(s): Expected short duration. Morgan Stanley Mortgage Loan Trust 2006-4SL 2006-4SL A-1 61748HYC9 NR D (sf) Primary rating driver(s): Criteria no longer applicable. Morgan Stanley Mortgage Loan Trust 2006-10SL 2006-10SL A-1 61749TAA2 D (sf) CC (sf) Primary rating driver(s): Ultimate repayment of missed interest unlikely at higher rating levels. NR--Not rated. MORGAN STANLEY 2013-C11: DBRS Confirms Csf Rating on Class B Certs ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed the credit ratings on the remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C11 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 as follows: -- Class A-S at BBB (high) (sf) -- Class B at C (sf) The trend on Class A-S is Stable, while Class B has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Since the previous Morningstar DBRS credit rating action in November 2024, there has been no resolution to the last three outstanding loans, which were the only loans remaining in the transaction at that time. The servicer provided updated appraisals for all three loans in the second half of 2024, however, Morningstar DBRS' loss expectations remain unchanged and are primarily driven by the largest loan, Westfield Countryside (Prospectus ID#1; 70.2% of the pool balance). The loan is secured by the in-line space of a 1.3 million-square foot regional mall in Clearwater, Florida. The mall's noncollateral anchors are Nordstrom Rack, Macy's, Dillard's, and JC Penney. A fifth anchor pad previously occupied by Sears closed in 2018 but has been partially backfilled by Whole Foods. The occupancy rate and net cash flow have improved over the past year, as of the YE2024 reporting, at 81.0% and $9.3 million, respectively. The loan transferred to special servicing in June 2020 for imminent default and a receiver was appointed in January 2021. The sponsor, Unibail-Rodamco-Westfield, is reportedly cooperating in a friendly foreclosure action and, according to investor reporting, the special servicer is marketing the asset for sale. At last review, a potential buyer had been identified, however, the sale fell through like numerous others did previously. A September 2024 appraisal valued the subject at $93.5 million, a decline from the October 2023 and issuance appraised values of $116.0 million and $270.0 million, respectively, and well below the outstanding whole-loan balance of $136.1 million. Given the concentration of defaulted loans remaining, Morningstar DBRS considered liquidation scenarios based on conservative stresses to the most recent appraised values to determine the recoverability of the remaining bonds. Morningstar DBRS concluded projected losses for the remaining loans are likely to be contained to the Class B certificate, currently rated C (sf). Morningstar DBRS remains concerned, however, about the increased propensity for interest shortfalls that could affect Class A-S should the resolution periods for the defaulted loans extend beyond the near to medium term, further exposing the trust to increased fees and expenses. Since the previous credit rating action, cumulative interest shortfalls have increased by approximately $0.2 million. Neither of the remaining Morningstar DBRS-rated bonds are being shorted interest as of the August 2025 reporting. Should Morningstar DBRS' loss expectations increase or should Class A-S experience full or partial untimely interest payments, Morningstar DBRS may consider an additional credit rating action. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 48: Moody's Assigns Ba3 Rating to $24MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Neuberger Berman Loan Advisers CLO 48, Ltd. (the "Issuer"). rating action is as follows: US$372,000,000 Class A-1R Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$24,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2036, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Neuberger Berman Loan Advisers II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and 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: $595,333,416 Defaulted par: $1,818,296 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3024 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 5.75 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 a 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. NORTHWOODS CAPITAL 20: S&P Assigns BB- (sf) Rating on E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R2, A-R2, B-R2, C-R2, D-1AR, D-1BR, D-2R2 and E-R2 debt from Northwoods Capital 20 Ltd./Northwoods Capital 20 LLC, a CLO originally issued in 2019 that is managed by Angelo, Gordon & Co. L.P. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class CR2 and ER2 debt was issued at a lower spread than the outstanding debt. -- The stated maturity and reinvestment period were extended by 6.75 years whereas 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. -- Transaction is showing very thin cushions in cash flow results, 10 bps D2R2 and 30 bps for ER2 notes. Replacement And Outstanding Debt Issuances Replacement notes Class X-R2, $2.25 million: AAA (sf) Class A-R2, $274.50 million: AAA (sf) Class B-R2, $67.50 million: AA (sf) Class C-R2, $27.00 million: A (sf) Class D-1AR, $17.00 million: BBB- (sf) Class D-1BR, $10.00 million: BBB- (sf) Class D-2R2, $2.00 million: BBB- (sf) Class E-R2, $14.60 million: BB- (sf) Subordinated notes, $72.18 million: Not rated Outstanding debt Class A-1-R, $270.00 million Class A-2a-R, $8.00 million Class A-2b-R, $10.00 million Class B-1-R, $44.00 million Class B-2-R, $10.00 million Class C-R, $24.75 million Class D-R, $28.125 million Class E-R, $14.625 million Subordinated notes, $40.68 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Northwoods Capital 20 Ltd./Northwoods Capital 20 LLC Class X-R2, $2.25 million: AAA (sf) Class A-R2, $274.50 million: AAA (sf) Class B-R2, $67.50 million: AA (sf) Class C-R2, $27.00 million: A (sf) Class D-1AR, $17.00 million: BBB- (sf) Class D-1BR, $10.00 million: BBB- (sf) Class D-2R2, $2.00 million: BBB- (sf) Class E-R2, $14.60 million: BB- (sf) Ratings Withdrawn Northwoods Capital 20 Ltd./Northwoods Capital 20 LLC Class A-1-R to NR from AAA (sf) Class A-2a-R to NR from AAA (sf) Class A-2b-R to NR from AAA (sf) Class B-1-R to NR from AA (sf) Class B-2-R to NR from AA (sf) Class C-R to NR from A (sf) Class D-R to NR from BBB- (sf) Class E-R to NR from BB- (sf) OCTAGON INVESTMENT 45: S&P Affirms B (sf) Rating on E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-1-RR, and C-2-RR debt from Octagon Investment Partners 45 Ltd./Octagon Investment Partners 45 LLC, a CLO managed by Octagon Credit Investors LLC that was originally issued in 2019 and then reset in 2022. At the same time, S&P withdrew its ratings on the original class A-1-R, B-R, C-1-R, and C-2-R debt following payment in full on the Sept. 4, 2025, refinancing date (S&P did not rate the class A-2-R debt). S&P also affirmed its ratings on the class D-R and E-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to April 15, 2026, for the class A-1-RR, A-2-RR and B-RR debt. -- The non-call period was extended to July 15, 2026, for the class C-1-RR and C-2-RR debt. -- No additional assets were purchased on the Sept. 4, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-RR, $400.00 million: Three-month CME term SOFR + 1.15% -- Class A-2-RR, $18.00 million: Three-month CME term SOFR + 1.48% -- Class B-RR (deferrable), $59.00 million: Three-month CME term SOFR + 1.60% -- Class C-1-RR (deferrable), $43.00 million: Three-month CME term SOFR + 1.95% -- Class C-2-RR (deferrable), $13.00 million: Three-month CME term SOFR + 2.15% Original debt -- Class A-1-R, $416.00 million: Three-month CME term SOFR + 1.34% -- Class A-2-R, $6.50 million: Three-month CME term SOFR + 1.55% -- Class B-R (deferrable), $71.50 million: Three-month CME term SOFR + 1.85% -- Class C-1-R (deferrable), $26.00 million: Three-month CME term SOFR + 2.00% -- Class C-2-R (deferrable), $13.00 million: Three-month CME term SOFR + 2.55% 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 Octagon Investment Partners 45 Ltd./ Octagon Investment Partners 45 LLC Class A-1-RR, $400.00 million: AAA (sf) Class A-2-RR, $18.00 million: AAA (sf) Class B-RR, $59.00 million: AA (sf) Class C-1-RR (deferrable), $43.00 million: A+ (sf) Class C-2-RR (deferrable), $13.00 million: A (sf) Ratings Withdrawn Octagon Investment Partners 45 Ltd./ Octagon Investment Partners 45 LLC Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-1-R (deferrable) to NR from 'A+ (sf)' Class C-2-R (deferrable) to NR from 'A (sf)' Ratings Affirmed Octagon Investment Partners 45 Ltd./ Octagon Investment Partners 45 LLC Class D-R (deferrable): BBB- (sf) Class E-R (deferrable): B (sf) Other Debt Octagon Investment Partners 45 Ltd./ Octagon Investment Partners 45 LLC Subordinated notes, $61.50 million: NR NR--Not rated. ORION CLO 2025-6: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Orion CLO 2025-6 Ltd./Orion CLO 2025-6 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 Antares Liquid Credit Strategies LLC, a subsidiary of Antares Capital Advisers 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 Orion CLO 2025-6 Ltd./Orion CLO 2025-6 LLC Class A-1, $246.0 million: AAA (sf) Class A-2, $14.0 million: NR Class B, $44.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $40.90 million: NR NR--Not rated. PARK AVENUE 2021-1: S&P Assigns BB- (sf) Rating on Class D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1a-R, A-2R, B-R, C-R, and D-R debt from Park Avenue Institutional Advisers CLO Ltd. 2021-1/Park Avenue Institutional Advisers CLO LLC 2021-1, a CLO managed by Park Avenue Institutional Advisers LLC that was originally issued in 2021. At the same time, S&P withdrew its ratings on the original class A-1A, A-2, B, C, and D debt following payment in full on the Sep. 4, 2025, refinancing date. S&P also affirmed its rating on the class A-1B debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to March 4, 2026. -- No additional assets were purchased on the Sept. 4, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1a-R, $230.00 million: Three-month CME term SOFR + 1.11% -- Class A-2R, $51.00 million: Three-month CME term SOFR + 1.65% -- Class B-R (deferrable), $22.00 million: Three-month CME term SOFR + 1.90% -- Class C-R (deferrable), $22.00 million: Three-month CME term SOFR + 3.15% -- Class D-R (deferrable), $15.00 million: Three-month CME term SOFR + 6.50% Original debt -- Class A-1a, $230.00 million: Three-month CME term SOFR + 1.65161% -- Class A-2, $51.00 million: Three-month CME term SOFR + 2.01161% -- Class B (deferrable), $22.00 million: Three-month CME term SOFR + 2.71161% -- Class C (deferrable), $22.00 million: Three-month CME term SOFR + 4.06161% -- Class D (deferrable), $15.00 million: Three-month CME term SOFR + 7.56161% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class C-R and D-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, we assigned our ratings on the class C-R and D-R debt. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Park Avenue Institutional Advisers CLO Ltd. 2021-1 Class A-1a-R, $230.00 million: AAA (sf) Class A-2R, $51.00 million: AA (sf) Class B-R (deferrable), $22.00 million: A (sf) Class C-R (deferrable), $22.00 million: BBB (sf) Class D-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn Park Avenue Institutional Advisers CLO Ltd. 2021-1 Class A-1A to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB (sf)' Class D to NR from 'BB- (sf)' Rating Affirmed Park Avenue Institutional Advisers CLO Ltd. 2021-1 Class A-1B: AAA (sf) Other Debt Park Avenue Institutional Advisers CLO Ltd. 2021-1 Subordinated notes, $34.40 million: NR NR--Not rated. PARK BLUE 2025-IX: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2025-IX, Ltd. Entity/Debt Rating ----------- ------ Park Blue CLO 2025-IX, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Park Blue CLO 2025-IX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.29% first-lien senior secured loans and has a weighted average recovery assumption of 74.4%. 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, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Park Blue CLO 2025-IX, 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. PEACE PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class B-R, C-R, D-1-R, D-2-R, and E-R debt from Peace Park CLO Ltd./Peace Park CLO LLC, a CLO managed by Blackstone CLO Management LLC, an affiliate of Blackstone Inc., that was originally issued in September 2021. The preliminary ratings are based on information as of Sept. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 12, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A, B-1, B-2, C, D, and E debt and assign ratings to the replacement class B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at floating spreads, replacing the current fixed- and floating-rate debt. -- The replacement class B-R debt is expected to be issued at a floating spread, replacing the current B-1 floating-rate and B-2 fixed-rate debt. -- The original class D debt will be replaced by two classes of debt, D-1-R and D-2-R, which are sequential in payment. -- New class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $500,000, beginning on the January 2026 payment date. -- No additional subordinated notes will be issued on the refinancing date. -- The stated maturity and reinvestment period will be extended by four years. -- The non-call period will be extended to Sept. 12, 2027. -- The target initial par amount will remain at $650 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Peace Park CLO Ltd./Peace Park CLO LLC Class B-R, $78.00 million: AA (sf) Class C-R (deferrable), $39.00 million: A (sf) Class D-1-R (deferrable), $39.00 million: BBB- (sf) Class D-2-R (deferrable), $3.90 million: BBB- (sf) Class E-R (deferrable), $21.13 million: BB- (sf) Other Debt Peace Park CLO Ltd./Peace Park CLO LLC Class X-R, $6.50 million: NR Class A-R, $416.00 million: NR Subordinated notes, $64.18 million: NR NR--Not rated. PMT LOAN 2025-INV9: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 64 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2025-INV9, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV9 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P) Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X7*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X11*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X31*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. A-34X*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.59%, in a baseline scenario-median is 0.32% and reaches 7.10% 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. PROGRESS RESIDENTIAL 2025-SFR5: DBRS Gives (P)B(low) on G Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2025-SFR5 Trust (PROG 2025-SFR5): -- $297.9 million Class A at (P) AAA (sf) -- $60.5 million Class B at (P) AA (low) (sf) -- $34.1 million Class C at (P) A (low) (sf) -- $48.1 million Class D at (P) BBB (sf) -- $27.9 million Class E at (P) BBB (low) (sf) -- $35.7 million Class F1 at (P) BB (sf) -- $21.7 million Class F2 at (P) BB (low) (sf) -- $32.6 million Class G at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A certificates reflects 51.76% of credit enhancement provided by subordinate certificates. The (P) AA (low)(sf), (P) A (low) (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 41.96%, 36.43%, 28.64%, 24.12%, 18.34%, 14.82%, and 9.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2025-SFR5 Certificates are supported by the income streams and values from 2,173 rental properties. The properties are distributed across nine states and 29 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by Broker Price Opinion (BPO) value, 61.9% of the portfolio is concentrated in three states: Georgia (28.5%), Florida (16.9%), and Texas (16.6%). The average BPO value is $285,620. The average age of the properties is roughly 36 years as of the cut-off date. The majority of the properties have three or more bedrooms. The Certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $617.5 million. Morningstar DBRS assigned the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS assigned provisional credit ratings to each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria (for more details, see https://dbrs.morningstar.com). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The provisional credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum DSCR of higher than 1.0 times. (For more details, see the related presale report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the presale report.) Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts and the related Principal Distribution Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. RR 18 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the RR 18 LTD reset transaction. Entity/Debt Rating ----------- ------ RR 18 LTD A-1a-R LT NRsf New Rating A-1b-R LT AAAsf New Rating A-2-R LT AAsf New Rating B-R LT Asf New Rating C-1-R LT BBB-sf New Rating C-2-R LT BBB-sf New Rating D-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 18 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. This is the first refinancing where the existing secured notes will be refinanced in whole on Sept. 4, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $750 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 23.79, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.14% 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 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-1b-R, between 'BBsf' and 'A+sf' for class A-2-R, between 'B-sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, and between less than 'B-sf' and 'BB+sf' for class C-2-R and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'Asf' for class C-1-R, and 'A-sf' for class C-2-R and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 18 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. SEQUOIA MORTGAGE 2025-9: Fitch Assigns 'B(EXP)' Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-9 (SEMT 2025-9). Entity/Debt Rating ----------- ------ SEMT 2025-9 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 486 loans with a total balance of approximately $595.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral consists of 486 loans totaling approximately $595.3 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 37.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 79.7% sustainable LTV (sLTV) and a 71.6% mark-to-market combined LTV (cLTV). Overall, 95.2% of the pool loans are for a primary residence, while 4.9% are loans for second homes; 77.5% of the loans were originated through a retail channel. In addition,100.0% of the loans are designated as safe-harbor APOR qualified mortgage (QM) loans as determined by Fitch. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25, down 0.5% since the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, notwithstanding 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. In SEMT 2025-9, the servicing administrator (RRAC) will be obligated to advance delinquent P&I to the trust for all loans serviced by Select Portfolio Servicing, Inc. (SPS) until deemed nonrecoverable, following initial reductions in the class A-IO-S strip and servicing administrator fees. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.3% 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 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-9 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong counterparties and well-controlled operational considerations, which have a positive impact on the credit profile and are 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 B- (sf) Rating on Cl. F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R debt and 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. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Sept. 8, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- New class F-R debt was issued in connection with this refinancing. -- New class X debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the second payment dates in equal installments of $266,666.67. -- The non-call period was extended to Sept. 8, 2027. -- The reinvestment period was extended to Oct. 17, 2030. -- The legal final maturity dates for the replacement classes were extended to Oct. 17, 2038. -- The legal final maturity date for the subordinated notes was extended to Oct. 17, 2125. -- An additional $3.4 million of subordinated notes was issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO 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) Ratings Withdrawn Sixth Street CLO XVIII Ltd./Sixth Street CLO XVIII LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt Sixth Street CLO XVIII Ltd./Sixth Street CLO XVIII LLC Class A-2-R, $26.00 million: Not rated Class B-R, $30.00 million: Not rated Class C-R, $32.00 million: Not rated Class D-1-R, $24.00 million: Not rated Class D-2-R, $3.00 million: Not rated Class E-R, $13.00 million: Not rated Subordinated notes, $44.65 million: Not rated SOUND POINT V-R: Moody's Cuts Rating on $26MM Class E Notes to 'B1' ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO V-R, Ltd.: USD66 million Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 12, 2023 Upgraded to Aa1 (sf) USD30 million Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Jun 12, 2023 Upgraded to A1 (sf) USD26 million Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Sep 22, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: USD390 million (Current outstanding amount USD173,757,631) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 18, 2018 Assigned Aaa (sf) USD40M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Sep 22, 2020 Confirmed at Baa3 (sf) USD12 million (Current oustanding amount USD14,132,223) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Jun 12, 2023 Downgraded to Caa2 (sf) Sound Point CLO V-R, Ltd., issued in July 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 July 2023. RATINGS RATIONALE The rating upgrades on the Class B and C notes are primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the payment date in October 2024. The downgrade of the rating on the Class E notes is primarily a result of the deterioration in the credit quality of the underlying collateral pool since the payment date in October 2024. The affirmations of the ratings on the Class A, D and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD151.9 million (39.0%) since the payment date in October 2024 and USD216.2 million (55.5%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated July 2025 [1] the Class A/B, Class C and Class D OC ratios are reported at 142.25%, 126.43% and 110.11% compared to October 2024 [2] levels of 128.74%, 119.58% and 109.22%, respectively. Nevertheless, 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 3619, compared with 3224 in the October 2024 [2] report. Securities with ratings of Caa1 or lower are reported in July 2025 [1] as 19.9% of the underlying portfolio, versus 9.9% in October 2024 [2]. In addition, the Class E OC ratio decreased to 101.58% in July 2025 [1] from 103.39% in October 2024 [2], and is currently failing. Moody's also notes that the Class F deferred interest has increased to $2,132,223 in July 2025 [1] from $415,219 in October 2024 [2]. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD357.23m Defaulted Securities: USD593k Diversity Score: 62 Weighted Average Rating Factor (WARF): 3395 Weighted Average Life (WAL): 3.32 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.28% Weighted Average Coupon (WAC): 12.0% Weighted Average Recovery Rate (WARR): 45.87% Par haircut in OC tests and interest diversion test: 4.62% 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. 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. 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 XX: Moody's Cuts Rating on $40MM Class E Notes to B3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO XX, Ltd.: US$88,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on May 30, 2023 Upgraded to Aa1 (sf) US$44,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on Jun 28, 2018 Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$40,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B3 (sf); previously on May 30, 2023 Downgraded to B1 (sf) Sound Point CLO XX Ltd., issued in June 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2024. The Class A notes have been paid down by approximately 58.6% or $213.1 million since then. Based on the trustee's August 2025 report[1], the OC ratios for the Class B and Class C notes are reported at 153.00% and 129.19%, respectively, versus August 2024 levels[2] of 131.87% and 120.16%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's August 2025 report[3], the OC ratio for the Class E notes is reported at 99.60% versus August 2024 level [4] of 102.76%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level[5] is 3676, compared to 3257 in August 2024[6]. No actions were taken on the Class A and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $377,004,633 Defaulted par: $8,808,353 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3454 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Coupon (WAC): 12.00% Weighted Average Recovery Rate (WARR): 46.1% Weighted Average Life (WAL): 3.1 years Par haircut in OC tests and interest diversion test: 4.25% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TCP WHITNEY: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the new class X-R2 debt and replacement class A-R2, A-L-R2, B-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 debt from TCP Whitney CLO Ltd./TCP Whitney CLO LLC, a CLO originally issued in August 2017 and refinanced in September 2021 that is managed by BlackRock Capital Investment Advisors LLC, a subsidiary of BlackRock Inc. At the same time, S&P withdrew its ratings on the outstanding class A-R, A-RL, B-R, C-R, D-R, and E-R debt following payment in full on the Sept. 10, 2025, refinancing debt. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to November 2027. -- The reinvestment period was extended to November 2029. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to November 2037. -- The target initial par amount remains at $400.000 million. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Feb. 20, 2026. -- New class X-R2 debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first 16 payment dates in equal installments of $1.296 million, beginning on the February 2026 payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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 TCP Whitney CLO Ltd./TCP Whitney CLO LLC Class X-R2, $20.75 million: AAA (sf) Class A-R2, $190.00 million: AAA (sf) Class A-L-R2 loans(i), $30.00 million: AAA (sf) Class B-R2, $52.00 million: AA (sf) Class C-1-R2 (deferrable), $21.00 million: A (sf) Class C-2-R2 (deferrable), $7.00 million: A (sf) Class D-1-R2 (deferrable), $26.00 million: BBB- (sf) Class D-2-R2 (deferrable), $5.00 million: BBB- (sf) Class E-R2 (deferrable), $19.00 million: BB- (sf) Ratings Withdrawn TCP Whitney CLO Ltd./TCP Whitney CLO LLC Class A-R to NR from 'AAA (sf)' Class A-RL loans to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Outstanding Debt TCP Whitney CLO Ltd./TCP Whitney CLO LLC Subordinated notes, $59.41 million: NR (i)The class A-L-R2 debt will be issued in loan form and can be converted, all or a portion, to class A-R2 notes. The class A-R2 notes cannot be converted into class A-L-R2 loans. TRIMARAN CAVU 2019-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC, a CLO managed by Trimaran Advisors LLC, a subsidiary of LibreMax Holdings, that was originally issued in November 2019. The preliminary ratings are based on information as of Sept. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 12, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original class A-NA, A-L, A-NB, B, C, and D debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Sept. 12, 2027. -- The reinvestment period will be extended to July 18, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to March 18, 2038. -- No additional assets will be purchased on the Sept. 12, 2025, refinancing date, and the target initial par amount will remain at $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 18, 2026. -- New class X-R debt will be issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first 15 payment dates, beginning with the Jan. 18, 2026, payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC Class X-R, $4.00 million: AAA (sf) Class A-1-R, $274.50 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-R, $57.50 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $15.75 million: BB- (sf) Subordinated notes, $96.00 million: NR NR--Not rated. TRINITAS CLO XXIII: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC, a CLO managed by Trinitas Capital Management LLC, a subsidiary of Clearlake Capital Group, that was originally issued in September 2023. At the same time, we withdrew our ratings on the original class A, B-1, B-2, C, D, and E debt following payment in full on the Sept. 10, 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 Sept. 10, 2027. -- The reinvestment period was extended to Oct. 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Oct. 20, 2038. -- Additional assets were purchased on the Sept. 10, 2025, refinancing date, using the available principal proceeds, and the target initial par amount remains at $500 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2025. -- The required minimum overcollateralization ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC Class A-1-R, $300.000 million: AAA (sf) Class A-2-R, $10.000 million: AAA (sf) Class B-R, $70.000 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-1-R (deferrable), $30.000 million: BBB- (sf) Class D-2-R (deferrable), $2.500 million: BBB- (sf) Class E-R (deferrable), $17.500 million: BB- (sf) Ratings Withdrawn Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC Subordinated notes, $44.485 million: NR NR--Not rated. TRTX 2022-FL5: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of notes issued by TRTX 2022-FL5 Issuer, Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction as the majority of the underlying collateral continues to perform in line with Morningstar DBRS' expectations since the last credit rating action. Additionally, the pool benefits from a concentration of loans backed by multifamily properties, totaling 14 loans, representing 60.7% of the current pool balance, which have made notable progress in their respective business plans through Q4 2024. As such, Morningstar DBRS expects these borrowers to successfully execute loan exit strategies upon loan maturity. However, Morningstar DBRS notes that there are select loans that continue to exhibit performance concerns for a variety of reasons, including borrowers falling behind schedule on their business plan execution, slowed rent growth, increased rollover risk, and ongoing concessions, among others. The transaction closed in February 2022 with an initial collateral pool of 20 floating-rate mortgages secured by 116 mostly transitional properties with a cut-off date balance totaling $1.08 billion, excluding approximately $158.0 million of future funding participations and $916.8 million of funded companion participations. The transaction was structured with a Reinvestment Period that expired with the February 2024 Payment Date. As of the August 2025 remittance, the pool comprised 24 loans secured by 119 properties with a cumulative trust balance of $979.5 million. Since issuance, 14 loans, with a cumulative trust balance of $476.4 million, have been paid in full, three of which (totaling $76.0 million) were paid in full since Morningstar DBRS' credit rating action in September 2024. The transaction is concentrated by property type as 14 loans, representing 60.7% of the current trust balance, are secured by multifamily properties, with six loans, representing 27.7% of the current trust balance, secured by office properties, and the remaining secured by mixed-use and industrial properties. The pool is primarily secured by properties in suburban markets, as defined by Morningstar DBRS, with 17 loans, representing 69.1% of the pool, assigned a Morningstar DBRS Market Rank of 3, 4, or 5. Six loans, representing 30.9% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 6, 7, or 8, denoting urban markets. Leverage across the pool remains elevated as of August 2025 reporting when compared with issuance metrics. The current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 73.4%, with a current WA stabilized LTV of 60.9%. In comparison, these figures were 66.3% and 58.8%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the current interest rate or widening capitalization (cap) rate environments. In its analysis, Morningstar DBRS applied upward LTV adjustments across 20 loans, representing 87.1% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. According to the Q4 2024 collateral report, the lender advanced approximately $153.1 million in cumulative loan future funding allocated to 20 of the outstanding individual borrowers to aid in property stabilization efforts. The largest advance of $28.0 million was made to the borrower of Mount Eden (Prospectus ID#2; 8.8% of the current pool balance), which is secured by a six-building, research and development and life-sciences campus, totaling 370,000 square feet (sf) in Hayward, California. The borrower's business plan focuses on converting 84,000 sf to life-sciences space and leasing to stabilization. As of Q4 2024, the capital improvements have been completed, with an occupancy rate of 88.8%. However, the largest tenant, Illumina (29.6% of the net rentable area (NRA)), which has a lease expiration in December 2025, is set to renew only 35,000 sf (9.5% of NRA) of its space for an additional three-year term, while expanding into 11,200 sf of adjacent space that was occupied by the second-largest tenant, Reflexion (17.6% of the NRA). There is currently no confirmation regarding Illumina's remaining 74,000 sf of space. An additional $81.1 million of loan future funding allocated to 18 individual borrowers remains available. The largest unadvanced portion of $18.4 million is allocated to the borrower of the Park Central 2 loan (Prospectus ID#36; 0.7% of the current pool balance), which is secured by an office property in Dallas. The available funds are for the borrower's capex and leasing plan at the property. The property's occupancy rate has been stagnant year over year, most recently reported at 62.9%, as of Q4 2024. Per the August 2025 remittance, there was one loan in special servicing, Del Amo 2 (Prospectus ID#17; 2.2% of the current pool). However, upon further correspondence with the master servicer, Morningstar DBRS received confirmation that the loan returned to the master servicer on July 1, 2025. The master servicer also confirmed that there are currently two loans in special servicing, Genesis Del Mar (Prospectus ID#32; 4.7% of the pool; transferred to special servicing on June 10, 2025) and Center Pointe West (Prospectus ID#34; 0.01% of the pool; transferred to special servicing on August 18, 2025). Three loans are on the servicer's watchlist, representing 4.7% of the current pool, that are flagged for upcoming maturity dates. The largest loan on the watchlist is the Del Amo 2 loan, secured by an eight-building office and retail property in Torrance, California. After the loan's original maturity was extended for 60 days to March 2025, a loan modification was executed, further extending the maturity date to early 2028, according to the Q4 2024 collateral report. Terms of the modification include fresh injection of $4.5 million into the leasing and capital expenditure reserve and allocating the remaining amount of future funding to the purchase of a new interest rate cap at 4% and fund the tenant improvement/leasing commissions reserve. In total, 12 loans, representing 50.7% of the current pool, have scheduled maturities through the next 12 months, inclusive of two loans that have surpassed their maturities in July and August 2025, representing 7.4% of the current pool, including the fourth-largest loan, Miroza at Ridge Hill (Prospectus ID#21; 7.4% of the pool), which remains current. While the majority of these loans have extension options available, Morningstar DBRS expects the borrowers and lender to negotiate mutually beneficial loan modifications to extend the loans, which would likely include fresh sponsor equity to fund principal curtailments, the funding of carry reserves, or the purchase of a new interest rate cap agreement, should property performance not meet the extension hurdles. There is only one delinquent loan in the pool, which represents less than 0.5% of the current pool. Nine loans, representing 45.9% of the current pool, have been modified. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions as well as the purchase of new rate agreements. In most cases, borrowers have been required to contribute additional equity to the loans in order to secure a loan modification. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. TRUPS FINANCIALS 2025-2: Moody's Assigns (P)Ba2 Rating to D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of notes to be issued by TruPS Financials Note Securitization 2025-2 (the Issuer or TFNS 2025-2): US$210,250,000 Class A-1 Senior Secured Floating Rate Notes, Assigned (P)Aaa (sf) US$98,500,000 Class A-2 Senior Secured Floating Rate Notes, Assigned (P)Aa2 (sf) US$14,750,000 Class B-1 Mezzanine Deferrable Floating Rate Notes, Assigned (P)A3 (sf) US$12,000,000 Class B-2 Mezzanine Deferrable Fixed Rate Notes, Assigned (P)A3 (sf) US$15,750,000 Class C-1 Mezzanine Deferrable Floating Rate Notes, Assigned (P)Baa3 (sf) US$18,000,000 Class C-2 Mezzanine Deferrable Fixed Rate Notes, Assigned (P)Baa3 (sf) US$22,250,000 Class D Mezzanine Deferrable Floating Rate Notes, Assigned (P)Ba2 (sf) The notes listed are referred to herein, collectively, as the Rated Notes RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2025-2 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank senior notes or bank subordinated note issued after January 1, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer will issue one class of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt, surplus notes and senior unsecured notes issued by 76 US community banks and 10 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q1-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $447,532,687 Weighted Average Rating Factor (WARF): 890 Weighted Average Spread (WAS) Float only : 2.99% Weighted Average Coupon (WAC) Fixed only : 7.03% Weighted Average Coupon (WAC) Fixed to float : 4.37% Weighted Average Spread (WAS) Fixed to float : 3.40% Weighted Average Life (WAL): 7.5 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. VOYA CLO 2020-1: S&P Affirms B+ (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, and D-R debt from Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC, a CLO managed by Voya Alternative Asset Management LLC that was originally issued in June 2020 and underwent a refinancing in July 2021. At the same time, S&P withdrew its ratings on the outstanding class A-R, B-R, C-R, and D-R debt following payment in full on the Sept. 4, 2025, refinancing date. S&P also affirmed its rating on the class E-R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to March 4, 2026. -- No additional assets were purchased on the Sept. 4, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 16, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt (which was not refinanced). Since our last rating action in July 2025, there has been some par loss leading to a decline in overcollateralization (O/C) levels, slight decline in weighted average recovery and weighted average spread. Despite those changes, we view the refinancing as an overall positive for the transaction on a standalone basis. We affirmed our 'B+ (sf)' rating on the class E-R debt after considering the margin of failure and the relatively stable O/C ratio since our last rating action on the transaction." Replacement And Outstanding Debt Issuances Replacement debt -- Class A-RR, $186.00 million: Three-month CME term SOFR + 1.08% -- Class B-RR, $42.00 million: Three-month CME term SOFR + 1.55% -- Class C-RR (deferrable), $18.00 million: Three-month CME term SOFR + 1.85% -- Class D-RR (deferrable), $18.00 million: Three-month CME term SOFR + 2.95% Outstanding debt -- Class A-R, $186.00 million: Three-month CME term SOFR + 1.15% + CSA(i) -- Class B-R, $42.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-R (deferrable), $18.00 million: Three-month CME term SOFR + 2.10% + CSA(i) -- Class D-R (deferrable), $18.00 million: Three-month CME term SOFR + .10% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC Class A-RR, $186.00 million: AAA (sf) Class B-RR, $42.00 million: AA (sf) Class C-RR (deferrable), $18.00 million: A (sf) Class D-RR (deferrable), $18.00 million: BBB- (sf) Ratings Withdrawn Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Ratings Affirmed Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC Class E-R (deferrable): B+ (sf) Other Debt Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC Subordinated notes, $28.80 million: NR NR--Not rated. [] Moody's Review Ratings on 25 Classes of 5 ABS by Tricolor Auto ----------------------------------------------------------------- Moody's Ratings has placed on review for downgrade the ratings of 25 classes of notes from 5 asset-backed securitizations backed by non-prime retail automobile loan contracts originated by affiliates of Tricolor Auto Acceptance, LLC (Tricolor). The complete rating actions are as follows: Issuer: Tricolor Auto Securitization Trust 2023-1 Class D Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Apr 9, 2024 Upgraded to A1 (sf) Class E Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Jan 21, 2025 Upgraded to A1 (sf) Class F Asset Backed Notes, B2 (sf) Placed On Review for Downgrade; previously on Feb 15, 2023 Definitive Rating Assigned B2 (sf) Issuer: Tricolor Auto Securitization Trust 2024-1 Class B Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Jan 31, 2024 Definitive Rating Assigned A1 (sf) Class C Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Jun 17, 2024 Upgraded to A1 (sf) Class D Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Oct 3, 2024 Upgraded to A1 (sf) Class E Asset Backed Notes, A3 (sf) Placed On Review for Downgrade; previously on Jan 21, 2025 Upgraded to A3 (sf) Class F Asset Backed Notes, B2 (sf) Placed On Review for Downgrade; previously on Jan 31, 2024 Definitive Rating Assigned B2 (sf) Issuer: Tricolor Auto Securitization Trust 2024-2 Class A Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on May 22, 2024 Definitive Rating Assigned A1 (sf) Class B Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on May 22, 2024 Definitive Rating Assigned A1 (sf) Class C Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on May 22, 2024 Definitive Rating Assigned A1 (sf) Class D Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Jan 21, 2025 Upgraded to A1 (sf) Class E Asset Backed Notes, Baa1 (sf) Placed On Review for Downgrade; previously on Jan 21, 2025 Upgraded to Baa1 (sf) Class F Asset Backed Notes, B2 (sf) Placed On Review for Downgrade; previously on May 22, 2024 Definitive Rating Assigned B2 (sf) Issuer: Tricolor Auto Securitization Trust 2024-3 Class A Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned A1 (sf) Class B Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned A1 (sf) Class C Asset Backed Notes, A2 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned A2 (sf) Class D Asset Backed Notes, Baa1 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned Baa1 (sf) Class E Asset Backed Notes, Ba1 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned Ba1 (sf) Class F Asset Backed Notes, B2 (sf) Placed On Review for Downgrade; previously on Oct 17, 2024 Definitive Rating Assigned B2 (sf) Issuer: Tricolor Auto Securitization Trust 2025-1 Class A Asset Backed Notes, A1 (sf) Placed On Review for Downgrade; previously on Mar 20, 2025 Definitive Rating Assigned A1 (sf) Class B Asset Backed Notes, A2 (sf) Placed On Review for Downgrade; previously on Mar 20, 2025 Definitive Rating Assigned A2 (sf) Class C Asset Backed Notes, Baa1 (sf) Placed On Review for Downgrade; previously on Mar 20, 2025 Definitive Rating Assigned Baa1 (sf) Class D Asset Backed Notes, Ba1 (sf) Placed On Review for Downgrade; previously on Mar 20, 2025 Definitive Rating Assigned Ba1 (sf) Class E Asset Backed Notes, B2 (sf) Placed On Review for Downgrade; previously on Mar 20, 2025 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating actions are primarily driven by Tricolor's bankruptcy filing on 10 September, as well as media reports that Tricolor, the servicer of the transactions, recently suspended its operations and furloughed its staff. Additional reporting alleges that Tricolor's operations have been taken over by a bank. To date Moody's has been unable to obtain information from Tricolor regarding these reports. If the reported events have occurred or are likely to occur, they could lead to increased losses in the pools backing the transactions. Information related to the current status of the portfolio and servicing is limited, and uncertainty around future pool losses is unusually high. Insolvency or bankruptcy of the servicer is a servicer termination event under the transaction documents. Following a servicer termination event, a servicer replacement can occur upon the direction of noteholders representing at least a majority of the note balance of the controlling class. In the event the servicer is removed, the indenture trustee shall appoint either the backup servicer or another servicer as successor pursuant to the sale and servicing agreement. Vervent, Inc. is the backup servicer for the transactions. During the review period, Moody's will seek additional information on Tricolor's servicing operations, the status of the loan portfolio, and any other relevant information related to the transactions. Moody's will further consider the impact of servicing disruption relating to a servicing transfer, if any, on the ongoing performance of the pools and paydown of the rated notes, as well as any increases in servicing related fees associated with a potential transfer. Loan performance, including defaults and recoveries on defaulted loans, could be negatively impacted if sales of repossessed vehicles to Tricolor affiliates cease or if warranties provided by Tricolor to borrowers are not honored. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's current expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's current expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. [] Moody's Takes Rating Action on 29 Bonds from 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 28 bonds and downgraded the rating of one bond from ten 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 Funding Corporation Asset-Backed Certificates, Series 2006-OPT2 Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 3, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to A1 (sf); previously on Oct 25, 2024 Upgraded to Baa1 (sf) Issuer: HarborView Mortgage Loan Trust 2007-4 Cl. 1A-1, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2A-2, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2007-6 Cl. 1A-1A, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. 2A-1A, Upgraded to A2 (sf); previously on Jun 5, 2019 Upgraded to Baa1 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. 2A-1C, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: HomeBanc Mortgage Trust 2004-2 Cl. M-1, Upgraded to Caa1 (sf); previously on Dec 6, 2023 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX3 Cl. A-1, Upgraded to Baa1 (sf); previously on Feb 2, 2017 Upgraded to Baa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2003-2 M-1, Downgraded to Caa1 (sf); previously on Dec 19, 2019 Downgraded to B3 (sf) M-2A, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Confirmed at Ca (sf) M-2F, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Confirmed at Ca (sf) M-3, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2007-OPT3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. II-A-3, Upgraded to Baa1 (sf); previously on Oct 21, 2024 Upgraded to Baa3 (sf) Cl. II-A-4, Upgraded to Baa1 (sf); previously on Oct 21, 2024 Upgraded to Ba1 (sf) Issuer: Structured Asset Investment Loan Trust 2004-BNC1 Cl. B1, Upgraded to Caa1 (sf); previously on Jan 13, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp 2006-W1 Cl. A1, Upgraded to A1 (sf); previously on Oct 28, 2024 Upgraded to Baa1 (sf) Cl. A5, Upgraded to A1 (sf); previously on Oct 28, 2024 Upgraded to A3 (sf) Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11 Cl. A-1A, Upgraded to Baa1 (sf); previously on Aug 18, 2015 Confirmed at Baa2 (sf) Cl. A-1B2, Upgraded to Baa1 (sf); previously on Dec 6, 2023 Upgraded to Ba1 (sf) Cl. A-1B3, Upgraded to Baa1 (sf); previously on Dec 6, 2023 Upgraded to Ba1 (sf) Cl. A-1C3, Upgraded to Baa1 (sf); previously on Oct 31, 2024 Upgraded to Ba3 (sf) Cl. A-1C4, Upgraded to Baa1 (sf); previously on Oct 31, 2024 Upgraded to Ba3 (sf) Cl. B-1, Upgraded to Caa3 (sf); previously on Dec 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade of Class M-1 issued by Renaissance Home Equity Loan Trust 2003-2 is due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.12x for these bonds. 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 42 Bonds from 13 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 38 bonds and downgraded the ratings of four bonds from 13 US residential mortgage-backed transactions (RMBS), backed by option ARM, prime jumbo, Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3 Cl. 1M2, Upgraded to A1 (sf); previously on Jan 17, 2024 Upgraded to A2 (sf) Cl. 1M3, Upgraded to Caa2 (sf); previously on May 11, 2012 Downgraded to C (sf) Cl. 2A5, Upgraded to A2 (sf); previously on Jan 17, 2024 Downgraded to A3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1 Cl. M-1, Upgraded to Caa1 (sf); previously on May 9, 2017 Upgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB4 Cl. A-1B, Upgraded to Ca (sf); previously on Mar 4, 2013 Affirmed C (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Mar 4, 2013 Affirmed C (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT1 Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Feb 29, 2016 Upgraded to Caa3 (sf) Cl. M-8, Upgraded to Caa2 (sf); previously on Mar 14, 2013 Affirmed C (sf) Cl. M-9, Upgraded to Caa3 (sf); previously on Jan 18, 2017 Reinstated to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-20 Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Jan 15, 2019 Upgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA16 Cl. A-3, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: Encore Credit Receivables Trust 2005-3 Cl. M-5, Downgraded to Caa1 (sf); previously on Sep 22, 2015 Upgraded to B1 (sf) Cl. M-7, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Global Mortgage Securitization 2005-A Ltd Cl. B2, Upgraded to Caa1 (sf); previously on Sep 6, 2012 Downgraded to Caa3 (sf) Cl. B3, Upgraded to Caa2 (sf); previously on Sep 6, 2012 Downgraded to Caa3 (sf) Cl. B4, Upgraded to Caa3 (sf); previously on Sep 6, 2012 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2007-8 Cl. A2, Downgraded to Caa1 (sf); previously on Nov 12, 2017 Upgraded to B1 (sf) Cl. A3, Downgraded to Caa1 (sf); previously on Nov 12, 2017 Upgraded to B1 (sf) Cl. A4, Upgraded to Ca (sf); previously on May 31, 2012 Downgraded to C (sf) Issuer: GSR Mortgage Loan Trust 2007-1F Cl. 3A-1, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-2, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-3, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-4, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-6, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-7*, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-8, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-9, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-10*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Cl. 3A-11, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-12, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-13, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-14, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-15, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 3A-16*, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 4A-1, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Cl. 4A-2*, Upgraded to Caa1 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Issuer: IMC Home Equity Loan Trust 1998-1 B, Upgraded to Caa2 (sf); previously on Mar 9, 2011 Downgraded to C (sf) M-2, Upgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded to C (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust Cl. M-3, Upgraded to Aa1 (sf); previously on Nov 13, 2024 Upgraded to A1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 23, 2009 Downgraded to C (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades are the result of outstanding credit interest shortfalls that are unlikely to be recouped. Some of these bonds have weak interest recoupment mechanisms where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. 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. [] S&P Takes Various Actions on 117 Classes From 88 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 117 classes from 88 U.S. RMBS transactions issued between 1997 and 2007. The review yielded 77 downgrades and 40 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/49t6n8yr S&P said, "The rating actions reflect our analysis of the transactions' interest shortfalls and/or missed interest payments on the affected classes. We lowered our ratings in accordance with our "S&P Global Ratings Definitions," Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. In this review, 70 classes from 53 transactions were affected. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions. We lowered our ratings on seven classes from six transactions due to the interest shortfall. "In accordance with our surveillance and withdrawal policies, we discontinued 40 ratings from 32 transactions that had interest shortfalls or missed interest payments during recent remittance periods. We previously lowered our rating on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls, missed interest payment, and/or credit related reductions in interest due to loan modification. We view a subsequent upgrade to a rating higher than 'D (sf)' as unlikely under the relevant criteria within this review. "We will continue to monitor our ratings on securities that experience interest shortfalls and/or missed interest payments, and we will further adjust our ratings as we consider appropriate." [] S&P Takes Various Actions on 269 Classes From 52 US CMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 269 classes from 52 U.S. CMBS transactions, each backed by a single- or multi-property office loan. The ratings were previously placed under criteria observation (UCO) on Aug. 21, 2025, following the publication of its revised global criteria framework for rating CMBS transactions. The review yielded four upgrades, 111 downgrades, and 154 affirmations. S&P also removed all of these ratings from UCO. A list of Affected Ratings can be viewed at: https://tinyurl.com/bdcr3my5 Rating Actions And Analytical Considerations S&P said, "In resolving the UCO placements, we conducted a cursory review of collateral and transaction performance trends, in which we concluded that our existing S&P Global Ratings' net cash flows (NCFs), capitalization rates, and values for the collateral loans remain appropriate from our last published comprehensive reviews, except those noted below. Also, for portfolio loans with property releases since our last review, we adjusted our metrics accordingly. "We determined asset quality and income stability scores for all the collateral loans, and we applied loan-level and additional adjustments in accordance with our revised criteria to arrive at our required credit enhancement levels by rating category for each deal. For certain transactions that have loan characteristics that could make performance more volatile, examples of which are outlined in our revised criteria, we applied a ratings cap of 'A+ (sf)'. "The raised, lowered, and affirmed ratings on the principal- and interest-paying classes primarily reflect the application of our updated methodology and the considerations highlighted above. "The downgrades to the 'CCC' rating category further reflect our qualitative consideration that the repayment of the affected bonds is dependent upon favorable business, financial, and economic conditions, and that the classes are vulnerable to default. "The ratings on the interest-only (IO) certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The ratings on the exchangeable certificates reflect the lowest rating of the certificates for which they can be exchanged." For certain principal- and interest-paying classes, S&P affirmed its outstanding ratings despite higher model-indicated ratings, because it further qualitatively considered the following (amongst other things) which, generally moderated our rating actions: -- Loan performance, including current and expected payment status; -- Collateral property performance (both historical and expected); -- Significant exposure to concerning property types; -- Material exposure to near-term maturities; -- Adverse selection risk, including transactions that are currently, or could potentially be, secured solely by worse-performing or defaulted loan collateral; -- Credit subordination of the classes within the capital structure; and -- Current and expected bond-level liquidity. Property-Level Analysis Update In S&P's current analysis, it received material new property-level information for BAMLL Commercial Mortgage Securities Trust 2016-SS1 and Worldwide Plaza Trust 2017-WWP. BAMLL Commercial Mortgage Securities Trust 2016-SS1 The special servicer recently informed us that the sole tenant, SSB Realty LLC, an affiliate of State Street Corp. (A/Stable/A-1), leasing 100% of the office building in Boston's Seaport office submarket, gave notice to vacate in its entirety by year-end 2025, ahead of its December 2029 lease expiration. S&P said, "While the tenant does not have termination options, we considered that the loan matures in December 2025 and that during a recent informal tour of the surrounding area, we observed its immediate location to have more of an industrial feel, which we believe could complicate any re-leasing efforts for the collateral office (in our last published review, we noted various portions of the building out for sublease or physically vacant). Given these concerns, we raised our S&P Global Ratings' capitalization rate by 100 basis points to 8.18%, yielding a revised S&P Global Ratings' value of $126.0 million ($251 per sq. ft.) down from our $143.5 million ($286 per sq. ft.) at our last published review." Worldwide Plaza Trust 2017-WWP Based on recent media reports, the 'as is' appraised value as of April 2025 for the collateral office property in Midtown Manhattan dropped by over 75% to $345.0 million ($168 per sq. ft.) from $1.74 billion ($849 per sq. ft.) at issuance. S&P said, "In recognition of this observed decline in property market value, we adjusted our S&P Global Ratings' NCF, capitalization rate, and value to be more in-line with this market indication. We also considered potential liquidity interruptions to the certificate classes if the property's cash flow is not sufficient to pay debt service and operating expenses in future periods. Further, servicer advances are subject to a $488.0 million appraisal reduction amount that was implemented by the servicer in August 2025, which would cause all the outstanding classes to experience interest shortfalls." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***