250921.mbx

250921.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 21, 2025, Vol. 29, No. 263 Headlines 20 TIMES 2018-20TS: DBRS Confirms B(high) Rating on G Certs AFFIRM MASTER 2025-3: DBRS Gives Prov. BB Rating on E Notes AGL CLO 43: Fitch Assigns 'BB-sf' Rating on Class E Notes AIMCO CLO 2015-A: Fitch Assigns 'B-sf' Rating on Class F-R4 Notes AMMC CLO 25: Moody's Assigns (P)B3 Rating to $250,000 F Notes AMMC CLO XIII: Moody's Cuts Rating on $10.5MM Cl. B3L-R Notes to C AMSR 2023-SFR3: DBRS Confirms BB Rating on Class F1 Certs ANGEL OAK 2025-R1: S&P Assigns B (sf) Rating on Class B-2 Certs APIDOS CLO LIV: Fitch Assigns 'BB+sf' Rating on Class E Notes APIDOS LOAN 2024-1: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ASHFORD HOSPITALITY 2018-KEYS: DBRS Confirms BB Rating on E Certs AVIS BUDGET 2025-3: Moody's Assigns Ba1 Rating to Class D Notes AVIS BUDGET 2025-4: Moody's Assigns Ba1 Rating to Class D Notes BANK 2020-BNK29: DBRS Confirms B Rating on Class K Certs BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Certs BBCCRE TRUST 2015-GTP: Fitch Affirms 'BB+sf' Rating on Two Tranches BBCMS MORTGAGE 2018-C2: DBRS Confirms B Rating on 2 Tranches BBCMS MORTGAGE 2020-C6: DBRS Confirms CCC Rating on Cl. F5T-D Certs BCP TRUST 2021-330N: Moody's Downgrades Rating on 2 Tranches to C BENCHMARK 2025-B41: DBRS Finalizes BB(low) Rating on Class G Certs BENCHMARK 2025-V17: DBRS Gives Prov. BB(high) Rating on GRR Certs BENCHMARK 2025-V17: Fitch Gives B-(EXP)sf Rating on Cl. G-RR Certs BIRCH GROVE 13: Fitch Assigns 'BBsf' Rating on Class E Notes BLACKROCK DLF 2021-1: DBRS Confirms BB Rating on Class W Notes BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes BLACKROCK DLF 2022-1: DBRS Confirms B Rating on Class W Notes CANYON CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes CARLYLE US 2021-8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARMAX SELECT 2025-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes CHASE HOME 2025-10: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs CIFC FUNDING 2018-III: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes CIFC FUNDING 2025-V: Fitch Assigns 'BB-sf' Rating on Class E Notes COMM 2012-CCRE4: Moody's Downgrades Rating on 2 Tranches to Caa1 COMM 2013-CCRE11: DBRS Lowers Rating on 2 Classes to CCC COMM 2013-CCRE7: DBRS Confirms C Rating on 2 Tranches COMM 2015-CCRE26: DBRS Confirms BB(high) Rating on D Certs COMM 2015-CCRE27: DBRS Cuts Rating on 4 Tranches to C COOPR RESIDENTIAL 2025-CES3: Fitch Gives B(EXP) Rating on B-2 Certs CROWN CITY I: S&P Assigns BB- (sf) Rating on Class E-RR Notes CSAIL 2019-C16: DBRS Confirms BB Rating on Class FRR Certs CWALT INC 2006-OA2: Moody's Ups Rating on Cl. A-1 Certs to Caa1 DRYDEN 102: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes DRYDEN SENIOR 41: Moody's Affirms B1 Rating on $25.3MM E-R Notes ELEVATION CLO 2013-1: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ELMWOOD CLO 44: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes FORTRESS CREDIT XIX: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes FORTRESS CREDIT XXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes GLOBAL SC: DBRS Gives Prov. BB Rating on Class B Notes GS MORTGAGE 2025-NQM4: DBRS Gives Prov. B Rating on B-2 Trusts GS MORTGAGE 2025-NQM4: S&P Assigns Prelim 'B' Rating on B-2 Notes GS MORTGAGE 2025-PJ8: DBRS Gives Prov. B(low) Rating on B5 Notes GS MORTGAGE-BACKED 2025-DSC1: S&P Assigns 'B' Rating on B-2 Certs HOMEWARD OPPORTUNITIES 2025-RRTL2: DBRS Gives B(low) on M2 Notes JP MORGAN 2025-8: DBRS Gives Prov. B(low) Rating on B-5 Certs JPMBB COMMERCIAL 2015-C27: DBRS Confirms C Rating on 6 Tranches MAD COMMERCIAL 2025-11MD: S&P Assigns Prelim BB- Rating on HRR Cert MAGNETITE XXXII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MORGAN STANLEY 2017-HR2: DBRS Confirms B Rating on H-RR Certs MORGAN STANLEY 2018-L1: DBRS Confirms BB Rating on E Certs MORGAN STANLEY 2025-DSC3: S&P Assigns Prelim B Rating on B-2 Certs MOUNTAIN VIEW XIX: S&P Assigns BB- (sf)Rating on Class E Notes NELNET EDUCATION 2004-1: S&P Lowers A-2 Notes Rating to 'B (sf)' OBX TRUST 2025-J2: Moody's Assigns B1 Rating to Cl. B-5 Certs OCTAGON 73 LTD: Fitch Assigns 'BB-sf' Rating on Class E Notes OHA LOAN 2015-1: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes PALMER SQUARE 2022-3: Moody's Ups $40MM D-R Notes Rating from Ba1 PEACE PARK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes PMT LOAN 2025-INV9: Moody's Assigns B3 Rating to Cl. B-5 Certs PRET 2025-RPL4: DBRS Gives Prov. BB Rating on Class B-1 Notes PRMI 2024-PHL1: DBRS Gives Prov. B Rating on Class B-2 Notes PRMI 2025-PHL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes PROVIDENT FUNDING 2025-4: Moody's Assigns B2 Rating to B-5 Certs REALT 2020-1: DBRS Confirms B Rating on Class G Certs RR 17 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes RWC COMMERCIAL 2025-1: DBRS Gives Prov. B Rating on Cl. F Certs SARATOGA 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SCG 2025-SNIP: Fitch Assigns 'BB-(EXP)sf' Rating on Class HRR Certs SERENITY-PEACE PARK: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes SIXTH STREET XVIII: Fitch Assigns 'BBsf' Rating on Class E-R Notes TRICOLOR AUTO 2023-1: Moody's Cuts Rating on Class D Notes to Ba1 TRICOLOR AUTO 2025-2: S&P Puts Ratings on Six Classes on Watch Neg. TRIMARAN CAVU 2019-2: S&P Assigns BB- (sf) Rating on Class ER Notes US BANK 2025-2: DBRS Gives Prov. BB(high) Rating on Class E Notes VELOCITY COMMERCIAL 2025-4: DBRS Finalizes B Rating on 3 Classes VELOCITY COMMERCIAL 2025-4: DBRS Gives Prov. B Rating on 3 Tranches VENTURE CLO 32: Moody's Cuts Rating on $10.5MM Cl. F Notes to Caa3 VERUS SECURITIZATION 2025-8: S&P Assigns 'B+' Rating on B-2 Notes WELLINGTON MANAGEMENT 5: S&P Assigns BB- (sf) Rating on E Notes WELLS FARGO 2016-C36: DBRS Confirms B Rating on 2 Certs Classes WELLS FARGO 2018-C43: DBRS Confirms B(low) Rating on F Certs WELLS FARGO 2025-5C6: DBRS Gives Prov. BB(low) Rating on JRR Certs WELLS FARGO 2025-HI: DBRS Gives Prov. BB(high) Rating on HRR Certs WOODMONT 2021-8: S&P Assigns Prelim BB- (sf) Rating on E-R Notes [] DBRS Reviews 17 Classes From 3 US RMBS Transactions [] DBRS Reviews 776 Classes From 52 US RMBS Transactions [] Fitch Affirms BB- Ratings on 9 Exeter Automobile Trusts [] Fitch Affirms Ratings on 10 Sierra Timeshare Receivables Trusts [] Fitch Lowers 10 Distressed Classes in Four US CMBS Deals [] Moody's Upgrades Ratings on 14 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 21 Bonds from 8 US RMBS Deals ********* 20 TIMES 2018-20TS: DBRS Confirms B(high) Rating on G Certs ----------------------------------------------------------- DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-20TS issued by 20 Times Square Trust 2018-20TS as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at AA (low) (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at B (high) (sf) -- Class H at CCC (sf) -- Class V at CCC (sf) All trends are Stable. Classes H and V have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect the consistent performance of the collateral and further deleveraging of the underlying loan since Morningstar DBRS' last credit rating action in October 2024. Previously, the borrower executed a two-year loan extension to May 2025 in exchange for a $50.0 million principal curtailment as part of a uniform commercial code foreclosure in which the mezzanine lender assumed the loan in October 2023. At the time, the loan was in special servicing because of numerous undischarged mechanics liens against the underlying property in violation of the ground-lease terms. The loan returned to the master servicer in January 2024, following the successful loan modification, and was initially scheduled to mature in May 2025; however, the borrower exercised its remaining one-year extension option in exchange for an additional $25.0 million principal curtailment, extending the loan's final maturity to May 2026. With the loan in its final maturity year, it is Morningstar DBRS' view that the loan is well positioned for refinancing. At issuance, the transaction was composed of a $600.0 million pari passu participation of a $750.0 million whole-first mortgage loan secured by the leased-fee interest in 16,066 square feet (sf) of land under 20 Times Square. An additional $150.0 million in mezzanine financing was also originated but is held outside the trust. As of the August 2025 remittance, the loan has a balance of $521.7 million, representing a 13.1% collateral reduction since issuance. In addition to the $75.0 million in principal curtailment payments, since August 2024, half of the excess cash flow has also been applied as principal paydown, resulting in further deleveraging. The property's ground lease and the leased-fee financing are senior to the leasehold interest and leasehold financing. The 99-year ground lease expires in April 2117 and has no termination options. The initial ground rent payment was $29.3 million, increasing by 2.0% annually during the first five years and then by 2.75% per year thereafter. As of June 2025, the annualized ground rent payment reported by the servicer was $33.7 million. The noncollateral improvements consist of a mixed-use property at 20 Times Square, at the corner of Seventh Avenue and West 47th Street. The property comprises a 452-key Marriott Edition luxury hotel, 74,820 sf of retail space (5,500 sf of which is nonrevenue-generating storage space), and 18,000 sf of digital billboards. According to the March 2025 rent roll, the retail component is only 11.3% occupied, with The Hershey Company (11.3% of the net rentable area; lease expires in March 2037) as the only current tenant. As of this press release, approximately 50,000 sf of the retail space is listed as available for lease on LoopNet. Morningstar DBRS maintained the estimated the value of the leased-fee component at $758.6 million based on an analysis of the payments expected from the in-place ground lease and a blended capitalization rate of 4.8%. Based on the Morningstar DBRS Value and current loan balance as of the August 2025 remittance, the resulting loan-to-value ratio (LTV) is 86.0% on the whole-loan and 105.7% when including the mezzanine debt of $150.0 million. This compares to the previous LTVs of 90.0% and 109.8%, respectively. The derived value represents a variance of -53.6% from the issuance appraised value of $1.6 billion. No qualitative adjustments were made to the LTV Sizing Benchmarks. Given the loans performance remains stable following the successful loan modification, additional deleveraging provided by the $25.0 million principal curtailment, Morningstar DBRS' believes the loan is well positioned for refinancing, supporting the credit rating confirmations and Stable trends. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM MASTER 2025-3: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Affirm Master Trust, Series 2025-3 (AFRMT 2025-3): -- $569,200,000 Class A Notes at (P) AAA (sf) -- $47,440,000 Class B Notes at (P) AA (high) (sf) -- $47,040,000 Class C Notes at (P) A (high) (sf) -- $36,550,000 Class D Notes at (P) BBB (high) (sf) -- $49,770,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the AFRMT 2025-3 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2025-3 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2025-3 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2025-3 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2025-3 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2025-3 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a Contract Rate less than or equal to 12% if the loan was originated by CRB, Celtic Bank, or Lead Bank. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2025-3 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Notes: All figures are in US dollars unless otherwise noted. AGL CLO 43: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 43 LTD. Entity/Debt Rating ----------- ------ AGL CLO 43 LTD. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary AGL CLO 43 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.83, 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 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.57% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 43 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. AIMCO CLO 2015-A: Fitch Assigns 'B-sf' Rating on Class F-R4 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO, Series 2015-A reset transaction. Entity/Debt Rating ----------- ------ AIMCO CLO, Series 2015-A X-R4 LT AAAsf New Rating A-1-R4 LT AAAsf New Rating A-2-R4 LT AAAsf New Rating B-R4 LT AAsf New Rating C-R4 LT Asf New Rating D-R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating F-R4 LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary This transaction is largely in line with AIMCO CLO 24, Ltd., rated by Fitch in June 2025. Compared to the AIMCO transaction, the terms and provisions of the indenture, along with the portfolio quality, are largely consistent. Additionally, credit enhancement levels slightly decreased for the senior class A notes, and the weighted average cost of funding has decreased since the third refinancing. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.54, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.20% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.64% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may constitute up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-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 'AAAsf' for class X-R4 notes, between 'BBB+sf' and 'AA+sf' for class A-1-R4 notes, between 'BBB+sf' and 'AA+sf' for class A-2-R4 notes, between 'BB+sf' and 'A+sf' for class B-R4 notes, between 'Bsf' and 'BBB+sf' for class C-R4 notes, between less than 'B-sf' and 'BB+sf' for class D-R4 notes, between less than 'B-sf' and 'B+sf' for class E-R4 notes, and less than 'B-sf' for class F-R4 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R4 notes, class A-1-R4 notes and class A-2-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-R4 notes, 'AAsf' for class C-R4 notes, 'Asf' for class D-R4 notes, 'BBB+sf' for class E-R4 notes, and 'BB+sf' for class F-R4 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO, Series 2015-A. 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. AMMC CLO 25: Moody's Assigns (P)B3 Rating to $250,000 F Notes ------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by AMMC CLO 25, Limited (the Issuer): US$2,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US256,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans and senior secured bonds. American Money Management Corporation (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3150 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. AMMC CLO XIII: Moody's Cuts Rating on $10.5MM Cl. B3L-R Notes to C ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by AMMC CLO XIII, Limited: US$10,500,000 Class B3L-R Senior Secured Deferrable Floating Rate Notes due 2029 (current outstanding balance $8,512,203.29), Downgraded to C (sf); previously on June 26, 2023 Downgraded to Ca (sf) AMMC CLO XIII, Limited, originally issued in December 2013 and refinanced in July 2017 and April 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the notes, recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation. The Class B3L-R notes are currently undercollateralized. Moody's expectations of loss-given-default assesses losses experienced by, and expected future losses on the notes, as a percent of the original notes balance. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. AMSR 2023-SFR3: DBRS Confirms BB Rating on Class F1 Certs --------------------------------------------------------- DBRS, Inc. reviewed 14 classes from two U.S. single-family rental transactions. Of the 14 classes reviewed, Morningstar DBRS confirmed 12 credit ratings and upgraded two credit ratings. AMSR 2023-SFR3 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C upgraded to AA (high) (sf) from AA (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F-1 confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class F-2 confirmed at BB (low) (sf) Invitation Homes 2024-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (high) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating upgrades reflect a positive performance trend and/or an increase in credit support sufficient to withstand stresses at the new credit rating level. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in US Dollars unless otherwise noted. ANGEL OAK 2025-R1: S&P Assigns B (sf) Rating on Class B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its 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- 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 mortgage (QM)/non-higher-priced-mortgage-loan (HPML) (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on Sept. 10, 2025, the certificate amount for class A-1F was reduced to $0.00 million from $80.00 million. In turn, the certificate amount for class A-1 was increased to $168.499 million from $88.499 million. The resizing did not change the credit enhancement for any classes in the transaction. In addition, the class B-1 certificates were priced to receive a fixed coupon rate subject to the net weighted average coupon rate. Also, the advancing of delinquent principal and interest (P&I) on any delinquent mortgage loan (both first- and second lien) was changed to 90 days of P&I advancing from 180 days. After analyzing the updated P&I advancing, structure, and final coupons, we assigned ratings to the class A-1, A-2, A-3, M-1, B-1, and B-2 certificates that were unchanged from the preliminary ratings we assigned. Further, we withdrew the preliminary ratings assigned to the class A-1F certificates." The 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; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) Angel Oak Mortgage Trust 2025-R1 Class A-1, $168,499,000: 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 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. APIDOS CLO LIV: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LIV. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO LIV A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf 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 Apidos CLO LIV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.63% first lien senior secured loans and has a weighted average recovery assumption of 71.82%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 22 August 2025 ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LIV. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. APIDOS LOAN 2024-1: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by Apidos Loan Fund 2024-1 Ltd (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$341,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$550,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets, collectively. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other six classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3125 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ASHFORD HOSPITALITY 2018-KEYS: DBRS Confirms BB Rating on E Certs ----------------------------------------------------------------- DBRS Limited downgraded its credit rating on one class of the Commercial Mortgage Pass-Through Certificates, Series 2018-KEYS issued by Ashford Hospitality Trust 2018-KEYS as follows: -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit rating on the remaining class: -- Class E at BB (sf) Morningstar DBRS maintained the Negative trend for Class E. Class F has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) ratings. The credit rating confirmation for Class E reflects Morningstar DBRS' view that a full recovery of the class is possible based on the liquidation analysis conducted with this credit rating action, discussed further below. Losses continue to be projected into Class F and expectation that the final workout of the remaining loans will result in some loss to that certificate, supporting the credit rating downgrade to C (sf). Class F has a current balance of $196.4 million providing a significant cushion to Class E insulating that certificate from any potential loss. Although updated appraisals have yet to be completed, Morningstar DBRS believes it is likely the most recent as-is property values from the July 2023 individual appraisals have likely declined. In the event those property values were to exhibit significant value declines from the assumed Morningstar DBRS liquidation scenarios (which contemplates significant haircuts on the July 2023 appraised values), the Class E certificate could be susceptible to losses in a liquidation scenario for those pools supporting the Negative trend. The subject transaction was originally collateralized by the debt on a portfolio of 34 hotel properties. The senior mortgage loan proceeds of $982.0 million, along with the mezzanine debt of $288.2 million, refinanced the existing debt of $1.1 billion and facilitated a $163.4 million cash-equity distribution. At issuance, the senior debt was split into six floating-rate interest-only (IO) loans, which are not cross collateralized or cross defaulted. At issuance, the six loans had an initial 24-month term with five one-year extension options. As of the August 2025 remittance, there has been a collateral reduction of 70.1% since issuance. Since the previous Morningstar DBRS credit rating action in September 2024, three loans (Pools C, D and E) were paid in full with the February 2025 remittance, ahead of the respective June 2025 maturity dates. Pool F was previously liquidated from the trust with the November 2023 remittance at no loss. In total, the two remaining loans (Pools A and B) are currently collateralized by 12 hotel properties located across various states. Since September 2024, two properties were sold via receiver sales: Tipton Lakes Courtyard Columbus (Pool A) and SpringHill Suites Baltimore BWI Airport (Pool B). Proceeds from the two sales were used to pay down outstanding advances. Pools A and B remain with the special servicer following the initial transfer in June 2023. A receiver was subsequently appointed in March 2024. Of the remaining 12 properties, three hotels in Pool A and six in Pool B are currently being marketed for receiver sales and a deed-in-lieu (DIL) of foreclosure is anticipated to be accepted on the remaining three properties. The DIL is expected to be finalized once conversations with Marriott International regarding franchise discussions are concluded. The servicer also noted updated appraisals for the remaining properties are currently in process. As of the YE2024 financials, Pool A reported a net cash flow (NCF) of $17.0 million (debt service coverage ratio (DSCR) of 1.46 times (x)), a notable increase from the $9.4 million figure at YE2022 (DSCR of 1.52x). Pool B reported an annualized trailing nine-month NCF figure of $7.1 million (DSCR of 0.57x) for the period ended September 30, 2024, as compared with the YE2022 figure of $5.3 million (DSCR of 0.83x). Both pools continue to report positive NCF growth over the YE2022 figures as YE2023 financials were not made available. Performance has generally continued to improve from the pandemic-driven lows but remains significantly less than pre-2020 levels. According to the April 2025 Smith Travel Research (STR) reports, the remaining properties in Pool A reported a T-12 ended April 30, 2025, weighted-average occupancy rate, average daily rate, and revenue per available room (RevPAR) of 72.4%, $149.50, and $110.15, respectively, representing slight declines from the July 2024 STR metrics. For the same reporting periods, Pool B reported figures of 61%, $138.97, and $84.11, respectively, which have shown slight improvements from the July 2024 STR metrics. Pools A and B reported similar RevPAR penetration figures of approximately 104% as of the April 2025 STRs, which have decreased slightly from the 107% figure as of the July 2024 STR reports. Morningstar DBRS conducted a recoverability analysis in evaluating the credit risks for this transaction. The liquidation scenario considered for Pool A was based on a 30% haircut to the July 2023 appraised values (less the value of Tipton Lakes Courtyard Columbus) while accounting for a 1.0% liquidation fee, outstanding advances, and the inclusion of additional expected servicer expenses ahead of an ultimate disposition. The resulting projected loss severity was nearly 23% or approximately $33.0 million. Pool B's liquidation was based on a 70% haircut to the July 2023 appraised value (less the value of SpringHill Suites Baltimore BWI Airport) while accounting for similar expenses and fees, resulting in a projected loss severity of nearly 86% or approximately $128.0 million. Cumulatively, the projected liquidated losses Pool A and B total $160.2 million, which is contained to the Class F certificate. Notes: All figures are in U.S. dollars unless otherwise noted. AVIS BUDGET 2025-3: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. Moody's also announced that the issuance of the Series 2025-3, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2025-3 Series 2025-3 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-3 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive ratings on the series 2025-3 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The total credit enhancement requirement for the series 2025-3 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 13.80% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 29.8%, 19.3% and 11.8% of the outstanding balance of the series 2025-3 notes, respectively. The series 2025-3 notes have an expected final maturity of approximately 41 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-3 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2025-3 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2025-4: Moody's Assigns Ba1 Rating to Class D Notes --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. Moody's also announced that the issuance of the Series 2025-4, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2025-4 Series 2025-4 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-4 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The definitive ratings on the series 2025-4 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The total credit enhancement requirement for the series 2025-4 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 29.8%, 19.3% and 11.8% of the outstanding balance of the series 2025-4 notes, respectively. The series 2025-4 notes have an expected final maturity of approximately 65 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-4 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2025-4 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BANK 2020-BNK29: DBRS Confirms B Rating on Class K Certs -------------------------------------------------------- DBRS Ltd. confirmed the credit ratings on all classes of Commercial Mortgage Pass Through Certificates, Series 2020-BNK29 issued by BANK 2020-BNK29 as follows: -- Class A-1 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class C at AA (high) (sf) -- Class D at A (high) (sf) -- Class X-D at A (sf) -- Class E at A (low) (sf) -- Class X-F at A (low) (sf) -- Class F at BBB (high) (sf) -- Class X-G at BBB (sf) -- Class G at BBB (low) (sf) -- Class X-H at BBB (low) (sf) -- Class H at BB (high) (sf) -- Class X-J at BB (sf) -- Class J at BB (low) (sf) -- Class X-K at B (high) (sf) -- Class K at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction since the previous Morningstar DBRS credit rating action in September 2024. The majority of loans in the pool continue to perform as expected, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 2.82 times (x), based on the most recent financial reporting available. As of the August 2025 remittance, all 41 of the original loans remain in the pool with a trust balance of $841.5 million, reflecting a collateral reduction of 3.4 % since issuance. There are currently two loans, representing 1.3% of the pool, in special servicing and eight loans, representing 17.9 % of the pool, on the servicer's watchlist, three of which (5.34% of the pool) are being monitored for performance-related reasons. Five loans, representing 6.2% of the pool balance, are defeased. Although the transaction includes a significant concentration of loans secured by office properties (seven loans; 48.9% of the pool), the majority of the underlying collateral generally continues to demonstrate stable performance. Only one office-backed loan, McDonald's Global HQ (Prospectus ID#6; 4.4% of the pool) and one loan backed by a mixed-use property with a significant amount of office space, 169-171 University Avenue (Prospectus ID#25; 0.9% of the pool), are on the servicer's watchlist, however, those loans are being monitored for nonperformance-related reasons. The three largest office loans in the pool, 250 West 57th Street (Prospectus ID#1; 10.3% of the pool), 120 Wall Street (Prospectus ID#3; 9.5% of the pool), and the Grace Building (Prospectus ID#4; 8.9% of the pool), are all located in Manhattan, New York, with the underlying collateral demonstrating stable to improving operating performance while also benefiting from a strong tenant base and minimal rollover within the next 12 months. Morningstar DBRS maintains a cautious outlook on the Chasewood Technology Park loan (Prospectus ID#15; 1.8% of the pool), which is secured by a suburban office property in Houston. The collateral's occupancy rate has declined year over year, most recently reported at 67.5% per the April 2025 rent roll, down from 73.0% at YE2023 and 76.0% at issuance. According to the YE2024 financial reporting, the collateral generated $4.7 million of net cash flow (NCF) with a DSCR of 1.82x, a decline from the prior year's NCF of $5.9 million (DSCR of 2.27x), but above the Morningstar DBRS NCF of $3.3 million (DSCR of 1.31x). Morningstar DBRS applied a stressed loan-to-value ratio (LTV) and probability of default (POD) penalty in its analysis for this review, to reflect the current risk profile of the collateral, which resulted in an expected loss (EL) that was greater than 5x the pool average. The two loans in special servicing, WAG - Dripping Springs & New Orleans (Prospectus ID#30; 1% of the pool) and Walgreens Tumwater (Prospectus ID#32; 1% of the pool) are secured by single-tenant retail properties, occupied by Walgreens, on long-term leases. The WAG - Dripping Springs & New Orleans loan transferred to special servicing in August 2024 after the occurrence of a trigger event, the details of which were not provided. According to recent servicer commentary, receivership efforts are currently underway. The Walgreens Tumwater loan transferred to special servicing in September 2024 because of the borrower's failure to comply with cash management provisions and is currently in the process of being modified. Although Walgreens appears to be operational at both properties, the loans' transfer to special servicing and the uncertainty related to the workouts are of concern. Morningstar DBRS analyzed both loans with elevated LTVs and increased POD penalties, with the resulting EL in excess of 3.5x the pool average for the Walgreens Tumwater loan and 2.0x greater than pool average for the WAG - Dripping Springs & New Orleans loan. At issuance, McDonald's Global HQ, The Grace Building, and Turner Towers (Prospectus ID#13; 2.7% of the pool) were assigned investment-grade shadow ratings by Morningstar DBRS. With this review, Morningstar DBRS confirms the performance of these loans remains consistent with investment-grade characteristics as evidenced by the strong credit metrics and continued stable performance of the underlying collateral. Notes: All figures are in U.S. dollars unless otherwise noted. BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Certs ------------------------------------------------------------------ DBRS Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-BNK3 issued by Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) Morningstar DBRS Changed the trends on Classes X-D and D to Stable from Negative; maintained the Negative trends on Classes E and F. The trends on all remaining Classes are Stable. The credit rating confirmations and Stable trends reflect the overall stable outlook for the transaction, which remains generally in line with Morningstar DBRS' expectations since the previous credit rating action in September 2024. As per the most recent financial reporting, the transaction continues to exhibit healthy credit metrics as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 2.24 times (x) and WA loan-to-value (LTV) ratio of 53.4%. The pool is uniformly distributed by all property types, with loans backed by retail, office, and mixed-use properties representing 29.8%, 22.4%, and 16.4% respectively. The Stable trends for Classes X-D and D reflect the improved outlook for the 85 Tenth Avenue loan (Prospectus ID#4; 5.8% of the pool). This loan was previously flagged by Morningstar DBRS during the last credit rating action because of the impending lease expiration of its largest tenant, Google, which accounts for 47.2% of net rentable area (NRA). However, as per the June 2025 rent roll, Google has since renewed its lease through 2034, with the next concentration of lease rollover in 2031. In addition, the credit support on the junior certificates has improved primarily because of loan amortization, further supporting the Stable trends on most classes. Negative trends have been maintained for the bottom two classes primarily as a reflection of concerns for two office-backed loans in 191 Peachtree (Prospectus ID#7; 4.7% of the pool) and Calabasas Tech Center (Prospectus ID#9; 3.9% of the pool). For this review, Morningstar DBRS applied stressed LTVs and/or upward probability of default (POD) adjustments to increase the expected loss (EL) for these and 11 other loans, primarily because of high tenant rollover risk anticipated within the next 12 months or before the loans mature. In the time since the previous review conducted by Morningstar DBRS, the Holiday Inn Express-Garland (Prospectus ID#31), which represented 0.9% of the pool balance, has been repaid. The Parkwood Patio Apartments (Prospectus ID#57; 0.3% of the pool) has been transferred to special servicing due to the appointment of an equity receiver stemming from a partnership dispute. As of August 2025, 60 out of 63 loans remain in the pool, with a total balance of $855.4 million, representing a 12.5% reduction in the total balance since issuance, primarily because of loan amortization. Six loans, which account for 4.5% of the pool balance, are fully defeased, while 10 loans, making up 14.5% of the pool, are on the servicer's watchlist. These watch listed loans are being monitored mainly because of rollover risk and a decline in occupancy. Aside from the aforementioned loan, none are under special servicing. The 191 Peachtree loan, which is currently on servicer's watchlist because of decline in occupancy, is secured by a 1.2 million square-foot (sf) office property in Atlanta's central business district. The largest tenant, Deloitte & Touche (Deloitte; previously 19.3% of NRA) had a lease expiration date in May 2024. Although Deloitte remains at the property, the tenant has reduced its footprint by 199,145 sf (16.3% of NRA), signing a short-term 18-month lease for the remaining 35,932 sf. As per the April 2025 rent roll, the property's physical occupancy has declined to 66.5% from 84.2% at YE2023, and has potential to decline further, with Deloitte's remaining space expiring in November 2025, and leases representing almost 22.0% scheduled to expire prior to loan maturity. According to Cushman and Wakefield, the Downtown submarket reported a Q2 2025 vacancy rate of 30.8%, compared with the Q2 2024 vacancy rate of 28.8%. There is a cash flow sweep in place, and according to July 2025 reporting, approximately $9.5 million has been collected to re-lease Deloitte's space, with an additional $2.6 million held in other reserves. The loan reported a YE2024 DSCR reported at 2.37x, but the loan is fully interest-only (IO), meaning the upcoming maturity could be difficult for the borrower to resolve. News reports indicate a $4.5 million capital improvement project has commenced to improve common areas and other parts of the property, suggesting the sponsor remains committed to the asset amid the ongoing challenges. In the analysis for this review, Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV ratio, resulting in an EL that was more than four times the pool average. The Calabasas Tech Center loan is secured by 282,190 sf office portfolio composed of seven buildings in California. The loan, which matures in December 2026, is on servicer's watchlist because of decline in occupancy. As per the June 2025 rent roll, the portfolio has a consolidated occupancy rate of 75.03% compared with 89.9% at issuance. In addition, leases representing almost 36% of the NRA are set to expire before the loan's maturity including the largest tenant, Yamaha Guitar Group Inc. (25.2% of the NRA), whose lease expires in August 2026. As per the Reis, the San Fernando Valley West submarket reported an average vacancy rate of 16.7% as of Q2 2025 compared with 14.5% in Q2 2024 and is projected to increase to 17.4% in 2027. As of YE2024, the collateral generated a net cash flow (NCF) of $2.9 million (reflecting a DSCR of 1.8x) compared with $3.2 million (a DSCR of 1.98x) at issuance, suggesting the occupancy fluctuations haven't been significantly impactful for performance overall. Given the concentration of the upcoming rollover, Morningstar DBRS analyzed the loan with stressed LTV and an elevated POD penalty, resulting in an EL more than triple the pool average. Two other loans, Marsh Creek Corporate Center (Prospectus ID#20; 1.6% of the pool balance) and Hallmark Town Center (Prospectus ID#27; 1.1% of the pool) continue to demonstrate healthy performance but face relevant tenant rollover risks before the loan maturity dates in the fourth quarter of 2026. According to the June 2025 rent roll, Marsh Creek Corporate Center is currently 72.96% occupied. The largest tenant, Vertiv Corporation, which represents 12.3% of the NRA, vacated the space in March 2025 following the expiration of its lease. Additionally, nearly 16% of the leases are set to expire before the loan maturity date of January 2027. Hallmark Town Center, meanwhile, is currently 93.8% occupied according to the March 2025 rent roll. The largest tenant, Food 4 Less, which accounts for 47.4% of the NRA, has a lease that expires in August 2026, just a few months before the loan maturity date. Morningstar DBRS has analyzed both loans and identified an elevated POD, resulting in ELs that are more than double and triple the pool average, respectively. These two and seven other loans representing another 14.0% of the pool had exposure to rollover which Morningstar DBRS considered as part of the Negative trends for the lowest two classes in the capital stack. With this review, Morningstar DBRS confirmed that the performance of one loan, Potomac Mills (Prospectus ID#14; 2.4% of the pool), remains consistent with investment-grade characteristics. This assessment continues to be supported by the loan's strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. BBCCRE TRUST 2015-GTP: Fitch Affirms 'BB+sf' Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has affirmed five classes of BBCCRE Trust 2015-GTP, commercial mortgage pass-through certificates, series 2015-GTP (BBCCRE 2015-GTP). Fitch has also removed these five affirmed classes from Rating Watch Negative (RWN) and assigned Negative Outlooks. Entity/Debt Rating Prior ----------- ------ ----- BBCCRE 2015-GTP A 05490TAA0 LT AA-sf Affirmed AA-sf B 05490TAC6 LT BBBsf Affirmed BBBsf C 05490TAE2 LT BB+sf Affirmed BB+sf X-A 05490TAN2 LT AA-sf Affirmed AA-sf X-B 05490TAQ5 LT BB+sf Affirmed BB+sf KEY RATING DRIVERS Fitch has affirmed and removed all classes from RWN to reflect progress on a pending loan modification that includes new sponsor equity. The collateral performance is generally in line with Fitch's expectations and there have been no additional confirmed lease terminations in the portfolio since the last rating action. The servicer has indicated the borrower is negotiating extensions with tenants accounting for 6.9% of the NRA with leases expiring through YE 2026. The Negative Outlooks reflect the potential for downgrades if more General Services Administration (GSA) leases are terminated and/or additional tenants depart at or prior to lease expiration without stabilization of vacant spaces. Specially Serviced Loan; Pending Modification: The loan transferred to special servicing in April 2025 due to imminent monetary default and did not repay at its August 2025 maturity date. The servicer indicated a potential loan modification is underway, with a target closing of mid-September 2025. Terms include a two-year extension in exchange for upfront reserve rebalancing, a partial payment guaranty, and a receivership order if a monetary default event occurs. Upcoming Lease Expirations; Lease Terminations: Portfolio occupancy was 92.7% as of the June 2025 rent roll, down from 98.5% in 2024, following the anticipated departure of a GSA tenant (Veteran Affairs) at the Austin, TX property (5.8% of NRA) at its lease expiration. Approximately 10.7% of the portfolio NRA expires through YE 2026, including 2.7% leased on a month-to-month basis to the Federal Aviation Administration (FAA) at the Mirarmar, FL property. Lease expirations beyond 2026 include 3.4% of the portfolio NRA in 2027 and 11.0% in 2028. The largest block of leases roll in 2044 (14.1%). Approximately 20.1% of the portfolio NRA comprises leases that are beyond their initial firm term, further exposing the portfolio to potential early lease terminations, as these leases can generally be terminated with 90-120 days' notice. Fitch's updated Fitch NCF is $44.6 million, down 6.1% from $47.5 million at the last rating action and 18.2% below Fitch's issuance NCF of $54 million. The figure reflects leases in place as of the most recently available June 2025 rent roll and excludes the month-to-month tenant at the Mirarmar, FL property and the tenant at the Lawrence, MA property (Citizen and Immigration Services; CIS; 1.1% NRA), whose lease expires in June 2026 and is unlikely to renew per the servicer. These two tenants together account for 3.8% of NRA and 5.3% of total portfolio rental income. The lower Fitch NCF since last rating action is also attributed to higher operating expenses which are in line with YE 2024. Fitch utilized a cap rate of 9%, consistent with the last rating action and up from 8% at issuance, to reflect the deteriorating office sector outlook, secondary markets of the majority of assets, and considers the amalgamation of high quality, modern, built-to-suit assets generally designed for the specific needs of the tenants. The weighted average year of construction for the portfolio is 2007, with the GSA's total investment in improvements across the portfolio at the time of issuance exceeding $157 million. GSA Tenant Concentration; Single Tenant Assets: The loan is secured entirely by a portfolio of 41 single-tenant properties, including 39 office and two industrial assets, spread across 19 states. The highest state concentrations are Florida (25.2% of the allocated loan amount), Texas (15.7%), Kentucky (6.2%) and Virginia (6.2%). The portfolio is occupied by 16 U.S. federal government (AA+/Stable) agencies via GSA leases. The leases are not subject to annual appropriations. Three agencies account for 54.7% of total portfolio rents: Federal Bureau of Investigation (FBI; 23.8%), Citizen and Immigration Services (CIS; 20.1%) and Drug Enforcement Agency (DEA; 10.9%). High Fitch Leverage: The loan has a Fitch-stressed debt service coverage ratio and loan-to-value (LTV) of 0.68x and 133.1%, respectively, compared with 0.72x and 125%, respectively, at the last rating action, and 0.92x and 96.8% at issuance. Sponsorship: The loan is sponsored by NGP V Fund, which is one of the nation's largest real estate investment programs focused on the acquisition and management of assets leased to U.S. governmental entities. Loan Structure: The mortgage loan is a 10-year fixed-rate, interest-only $660.0 million loan with an interest rate of 4.6%. In its analysis, Fitch applied an upward LTV hurdle adjustment due to the low coupon. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are expected without stabilization in occupancy, particularly if there are additional lease terminations and/or further declines in collateral value that heightening refinancing risk. A dramatic reduction in the U.S. federal government's real estate footprint would further weaken office demand and strain major markets with already high vacancy rates, increasing availability and eroding rents. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not likely due to the loan's current maturity default status and significant GSA tenant concentration and volatility but may be possible with the stabilization and sustained improvement of portfolio occupancy and NCF, leases with upcoming expirations renew and no payment default post-closing of the pending loan modification. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2018-C2: DBRS Confirms B Rating on 2 Tranches ------------------------------------------------------------ DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C2 issued by BBCMS Mortgage Trust 2018-C2 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 X-A at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AA (sf) -- Class B at A (high) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) -- Class X-G at B (sf) -- Class G at B (low) (sf) -- Class H-RR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable outlook for the transaction, which remains generally in line with Morningstar DBRS' expectations since the previous credit rating action in September 2024. As per the most recent financial reporting, the transaction continues to exhibit healthy credit metrics as supported by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of 1.84 times (x) and WA loan-to-value ratio (LTV) of 56.3%. In the analysis for this review, Morningstar DBRS applied stressed LTV and/or elevated probability of default (POD) adjustments to 11 loans, representing 29.76% of pool, which are primarily secured by office collateral. Morningstar DBRS applied the adjustments to assess the durability of the credit ratings given increased tenant rollover and decreased financial performance risks, the results of which supported the credit rating confirmations with this review. As of the August 2025 remittance, all original 44 loans remained in the pool with a trust balance of $861.2 million, representing a collateral reduction of 3.4% since issuance. There are no specially serviced or delinquent loans; however, 13 loans, representing 29.6% of the pool balance, are on the servicer's watchlist. In addition, four loans, representing 6.1% of the pool balance, are fully defeased. The loans on the servicer's watchlist are being monitored mainly for performance-related issues as well as deferred maintenance and tenant rollover risk. The pool is most concentrated by office-backed loans (36.2% of the current pool balance) followed by retail (24.7%) and hotel (18.9%) collateral. The GNL Portfolio loan (Prospectus ID#3, 6.3% of the pool), is secured by three office buildings (406,590 square feet (sf); 62.8% of the net rentable area (NRA)), three industrial/warehouse buildings (151,223 sf; 23.3% of the NRA), and one research and development lab (89,900 sf; 13.9% of the NRA), all of which are occupied by single tenants. The properties are located across Texas, Missouri, Montana, California, Kentucky, and Pennsylvania. The loan is currently on the servicer's watchlist because of the decline in DSCR, which has been under or right above breakeven since YE2022 when the DSCR was 0.93x. As per the March 2025 rent roll, the collateral has a consolidated occupancy rate of 74.7%, compared with 100% at issuance. An additional 12.0% of the NRA is set to expire within the next 12 months. Loan performance has struggled since Nimble Storage (previously 25.3% of the NRA), a wholly owned subsidiary of HP Inc. vacated upon its lease expiration in October 2021. At issuance, Nimble Storage accounted for approximately 35.0% of the portfolio's underwritten base rent. According to most recent financials, the portfolio generated net cash flow (NCF) of $4.9 million (a DSCR of 1.01x) at YE2024 compared with the Morningstar DBRS' figure of $8.9 million (a DSCR of 1.84x) at closing. Morningstar DBRS analyzed the loan with a stressed LTV and elevated POD because of declining occupancy rate and DSCR, resulting in an expected loss (EL) of more than 1.7x the pool average. The Liberty Portfolio loan (Prospectus ID#4, 5.8% of the pool) is secured by 805,746 sf across two office buildings in Scottsdale and Tempe, Arizona. The collateral has a consolidated occupancy rate of 95.4% as of June 2025 rent roll, with moderate rollover risk of 15.3% of the NRA in the next 12 months, primarily attributable to The Vanguard Group, whose lease is set to expire in July 2026. The servicer has confirmed the tenant intends to extend its lease by six months while the build-out for new space at a different property is being completed. The occupancy rate is expected to decrease to 80.1% with the departure of Vanguard, assuming no other leasing activity occurs. The current largest tenant, Centene Management (43.8% of the NRA), reduced its footprint by almost 78.0% to 77,828 sf (9.7% of the NRA) in 2024. The tenant will continue to meet its rental obligations until the lease expires in 2028, as there is no termination option. To address tenant trigger conditions, the borrower secured a deposit of $10.6 million in cash as a letter of credit (LOC). Two additional former tenants, Carvana LLC and Drivetime Time Automative Group Inc, accounted for almost 20.0% of the NRA; however, their spaces have been back-filled by Dutch Bros Temp Space through 2037. Historically, the performance of the collateral has remained stable since issuance as the YE2024 NCF was $13.2 million (DSCR of 1.65x) compared with the issuer's figure of $14.1 million (DSCR of 1.77x). Given the volatility surrounding the property's occupancy rate, Morningstar DBRS analyzed this loan with a stressed LTV and elevated POD adjustment, resulting in an EL more than 2.5x the pool average. With this review, Morningstar DBRS confirms the performance of three loans, Christiana Mall (Prospectus ID#2, 6.3% of the pool); Moffett Towers-Buildings E, F,G (Prospectus ID#12, 2.9% of the pool); and Moffett Towers II-Building 1 (Prospectus ID#16, 2.5% of the pool), remains consistent with investment-grade characteristics. This shadow ratings remain supported by the strong credit metrics, experienced sponsorship, and the historically stable performance for all collateral properties. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS MORTGAGE 2020-C6: DBRS Confirms CCC Rating on Cl. F5T-D Certs ------------------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2020-C6 issued by BBCMS Mortgage Trust 2020-C6 as follows: -- Class E to BBB (low) (sf) from BBB (sf) -- Class F-RR to BB (high) (sf) from BBB (low) (sf) -- Class G-RR to B (high) (sf) from BB (sf) -- Class H-RR to CCC (sf) from B (high) (sf) -- Class J-RR to C (sf) from B (low) (sf) -- Class X-D to BBB (sf) from BBB (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-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) Morningstar DBRS also confirmed its credit ratings on the loan-specific certificates as follows: -- Class F5T-A at BBB (high) (sf) -- Class F5T-B at BB (high) (sf) -- Class F5T-C at B (high) (sf) -- Class F5T-D at CCC (sf) The trends on Classes E, F-RR, G-RR, and X-D are Negative. All other classes have Stable trends with the exception of Classes H-RR, J-RR, and F5T-D, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect Morningstar DBRS' loss expectations for the pool, primarily attributed to the second-largest specially serviced loan, Trinity Multifamily Portfolio (Prospectus ID#19; 2.8% of the pool balance), and 2000 Park Lane (Prospectus ID#17; 3.1% of the pool balance), which is on the servicer's watchlist. The loans were analyzed with liquidation scenarios, resulting in a total implied loss of $20.3 million, which would fully erode the principal balance of the non-rated Class N-RRR certificate and approximately 30.0% of the Class J-RR certificate, significantly reducing credit support to the lower-rated bonds in the transaction. The Negative trends continue to reflect the possibility of further value deterioration of the liquidated loans, as well as the concerns Morningstar DBRS has about a select number of other loans exhibiting sustained performance declines since issuance and/or with exposure to near-term tenant rollover risk. In addition, the pool has a high concentration of loans secured by office collateral, which accounts for 27.2% of the pool balance, increasing to approximately 37.0% when including mixed-use collateral with an office component. Morningstar DBRS increased the probability of default penalties and/or applied stressed loan-to-value ratios (LTV) for seven loans in the pool. The resulting weighted average (WA) expected loss (EL) of those loans exceeded the pool average by approximately 2.3 times (x) . Should the performance concerns related to the aforementioned loans not improve in the near to medium term, the Negative trends indicate the likelihood of further credit rating downgrades to those identified certificates. The credit rating confirmations reflect the otherwise stable performance of the transaction, as exhibited by the pool's WA debt service coverage ratio (DSCR) of nearly 2.2x and its WA debt yield above 11.0%, based on the most recent year-end financials. In addition, there have been no realized losses to the trust to date and three top-10 loans (17.9% of the current pool balance) are shadow-rated investment-grade by Morningstar DBRS. As of the August 2025 remittance, 43 of the original 45 loans remain in the pool, representing a collateral reduction of 4.8% since issuance. Defeasance collateral represents 3.5% of the pool balance. Eleven loans, representing 21.1% of the pool, are on the servicer's watchlist for a variety of reasons, including performance declines, near-term tenant rollover, and/or deferred maintenance. The largest loan in the pool, Parkmerced (Prospectus ID#1; 7.6% 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 subordinate debt comprising a $708.0 million B-note and a $245.0 million C-note. There is also $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 date. The borrower failed to close on a loan modification that had been previously negotiated and as such, a receiver was put in place in March 2025. According to the servicer, the lenders are proceeding to enforce remedies, including foreclosure and/or an action against the guarantor. The property's occupancy rate remains stable at 80.0% as of YE2024; however, net cash flow (NCF) declined to $31.2 million (a DSCR of 0.64x on the senior debt) compared with $59.7 million (a DSCR of 1.59x) at issuance. According to a July 2025 article posted in The San Francisco Standard, 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 reappraised in April 2025 at a value of $1.4 billion, in line with the July 2024 figure. The most recent appraised value is representative of a healthy LTV of 39.10% on the senior debt, suggesting the likelihood of loss to the trust upon resolution remains low. The second loan in special servicing, Trinity Multifamily Portfolio (Prospectus ID#19; 2.8% of the pool), is secured by a seven-property portfolio totaling 354 units across Illinois, Georgia, and Arizona. The loan transferred to special servicing for payment default in September 2024 and remains due for the August 2024 loan payment. According to the servicer, the borrower submitted various workout proposals and attempted to sell the portfolio, however, those efforts were ultimately unsuccessful. The lender subsequently filed for foreclosure and an initial receivership hearing for the properties in Illinois was held in June 2025. The servicer noted that foreclosure sales for the properties in Georgia and Arizona are expected to occur during Q3 2025. The portfolio was last appraised at issuance at a value of $34.5 million; however, given the cash flow declines, the general deterioration in operating performance, and the loan's extended period of time in special servicing, Morningstar DBRS expects the market value of the underlying collateral has declined. Morningstar DBRS liquidated the loan in the analysis for this review, applying a 30% haircut to the issuance appraised value, which resulted in an implied loss of $3.8 million and a loss severity of 16.0%. The 2000 Park Lane loan (Prospectus ID#17; 3.1% of the pool), is secured by a 234,859-square foot (sf) suburban office property in Pittsburgh. The loan was added to the servicer's watchlist in April 2024 after the largest tenant, New York Life (40.5% of the net rentable area (NRA)), failed to renew multiple leases 12 months prior to its respective lease expirations in December 2024 and April 2025. As a result, a cash trap was activated with excess cash flow swept into a reserve that has a current balance of $2.4 million as of the August 2025 remittance. New York Life remains at the property but reduced its footprint by approximately 50.0% (now occupying 17.3% of the NRA) after signing a short-term lease through December 2025, which suggests the tenant may not be committed to remaining at the property on a long-term basis. According to the June 2025 rent roll, the property was 65.2% occupied; however, the second-largest tenant, Coterra Energy Inc. (24.0% of the NRA) had a lease expiration in August 2025. The servicer confirmed that the tenant has vacated the property, implying the physical occupancy rate has declined further to approximately 41.0%. Morningstar DBRS notes that, should New York Life opt to vacate upon its December 2025 lease expiration, the property's occupancy rate could decline further to below 25.0%. Given the potential near-term tenancy loss, coupled with the low in-place occupancy rate and weak submarket fundamentals that, according to Reis, reported a vacancy rate of 17.7% as of Q2 2025, Morningstar DBRS believes the subject property has likely suffered a significant decline in value from issuance. As such, Morningstar DBRS analyzed the loan with a liquidation scenario, applying a conservative haircut to the issuance appraised value of $41.4 million, resulting in an implied loss of $16.5 million and a loss severity in excess of 60.0%. The 650 Madison Avenue loan (Prospectus ID#2; 7.0% of the pool) is collateralized by a Class A office and retail tower in Manhattan. The trust loan represents a pari passu portion of a $586.8 million senior loan that combines with subordinate debt for a whole loan of $800.0 million. The loan has been on the servicer's watchlist since April 2023 due to a low DSCR, driven by the departure of several tenants. According to the financial reporting for the trailing six-month period ended June 30, 2025, the loan's DSCR was 0.82x and the property was 81.0% occupied, below the occupancy rate of 97.0% at issuance. Occupancy is expected to fall further following the servicer-confirmed downsizing of the largest tenant, Ralph Lauren (originally 46.1% of the NRA at issuance), which will vacate 102,756 sf (17.1% of the NRA) upon lease expiration in November 2025. The tenant has signed a long-term extension for the remainder of its space (22.2% of the NRA) through April 2036, however, at a notably lower base rent of $63.00 per square foot (psf; subject to an 8.0% annual escalation) compared with the tenant's former rate of $75.20 psf. Although the second-largest tenant, BC Partners Inc. (currently 4.3% of the NRA; lease expiration in April 2024), has agreed to extend its lease through August 2037 and expand its space to 7.4% of the NRA, its new base rental rate is also lower than its former rate. Both tenants were given one year of free rent as part of their respective long-term renewals. In anticipation of further stress on cash flow, Morningstar DBRS considered an elevated LTV and probability of default penalty, resulting in an EL that was more than 4.0x the pool's WA EL. Mitigating factors include strong sponsorship provided by Vornado and Oxford Properties, the building's quality, and its desirable location close to major landmarks, including Central Park and the Rockefeller Center. Three loans are shadow-rated investment-grade by Morningstar DBRS: Kings Plaza (Prospectus ID#3; 7.0% of the current pool); F5 Tower (Prospectus ID#5; 5.8% of the current pool); and Bellagio Hotel and Casino (Prospectus ID#7; 5.1% of the current 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 these loans remains consistent with investment-grade characteristics. The Class F5T-A, F5T-B, F5T-C, and F5T-D loan-specific certificates are backed by the $112.6 million subordinate companion loan of the $297.6 million F5 Tower whole loan. The loan is secured by 515,518 sf of Class A office space and a 259-space underground parking garage in Seattle. The office space is 100% occupied by F5 Networks, Inc., which uses the space as its headquarters, on a lease through September 2033. The loan-specific certificates are not pooled with the remainder of the trust loans. In April 2024, Morningstar DBRS downgraded all four loan-specific certificates as part of a bulk credit rating action taken on its portfolio of single-asset/single-borrower transactions secured by office properties. As part of that review, Morningstar DBRS increased its capitalization rate by 50 basis points to 7.0%, bringing it in line with assets of similar quality and location that were analyzed as part of the bulk review. Morningstar DBRS confirms that the performance of the underlying collateral remains in line with its expectations, supporting the rating confirmations for those classes. Notes: All figures are in U.S. dollars unless otherwise noted. BCP TRUST 2021-330N: Moody's Downgrades Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on four classes and affirmed the ratings on two classes in BCP Trust 2021-330N, Commercial Mortgage Pass-Through Certificates, Series 2021-330N as follows: Cl. A, Downgraded to B2 (sf); previously on Mar 7, 2025 Downgraded to Ba1 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Mar 7, 2025 Downgraded to B1 (sf) Cl. C, Downgraded to C (sf); previously on Mar 7, 2025 Downgraded to Caa1 (sf) Cl. D, Downgraded to C (sf); previously on Mar 7, 2025 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Mar 7, 2025 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Mar 7, 2025 Downgraded to C (sf) RATINGS RATIONALE The ratings on four principal and interest (P&I) classes were downgraded primarily due to the increase in Moody's loan-to-value (LTV) ratio resulting from weaker fundamentals in the downtown Chicago office market and anticipated further decline in property cash flows from expected increase in operating expenses as well as the loan's prolonged delinquency status and resulting increase in servicer advances and interest shortfalls from Moody's prior review. The property's cash flow has continued to decline since 2022 driven by lower occupancy and higher operating expenses and Moody's anticipate expenses will continue to increase based on the expiration of the current tax abatement benefit in 2027. Additionally, the property's submarket vacancy has also continued to increase through the first two quarters of 2025. There were outstanding loan advances totaling $16.4 million (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) as of the August 2025 remittance statement compared to $9.5 million at last review. The downgrades also reflect the potential for higher ongoing interest shortfalls and higher expected losses upon the ultimate loan resolution given the property's performance and market value data on comparable office properties. The ratings on two P&I classes, Cl. E and Cl. F, were affirmed because the ratings are consistent with Moody's expected loss. The interest only, floating rate loan is secured by the fee interest in a Class A office building and the leasehold interest in an adjacent parking garage in downtown Chicago. The loan has been in special servicing since August 2024 for imminent default shortly after the borrower exercised the second loan extension option (extending the maturity to June 2025). As part of the loan extension the borrower purchased a strike rate cap that expired in June 2025 and the debt service has subsequently increased based on the uncapped debt service payment. The loan remains last paid through its September 2024 payment date and the servicer has initiated foreclosure with a receiver in-place at the property since January 2025. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the August 2025 distribution date, the transaction's certificate balance was $370.0 million, the same as at securitization. The interest only, floating rate loan is secured by the fee simple interest in floors 14-52 of a 52-story Class A office property located at 330 North Wabash Avenue, and the leasehold interest in a 904-space parking garage, located adjacent at 401 North State Street, in Chicago, IL. The loan had an initial maturity in June 2023 with three, one year extension options resulting in a fully extended maturity date of June 2026. The borrower exercised the second extension option in June 2024, extending the maturity to June 2025, however, the loan then transferred to special servicing in July 2024. The loan was current through the September 2024 payment date, however, no subsequent debt service payments have been made. The borrower did not exercise the third extension option, and the interest rate cap associated with the June 2024 extension expired in June 2025, causing the interest only debt service to now be uncapped. The property was originally built in 1972 and was designated a Chicago landmark in 2008. From 2010 to 2020, the subject underwent a comprehensive $155.2 million ($131 PSF) renovation that completely redeveloped the interior of the landmark structure. The property is classified as a Class L "Historical Building" by Cook County and benefits a specific tax abatement that will expire in 2027. The expiration of the tax abatement is expected to cause the property's tax expense to increase to $23 million in 2027 compared to $13 million in 2024 assuming the property's taxable assessed value remains in-line with current levels. The property's financial performance has declined since 2022 and remains well below expectations at securitization. The cash flow declines have resulted from a combination of higher expenses and lower occupancy driven by downsizing and departures of multiple tenants between 2022 and 2024. According to the rent roll, the property was 81% leased in June 2025, compared to 94% in June 2021. Furthermore, leases representing approximately 29% of the property's net rentable area (NRA) are scheduled to expire by the end of 2027, which coincides with the expiration of the property's tax abatement, putting potential significant pressure on the property's cash flow. The property's reported 2024 net operating income (NOI) was $17.6 million, significantly lower than the NOI of $27.4 million in 2023 and $29.6 million in 2022. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's uncapped debt service coverage ratio (DSCR) has dropped to well below 1.00X based on the 2024 NOI. As a result of the appraisal reduction amount (ARA) of $188.7 million recognized since the February 2025 remittance, interest shortfalls have accumulated to $8.7 million affecting up to Cl. D as of the August 2025 remittance statement. There are also outstanding loan advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) of $16.4 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. While the property is well-located in the Chicago CBD within the North Michigan Avenue submarket, the Chicago CBD office market vacancies have increased significantly since securitization and have continued to increase over the first two quarters of 2025. According to CBRE Econometric Advisors, the North Michigan Avenue submarket included 4.9 million SF of Class A office space as of Q2 2025 with a vacancy rate of 24.9%, compared to a vacancy rate of 22.2% as of Q4 2024 and 15.8% in 2023 and 11.4% at securitization. The North Michigan Avenue submarket has seen consecutive years of negative net absorption since 2020. Given the combination of weaker fundamentals of the submarket, concentrated lease expirations in 2027 and anticipated increase in expenses, the property faces risks of further declines in cash flow and value. Moody's capitalization rate was increased and Moody's NCF is now $12.8 million compared to $14.8 million at Moody's last review and $24.9 million at securitization. Moody's LTV ratio is 274% based on Moody's Value. The Adjusted Moody's LTV ratio is 265% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed debt service coverage ratio (DSCR) is now 0.37X. BENCHMARK 2025-B41: DBRS Finalizes BB(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-B41 (the Certificates) issued by Benchmark 2025-B41 Mortgage Trust (BMARK 2025-B41): -- Class A-1 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class X-D at BBB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class X-G at BB (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) All trends are Stable. The collateral for the BMARK 2025-B41 transaction consists of 43 fixed-rate loans secured by 55 commercial and multifamily properties with an aggregate cut-off date balance of $631.0 million. Five of the loans, representing 36.2% of the pool, are shadow-rated as investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the pool's Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) was 2.39x when the shadow-rated loans are included and 1.36x when the shadow-rated loans are excluded. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) was 47.5%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 46.5% at maturity based on the A note balances. When the shadow-rated loans are excluded, the deal exhibits a reasonable Morningstar DBRS WA Issuance LTV of 61.1% and a Morningstar DBRS WA Balloon LTV of 60.2%. Four loans, making up about 15.6% of the total pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%. This threshold typically correlates to an above-average default frequency. Three loans, 10.2% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.15x. Five loans, 15.4% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.25x, which is typically the threshold that indicates higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. A total of five loans, representing 36.2% of the total pool, exhibit credit characteristics consistent with investment-grade shadow ratings. These loans' credit characteristics were as follows: BioMed MIT Portfolio was consistent with a shadow rating of AAA; Rentar Plaza was consistent with a shadow rating of AA (high); Washington Square was consistent with a shadow rating of A (low); Audible - Amazon was consistent with a shadow rating of BBB; and 32 Old Slip - Leased Fee was consistent with a shadow rating of BBB (high). This transaction features 23 National Cooperative Bank (NCB) loans, representing 15.0% of the pool, which consists of co-operative multifamily properties. These loans have an exceptionally low Morningstar DBRS WA Issuance LTV of 12.9% and a significantly high Morningstar DBRS DSCR of 6.46x. Sixteen loans, representing 16.6% of the pool, are backed by properties in a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area that experiences increased liquidity driven by strong investor demand, even during times of market stress. Additionally, 14 loans, or 32.2% of the pool, are backed by properties in Morningstar DBRS Market Ranks of 5 or 6, which benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. Twenty-nine loans, or 47.1% of the pool, are backed by properties in a Morningstar DBRS Metropolitan Statistical Area (MSA) Group of 3, which represents the best-performing MSA group out of the top 25 MSAs in terms of historical commercial mortgage-backed securities (CMBS) default rates. Loans collateralized by properties in Morningstar DBRS MSA Group 3 reside in the following MSAs: New York-Northern New Jersey-Long Island, NY-NJ-PA MSA; Los Angeles-Long Beach-Santa Ana, CA MSA; Boston-Cambridge-Quincy, MA-NH MSA; and Portland-Vancouver-Beaverton, OR-WA MSA. Thirty-five loans, making up 66.8% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.7%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. When the shadow-rated loans are excluded, the transaction exhibits a reasonable Morningstar DBRS WA LTV of 61.1%. Only three loans in the pool, making up 9.2% of the total, have a Morningstar DBRS LTV equal to or higher than 70.0%; one of these loans, 32 Old Slip - Leased Fee, representing 3.3% of the pool, has a Morningstar DBRS LTV of 74.2%. The initial Morningstar DBRS WA DSCR of 2.39x, or 1.36x when shadow-rated and loans secured by cooperative properties are excluded, is healthy in today's challenging interest rate environment where debt service payments have nearly doubled since mid-2022, severely constraining DSCRs. Five loans, representing 32.1% of the pool, received a property quality assessment of Average + or Above Average, while only one loan, representing 7.1% of the pool, received a property quality assessment of Average -. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Two loans, representing 18.7% of the pool, were classified as having Strong sponsorship. These sponsors included BioMed Realty, L.P. for BioMed MIT Portfolio and The Macerich Partnership, L.P. for the Washington Square loan. No loans were classified as having Weak sponsorship by Morningstar DBRS. The pool contains 43 loans and is concentrated with a lower Herfindahl score of 18.2, with the top 10 loans representing 67.1% of the pool. These metrics are lower than the Morningstar DBRS-rated BBCMS Mortgage Trust 2025-5C34 transaction, which had a Herfindahl score of 22.5, and the BANK5 2025-5YR16 transaction, which had a Herfindahl score of 21.6. Thirty-nine loans, representing 85.3% of the total pool balance, are refinancing or recapitalizing existing debt and may not have a third-party acquisition price to support the value conclusion. Acquisition financing typically includes a meaningful cash investment from the sponsor on an agreed upon price and aligns the interests more closely with those of the lender, whereas refinance transactions may be cash-out transactions that reduce the borrower's commitment to a property. Twenty loans, representing 71.7% of the pool, are structured with interest-only (IO) payment structures and do not benefit from any amortization. Four of the remaining loans are partial IO (16.2% of the pool), while 16 (12.1% of the pool) amortize over their full loan terms with no periods of IO payments. Thirty-one loans, representing 63.4% of the pool, exhibit negative leverage, defined as the Issuer's implied capitalization rate (cap rate) (Issuer's NCF divided by the appraised value) less the current interest rate. Among the loans that exhibit negative leverage, the average negative leverage was -1.5%. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests that borrowers are willing to have lower equity returns to secure financing. In the longer term, if interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect their borrowers' ability to refinance their loans. Properties in New York City secure 26 loans, representing 29.8% of the pool. Conduit pools generally benefit from location diversity in case there is an adverse event that affects certain locations. Changes in New York and New York City government policy or local economic trends could negatively affect approximately 30.0% of the loans in the pool secured by properties in New York City. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-V17: DBRS Gives Prov. BB(high) Rating on GRR Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-V17 (the Certificates) to be issued by Benchmark 2025-V17 Mortgage Trust (the Trust): -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (high) (sf) -- Class A-M at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class C at (P) AA (sf) -- Class X-D at (P) AA (low) (sf) -- Class D at (P) A (high) (sf) -- Class E at (P) A (sf) -- Class F-RR at (P) BBB (sf) -- Class G-RR at (P) BB (high) (sf) All trends are Stable. Classes X-D, D, E, F-RR, G-RR, and J-RR will be privately placed. The collateral for the BMARK 2025-V17 transaction consists of 27 fixed-rate loans secured by 145 commercial and multifamily properties with an aggregate cut-off date balance of $629.0 million. Three of the loans, representing 17.7% of the pool, are shadow-rated as investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.59 times (x) when the shadow-rated loans are included and 1.39x when the shadow-rated loans are excluded. The Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) of the pool was 58.6%. When the shadow-rated loans are excluded, the deal exhibits a reasonable Morningstar DBRS WA Issuance LTV of 63.1%. Seven loans, making up about 24.1% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%. This threshold typically correlates to an above-average default frequency. Seven loans, representing 16.5% of the pool, exhibited a Morningstar DBRS Issuance DSCR below 1.15x. Thirteen loans, representing 43.2% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.25x, which is typically the threshold that indicates a higher likelihood of midterm default. The transaction has a sequential-pay pass-through structure. Three loans, representing 17.7% of the total pool, exhibit credit characteristics consistent with investment-grade shadow ratings. The credit characteristics of these loans are as follows: 180 Water is consistent with a shadow rating of AA (high), Vertex HQ is consistent with a shadow rating of AA (high), and ILPT 2025 Portfolio is consistent with a shadow rating of A (low). Representing 34.1% of the pool, eight loans have a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Additionally, five loans, or 16.7% of the pool, are backed by properties with Morningstar DBRS Market Ranks of 5 or 6, which benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Fifteen loans, representing 64.6% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, which represents the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs. Six loans, representing 25.0% of the pool, received a property quality assessment of Average + or Above Average, while only two loans, representing 10.9% of the pool, received a property quality assessment of Average -. The remaining loans in the pool received a property quality assessment of Average. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Eight loans, making up 42.5% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.7%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. When the shadow-rated loans are excluded, the transaction exhibits a reasonable Morningstar DBRS WA LTV of 63.1%. Only two loans, making up 6.0% of the total pool, have a Morningstar DBRS LTV equal to or higher than 70.0%. The pool contains 27 loans and is concentrated with a lower Herfindahl score of 17.0, with the top 10 loans representing 67.8% of the pool. These metrics are lower than those for the Morningstar DBRS-rated BBCMS 2025-5C34 transaction, which had a Herfindahl score of 22.5; the BANK5 2025-5YR16 transaction, which had a Herfindahl score of 21.6; and the BMARK 2025-B41 transaction, which has a Herfindahl score of 18.2. Twenty-two loans, representing 87.7% of the total pool balance, are refinancing existing debt and may not have a third-party acquisition price to support the value conclusion. Acquisition financing typically includes a meaningful cash investment from the sponsor on an agreed-upon price and aligns the interests more closely with those of the lender, whereas refinance transactions may be cash-out transactions that reduce the borrower's commitment to a property. All loans in the transaction pool have interest-only (IO) payment structures and do not benefit from any amortization. Fourteen loans, representing 54.7% of the pool, exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) less the current interest rate. Among the loans that exhibit negative leverage, the average negative leverage was -0.74%. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests that borrowers are willing to have lower equity returns to secure financing. In the longer term, if interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect their borrowers' ability to refinance their loans. Five loans, representing 24.5% of the pool, were assigned a Morningstar DBRS sponsorship strength of Weak or Bad (Litigious), which increases the POD in Morningstar DBRS' model. This designation was generally applied to sponsors that had lower net worth and liquidity, a history of prior defaults, or a lack of experience in commercial real estate (CRE). Properties in New York City secure eight loans, representing 31.4% of the pool. Conduit pools generally benefit from location diversity in case there is an adverse event that affects certain locations. Changes in New York State and New York City government policy or local economic trends could negatively affect the loans in the pool secured by properties in New York City. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-V17: Fitch Gives B-(EXP)sf Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch has assigned expected ratings and Rating Outlooks to Benchmark 2025-V17 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-V17 as follows: - $200,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $240,298,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $48,747,000 class A-M 'AAA(EXP)sf'; Outlook Stable; - $489,045,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $33,809,000 class B 'AA-(EXP)sf'; Outlook Stable; - $25,946,000 class C 'A-(EXP)sf'; Outlook Stable; - $59,755,00b class X-B 'A-(EXP)sf'; Outlook Stable; - $15,725,000c class D 'BBB(EXP)sf'; Outlook Stable; - $15,725,000bc class X-D 'BBB(EXP)sf'; Outlook Stable; - $6,290,000cd class E 'BBB-(EXP)sf'; Outlook Stable; - $18,084,000cd class F-RR 'BB-(EXP)sf'; Outlook Stable; - $11,007,000cd class G-RR 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $29,092,000c,d class J-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $440,298,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those certificates. The expected class A-2 balance range is $0-$200,000,000 and the expected class A-3 balance range is $240,298,000-$440,298,000. The balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Notional Amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 145 commercial properties, with an aggregate principal balance of $628,998,000 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., and Bank of Montreal. The master servicer is expected to be Trimont LLC, the special servicer is expected to be Greystone Servicing Company LLC, and the operating advisor is expected to be Park Bridge Lender Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 89.2% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $61.1 million represents a 17.2% decline from the issuer's underwritten aggregate pool NCF of $73.8 million. Fitch Leverage: The pool's Fitch leverage is broadly in line with that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.8% is in line with the 2025 YTD five-year multiborrower transaction average of 100.6% but above the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.7% is in line with the 2025 YTD average of 9.6% but below the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: Three loans representing 17.7% of the pool received an investment-grade credit opinion. 180 Water (9.5% of the pool) received a standalone credit opinion of 'AAsf*', Vertex HQ (7.1% of the pool) received a standalone credit opinion of 'A-sf*' and ILPT 2025 Portfolio (1.1% of the pool) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is higher than the 2025 YTD and 2024 averages of 10.6% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 109.1% and 9.2%, respectively, are slightly worse than the equivalent conduit 2025 YTD LTV and DY averages of 104.6% and 9.3%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.8% of the pool, which is higher than the 2025 YTD and 2024 averages of 62.1% and 60.2%, respectively. The pool's effective loan count is 18.5. 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'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/ below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'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. BIRCH GROVE 13: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 13 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 13 A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Birch Grove CLO 13 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Positive): 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 (Positive): The indicative portfolio consists of 95% first-lien senior secured loans and has a weighted average recovery assumption of 73.99%. 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 (Positive): 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 (Neutral): 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 (Positive): 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, 'AAsf' 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 13. 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. BLACKROCK DLF 2021-1: DBRS Confirms BB Rating on Class W Notes -------------------------------------------------------------- DBRS, Inc. downgraded its credit rating on the Class W Notes and confirmed its credit ratings on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes (together with the Class W Notes, the Secured Notes) issued by BlackRock DLF IX CLO 2021-1, LLC (the Issuer), as follows: -- Class A-1 Notes confirmed at AAA (sf) -- Class A-2 Notes confirmed at AAA (sf) -- Class B Notes confirmed at AA (sf) -- Class C Notes confirmed at A (sf) -- Class D Notes confirmed at BBB (sf) -- Class E Notes confirmed at BB (sf) -- Class W Notes downgraded to B (low) (sf) from B (sf) The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated March 30, 2021, and amended on August 10, 2022, among the Issuer, U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent, and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. Morningstar DBRS considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (including any Deferred Interest but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; July 9, 2025). The Reinvestment Period end date is March 30, 2025. The Stated Maturity is March 30, 2031. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of August 15, 2025, the Borrower is not in compliance with all its performance metrics. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. As of August 15, 2025, the transaction is failing the Class E Overcollateralization Ratio (current 107.12% vs required 107.54%), the Minimum Weighted Average Spread Test (current 5.30% vs required 5.75%), the Minimum Weighted Average Coupon Test (current 5.548% vs required 6.00%) and the Senior Advance Rate Test (current 93.69% vs required 89.13%), as well as the Concentration Limitations for the Maximum Largest DBRS Industry Classification (current 26.9% vs maximum 25.0%). Morningstar DBRS considered these failures in its analysis. There is one defaulted obligation (a total par amount of $9,878,722.28) registered in the Portfolio. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Secured Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BCIA. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of August 15, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; required 5.75%; currently 5.30% Minimum Weighted Average Coupon: required 6.00%; currently 5.55% Maximum Weighted Average Life: required 4,75; currently 3.41 Maximum Risk Score: Subject to Collateral Quality Matrix; required 38.0; currently 35.9 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; required 47.5%; currently 49.1% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; required 30.0; currently 39.0 Coverage Tests Class A-2 Overcollateralization (OC): Actual 163.10%; Required 143.97% Class B OC: Actual 146.25%; Required 134.18% Class C OC: Actual 131.53%; Required 124.95% Class D OC: Actual 119.50%; Required 115.33% Class E OC: Actual 107.12%; Required 107.54% Class A-2 Interest Coverage (IC): Actual 219.37%; Required 150.00% Class B IC: Actual 194.39%; Required 140.00% Class C IC: Actual 170.21%; Required 130.00% Class D IC: Actual 150.28%; Required 120.00% Class E IC: Actual 129.87%; Required 110.00% Class W IC: Actual 126.79%; Required 100.00% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 39 vs required level of 30), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the per the Collateral Quality Matrix) and the majority may not have public credit ratings, and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis supported the credit rating actions on the Secured Notes. In the Level II surveillance process, the predictive model is utilized to determine if the current rating is passing or failing. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Secured Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes (together, the Secured Notes), and the Class W Notes (together with the Secured Notes, the Notes) issued by BlackRock DLF IX CLO 2021-2, LLC (BlackRock IX CLO or the Issuer), as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at A (high) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) The Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated May 20, 2021, as amended on August 2, 2022, among the Issuer and U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. Morningstar DBRS considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; July 9, 2025). BlackRock DLF IX CLO 2021-2, LLC is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans. The Reinvestment Period end date is May 20, 2027. The Stated Maturity is May 20, 2035. As of August 15, 2025, the Borrower is not in compliance with all its performance metrics. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. As of August 15, 2025, the transaction is failing the Minimum Weighted Average Spread Test (current 4.989% vs required 5.250%) and the Class E Overcollateralization Ratio Test (current 110.60% vs required 110.75%). Morningstar DBRS considered these failures in its analysis. To date, there are no defaulted obligations in the portfolio In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of August 15, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread: Current 4.989%; Threshold 5.250% Minimum Weighted Average Coupon: Current NA; Threshold 6.00% Maximum Morningstar DBRS Risk Score: Current 35.02; Threshold 36.88 Minimum Weighted Average Recovery Rate: Current 50.0%; Threshold 46.8% Minimum Diversity Score: Current 41; Threshold 30 Coverage Tests Class A Overcollateralization (OC): Actual 158.34%; Required 143.97% Class B OC: Actual 144.71%; Required 135.27% Class C OC: Actual 134.21%; Required 128.66% Class D OC: Actual 122.64%; Required 119.22% Class E OC: Actual 110.60%; Required 110.75% Class A Interest Coverage (IC): Actual 223.62%; Required 150.00% Class B IC: Actual 201.28%; Required 140.00% Class C IC: Actual 182.21%; Required 130.00% Class D IC: Actual 161.07%; Required 120.00% Class E IC: Actual 139.37%; Required 110.00% Class W IC: Actual 135.23%; Required 100.00% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 41 vs required level of 30), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis produced satisfactory results, which supported the credit rating confirmation on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning credit ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2022-1: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its following credit ratings on the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by BlackRock DLF X CLO 2022-1, LLC, and also confirmed its credit rating on the Issuer's Class W Notes (together with the Secured Notes, the Notes), pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of August 5, 2022, among BlackRock DLF X CLO 2022-1, LLC, as the Issuer; Wilmington Trust National Association (rated A with a Stable trend by Morningstar DBRS), as the Collateral Agent, Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at A (low) (sf) -- Class C Notes at BBB (sf) -- Class D Notes at BB (sf) -- Class W Notes at B (sf) The credit ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of August 5, 2034. The credit ratings on the Class B, Class C, Class D, and Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; July 9, 2025). BlackRock DLF X 2022-1 CLO, LLC is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans. The Reinvestment Period end date is August 5, 2026. The Stated Maturity is August 5, 2034. As of August 15, 2025, the Borrower is not in compliance with all its performance metrics. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. As of August 15, 2025, the transaction is failing the Minimum Weighted Average Spread Test (current 5.03% vs required 5.25%) Morningstar DBRS considered this failure in its analysis. To date, there are no defaulted obligations in the portfolio. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of August 15, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests: Minimum Weighted Average Spread: Actual 5.03%; Threshold 5.25% Maximum Morningstar DBRS Risk Score: Actual 32.42; Threshold 32.75 Minimum Weighted Average Recovery Rate: Actual 50.60%; Threshold 49.00% Minimum Diversity Score: Actual 39; Threshold 23 Coverage Tests: Class A Overcollateralization (OC): Actual 157.89%; Required 134.18% Class B OC: Actual 136.76%; Required 119.11% Class C OC: Actual 129.23%; Required 117.63% Class D OC: Actual 120.32%; Required 112.76% Class A Interest Coverage (IC): Actual 339.22%; Required 150.00% Class B IC: Actual 277.58%; Required 140.00% Class C IC: Actual 254.13%; Required 120.00% Class D IC: Actual 224.92%; Required 110.00% Class W IC: Actual 217.54%; Required 100.00% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured floating-rate Middle Market loans and (2) the adequate diversification of the portfolio of collateral obligations (current DScore of 39 vs the required level of 23). Some challenges were identified as follows: (1) the weighted average credit quality of the underlying obligors may fall below investment grade and may not have public ratings and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis produced satisfactory results, which supported the credit rating confirmation on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning credit ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-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. At the time, S&P withdrew its ratings on the previous class A, B, C, D, and E debt following payment in full on Sept. 16, 2025. 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 CME term SOFR than the original debt. -- An additional 'AAA (sf)'-rated class, class A-2-R, was issued at a 34% par subordination level. -- An additional 'BBB- (sf)'-rated class, class D-2-R, was issued at an 11% par subordination level. -- The target par increased from $400 million to $450 million. -- The stated maturity, reinvestment period, and non-call period were extended by approximately two years. -- The required minimum overcollateralization coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Canyon CLO 2023-1 Ltd./Canyon CLO 2023-1 LLC Class A 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 Canyon CLO 2023-1 Ltd./Canyon CLO 2023-1 LLC Subordinated notes, $40.83 million: NR NR--Not rated. CARLYLE US 2021-8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-8, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2021-8, Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Carlyle US CLO 2021-8, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. This is the first reset of the deal which originally closed in September 2021. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.79 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 94.72% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.31% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is seven months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2021-8, 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. CARMAX SELECT 2025-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by CarMax Select Receivables Trust 2025-B (CMXS 2025-B). Entity/Debt Rating ----------- ------ CarMax Select Receivables Trust 2025-B A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral — Subprime Credit Quality: CMXS 2025-B has stronger credit quality relative to subprime peers, with a weighted-average (WA) FICO score of 613 and WA loan-to-value (LTV) ratio of 96.3%. Both represent an improvement compared to 2025-A and 2024-A, which had a WA FICO of 608 and 603, respectively, and a WA LTV of 96.6% and 97.0%. Loans with original terms greater than 60 months total 86.2% of the collateral pool, higher than 84.7% for 2025-A and 75.8% for 2024-A. The pool primarily comprises used vehicles, similar to 2025-A and 2024-A, with a concentration of ValuMax vehicles at 36.5%, up from 30.8% in 2025-A and 31.0% in 2024-A. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Loss performance for the non-prime portfolio peaked in 2016 after beginning originations in 2014 and experienced subsequent improvement in 2018. While the 2019 and 2020 vintages of CarMax Business Services, LLC (CBS) managed portfolio benefited from government stimulus, net losses on the 2021 through 2024 vintages are currently tracking higher compared with all prior vintages due to impacts from continuing economic headwinds. Fitch utilized 2007-2009 peer proxy data, together with the 2006-2008 data from the lower credit quality segment of U.S. CarMax Auto Finance's (CAF) core portfolio, as proxy recessionary managed portfolio data. To reflect recent performance, Fitch utilized 2022-2023 vintage data from CAF, together with 2016-2019 peer proxy data, to arrive at a forward-looking rating-case cumulative net loss (CNL) proxy of 9.25%, up from 9.00% in 2025-A and 2024-A. Payment Structure — Adequate Credit Enhancement (CE): Initial hard CE totals 26.90%, 20.30%, 12.55%, 5.10% and 3.50% for classes A, B, C, D and E, respectively. This is down across all classes compared to 2025-A and 2024-A. Initial expected excess spread is 8.80%, which is higher than the 8.52% in 2025-A. Initial CE is sufficient to withstand Fitch's rating-case CNL proxy of 9.25% at the applicable rating loss multiples. Operational and Servicer Risk — Stable Origination/Underwriting/Servicing: CBS demonstrates adequate abilities as underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch deems CBS as capable to service this series. Base Case Loss Expectation: Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 7.00% based on Fitch's Global Economic Outlook - September 2025 and peer managed pool performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. In addition, Fitch conducts a 1.5x and 2.0x increase to the rating case CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. 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 Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CNL is 20% less than the projected rating case proxy, the expected ratings for the subordinate notes could be upgraded by up to seven notches USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 125 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of electric vehicles in the pool, at 1.94%, did not affect Fitch's ratings analysis or conclusion on this transaction; as such, it has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-10: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-10 (Chase 2025-10). Entity/Debt Rating ----------- ------ Chase 2025-10 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-B LT AAA(EXP)sf Expected Rating A-9-X1 LT AAA(EXP)sf Expected Rating A-9-X2 LT AAA(EXP)sf Expected Rating A-9-X3 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-A LT AAA(EXP)sf Expected Rating A-10-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-A LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-16-A LT AAA(EXP)sf Expected Rating A-16-X LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-A LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-18-A LT AAA(EXP)sf Expected Rating A-18-X LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 536 loans with a scheduled balance of $654.37 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong with a large percentage of loans over $1.0 million. Of the loans, 99.5% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.3% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.3% yoy nationally as of May 2025 despite modest regional declines but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 536 high-quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $654.37 million. In total, 99.5% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months, according to Fitch. The pool has a WA FICO score of 774, as determined by Fitch, based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated current FICO is 768. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 84.4% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value ratio (CLTV) is 75.6%, which translates to a sustainable loan-to-value ratio (sLTV) of 83.5%. This represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 99.5% of the loans are designated as SHQM APOR loans and 0.5% are rebuttable presumptions QM loans. Of the pool, 100% of the loans are to borrowers of a primary or secondary residence (88.6% primary and 11.4% secondary). Single-family homes and planned unit developments (PUDs) constitute 91.2% of the pool, condominiums make up 6.5%, co-op's make up 1.0%, and multifamily make up the remaining 1.3%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (89.4%), cashout refinances (2.0%) and rate-term refinances (8.6%). None of the loans are for investment properties and a majority of the mortgages are purchases, which Fitch views favorably. Of the pool loans, 24.4% are concentrated in California, followed by Texas and Washington. The largest MSA concentration is in the New York MSA (9.9%), followed by the San Francisco MSA (7.6%) and the Washington DC MSA (7.5%). The top three MSAs account for 25.1% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): Mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out of receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association as trustee will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the nonretained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero, and then to the senior classes (excluding class A-X-1) pro rata, based on the current interest accrued for each class until the amount of current interest is reduced to zero. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 1.20% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.00% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.12% at the 'AAAsf' stress due to 53.0% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 53.0% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2025-10 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled in Chase 2025-10 and there is strong transaction due diligence. The entire pool is originated by an 'Above Average' originator and all the pool loans are serviced by a servicer rated 'RPS1-' which results a reduction in expected losses, has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2018-III: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2018-III, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2018-III, Ltd. A 12551YAA1 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Transaction Summary CIFC Funding 2018-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC. The transaction originally closed July 2018. The CLO's secured notes will be refinanced in whole on Sept. 5, 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 24.32 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.46% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.74% 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-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2018-III, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CIFC FUNDING 2025-V: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2025-V, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2025-V, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2025-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.86, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-V, 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. COMM 2012-CCRE4: Moody's Downgrades Rating on 2 Tranches to Caa1 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on three classes in COMM 2012-CCRE4 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE4 as follows: Cl. A-3, Downgraded to Baa1 (sf); previously on Feb 10, 2025 Downgraded to Aa2 (sf) Cl. A-M, Downgraded to Caa1 (sf); previously on Feb 10, 2025 Downgraded to B3 (sf) Cl. B, Affirmed C (sf); previously on Feb 10, 2025 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Feb 10, 2025 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Feb 10, 2025 Affirmed C (sf) Cl. X-A*, Downgraded to Caa1 (sf); previously on Feb 10, 2025 Downgraded to B2 (sf) Cl. X-B*, Affirmed C (sf); previously on Feb 10, 2025 Affirmed C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. A-3 was downgraded due to the sustained interest shortfalls resulting from continued expenses associated with a previously liquidated loan, the Fashion Outlets of Las Vegas loan, which liquidated in April 2021. All available proceeds from the two outstanding loans have been used to pay these outstanding expenses since the December 2024 remittance causing no interest or principal to be distributed to Cl. A-3 for the past nine months. Cl. A-3 has already paid down 97% from its original balance and based on Moody's analysis of expected collateral performance and the significant credit support on the class, Moody's believes the interest shortfalls will be ultimately recouped, however, the timing of such recoupment remains uncertain. Given that interest shortfalls have been increasing for the past nine months and the uncertainty around the amount of remaining expenses, Moody's expects these shortfalls to impact Cl. A-3 for more than 18 months from the initial date of the shortfalls. The remaining two loans in the pool have both been extended to September 2026 and October 2026, respectively, and therefore Moody's do not expect any material principal proceeds from these loans in the near term. The rating on Cl. A-M was downgraded due to the increase in interest shortfalls and expected losses from the remaining two loans and the continued expenses associated with the aforementioned Fashion Outlets of Las Vegas loan. Interest shortfalls have accumulated to $2.8 million on Cl. A-M and due to ongoing litigation associated with the Fashion Outlets of Las Vegas loan, there is uncertainty regarding the duration and magnitude of future expenses that the special servicer may pass to the trust, which may result in additional interest shortfalls and higher potential losses. Furthermore, the two remaining loans (100% of the remaining pool balance) are both in special servicing and have had significant declines in cash flow and value since securitization. Both loans were recently extended after failing to pay off at their previously extended maturity dates. The largest specially serviced loan is the Prince Building Loan (51% of the pool), which has been extended to October 2026 and is secured by a mixed use (office & retail) building that is 56% leased after the departure of a major tenant in September 2023. The other specially serviced loan, Eastview Mall and Commons (49% of the pool), has been extended to September 2026, however, the cash flow remains below levels at securitization and the most recent appraisal value from June 2025 was well below the outstanding loan balance. The ratings on three P&I classes, Cl. B, Cl. C, and Cl. D, were affirmed because their ratings are consistent with Moody's expected loss plus realized losses. Cl. D has already experienced a 71% loss from previously liquidated loans. The rating on one IO class, Cl. X-A, was downgraded based on a decline in the credit quality of its referenced classes. The rating on one IO class, Cl. X-B, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 49.0% of the current pooled balance, compared to 48.5% at Moody's last review. Moody's base expected loss plus realized losses is now 20.2% of the original pooled balance, compared to 20.1% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and ou Moody's r internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). 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 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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the August 15, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $245 million from $1.1 billion at securitization. The certificates are collateralized by two mortgage loans, both of which have been extended multiple times after passing their original and previously extended maturity dates. Both remaining loans, constituting 100% of the pool, are currently in special servicing. Six loans have been liquidated from the pool, contributing to an aggregate realized loss of $104.8 million (for an average loss severity of 85%). The largest loss is associated with Fashion Outlets of Las Vegas which has continued to accumulate further losses since its initial liquidation in April 2021 and realized an aggregate loss of $82.0 million as of the September 2025 remittance. As of the August 2025 remittance statement cumulative interest shortfalls were $22.1 million. The ongoing interest shortfalls are primarily being caused by expenses related to the previously liquidated Fashion Outlets of Las Vegas loan, which was liquidated with a greater than 100% loss in April 2021 but continues to incur additional expenses due to ongoing litigation. Since the December 2024 remittance statement, no principal or interest proceeds were distributed to the outstanding certificates which caused interest shortfalls to impact Cl. A-3. Moody's expects these expenses and shortfalls to continue due to servicer recoveries of expenses related to this loan. The largest specially serviced loan is the Prince Building loan ($125 million -- 51% of the pool), which represents a pari passu portion of a $200 million whole loan. The loan is secured by a 379,000 square foot (SF) mixed-use office and retail property located in the SoHo neighborhood of New York City. The office portion makes up 78% of the net rentable area (NRA) and the largest tenant is ZocDoc (13% of NRA) with a lease expiration in 2035. The retail component makes up the remaining 22% of NRA, and the largest retail tenant is Equinox sports club (10% of NRA). The prior largest office tenant, Group Nine Media (95,000 SF – 26.5% of NRA), vacated after their September 2023 lease expiration and the second largest retail tenant, Forever 21 (20,841 SF – 5.5% of NRA), vacated as well. The borrower indicated the vacated office space is currently being marketed for a replacement tenant, however, the departure has caused the property's cash flow to significantly decline. The year-end 2023 NOI was already 23% lower than at securitization and the further cash flow decline caused the December 2024 NOI to be 47% lower than securitization levels. The loan is in cash management with all excess cash being trapped to the reserve. As of June 2025, the property was 56% leased with a reported NOI DSCR of 1.46X based on interest only payments at a 4.3% interest rate. After failing to pay off at its initial October 2022 maturity date, the loan was extended through October 2023 with an additional one-year extension through October 2024. The loan transferred back to special servicing in July 2024 and servicer commentary indicated the borrower recently entered into a maturity extension through October 2026. The loan has generally remained current on its interest only debt service payment due to positive cash flow and its low in-place interest rate. The most recently reported appraisal value in November 2024 remained above the outstanding mortgage loan balance, however, due to the recent occupancy and cash flow declines Moody's anticipates a moderate loss on this loan. The other specially serviced loan is the Eastview Mall and Commons Loan ($120 million -- 49% of the pool) which represents a pari passu portion of a $210 million whole loan. The loan is secured by a 725,300 SF portion of a 1.4 million SF regional mall (Eastview Mall) and an 86,370 SF portion of a 341,000 SF power center (Eastview Commons) located adjacent to the mall, which is located in Victor, NY, 15 miles southeast of Rochester. The mall portion is anchored by non-collateral Macy's, JC Penny, Von Maur and Dicks Sports. The Dicks Sports backfilled a previous Sears store. The non-collateral portion also includes a former Lord & Taylor space that closed in 2021. The mall collateral is anchored by a 13 screen Regal Cinemas, Raymour & Flanagan and LL Bean. It also includes an Apple store, the only one within a 60 mile radius. The Eastview Commons portion includes non-collateral Home Depot and Target stores, and collateral tenants Best Buy, Staples and Old Navy. As of June 2025, the collateral was 87% leased, compared to 90% as of December 2022 and 94% at securitization. The loan has been in special servicing multiple times and after it failed to pay off at its original September 2022 maturity, the loan was extended through September 2024. The loan transferred back to the special servicer in September 2024 and was granted an additional two-year extension to September 2026 pursuant to terms and conditions in the modification agreement. The loan is in cash management for the remainder of the term with all excess cash being trapped. The reported March 2025 NOI DSCR was 1.46X based on interest only payments and a 4.625% interest rate. The NOI has been relatively stable since 2020, however, it has remained significantly below levels at securitization since 2019 and year-end 2024 NOI was 28% below the NOI in 2012. The property's most recent appraisal from June 2025 valued the property 48% lower than the outstanding loan balance and the servicer has recognized a 51% appraisal reduction, however, the loan was current on debt service payments as of the most recent remittance date. Given the property's performance and market conditions, the loan will likely continue to face refinance risk at its extended maturity date, and Moody's anticipates a significant loss on this loan. Moody's estimates an aggregate $120.0 million loss for the specially serviced loans (49.0% expected loss). COMM 2013-CCRE11: DBRS Lowers Rating on 2 Classes to CCC -------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE11 issued by COMM 2013-CCRE11 Mortgage Trust as follows: -- Class F to CCC (sf) from B (high) (sf) -- Class X-C to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class X-B at BBB (high) (sf) The trends on Classes D, E, and X-B are Negative. Classes F and X-C have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrade on Class F (which previously had a Negative trend) reflects Morningstar DBRS' liquidated loss projections for the pool as a result of the recoverability analysis for the four loans outstanding as of the August 2025 reporting, specifically regarding the three specially serviced loans (representing 91.0% of the pool). The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for accrued servicer advances and additional projected expenses. Morningstar DBRS liquidated all three specially serviced loans as discussed in further detail below, projecting total liquidated losses of nearly $40.0 million, which erodes approximately 92% of the unrated Class G certificate and the available credit support to Class F, supporting the credit rating downgrade. Morningstar DBRS maintained Negative trends on Classes X-B, D, and E because of the propensity for increasing interest shortfalls. As of the August 2025 remittance, outstanding interest shortfalls totaled approximately $1.8 million, an increase from the $0.7 million at the previous credit rating action in September 2024. Approximately $1.7 million of the total $1.8 million shortfall is contained to the unrated Class G certificate with the remaining balance affecting the rated Class F certificate. With the August 2025 remittance, Class F received approximately 50.0% of scheduled interest due, becoming the first occurrence of interest shortfalls affecting the bond. The primary contributing factors causing the increasing interest shortfalls include the servicer's determination of nonrecoverability of the specially serviced Parkview Tower (Prospectus ID#12, 21.3% of the pool) and Hartford Gardens Portfolio (Prospectus ID#18, 10.3% of the pool) loans. The Oglethorpe Mall (Prospectus ID#5, 59.4% of the pool) loan continues to pay the full scheduled interest payment. Morningstar DBRS expects a prolonged timeframe to resolution for all three specially serviced loans, which will increase the propensity for interest shortfalls to affect the Class D and E certificates, supporting the Negative trends. Morningstar DBRS' tolerance for shorted interest at the BBB (sf) credit category is limited to four months while the BB (sf) and B (sf) credit category is limited to six months. As of the August 2025 remittance, the trust has a current balance of $130.5 million, representing a collateral reduction of 89.7% since issuance; however, there has been no additional loan repayment since September 2024. The remaining non-specially serviced loan, 380 Lafayette Streete (Prospectus ID#22, 9.0% of the pool) is secured by a 15,000-square-foot (sf), single-tenant retail property in New York City. The loan is currently on the servicer's watchlist for a trigger event related to a low debt service coverage ratio (DSCR). The loan was previously modified, extending the maturity date to October 2026. The largest loan and primary driver of Morningstar DBRS' loss projections is Oglethorpe Mall, which is secured by an approximate 627,000-sf portion of a 790,750-sf regional mall in Savannah, Georgia. The loan sponsor is Brookfield Property Partners, and the mall is anchored by a noncollateral Belk, a collateral Macy's (21.5% of the net rentable area (NRA); lease expiry in February 2028), and a collateral JC Penney (13.7% of the NRA; lease expiry in July 2027). It was noted in September 2024 that the former Sears anchor pad (noncollateral), which went dark in 2018, would be re-zoned to allow for multifamily development. According to a February 2024 press release from the Madison Capital Group, Madison Communities (affiliate of the Madison Capital Group) secured a $35.5 million loan to facilitate the construction of approximately 240 multifamily units at the site. The loan has been in special servicing since July 2023 for maturity default and was recently modified in May 2025 to extend the maturity date by one year to July 2026. According to the April 2025 rent roll, the collateral was 93.7% occupied with overall mall occupancy reported at 95.0%. Over the next 12 months, leases representing approximately 18.0% of the NRA have upcoming lease expirations. An updated May 2025 appraisal valued the collateral at $128.7 million, similar with the April 2024 valuation of $128.8 million; however, the figure remains well below the issuance appraised value of $236.5 million. Morningstar DBRS liquidated the loan based on a 20.0% haircut to the May 2025 value while accounting for outstanding advances as well as expected future servicer expenses, resulting in an implied loss of $21.6 million and loss severity of 27.9%. The second loan in special servicing, Parkview Tower, is secured by an office property in King of Prussia, Pennsylvania. The loan was originally scheduled to mature September 2023; however, it transferred to special servicing in June 2023 after becoming delinquent. A receiver was later appointed in October 2023. An updated rent roll has not been received for the current analysis; however, the special servicer commentary indicates a leased rate of 43.9% as of May 2025, well below the 82.0% occupancy rate at YE2022. Most recently, the subject was reappraised at $20.6 million as of April 2025, a continued decline from the $23.3 million valuation as of September 2024 and the $47.0 million valuation from issuance. Morningstar DBRS liquidated the loan from the pool based on a 25.0% haircut to the April 2025 value while accounting for outstanding advances as well as expected future servicer expenses, resulting in an implied loss of $14.1 million and loss severity of 50.8%. The smallest loan in special servicing, Hartford Gardens Portfolio, is backed by 204 Class C multifamily units across three properties in Hartford, Connecticut. The loan was previously on the servicer's watchlist for a low DSCR and delinquent real estate taxes prior to transferring to special servicing in September 2023 for maturity default. The special servicer continues to discuss alternative resolution strategies with the borrower, including a potential loan assumption from a third party as it continues to dual track the appointment of a receiver and foreclosure. At issuance, the subject was appraised for $25.7 million, and while a new appraisal has yet to be finalized, Morningstar DBRS expects the portfolio's value has declined since issuance. In its analysis, Morningstar DBRS liquidated the loan from the pool based on a 55.0% haircut to the issuance value while accounting for outstanding advances as well as expected future servicer expenses, resulting in an implied loss of $3.5 million and loss severity of 26.3%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2013-CCRE7: DBRS Confirms C Rating on 2 Tranches ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE7 issued by COMM 2013-CCRE7 Mortgage Trust as follows: -- Class D at BB (high) (sf) -- Class E at B (low) (sf) -- Class F at C (sf) -- Class G at C (sf) The trends on Classes D and E are Stable, while Classes F and G have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations reflect the transaction's overall risk profile and Morningstar DBRS' recoverability expectations for the two remaining loans in the pool, secured by a regional mall and a suburban office property. Morningstar DBRS analyzed both loans with conservative liquidation scenarios based on value-stressed haircuts of 40% and 60%, respectively, to the most recent appraised values. Morningstar DBRS determined the haircuts based on a combination of factors including submarket fundamentals, current and historical performance, property type, and upcoming rollover. The largest of the two remaining loans, Lakeland Square Mall (Prospectus ID#2; 68.8% of the current pool balance), received an updated appraisal in October 2024 valuing the collateral at $48.6 million, a marginal increase from the October 2023 value of $45.5 million but still well below the $95.0 million appraised value at issuance. While Morningstar DBRS expects that the principal balance of Classes D and E are likely to recover based on the liquidation scenarios, the workout and disposition timelines are uncertain. The largest remaining loan, Lakeland Square Mall, is secured by a 535,937-square-feet (sf) portion of in-line and anchor space in an 883,290-sf regional mall in Lakeland, Florida. The loan transferred to special servicing in May 2023 for maturity default and is currently under receivership. While the loan was reported current as of the August 2025 remittance, the special servicer has initiated foreclosure with plans to work towards stabilizing the asset. Two noncollateral anchor pads, previously leased to Sears, Roebuck and Co. (Sears) and Burlington Stores, Inc., remain vacant. A third noncollateral anchor pad previously occupied by Macy's, Inc. was re-leased to Re-Sale America in 2018; however, the servicer confirmed the tenant vacated in early 2024 and the space is vacant. The remaining anchor tenants include Dillard's, Inc. (noncollateral) and Penney OpCo LLC (JCPenney; 19.4% of the net rentable area (NRA)), which recently extended its lease to November 2030 from November 2025. According to the June 2025 rent roll, the collateral portion of the mall was 78.6% occupied, up from 77.7% and 77.6% at YE2024 and YE2023, respectively. An October 2024 appraisal valued the property at $48.6 million, a 6.8% increase from the October 2023 appraised value of $45.5 million and a 48.8% decline from the issuance appraised value of $95.0 million. Morningstar DBRS applied a 40.0% haircut to the October 2024 value in the analysis, resulting in a total loss of $27.2 million and a loss severity of 53.0%. The other remaining loan in the pool, 20 Church Street (Prospectus ID#8; 31.2% of the pool), is secured by a 23-story office building in the central business district (CBD) of Hartford, Connecticut. The loan transferred to special servicing in March 2022 for payment default and remains delinquent since April 2023. A loan modification proposal ultimately fell through, and the special servicer is negotiating a discounted payoff with the borrower while dual-tracking foreclosure. The property's occupancy rate declined to 57.7% according to the April 2025 rent roll, down from 78.3% as of the October 2023 rent roll and 87.0% at YE2020. The decline is attributed to the largest tenant, CareCentrix (18.3% of the NRA), which had a lease expiration in December 2023; the servicer confirmed the tenant remains at the property but occupies about a quarter of its former space after downsizing to 11,552 sf from 73,941 sf. The new lease term runs through April 2029. As a result, according to the March 2025 financial reporting, the annualized March 31, 2025, net cash flow figure was negative. In addition, tenants representing an additional 21.2% of the NRA have leases that recently expired or are scheduled to expire before YE2026. As of the April 2025 rent roll, tenants at the property paid an average rental rate of $22.0 per sf (psf), compared with the Hartford CBD submarket rental rate of $22.5 psf for the Q2 2025 period according to Reis. The vacancy rate at the property, at 42.3%, is above the submarket average vacancy rate of 21.4% reported by Reis for the same period. According to a February 2025 site inspection, the surrounding area has lost many office tenants, which caused downstream effects for retail tenants that have since left the area. A March 2023 appraisal valued the property at $17.4 million, down 50.3% from the $35.0 million appraised value at issuance. Morningstar DBRS applied a 60% haircut to the March 2023 appraised value based on the assumption that property value has likely declined significantly amid the softening submarket conditions and low investor appetite for the property type, resulting in a total loss of $20.7 million and a loss severity of 88.0%. Morningstar DBRS' projected liquidated losses are expected to fully reduce the balance of the unrated Class H and Class G certificate balances and approximately 90.0% of the Class F certificate balance. Morningstar DBRS notes that loss projections may increase should property values further decline or should the loans languish in special servicing with servicing advances accumulating. Given the softening submarket fundamentals, property characteristics, and the general lack of liquidity for these asset types, Morningstar DBRS believes the resolution periods could be extended. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE26: DBRS Confirms BB(high) Rating on D Certs ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE26 issued by COMM 2015-CCRE26 Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at A (low) (sf) -- Class X-B at BBB (high) (sf) -- Class C at BBB (sf) -- Class X-C at BBB (low) (sf) -- Class D at BB (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool, most notably 11 Madison Avenue (Prospectus ID#2; 16.3% of the pool), a pari passu loan that is also secured in the COMM 2015-CCRE27 Mortgage Trust, MAD 2015-11MD Mortgage Trust, and Wells Fargo Commercial Mortgage Trust 2015-NXS3 transactions (rated by Morningstar DBRS). The loan, which is secured by the fee, leasehold, and reversionary interest in the condominium units for 11 Madison Avenue, a Class A, 29-story, 2.3 million-square-foot (sf) office tower in Manhattan's Midtown South submarket, continues to exhibit a favorable credit profile and is expected to be fully recovered upon disposition. In addition, despite the significant proportion of specially serviced loans, the pool's weighted-average debt service coverage ratio (DSCR) and debt yield were reported at 1.92 times (x) and 11.7%, respectively, according to the most recent year-end financials. Morningstar DBRS' conservative recoverability scenarios continue to suggest that the most senior bonds are well insulated from loss, primarily as a result of the sizeable $91.1 million unrated bond balances insulating the most junior Class D certificate. These factors form Morningstar DBRS' primary rationale behind the credit rating confirmations and Stable trends with this review. Since the prior credit rating action, 32 loans with a cumulative balance of $413.1 million were successfully repaid from the trust, while eight loans transferred to special servicing between June and August 2025. All eight loans in special servicing were analyzed with conservative liquidation scenarios as part of the recoverability analysis for this review. Total projected losses from those liquidation scenarios total $41.1 million, which would erode 100.0% and 25.4% of the non-rated Class H and Class G certificate balances, respectively. As of the August 2025 remittance, 19 of the original 60 loans remained in the pool with a trust balance of $429.8 million, representing a collateral reduction of 60.6% since issuance. Nine loans, representing 30.1% of the pool balance, are on the servicer's watchlist and are being monitored for upcoming loan maturities, tenant rollover, or low occupancy triggers. Ten loans, representing 8.8% of the current pool balance, have defeased. Eight loans, representing 36.3% of the current pool balance, are in special servicing. The transaction is concentrated by property type, with loans representing 60.9%, 15.5%, and 5.3% of the pool collateralized by office, lodging, and retail properties, respectively. The largest loan in the pool, Prudential Plaza (Prospectus ID#1; 24.9% of the pool), is secured by a 2.3 million-sf Class A office complex in the East Loop submarket of Chicago. The loan was previously modified, the terms of which included a conversion to interest-only (IO) debt service payments, a two-year maturity extension to August 2027 (structured with two one-year extension options with a final maturity in August 2029), and a $35.0 million borrower equity injection to fund various reserves. The annualized net cash flow (NCF) for the trailing six months ended June 30, 2025, was $26.4 million (reflecting a DSCR of 1.47x), which is below the YE2024 and issuance figures of $32.2 million (a DSCR of 1.78x) and $33.1 million (a DSCR of 1.30x), respectively. The year-over-year (YOY) decline in NCF is largely driven by a decrease in expense reimbursements while operating expenses, most notably real estate taxes, have remained elevated since issuance. According to Reis, office properties in the East Loop submarket reported a Q2 2025 vacancy rate of 18.4%, a considerable increase from the Q2 2024 vacancy rate of 12.6%. As of the June 2025 rent roll, the property was 71.5% occupied, unchanged from the rate at issuance. The tenant roster is granular with no tenant occupying more than 6.0% of the net rentable area (NRA). The average rental rate at the property was $26.30 per square foot (psf) as of March 2025, which is below the average asking rent of $35.71 psf in the East Loop submarket, according to Reis. Tenant leases representing 13.3% of the NRA are set to expire in 2025 and 2026, including that of the largest tenant, SMS Assist (5.0% of the gross leasable area), which has a lease expiration in February 2026. According to the August 2025 reporting, reserve balances total $29.4 million. Although the low in-place occupancy rate and cash flow declines from issuance are indicative of increased risks, there is a mitigating factor in the moderate going-in loan-to-value ratio (LTV) of 60.1% (based on the whole-loan balance and the issuance appraised value of $642.0 million), providing some cushion against value declines. In addition, the loan's final maturity date in 2029 will provide the sponsor time to backfill vacant space and work toward stabilization. The largest specially serviced loan, Rosetree Corporate Center (Prospectus ID#6; 9.2% of the pool), is secured by two Class B office buildings totaling 268,156 sf in Media, Pennsylvania. The loan transferred to special servicing for imminent maturity default in June 2025, prior to its September 2025 maturity date. According to the servicer, the borrower has signed a pre-negotiation agreement and discussions regarding a potential resolution have commenced. The properties have generally operated below breakeven since the onset of the pandemic, however, according to the YE2024 financial reporting, the property generated NCF of $3.3 million (a DSCR of 1.13x), a 25.5% improvement from the prior year but 13.6% below the issuance NCF of $3.8 million (a DSCR of 1.31x). The occupancy rate was reported at 72.1% per the March 2025 rent roll, a significant decline from the issuance rate of 88.5%. Morningstar DBRS notes that the properties' occupancy rate could decline further given that tenant leases representing 11.7% and 8.1% of the NRA are set to expire in 2025 and 2026, respectively. The property was most recently appraised in July 2021 for $48.4 million, which is a 21.3% decline from the issuance appraised value of $61.5 million. Morningstar DBRS evaluated this loan with a liquidation scenario based on a 40.0% haircut to the most recent appraised value, resulting in an implied loss of $15.5 million and a loss severity approaching 40.0%. The Hotel Lucia loan (Prospectus ID#11; 6.4% of the pool) is secured by a 127-key hotel property in Portland, Oregon. The property re-transferred to special servicing in August 2025 for maturity default ahead of its final maturity date. The loan was modified in 2021, the terms of which included a cross-collateralization with the Hotel Max property (Prospectus ID#12; 6.4% of the pool), owned by the same sponsor. According to the servicer, another loan modification or deed-in-lieu is currently being considered. The property has reported negative NCF since 2020 (compared with the issuance NCF of $3.5 million (reflecting a DSCR of 1.72x). The borrower noted that operating performance remains challenged, given the lack of demand in the Downtown Portland market, which has not rebounded to pre-pandemic levels, and an increase in expenses, primarily labor- and supply-related costs. According to the June 2025 STR report, the revenue per available room at the property has declined to $87.90 from $106.50 in the prior year - a YOY decline of 21.1%. In April 2021, the property was appraised for $34.4 million, a decline of approximately 30.0% from the issuance appraised value of $48.7 million. Given the property's historical performance trends, combined with the reduction in value, Morningstar DBRS analyzed this loan with a liquidation scenario based on a 50.0% haircut to the most recent appraised value, resulting in an implied loss of $15.6 million and a loss severity approaching 60.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE27: DBRS Cuts Rating on 4 Tranches to C ----------------------------------------------------- DBRS, Inc. downgraded its credit ratings on nine classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE27 issued by COMM 2015-CCRE27 Mortgage Trust as follows: -- Class X-B to BBB (high) (sf) from A (high) (sf) -- Class C to BBB (sf) from A (sf) -- Class X-C to CCC (sf) from BBB (sf) -- Class D to CCC (sf) from BBB (low) (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class X-D to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (high) (sf) -- Class G to C (sf) from B (low) (sf) -- Class X-E to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes A-M, B, C, X-A, and X-B to Negative from Stable. Classes D, E, F, G, X-C, X-D, and X-E have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. Class A-4 has a Stable trend. The credit rating downgrades and Negative trends generally reflect ongoing interest shortfalls that have reached or exceeded Morningstar DBRS' tolerance for timely interest to the respective rated bonds and the ultimate recoverability of the remaining loans, the majority of which mature within the next couple of reporting periods. As the pool is in wind down, with loans representing 95.0% of the pool balance maturing by October 2025, Morningstar DBRS looked to a recoverability analysis, the results of which suggest losses would partially erode the Class F certificate and fully erode the Class G and the nonrated Class H certificates, supporting the credit rating downgrades for those classes. Classes F and G began accruing interest shortfalls in February 2025 and have surpassed the Morningstar DBRS shortfall tolerance ceiling of six months for the BB and B credit rating categories, providing further support for the downgrades of these certificates. As of the August 2025 remittance, cumulative unpaid interest totaled approximately $2.7 million, up from $1.3 million at the last credit rating action in September 2024. Class C did not receive full interest in August 2025 and is approaching the Morningstar DBRS tolerance ceiling of one to two months for the "A" credit rating category. Morningstar DBRS notes the possibility that Class C could repay with upcoming loan maturities through October 2025; however, the credit rating downgrade for this certificate also reflects the repayment reliance on proceeds from loans currently in special servicing and/or reporting a below breakeven debt service coverage ratio (DSCR). Class D was shorted the full interest in August 2025 and did not receive full interest between May 2025 and July 2025, bringing it to the Morningstar DBRS shortfall tolerance of three to four months for the BBB credit rating category. Class E was shorted the full interest from May 2025 through August 2025 and received partial interest due for April 2025 and February 2025, the latter of which was repaid in March 2025. The respective thresholds have been breached for Classes E and F, supporting the downgrades for both classes. Morningstar DBRS notes that a little over $100,000 of the outstanding shortfalls for August 2025 was allocated to a loan that has since repaid. However, the master servicer has deemed two specially serviced loans, Midwest Shopping Center Portfolio (Prospectus ID# 6; 9.2% of the pool) and Hotel Deluxe (Prospectus ID# 8; 7.9% of the pool), nonrecoverable, which is a primary driver for the ongoing shortfalls. There are an additional three loans, representing 14.0% of the pool balance, in special servicing and all three are reporting declining performance metrics. As the pool winds down, should the trust exposure be limited to these loans remaining, there is a high likelihood that interest shortfalls could continue to accumulate and be applied higher in the capital stack, in the near term. Should this occur, there would be limited runway before shortfalls would be infringing upon Morningstar DBRS' limited tolerance for unpaid interest of one to two months at the AAA , AA , and "A" credit rating categories and three to four months at the BBB category, supporting the Negative trends as outlined above. Since Morningstar DBRS' previous credit rating action, 35 loans have repaid from the pool, leaving 25 loans, including the five previously mentioned specially serviced loans (31.1% of the pool) and four loans (5.0% of the pool) that are secured by fully defeased collateral as of the August 2025 remittance. While the pool's overall credit metrics for the remaining loans are healthy, the notable special servicing concentration of just over one third of the remaining pool balance contributes to the negative credit view for the bottom and middle of the capital stack, particularly given the proximity to the maturity dates. The largest remaining loan, 11 Madison Avenue (20.7% of the pool balance), is secured by a Class A, 29-story, 2.3 million-square-foot (sf) office tower in Manhattan's Midtown South submarket. The building is between 24th Street and 25th Street, occupying an entire city block that overlooks Madison Square Park. The whole-loan balance includes a $366.8 million senior companion loan that is pari passu with senior trust debt notes. There is also a $325 million mezzanine loan that is co-terminus with the mortgage trust. SL Green Realty Corp. is the mortgage loan sponsor and guarantor. The loan has an upcoming maturity date in September 2025, and, according to the September 5, 2025, issue of Commercial Mortgage Alert, a replacement loan is expected to close in the near term. Of the five loans in special servicing, Intellicenter (Prospectus ID#7; 8.7% of the pool) and Hotel Deluxe (Prospectus ID#8; 7.9% of the pool), are the primary drivers of Morningstar DBRS' liquidated loss estimates for the pool. The largest of which, Intellicenter, is secured by a 203,509-sf, four-story suburban office property in Tampa, Florida. The loan transferred to special servicing in July 2025 for maturity default prior to its upcoming maturity in October 2025. The property occupancy rate declined to 76% from 100%, after former major tenant Morgan Stanley vacated upon its lease expiration in March 2024. The sole remaining tenant, H. Lee Moffitt Cancer Center, occupies the remainder of the space on a lease through March 2027. The appraisal at issuance valued the property at $44.8 million. While an updated appraisal has yet to be received, Morningstar DBRS believes the value of the property has declined significantly and applied a 50% haircut to the issuance appraisal as part of its liquidation scenario, which resulted in losses of about $11.0 million. Hotel Deluxe is secured by a 130-key full-service luxury boutique hotel in Portland, Oregon. The loan transferred to special servicing for imminent monetary default at the borrower's request in June 2020 as a result of reduced foot traffic stemming from travel restrictions related to the COVID-19 pandemic. Net cash flow (NCF) has been volatile over the last few reporting periods, with the loan reporting negative NCF as of year-end (YE) 2024 and YE2023. Since the last credit rating action, the property was re-appraised for $23.0 million as of March 2025, down from the July 2024 appraisal value of $25.0 million and the April 2023 appraisal value of $31.5 million. Morningstar DBRS' liquidation scenario included a 10% haircut to the most recent appraised value resulting in losses of about $9.6 million. Notes: All figures are in U.S. dollars unless otherwise noted. COOPR RESIDENTIAL 2025-CES3: Fitch Gives B(EXP) Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to COOPR Residential Mortgage Trust 2025-CES3 (COOPR 2025-CES3). Entity/Debt Rating ----------- ------ COOPR 2025-CES3 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 7,919 primarily closed-end second-lien (CES) loans with a total balance of approximately $560 million as of the cutoff date. Nationstar Mortgage LLC, d/b/a Mr. Cooper (Nationstar) originated 100% of the loans and will be the primary servicer for all the loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.3% above a long-term sustainable level (vs. 10.5% on a national level as of 1Q25, down 0.5% since last quarter) based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 2.3% YoY nationally as of May 2025 despite modest regional declines but are still being supported by limited inventory). Prime Credit Quality (Positive): The collateral consists of 7,919 loans totaling approximately $560 million and seasoned at about four months in aggregate, as calculated by Fitch. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 737, a debt-to-income ratio (DTI) of 37.4% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 72.6%. All the loans are of a primary residence, cashout refinance loans and originated through a retail channel. Additionally, roughly 98.4% of the loans were treated as full documentation in Fitch's analysis. Second Lien Collateral (Negative): All loans were originated by Nationstar as CES, with nine loans (0.1% of pool) subsequently moved to a first lien position after the senior lien was paid down. Fitch assumed no recovery and 100% loss severity (LS), based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction's cash flow is based on a sequential-pay structure in which the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to those certificates in the absence of servicer advancing. Monthly excess cash flow will be applied first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any unpaid net WAC shortfalls. The structure includes a step-up coupon feature whereby the fixed interest rate for the senior classes increases by 100 basis points (bps), subject to the net WAC, after the 48th payment date. 180-Day Charge-Off Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ), based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day charge-off feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.9% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. A third-party due diligence review was completed on 27.9% of the loans in this transaction. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. All reviewed loans received a final overall grade of 'A' or 'B' and indicate sound origination practices consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, the due diligence performed on the pool received a model credit, which reduced the 'AAAsf' loss expectation by 18 bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CROWN CITY I: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt from Crown City CLO I/Crown City CLO I LLC, a CLO managed by Western Asset Management Co. LLC that was originally issued in June 2020 and underwent a refinancing in July 2021 that was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. On the Sept. 11, 2025, refinancing date, the proceeds from the replacement debt was used to redeem the July 2021 debt. At that time, we assigned ratings to the replacement debt. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Crown City CLO I/Crown City CLO I LLC Class X-RR, $3.50 million: AAA (sf) Class A-1-RR, $217.00 million: AAA (sf) Class A-2-RR, $10.50 million: AAA (sf) Class B-RR, $38.50 million: AA (sf) Class C-RR (deferrable), $21.00 million: A (sf) Class D-1-RR (deferrable), $16.63 million: BBB (sf) Class D-2-RR (deferrable), $6.13 million: BBB- (sf) Class E-RR (deferrable), $11.38 million: BB- (sf) Subordinated notes, $59.90 million: NR NR--Not rated. CSAIL 2019-C16: DBRS Confirms BB Rating on Class FRR Certs ---------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-C16 issued by CSAIL 2019-C16 Commercial Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance, which remains in line with Morningstar DBRS' expectations. Overall, the pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 1.76 times (x) and the WA debt yield of 11.1% based on the most recent financial reporting available. The transaction also benefits from increased credit support to the bonds as a result of scheduled amortization and $58.4 million of defeasance. In addition, there have been no realized losses to the trust to date and two top-10 loans (10.6% of the current pool balance) are shadow rated investment-grade by Morningstar DBRS. Although Morningstar DBRS analyzed the largest specially serviced loan, Santa Fe Portfolio (Prospectus ID#6, 4.3% of the current pool balance) with a conservative liquidation scenario, projected losses would erode less than 15.0% of the nonrated first-loss certificate. The composition of the pool remains relatively unchanged from the prior credit rating action in September 2024 with all 47 original loans remaining in the pool with a trust balance of $756.9 million, representing a minimal collateral reduction of 3.9% from issuance. There are 16 loans, representing 37.6% of the pool balance, on the servicer's watchlist; however, just nine loans, representing 14.9% of the current pool balance, are being monitored for performance-related reasons. There are two loans, representing 5.4% of the pool balance, in special servicing and five loans, representing 7.7% of the pool, that have been defeased. By property type, the pool is most concentrated by loans backed by retail, lodging, and office collateral, comprising 26.6%, 26.3%, and 18.2% of the pool, respectively. The largest loan in special servicing, Santa Fe Portfolio (Prospectus ID#6, 4.3% of the pool), is secured by an 11-building mixed-use office and retail portfolio in Santa Fe, New Mexico. The loan transferred to special servicing in August 2022 for payment default and is delinquent as of the August 2025 reporting, having last paid in March 2025. According to the servicer, the lender is moving forward with foreclosure. The portfolio was reappraised in November 2024 for $43.3 million, slightly below the December 2023 appraised value of $43.5 million and 17.3% below the issuance appraised value of $52.6 million. The borrower has not provided updated financial reporting since 2020; however, at issuance, it was noted that the largest tenant, Gerald Peters Gallery (23.5% of net rentable area (NRA)), had a long-term lease that runs through October 2033. The remainder of the rent roll is relatively granular with no other tenant occupying more than 10.0% of the portfolio's NRA. Morningstar DBRS analyzed this loan with a liquidation scenario given the decline in the underlying portfolio's value, updated workout strategy, and limited financial reporting by applying a 25.0% haircut to the November 2024 appraised value, resulting in an implied loss of $4.7 million and a loss severity of 14.0%. The 1600 Western Buildings (Prospectus ID#29, 1.1% of the pool) loan is secured by two industrial buildings in Chicago totaling approximately 290,000 square feet. The loan transferred to special servicing in July 2023 for payment default and is delinquent, having last paid in February 2024. A receiver has been appointed and the servicer noted that the borrower has filed for bankruptcy, which triggered full recourse. The most recent financial reporting dated June 2023 reflected a DSCR of 1.80x and an occupancy rate of 100.0%. The properties were reappraised in September 2024 for $19.2 million, a slight decline from the September 2023 appraised value of $19.4 million, but 50.4% higher than the issuance appraised value of $12.9 million. Notably, the most recent appraised value is more than double the current loan balance of $8.2 million; however, outstanding servicer advances increase the total exposure of the loan to approximately $12.8 million. Morningstar DBRS analyzed this loan with a stressed probability of default (POD) penalty, resulting in an expected loss (EL) that exceeded the pool average by almost four times. The largest loan on the servicer's watchlist that is being monitored for a performance related reason, Embassy Suites Seattle Bellevue (Prospectus ID#3, 5.4% of the pool), is secured by a 240-key full-service hotel in Bellevue, Washington. The loan is being monitored for a low DSCR, which was reported at 0.69x as of the trailing 12 months (T-12) ended June 30, 2024 financial reporting. The property generated $1.8 million of net cash flow (NCF) during the same period, down from $2.1 million (a DSCR of 0.94x) at YE2023, and considerably below the Morningstar DBRS NCF of $3.9 million derived at issuance. The reduction in cash flow is a result of declining revenue and an increase in operating expenses. Although Morningstar DBRS did not receive updated reporting, the hotel's revenue per available room penetration rate remains well below pre-pandemic levels, most recently reported at 96.1% as of the STR, Inc. report dated March 31, 2024, compared with the December 2019 figure of 128.8%. Given the sustained decline in cash flow with no indication of improvement in the near to moderate term, Morningstar DBRS analyzed the loan with a conservative POD penalty, resulting in an EL that was more than four times the pool average. At issuance, Morningstar DBRS shadow-rated two loans, 3 Columbus Circle (Prospectus ID#1, 6.5% of the pool) and 787 Eleventh Avenue (Prospectus ID#9, 3.9% of the pool), investment grade. 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 these loans remains consistent with investment-grade characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. CWALT INC 2006-OA2: Moody's Ups Rating on Cl. A-1 Certs to Caa1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA2. The collateral backing of this deal consists of Option ARM mortgages. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA2 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Confirmed at Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 27, 2016 Confirmed at Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Our expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DRYDEN 102: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Dryden 102 CLO Ltd./Dryden 102 CLO LLC, a CLO managed by PGIM Inc that was originally issued in October 2023. The preliminary ratings are based on information as of Sept. 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 15, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to withdraw its ratings on the original class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. -- The original class A-1 and A-2 debt will be replaced by the A-R debt -- The non-call period will be extended to Oct. 15, 2027. -- The reinvestment period will be extended to Oct. 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Oct. 15, 2038. -- The required minimum overcollateralization and interest 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 Dryden 102 CLO Ltd./Dryden 102 CLO LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Dryden 102 CLO Ltd./Dryden 102 CLO LLC Subordinated notes, $36.00 million: NR NR--Not rated. DRYDEN SENIOR 41: Moody's Affirms B1 Rating on $25.3MM E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Dryden 41 Senior Loan Fund: US$35.75M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Mar 6, 2025 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$357.5M (Current outstanding amount US$79,673,942) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 6, 2025 Affirmed Aaa (sf) US$61.9M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 6, 2025 Affirmed Aaa (sf) US$28.35M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 6, 2025 Upgraded to Aaa (sf) US$25.3M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Mar 6, 2025 Downgraded to B1 (sf) US$8.25M Class F-R Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Mar 6, 2025 Affirmed Caa3 (sf) Dryden 41 Senior Loan Fund, originally issued in October 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A-R, Class B-R, Class C-R, Class E-R and Class F-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD75.13 million (21.01%) since the last rating action in March 2025 and USD277.83 million (77.71%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated July 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 170.58%, 142.12%, 117.42% and 104.56% compared to January 2025[2] levels of 146.81%, 129.83%, 113.30% and 103.93%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. 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: USD241.74 milion Defaulted Securities: USD2.17 milion Diversity Score: 68 Weighted Average Rating Factor (WARF): 2858 Weighted Average Life (WAL): 3.14 years Weighted Average Spread (WAS): 2.95% Weighted Average Recovery Rate (WARR): 47.32% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ELEVATION CLO 2013-1: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Elevation CLO 2013-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elevation CLO 2013-1, Ltd. X-R3 LT NRsf New Rating A-1-R3 LT NRsf New Rating A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-1-R3 LT Asf New Rating C-2-R3 LT Asf New Rating D-1-R3 LT BBBsf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Elevation CLO 2013-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by ArrowMark Colorado Holdings, LLC that originally closed in April 2013. 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 23.93, 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 96.74% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.99% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and 'AA-sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1-R3, and between less than 'B-sf' and 'BB+sf' for class D-2-R3 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-2-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, 'AA+sf' for class C-R3, 'A+sf' for class D-1-R3, and 'Asf' for class D-2-R3 and 'BBB+sf' for class E-R3. ESG Considerations Fitch does not provide ESG relevance scores for Elevation CLO 2013-1, 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. ELMWOOD CLO 44: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 44 Ltd./Elmwood CLO 44 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Sept. 16, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 44 Ltd./Elmwood CLO 44 LLC Class A, $315.0 million: AAA (sf) Class B, $65.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $17.5 million: BB- (sf) Subordinated notes, $53.0 million: NR NR--Not rated. FORTRESS CREDIT XIX: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Fortress Credit BSL XIX Limited refinancing notes classes X-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R. Entity/Debt Rating Prior ----------- ------ ----- Fortress Credit BSL XIX Limited A-1-R 34966BAN6 LT NRsf New Rating A-2-R 34966BAQ9 LT AAAsf New Rating B 34966BAE6 LT PIFsf Paid In Full AA+sf B-R 34966BAS5 LT AA+sf New Rating C-1 34966BAG1 LT PIFsf Paid In Full A+sf C-1-R 34966BAU0 LT A+sf New Rating C-2 34966BAC0 LT PIFsf Paid In Full A+sf C-2-R 34966BAY2 LT A+sf New Rating D 34966BAJ5 LT PIFsf Paid In Full BBB-sf D-1-R 34966BAW6 LT BBB+sf New Rating D-2-R 34966BBA3 LT BBB+sf New Rating E 34966CAA2 LT PIFsf Paid In Full BB+sf E-R 34966CAG9 LT BB+sf New Rating F-R 34966CAJ3 LT NRsf New Rating X-R 34966BAL0 LT AAAsf New Rating Transaction Summary Fortress Credit BSL XIX Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by FC BSL CLO Manager IV LLC that originally closed in July 2023. On Sept. 5, 2025 (refinancing date), classes A, B, C-1, C-2, D, E and F will be refinanced from proceeds of the issuance of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $478 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.65% first-lien senior secured loans and has a weighted average recovery assumption of 74.04%. 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 2.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 11 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. KEY PROVISION CHANGES The refinancing is being implemented via the First Supplemental Indenture, which amended certain provisions of the transaction. The changes include but are not limited to: A reorganization of classes includes adding X-R and A-2-R notes and changing the D notes to sequential D-1-R and D-2-R classes. The refinancing tightened spreads across the capital structure. The non-call period for the refinancing notes will end in July 2026. The reinvestment period, WAL schedule, and stated maturity of the refinanced notes will be the same as the original notes. FITCH ANALYSIS The portfolio includes 184 assets from 161 primarily high yield obligors. The portfolio balance, including the amount of principal cash, is approximately $478 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 23.2% of the current portfolio par balance; ratings for 70.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; 4.8% were unidentified assets and thus used provided ratings; and 1.4% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15%, 12%, and 12%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.54%; - Fixed rate Assets: 5%; - 'CCC' obligors as defined by Fitch's ratings: 12.4%; - Minimum weighted average coupon of 7%; - Non-first priority senior secured assets: 7.5%; The transaction will exit its reinvestment period on July 24, 2028. Current Portfolio The Fitch Portfolio Credit Model (PCM) default rate output for the current portfolio of class X at the 'AAAsf' rating stress was 47.4%. The PCM recovery rate output for the current portfolio of class X at the 'AAAsf' rating stress was 39.7%. In the analysis of the current portfolio, the class X notes passed the 'AAAsf' threshold in all nine cash flow scenarios with a minimum cushion of 52.6%. The PCM default rate output for the current portfolio of class A-2-R at the 'AAAsf' rating stress was 47.4%. The PCM recovery rate output for the current portfolio of class A-2-R at the 'AAAsf' rating stress was 39.7%. In the analysis of the current portfolio, the class A-2-R notes passed the 'AAAsf' threshold in all nine cash flow scenarios with a minimum cushion of 12.1%. The PCM default rate output for the current portfolio of class B-R at the 'AA+sf' rating stress was 46.2%. The PCM recovery rate output for the current portfolio of class B-R at the 'AA+sf' rating stress was 48.7%. In the analysis of the current portfolio, the class B-R notes passed the 'AA+sf' threshold in all nine cash flow scenarios with a minimum cushion of 11.6%. The PCM default rate output for the current portfolio of class C-R at the 'A+sf' rating stress was 40.9%. The PCM recovery rate output for the current portfolio of class C-R at the 'A+sf' rating stress was 58.7%. In the analysis of the current portfolio, the class C-R notes passed the 'A+sf' threshold in all nine cash flow scenarios with a minimum cushion of 11.5%. The PCM default rate output for the current portfolio of class D-1-R at the 'BBB+sf' rating stress was 34.3%. The PCM recovery rate output for the current portfolio of class D-1-R at the 'BBB+sf' rating stress was 68.5%. In the analysis of the current portfolio, the class D-1-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 12.5%. The PCM default rate output for the current portfolio of class D-2-R at the 'BBB+sf' rating stress was 34.3%. The PCM recovery rate output for the current portfolio of class D-2-R at the 'BBB+sf' rating stress was 68.5%. In the analysis of the current portfolio, the class D-2-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 9.6%. The PCM default rate output for the current portfolio of class E-R at the 'BB+sf' rating stress was 28.4%. The PCM recovery rate output for the current portfolio of class E-R at the 'BB+sf' rating stress was 73.6%. In the analysis of the current portfolio, the class E-R notes passed the 'BB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 12.7%. Fitch Stressed Portfolio (FSP) The Fitch Portfolio Credit Model (PCM) default rate output for the stressed portfolio of class X at the 'AAAsf' rating stress was 53.3%. The PCM recovery rate output for the stressed portfolio of class X at the 'AAAsf' rating stress was 37.1%. In the analysis of the stressed portfolio, the class X notes passed the 'AAAsf' threshold in all nine cash flow scenarios with a minimum cushion of 46.7%. The PCM default rate output for the stressed portfolio of class A-2-R at the 'AAAsf' rating stress was 53.3%. The PCM recovery rate output for the stressed portfolio of class A-2-R at the 'AAAsf' rating stress was 37.1%. In the analysis of the stressed portfolio, the class A-2-R notes passed the 'AAAsf' threshold in all nine cash flow scenarios with a minimum cushion of 4.5%. The PCM default rate output for the stressed portfolio of class B-R at the 'AA+sf' rating stress was 51.9%. The PCM recovery rate output for the stressed portfolio of class B-R at the 'AA+sf' rating stress was 45.7%. In the analysis of the stressed portfolio, the class B-R notes passed the 'AA+sf' threshold in all nine cash flow scenarios with a minimum cushion of 4.4%. The PCM default rate output for the stressed portfolio of class C-R at the 'A+sf' rating stress was 46.1%. The PCM recovery rate output for the stressed portfolio of class C-R at the 'A+sf' rating stress was 55.1%. In the analysis of the stressed portfolio, the class C-R notes passed the 'A+sf' threshold in all nine cash flow scenarios with a minimum cushion of 4%. The PCM default rate output for the stressed portfolio of class D-1-R at the 'BBB+sf' rating stress was 39.4%. The PCM recovery rate output for the stressed portfolio of class D-1-R at the 'BBB+sf' rating stress was 64.5%. In the analysis of the stressed portfolio, the class D-1-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 5.6%. The PCM default rate output for the stressed portfolio of class D-2-R at the 'BBB+sf' rating stress was 39.4%. The PCM recovery rate output for the stressed portfolio of class D-2-R at the 'BBB+sf' rating stress was 64.5%. In the analysis of the stressed portfolio, the class D-2-R notes passed the 'BBB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 2.6%. The PCM default rate output for the stressed portfolio of class E-R at the 'BB+sf' rating stress was 32.9%. The PCM recovery rate output for the stressed portfolio of class E-R at the 'BB+sf' rating stress was 69.6%. In the analysis of the stressed portfolio, the class E-R notes passed the 'BB+sf' threshold in all nine cash flow scenarios with a minimum cushion of 7.4%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BB-sf' and 'Asf' for class C-R, between 'B-sf' and 'BBB+sf' for class D-1-R, and between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Fortress Credit BSL XIX Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. FORTRESS CREDIT XXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fortress Credit BSL XXIII Ltd./Fortress Credit BSL XXIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by FC BSL CLO Manager V LLC, a subsidiary of Fortress Investment Group LLC. The 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 Fortress Credit BSL XXIII Ltd./ Fortress Credit BSL XXIII LLC Class A, $252.0 million: AAA (sf) Class B, $42.0 million: AA (sf) Class C (deferrable), $28.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated Notes, $39.02 million: NR NR--Not rated. GLOBAL SC: DBRS Gives Prov. BB Rating on Class B Notes ------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Fixed Rate Deferrable Interest Asset Backed Notes, Series 2025-1H (the Offered Notes) to be issued by Global SC Finance X Limited (the Issuer): -- $460,000,000 Class A Notes at (P) BBB (sf) -- $40,000,000 Class B Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings on the Offered Notes are based on Morningstar DBRS' review of the following considerations: (1) The Offered Notes will be collateralized primarily by the residual cashflows from seven marine container ABS transactions (Underlying Transactions) with Global SC Finance SRL (GSCF), Global SC Finance V SRL (GSCF V), Global SC Finance VII SRL (GSCF VII), and CRX Intermodal Bermuda Ltd. (CIB) as the respective issuers and/or borrowers. Each of the Underlying Transactions are secured by a specified collateral pool; however, the four series of Underlying Transactions issued by GSCF VII can share funds to cover deficiencies at the bottom of the respective priority of payments for each series. (2) The cash flow scenarios run by Morningstar DBRS for the Offered Notes incorporate the (a) asset cash flows for each Underlying Transaction after application of the utilization, per diem rate, residual realization, and operating expense stresses commensurate with a BBB (sf) rating and a BB (sf) rating for each of the Class A and Class B Notes, respectively; (b) the priority of payments and salient structural provisions for each Underlying Transaction, including the effect from (in the case of each series, as applicable) (i) items in the priority of payments for the Underlying Transaction which are subordinated to interest and principal payments on the Offered Notes, subject to the Subordination Agreement, (ii) Early Amortization Events, (iii) Anticipated Refinance Date (ARD), Scheduled Termination Date, and/or Scheduled Commitment Expiration Date (as applicable), (iv) available interest rate hedges, as applicable, and (v) Advance Rates; (c) interest, fees, scheduled and supplemental principal payments, and other expenses due in connection with each series of the Underlying Notes; and (d) the priority of payments and salient structural features outlined in the Indenture for the Offered Notes. -- The cash flow scenarios assume the start of the first recessionary environment at the onset of the Transaction. -- In its cash flow scenarios, Morningstar DBRS only assigned limited credit to potential residual cash flows from one warehouse (CIB), mostly for the duration of the revolving period. Both warehouse Asset Owning Entities will be limited in their ability to remove and/or transfer collateral from the facility, subject to certain conditions and allowances. -- Morningstar DBRS views the restrictions on the removal of assets from the warehouse facilities, despite the intended use of proceeds to substantially pay down GSCF's outstanding liabilities, in addition to the limited credit assigned to the residual cash flows from both warehouses, as a strong positive qualitative factor for the Offered Notes in the near term. (3) The Transaction's capital structure and the form and sufficiency of available credit enhancement. -- Subordination (in the case of the Class A Notes), overcollateralization (OC), and the Restricted Cash Account, which covers six months of interest on the Offered Notes, create credit enhancement levels and liquidity that are commensurate with the ratings. -- The cash flow scenarios run by Morningstar DBRS confirmed the sufficiency of credit enhancement and other structural provisions to facilitate ultimate payment of interest (other than Additional Interest and Default Interest) and ultimate repayment of principal of the Offered Notes by the Legal Final Maturity Date from the cash flows generated in the Underlying Transactions and from related assets in a stressed environment commensurate with a BBB (sf) and a BB (sf) credit rating for the Class A and Class B Notes, respectively. (4) Notable characteristics of the collateral in the Underlying Transactions include the following: -- The collateral includes the most representative types of marine containers, with 46.2% of Net Book Value (NBV) of the underlying containers being standard dry freight containers. In addition, 93.0% of the collateral by NBV is subject to either long-term leases or finance leases, thus, locking in per diem rates on and ensuring utilization of the collateral for longer periods of time. -- As is typical for the industry, the obligor mix is relatively concentrated, with the five largest lessees accounting for approximately 46.6% of the collateral pool (by NBV). The lessees primarily represent some of the leading container shipping liners. Container shipping liners' recent financial performance has been relatively strong, with record high profits achieved as recently as in 2021, and another year of steady financial performance expected for 2025. While such outstanding performance may not be sustainable in the long term, it bodes well for the near- to medium-term credit performance outlook for container lessors. (5) Structural features of the Transaction trigger an accelerated principal amortization of the Offered Notes if the EBIT Ratio is less than 1.10 to 1.00 or if credit enhancement deteriorates (Asset Base Deficiency). The Transaction also incorporates gradual scheduled deleveraging of the Offered Notes, with principal amortization switching to "full turbo" after the ARD in September 2029. (6) Seaco SRL's capabilities with regard to managing the fleet of marine containers. Seaco SRL is an experienced manager of marine container lease collateral, having started operations in 1965. -- Morningstar DBRS has performed an operational review of Seaco SRL and considers the entity to be an acceptable manager of the marine container leasing fleet as well as servicer for the Transaction. (7) The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (8) The legal structure and legal opinions that are expected to address enforceability, nonconsolidation, and security interest perfection issues, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-NQM4: DBRS Gives Prov. B Rating on B-2 Trusts -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to GS Mortgage-Backed Securities Trust 2025-NQM4 (GSMBS 2025-NQM4 or the Trust) as follows: -- $263.0 million Class A-1 at (P) AAA (sf) -- $20.2 million Class A-2 at (P) AA (high) (sf) -- $29.8 million Class A-3 at (P) A (high) (sf) -- $13.6 million Class M-1 at (P) BBB (high) (sf) -- $9.9 million Class B-1 at (P) BB (high) (sf) -- $7.7 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Class A-1 certificates reflects 24.65% of credit enhancement provided by subordinate certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 18.85%, 10.30%, 6.40%, 3.55%, and 1.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-NQM4. The Certificates are backed by 956 loans with a total principal balance of approximately $367,351,006 as of the Cut-Off Date (September 1, 2025). The pool is, on average, seven months seasoned with loan ages ranging from four to 31 months. The Mortgage Loan Seller acquired approximately 37.4% of the Mortgage Loans, by aggregate Stated Principal Balance as of the Cut-Off Date, from United Wholesale Mortgage, LLC. Approximately 47.0% of the loans were originated by other originators and Movement Mortgage originated about 9.1% of the loans. All the other originators individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint, and Select Portfolio Servicing Inc. will service 99.5% and 0.5% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian and Securities Administrator. U.S. Bank Trust N.A. will act as Delaware Trustee. As of the Cut-Off Date, 98.3% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 61.9% of the loans by balance are designated as non-QM. Approximately 37.6% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 0.5% of the loans in the pool are designated as QM Safe Harbor (by unpaid principal balance), and there are no QM Rebuttable Presumption loans. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Certificates) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date on which the balance of mortgage loans falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption), purchase all of the outstanding Certificates at the price described in the transaction documents. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 balance before a similar allocation to the Class A-2 (IPIP). For the Class A-3 certificates (only after a Credit Event) and for the mezzanine and subordinate classes of certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1, A-2, A-3, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1, A-2, and A-3 certificates coupon rates step up by 100 basis points on and after the payment date in October 2029. Interest and principal otherwise payable to the Class B-3 certificates as accrued and unpaid interest may be used to pay the Class A-1, A-2, and A-3 certificates Cap Carryover Amounts. NATURAL DISASTERS/WILDFIRES The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas. The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-NQM4: S&P Assigns Prelim 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2025-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and co-operatives. The pool consists of 956 loans backed by 963 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), non-QM/ability to repay (ATR)-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Sept. 16, 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 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 GS Mortgage-Backed Securities Trust 2025-NQM4(i) Class A-1, $262,959,000: AAA (sf) Class A-2, $20,241,000: AA (sf) Class A-3, $29,838,000: A (sf) Class M-1, $13,610,000: BBB (sf) Class B-1, $9,946,000: BB (sf) Class B-2, $7,678,000: B (sf) Class B-3, $4,711,455: NR Class X, (ii): NR Class SA, $71,041(iii): NR Class PT, $348,983,455: NR Class R, N/A: NR (i)The collateral and structural information in this report reflect the term sheet dated Sept. 10, 2025. The preliminary ratings address the ultimate payment of interest and principal, and 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 $348,983,455. (iii)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. Entitled to the class SA monthly remittance amount, if any. N/A—Not applicable. NR--Not rated. GS MORTGAGE 2025-PJ8: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ8 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ8 (the Issuer): -- $242.7 million Class A-1 at (P) AAA (sf) -- $242.7 million Class A-2 at (P) AAA (sf) -- $242.7 million Class A-3 at (P) AAA (sf) -- $182.0 million Class A-4 at (P) AAA (sf) -- $182.0 million Class A-5 at (P) AAA (sf) -- $182.0 million Class A-6 at (P) AAA (sf) -- $145.6 million Class A-7 at (P) AAA (sf) -- $145.6 million Class A-8 at (P) AAA (sf) -- $145.6 million Class A-9 at (P) AAA (sf) -- $36.4 million Class A-10 at (P) AAA (sf) -- $36.4 million Class A-11 at (P) AAA (sf) -- $36.4 million Class A-12 at (P) AAA (sf) -- $97.1 million Class A-13 at (P) AAA (sf) -- $97.1 million Class A-14 at (P) AAA (sf) -- $97.1 million Class A-15 at (P) AAA (sf) -- $60.7 million Class A-16 at (P) AAA (sf) -- $60.7 million Class A-17 at (P) AAA (sf) -- $60.7 million Class A-18 at (P) AAA (sf) -- $27.6 million Class A-19 at (P) AAA (sf) -- $27.6 million Class A-20 at (P) AAA (sf) -- $27.6 million Class A-21 at (P) AAA (sf) -- $270.3 million Class A-22 at (P) AAA (sf) -- $270.3 million Class A-23 at (P) AAA (sf) -- $270.3 million Class A-24 at (P) AAA (sf) -- $80.9 million Class A-27 at (P) AAA (sf) -- $80.9 million Class A-X-27 at (P) AAA (sf) -- $80.9 million Class A-29 at (P) AAA (sf) -- $80.9 million Class A-X-29 at (P) AAA (sf) -- $80.9 million Class A-30 at (P) AAA (sf) -- $80.9 million Class A-X-30 at (P) AAA (sf) -- $351.2 million Class A-X-1 at (P) AAA (sf) -- $242.7 million Class A-X-2 at (P) AAA (sf) -- $242.7 million Class A-X-3 at (P) AAA (sf) -- $242.7 million Class A-X-4 at (P) AAA (sf) -- $182.0 million Class A-X-5 at (P) AAA (sf) -- $182.0 million Class A-X-6 at (P) AAA (sf) -- $182.0 million Class A-X-7 at (P) AAA (sf) -- $145.6 million Class A-X-8 at (P) AAA (sf) -- $145.6 million Class A-X-9 at (P) AAA (sf) -- $145.6 million Class A-X-10 at (P) AAA (sf) -- $36.4 million Class A-X-11 at (P) AAA (sf) -- $36.4 million Class A-X-12 at (P) AAA (sf) -- $36.4 million Class A-X-13 at (P) AAA (sf) -- $97.1 million Class A-X-14 at (P) AAA (sf) -- $97.1 million Class A-X-15 at (P) AAA (sf) -- $97.1 million Class A-X-16 at (P) AAA (sf) -- $60.7 million Class A-X-17 at (P) AAA (sf) -- $60.7 million Class A-X-18 at (P) AAA (sf) -- $60.7 million Class A-X-19 at (P) AAA (sf) -- $27.6 million Class A-X-20 at (P) AAA (sf) -- $27.6 million Class A-X-21 at (P) AAA (sf) -- $27.6 million Class A-X-22 at (P) AAA (sf) -- $27.6 million Class A-X-28 at (P) AAA (sf) -- $270.3 million Class A-X-23 at (P) AAA (sf) -- $270.3 million Class A-X-24 at (P) AAA (sf) -- $270.3 million Class A-X-25 at (P) AAA (sf) -- $17.1 million Class B-1 at (P) AA (low) (sf) -- $17.1 million Class B-X-1 at (P) AA (low) (sf) -- $17.1 million Class B-1A at (P) AA (low) (sf) -- $5.3 million Class B-2 at (P) A (low) (sf) -- $5.3 million Class B-X-2 at (P) A (low) (sf) -- $5.3 million Class B-2A at (P) A (low) (sf) -- $3.4 million Class B-3 at (P) BBB (low) (sf) -- $2.1 million Class B-4 at (P) BB (low) (sf) -- $571.0 thousand Class B-5 at (P) B (low) (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, and A-30 are super-senior notes. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The Classes A-27 and A-X-27 Notes are Floating Rate Notes. The Class A-1L, A-2L, and A-3L Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 7.75% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.25%, 1.85%, 0.95%, 0.40%, and 0.25% credit enhancement, respectively. The securitization is a portfolio first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ8 (the Notes). The Notes are backed by 328 loans with a total principal balance of $380,680,451 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 71.1%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by PennyMac Loan Services, LLC (27.4%), United Wholesale Mortgage, LLC (23.4%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (56.2%). PennyMac Loan Services, LLC (36.7%) and United Wholesale Mortgage, LLC (7.1%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, and Custodian and Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected Notes: All figures are in US dollars unless otherwise noted. GS MORTGAGE-BACKED 2025-DSC1: S&P Assigns 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. 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: NR Class X(i): NR Class SA, $202,408 (ii): NR Class A-IO-S(i): NR Class R, N/A: NR (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period, which 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. NR--Not rated. N/A--Not applicable. HOMEWARD OPPORTUNITIES 2025-RRTL2: DBRS Gives B(low) on M2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RRTL2 (the Notes) issued by Homeward Opportunities Fund Trust 2025-RRTL2 (HOF 2025-RRTL2 or the Issuer) as follows: -- $207.2 million Class A1 at A (low) (sf) -- $175.5 million Class A1A at A (low) (sf) -- $31.7 million Class A1B at A (low) (sf) -- $18.2 million Class A2 at BBB (low) (sf) -- $17.6 million Class M1 at BB (low) (sf) -- $13.5 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 23.25% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 16.50%, 10.00%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of an 18-month revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 209 mortgage loans with a total principal balance of approximately $136,290,803; -- Approximately $133,709,197 in the Accumulation Account; and -- Approximately $2,000,000 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may be extended, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include, but are not limited to: -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum WA Loan-to-Cost ratio (LTC) of 80.0%. -- A maximum NZ WA As-Repaired Loan-To-Value (ARV LTV) of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit, or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicing Administrator. In the HOF 2025-RRTL2 revolving portfolio, RTLs may be: -- Fully funded: (1) With no obligation of further advances to the borrower, or (2) with a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. -- Partially funded: With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the HOF 2025-RRTL2 eligibility criteria, unfunded commitments are limited to 50.0% of the assets of the issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans, and (2) amounts in the Accumulation Account. CASH FLOW STRUCTURE AND DRAW FUNDING The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A1, A1A, A1B, and A2 fixed rates listed in the Credit Ratings table in the related credit rating report will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances, which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Each Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicers will satisfy Rehabilitation Disbursement Requests by (1) for loans with funded commitments, releasing funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, releasing funds from principal collections on deposit in the related Servicers' Custodial Account (Rehabilitation Advances). If amounts in the applicable Servicers' Custodial Account are insufficient to fund a Rehabilitation Advance, the Depositor may advance funds from the Accumulation Account. The Depositor will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover the first three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,000,000. On the payment dates occurring in September, October, and November 2025, the Paying Agent will withdraw a specified amount to be included in available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for NBIA's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the credit rating report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at par plus interest and fees (the Redemption Price). On any Payment Date following the termination of the Reinvestment Period, the Depositor, at its option, may purchase all of the mortgage loans at the Redemption Price. Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans as of the Initial Cut-Off Date. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material representations and warranties (R&W) breach, a material document defect, or a diligence defect that the Sponsor is unable to cure; -- The Sponsor elects to exercise its Repurchase Option; or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Homeward Opportunities Fund LP, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow standard protocol, which includes a review of the affected area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-8: DBRS Gives Prov. B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-8 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-8: -- $319.5 million Class A-2 at (P) AAA (sf) -- $319.5 million Class A-3 at (P) AAA (sf) -- $319.5 million Class A-3-X at (P) AAA (sf) -- $239.6 million Class A-4 at (P) AAA (sf) -- $239.6 million Class A-4-A at (P) AAA (sf) -- $239.6 million Class A-4-X at (P) AAA (sf) -- $79.9 million Class A-5 at (P) AAA (sf) -- $79.9 million Class A-5-A at (P) AAA (sf) -- $79.9 million Class A-5-X at (P) AAA (sf) -- $191.7 million Class A-6 at (P) AAA (sf) -- $191.7 million Class A-6-A at (P) AAA (sf) -- $191.7 million Class A-6-X at (P) AAA (sf) -- $127.8 million Class A-7 at (P) AAA (sf) -- $127.8 million Class A-7-A at (P) AAA (sf) -- $127.8 million Class A-7-X at (P) AAA (sf) -- $47.9 million Class A-8 at (P) AAA (sf) -- $47.9 million Class A-8-A at (P) AAA (sf) -- $47.9 million Class A-8-X at (P) AAA (sf) -- $34.4 million Class A-9 at (P) AAA (sf) -- $34.4 million Class A-9-A at (P) AAA (sf) -- $34.4 million Class A-9-X at (P) AAA (sf) -- $63.9 million Class A-10 at (P) AAA (sf) -- $63.9 million Class A-10-A at (P) AAA (sf) -- $63.9 million Class A-10-X at (P) AAA (sf) -- $63.9 million Class A-11 at (P) AAA (sf) -- $63.9 million Class A-11-A at (P) AAA (sf) -- $63.9 million Class A-11-X at (P) AAA (sf) -- $63.9 million Class A-12 at (P) AAA (sf) -- $63.9 million Class A-12-A at (P) AAA (sf) -- $63.9 million Class A-12-X at (P) AAA (sf) -- $127.8 million Class A-13 at (P) AAA (sf) -- $127.8 million Class A-13-A at (P) AAA (sf) -- $127.8 million Class A-13-X at (P) AAA (sf) -- $111.8 million Class A-14 at (P) AAA (sf) -- $111.8 million Class A-14-A at (P) AAA (sf) -- $111.8 million Class A-14-X at (P) AAA (sf) -- $353.9 million Class A-X-1 at (P) AAA (sf) -- $7.7 million Class B-1 at (P) AA (low) (sf) -- $7.7 million Class B-1-A at (P) AA (low) (sf) -- $7.7 million Class B-1-X at (P) AA (low) (sf) -- $6.0 million Class B-2 at (P) A (low) (sf) -- $6.0 million Class B-2-A at (P) A (low) (sf) -- $6.0 million Class B-2-X at (P) A (low) (sf) -- $3.9 million Class B-3 at (P) BBB (low) (sf) -- $2.4 million Class B-4 at (P) BB (low) (sf) -- $751.7 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-12-X, A-13-X, A-14-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-4, A-4-A, A-4-X, A-5, A-6, A-6-A, A-6-X, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11, A-12, A-13, A-13-A, A-13-X, A-14, A-14-A, A-14-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-10, A-10-A, A-11, A-11-A, A-12, A-12-A, A-13, A-13-A, A-14, and A-14-A are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.85% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.80%, 2.20%, 1.15%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 294 loans with a total principal balance of $375,872,372 as of the Cut-Off Date (September 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 91.1% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 8.9% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM), Rocket Mortgage, LLC and PennyMac Loan Services, LLC originated 26.9%, 15.6%, and 14.2% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by NewRez d/b/a Shellpoint Mortgage Servicing (57.4%), Cenlar (26.9%), and PennyMac Loan Services, LLC (14.2%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2025). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C27: DBRS Confirms C Rating on 6 Tranches --------------------------------------------------------------- DBRS Limited downgraded the credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by JPMBB Commercial Mortgage Securities Trust 2015-C27 as follows: -- Class A-S to CCC (sf) from BBB (sf) -- Class X-A to CCC (sf) from BBB (high) (sf) -- Class B to C (sf) from CCC (sf) -- Class X-B to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) -- Class EC at C (sf) The trend on Class A-4 is Negative, while the remaining classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in January 2025, five loans have repaid from the pool, leaving five loans remaining as of the August 2025 remittance. Four out of the five loans, representing 95.7% of the pool, are in special servicing and are beyond their scheduled maturity dates. Morningstar DBRS expects all four specially serviced loans to be resolved with a loss to the trust. The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values while accounting for expected servicer expenses. Across the four specially serviced loans, Morningstar DBRS is projecting total liquidated losses of $167.3 million, up from $112.9 million at the January 2025 review, largely driven by Morningstar DBRS' deteriorated credit view for the Club Row Building loan (Prospectus ID#1; 44.7% of the pool). Additionally, since Morningstar DBRS' last credit rating action, accumulating nonrecoverable advances and other expenses have been reimbursed from principal, resulting in the unrated Class NR being written down by $9.3 million (-33.0% of the original class balance). Based on the updated analysis, projected losses are expected to fully erode the balances of Classes C through NR and partially erode the balance of Class B, supporting the credit rating downgrades on Classes B and X-B to C (sf) from CCC (sf). In addition to the increase in projected losses, the transaction's ongoing interest shortfalls have exceeded Morningstar DBRS' tolerance for timely interest to the respective bonds, supporting the credit rating downgrades to Classes A-S and X-A and the Negative trend on Class A-4 . As of the August 2025 remittance, unpaid interest totaled $15.6 million, an increase from $10.4 million in January 2025. As reported in the August 2025 remittance report, $455,000 of the monthly interest shortfall figure is attributed to the loans in special servicing, with the remaining $286,000 in shorted interest being the result of the servicer's diversion of received interest to pay down the principal balance of the Class A-4 certificate. While Morningstar DBRS is not currently projecting realized losses for Class A-S, this Class began accruing interest shortfalls in February 2025 and has surpassed Morningstar DBRS' limited tolerance for shorted interest at the BBB (sf) credit rating category of four periods and reached the Morningstar DBRS ceiling of six periods at the B (sf) credit rating category, supporting the credit rating downgrades to Classes A-S and X-A. The largest loan in the pool and the primary driver of Morningstar DBRS' increase in liquidated losses, The Club Row Building, is secured by a Class B office building in Midtown Manhattan that transferred to special servicing in January 2025 because of maturity default. The property's occupancy rate has continuously declined year over year, most recently being reported at 61.0% as of March 2025. The loan's debt service coverage ratio (DSCR) was reported at 1.32 times (x) as of YE2024 but has since declined to below breakeven during the trailing three-month (T-3) period ended March 31, 2025. Despite the low occupancy and declining DSCR, the loan remains current and, according to special servicer commentary, a loan modification has been conditionally approved. Morningstar DBRS, however, remains concerned about the property's leasing prospects as occupancy has declined every year since 2019. Given the subject's Class B construction and the declining demand for office space, Morningstar DBRS estimates the as-is value has fallen significantly from issuance, with a balloon loan-to-value ratio well over 100.0%. In the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a conservative 75% haircut to the $250.0 million issuance appraisal value, resulting in projected losses of $74.0 million (loss severity of 67%). The second-largest loan in the pool, The Branson at Fifth (Prospectus ID#3; 29.7% of the pool), is secured by a mixed-use (multifamily and retail) property in Midtown Manhattan. The property's retail space has remained vacant since 2019, resulting in depressed cash flows and extended loan delinquency, resulting in its transfer to special servicing in 2021. The loan has now passed its February 2025 maturity date, most recently reporting an occupancy rate of 33.0% with a DSCR of 0.02x during the T-3 period ended March 31, 2025. While the borrower has proposed various loan modifications and maturity extensions, given the extended vacancies and delinquency, the special servicer continues to dual track foreclosure, with a co-operative sale also being evaluated. The collateral was most recently appraised in September 2024, being valued at $37.5 million, which represents a -68.5% variance from the issuance value of $119.0 million. In the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a 25% haircut to the most recent appraisal value, resulting in projected losses of $55.5 million (loss severity of 76%). The third-largest loan in the pool, 717 14th Street (Prospectus ID#4; 15.1% of the pool), is secured by a 114,204-square-foot office property in Washington, D.C. The loan transferred to special servicing in February 2023 for monetary default following the departure of several large tenants, resulting in the occupancy rate falling to 54.0% as of June 2025. While the property's largest tenant, U.S. Department of the Treasury (47.9% of net rentable area), extended its lease to 2032, the DSCR remains depressed, most recently reported at -0.35x during the T-6 period ended June 30, 2025. Although the property is close to the White House, the lack of demand for Class B office space and high submarket vacancy rate exceeding 20.0% have contributed to the absence of leasing activity in the last few years. As a result, the property was re-appraised in December 2024 at a value of $9.6 million, representing an -82.9% variance from the issuance value of $56.0 million. In the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a 25% haircut to the most recent appraisal value, resulting in projected losses of $33.6 million (loss severity of 91%). Notes: All figures are in U.S. dollars unless otherwise noted. MAD COMMERCIAL 2025-11MD: S&P Assigns Prelim BB- Rating on HRR Cert ------------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings to MAD Commercial Mortgage Trust 2025-11MD's commercial mortgage pass-through certificates series 2025-11MD. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan secured by the borrower's fee simple interest in 11 Madison Avenue, a 30-story, class A, LEED Gold Certified, iconic trophy office tower, totaling approximately 2.3 million sq. ft. located in the Flatiron District of Manhattan. The preliminary ratings are based on information as of Sept. 11, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. We determined that the mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 90.8%, based on S&P Global Ratings' value of the property backing the transaction." Preliminary Ratings Assigned MAD Commercial Mortgage Trust 2025-11MD(i) Class A, $606,800,000: AAA (sf) Class B, $127,300,000: AA+ (sf) Class C, $306,500,000: A (sf) Class D, $218,900,000: BBB- (sf) Class E, $70,500,000: BB (sf) Class HRR interest(ii), $70,000,000: BB- (sf) (i) Certificate balances are approximate, subject to a variance of plus or minus 5%. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933, to institutional accredited investors under Regulation D and to non-U.S. persons under Regulation S. (ii)Horizontal risk retention certificates. MAGNETITE XXXII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XXXII, Limited reset transaction. Entity/Debt Rating ----------- ------ Magnetite XXXII, Limited X-R LT AAAsf New Rating A-R LT NRsf New Rating AJ-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XXXII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by BlackRock Financial Management, Inc., originally closed in April 2022. Fitch didn't rate the original transaction. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.05% first-lien senior secured loans and has a weighted average recovery assumption of 75.1%. 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 3.1-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 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class AJ-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class AJ-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XXXII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MORGAN STANLEY 2017-HR2: DBRS Confirms B Rating on H-RR Certs ------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-HR2 issued by Morgan Stanley Capital I Trust 2017-HR2 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at BB (low) (sf) -- Class H-RR at B (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' stable outlook for the transaction, with only a small concentration of loans being monitored on servicer's watchlist for credit-related reasons and no specially serviced or delinquent loans as of the August 2025 reporting. Overall, the pool continues to exhibit healthy credit metrics as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) and debt yield for all non-defeased loans of approximately 2.50 times (x) and 12.3%, respectively, based on the most recent year-end financials. As of the August 2025 remittance, 39 of the original 42 loans remain in the pool with an aggregate principal balance of $796.7 million, reflecting a collateral reduction of 15.5% since issuance as a result of loan repayment and scheduled amortization. Eight loans, representing 30.0% of the pool, are on the servicer's watchlist, however, only five of those loans (14.8% of the pool) are being monitored for performance-related reasons while three loans, representing 3.4% of the pool, are defeased. The pool is relatively diverse by property type, with the largest concentrations of loans backed by retail, office, and self-storage properties at 34.5%, 19.4%, and 13.5% of the pool, respectively. In its analysis for this review, Morningstar DBRS adjusted five of the eight loans backed by office collateral exhibiting increased credit risk since issuance with stressed loan-to-value ratios (LTV) and/or elevated probabilities of default (PODs), resulting in a WA expected loss (EL) that was approximately 4.0x the pool's average. The largest watch listed loan on the servicer's watchlist, Totowa Commons (Prospectus ID#5; 6.3% of the pool), is secured by a 271,488 square foot (sf) anchored retail center in Totowa, New Jersey. The loan was placed on the watchlist in December 2023 and is being monitored for low DSCR, most recently reported at 0.97x as of Q2 2025, a notable decline from the issuance DSCR of 1.82x. The decline is primarily attributable to a decline in the occupancy rate, which fell to 49.0% following the departure of Bed, Bath & Beyond (formerly 34.5% of the net rentable area (NRA)) and Marshalls (formerly 16.6% of the NRA). However, according to the June 2025 rent roll, the borrower has signed three new leases with Tesla (34.5% of NRA), Lidl (10.0% of NRA), and Boot Barn Western and Work Wear (6.6% of the NRA, beginning in November 2024 through December 2025, that will bring the occupancy rate to 100%. Despite the slight decline in base rent paid by Tesla and the potential near-term rollover of Staples (7.6% of the NRA), which has a lease expiration in March 2026, Morningstar DBRS expects performance to rebound well above breakeven with the additional tenancy in the near to medium term. With this review, Morningstar DBRS analyzed the loan with a stressed LTV and elevated POD, resulting in an EL almost 1.5x the pool average. The largest office loan in the pool, 150 West Jefferson (Prospectus ID#6; 4.2% of the pool), is secured by a 489,786-sf Class A office building in the central business district (CBD) of Detroit. The property's performance has been stable since issuance, most recently reporting a DSCR of 1.87x on the whole loan and an occupancy rate of 87.5% as of YE2024, in comparison with the issuance figures of 1.75x and 93.7%, respectively. Despite the improved cash flow, rollover risk remains a concern as approximately seven tenants, representing 22.9% of the NRA, have scheduled lease expirations in the next 12 months, including the second-largest tenant, Miller Canfield Paddock Stone (14.3% of the NRA; lease expiration in June 2026). According to Reis, office properties in the Detroit/CBD submarket reported a Q2 2025 vacancy rate of 29.2% and an asking rental rate of $22.10 per square foot (psf), which is below the property's average rental rate of approximately $34.14 psf. Given the near-term tenant rollover risk and the soft submarket conditions, Morningstar DBRS analyzed the loan using a stressed LTV and elevated POD adjustment, resulting in an EL greater than 3.5x the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2018-L1: DBRS Confirms BB Rating on E Certs ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-L1 issued by Morgan Stanley Capital I Trust 2018-L1 (the Trust) as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AA (sf) -- Class X-B at A (high) (sf) -- Class B at A (sf) -- Class C at BBB (high) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BB (high) (sf) -- Class E at BB (sf) -- Class F-RR at B (sf) -- Class G-RR at B (low) (sf) -- Class H-RR at B (low) (sf) Morningstar DBRS changed the trends on Classes B, X-B, C, D, E, X-D, F-RR, G-RR, and H-RR to Stable from Negative. The trends on the remaining classes are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance since Morningstar DBRS' previous credit rating action in September 2024, when Morningstar DBRS downgraded its credit ratings on 10 classes. The majority of the underlying loans in the pool exhibit healthy credit metrics, as evidenced by the pool's weighted-average debt service coverage ratio (DSCR) of 1.98 times (x). The transaction also benefits from increased credit support to the bonds because of scheduled amortization and $40.8 million of defeasance. At the previous credit rating action, Morningstar DBRS changed the trends on Classes B, X-B, and C to Negative from Stable and maintained the Negative trends on Classes D, E, X-D, F-RR, G-RR, and H-RR to reflect the pool's concentration of collateral secured by office properties in secondary markets, which currently represents 28.2% of the pool balance, two of which are in special servicing. In this review, Morningstar DBRS analyzed the largest of three specially serviced loans, Regions Tower (Prospectus ID#11, 3.5% of the pool), with a liquidation scenario. This resulted in a total implied loss of $9.9 million, which continues to be contained to the unrated Class J-RR certificate. Morningstar DBRS also increased the probability of default (POD) penalties and/or stressed loan-to-value ratios (LTV) for a handful of other loans exhibiting increased risks since issuance, as applicable, including the remaining two specially serviced loans and loans secured by office collateral. The results of this evaluation support the trend changes to Stable from Negative. The pool composition has been relatively unchanged since Morningstar DBRS' last review as 46 of the original 47 loans remain in the pool, with an aggregate principal balance of $859.9 million. This represents a collateral reduction of 4.5% since issuance. Four loans, representing 4.8% of the pool, are fully defeased, and seven loans, representing 10.8% of the pool, are being monitored on the servicer's watchlist. The pool is concentrated by property type, with retail and office collateral accounting for 33.9% and 28.2%, respectively. The largest specially serviced loan, Regions Tower, is secured by a 687,237-square-foot (sf) Class A office property in the Indianapolis Central office submarket. The loan transferred to the special servicer in August 2023 for imminent monetary default ahead of the scheduled October 2023 maturity date. However, as of August 2025, the loan was current on monthly debt service payments. A receiver was appointed in March 2024, and the special servicer is pursuing foreclosure, with an anticipated closing date in the fall of 2025. The receiver was able to execute lease extensions with the largest and third-largest tenants in 2024 and is currently in negotiations with another prospective tenant to better position the asset for sale. According to the most recent rent roll from September 2023, the property was 74.7% occupied, down from 85.0% at issuance. Morningstar DBRS was unable to confirm the current occupancy rate for the purposes of this review. According to Reis, the Indianapolis Central submarket reported an elevated 24.1% vacancy rate as of Q2 2025, a slight increase from 23.1% as of Q2 2024. The continued elevated vacancy rate suggests backfilling vacant space will remain challenging for the receiver and a potential buyer. According to the updated July 2024 appraisal, the property was valued at $71.4 million ($104 per sf (psf)) on an as-is basis, representing a 42.6% decline from the issuance appraised value of $124.4 million ($181 psf). Given the property's declining performance and ongoing foreclosure proceedings, Morningstar DBRS' analysis for this loan included an updated liquidation scenario, based on a haircut to the July 2024 appraisal that resulted in a projected loan loss severity of 33.1%, or $9.9 million. The largest loan on the servicer's watchlist, Embassy Suites Atlanta Airport (Prospectus ID#10, 3.5% of the pool), is secured by a 236-unit hotel in Atlanta within proximity to Hartsfield-Jackson Atlanta International Airport. The loan has been on the servicer's watchlist since August 2020 because of a low DSCR. As of Q1 2025, the loan reported a trailing three-month DSCR of 1.38x, which is an increase from the YE2024 and YE2023 figures of 0.74x and 0.70x, respectively, but still lower than the issuance figure of 1.70x. Per the April 2025 STR, Inc. report, the hotel is outperforming its competitive set as it reported a running 12-month occupancy, average daily rate, and revenue per available room of 67.60%, $146.70, and $99.30, respectively. However, given the loan's low DSCR over the last several reporting periods, Morningstar DBRS analyzed the loan using a stressed LTV and elevated POD, resulting in an expected loss (EL) that is more than triple the pool-average EL. Alex Park South (Prospectus ID#13, 3.1% of the pool) is secured by nine mixed-use buildings, totaling 353,000 sf, in Rochester, New York. The loan has been on the servicer's watchlist since August 2022 because of a low occupancy rate and DSCR. As of Q1 2025, the property was 72% occupied, which is considerably lower than the 94.0% occupancy figure at issuance but a significant year-over-year increase from 31.6% as of the March 31, 2024, rent roll. While tenant rollover in the next 12 months is limited, market conditions remain soft, with the Inner Loop East submarket reporting a vacancy rate of 25.9% according to Reis Q2 2025 data. As of Q1 2025, the loan reported a trailing 12-month DSCR of 0.62x, which is a decrease from the YE2024 and YE2023 figures of 0.65x and 1.02x, respectively, and a significant decline from the issuance figure of 1.32x. Given the performance declines and soft submarket conditions, Morningstar DBRS notes that the collateral's as-is value has likely declined, elevating the credit risk to the Trust. As such, Morningstar DBRS applied a stressed LTV scenario in its analysis, resulting in an EL that is approximately five times the pool-average EL. At issuance, Morningstar DBRS assigned investment-grade shadow ratings to three loans: Aventura Mall - Trust (Prospectus ID#1, 7.0% of the pool), Millennium Partners Portfolio - Trust (Prospectus ID#3, 6.5% of the pool), and The Gateway (Prospectus ID#6, 4.7% of the pool). As part of this review, Morningstar DBRS confirmed that the performance of these loans remains consistent with the investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-DSC3: S&P Assigns Prelim B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, five- to 10-unit multifamily residential properties, and a mixed-use property. The pool has 1,123 loans, backed by 1,274 properties, which are ability-to-repay exempt. The preliminary ratings are based on information from the term sheet dated Sept. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA), and the reviewed mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and which is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3(i) Class A-1-A, $209,167,000: AAA (sf) Class A-1-B, $36,568,000: AAA (sf) Class A-1, $245,735,000: AAA (sf) Class A-2, $33,094,000: AA- (sf) Class A-3, $40,042,000: A- (sf) Class M-1, $19,381,000: BBB- (sf) Class B-1, $10,056,000: BB (sf) Class B-2, $11,519,000: B (sf) Class B-3, $5,851,149: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $18,286,899: NR Class PT, $347,391,250: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $365,678,149. NR--Not rated. MOUNTAIN VIEW XIX: S&P Assigns BB- (sf)Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Mountain View CLO XIX Ltd./Mountain View CLO XIX LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Seix Investment Advisors, a division of Virtus Fixed Income Advisers LLC. The 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 Mountain View CLO XIX Ltd./Mountain View CLO XIX LLC Class X, $4.0 million: AAA (sf) Class A-1, $252.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B, $44.0 million: AA (sf) Class C-1 (deferrable), $20.0 million: A+ (sf) Class C-2 (deferrable), $10.0 million: A (sf) Class D-1 (deferrable), $10.0 million: BBB+ (sf) Class D-2 (deferrable), $8.0 million: BBB- (sf) Class D-3 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $10.0 million: BB- (sf) Subordinated notes, $33.0 million: NR NR--Not rated. NELNET EDUCATION 2004-1: S&P Lowers A-2 Notes Rating to 'B (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the senior class A-2 note from Nelnet Education Loan Funding Inc. 2004-1 to 'B (sf)' from 'BBB (sf)'. At the same time, S&P removed the note from CreditWatch with negative implications. This note is backed by a pool of student loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). The rating action primarily reflects the liquidity pressure the class A-2 note is experiencing relative to its maturity date in approximately five years and not the credit enhancement available to the note for ultimate principal repayment. The principal payment rate of the note continues to decline due to lower consolidation activity in the trust. For example, the payment rate on the class A-2 note balance was 4.7% in August 2025 compared to 5.3% in August 2023. Rationale S&P said, "In reviewing our ratings, we calculate a principal payment liquidity haircut based on the note principal payment amount paid over the past 12 months. The haircut indicates the percentage decline that the periodic note payment can immediately withstand but still fully repay the note by its legal final maturity date. A lower haircut indicates that a note can withstand a smaller decline in its principal payment amount than a higher haircut. A negative haircut implies that a note will need to experience a sustained increase in principal payments to be paid off by legal final maturity. Our principal payment haircut calculation using the average principal payments over the last year indicates that the haircut for this note declined to -1.71% as of August 2025 from 59.4% as of August 2023. "Our criteria states that the rating on a note with a legal final maturity within five years and a principal payment haircut less than 0% should be 'B (sf)' or lower. Despite the slight uptick in principal payments in recent periods, our principal payment liquidity haircut was negative based on the most recent servicer report as our lowered rating reflects the current principal payment haircut based on average principal payments. We also considered the ongoing uncertainty related to federal policy decisions that could either positively or negatively impact obligor behavior and ultimately, principal payments." Transaction Summary The transaction is primarily comprised of seasoned consolidation loans that are supported by an ED guarantee of at least 97% of defaulted loan principal and interest. Loans that have been serviced according to the FFELP guidelines retain this guarantee; therefore, S&P expects net losses to be minimal. Class A-2 is the only outstanding class in this trust. Credit enhancement includes a reserve account and excess spread. Parity for the class is greater than 100%. The reserve account, which is measured as the greater of 0.25% of the current pool balance and a non-amortizing fixed dollar amount, grows as the notes amortize and may be used to make payment on a note's legal final maturity date. S&P will continue to monitor the transaction's performance, including the pool's performance, available credit enhancement, and the class' liquidity, and take ratings actions as we deem appropriate. OBX TRUST 2025-J2: Moody's Assigns B1 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 73 classes of residential mortgage-backed securities (RMBS) issued by OBX 2025-J2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (94.1% by balance) and GSE-eligible (5.9% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators MAXEX Clearing LLC (MAXEX; 5.8% by loan balance) and Onslow Bay Financial LLC (Onslow Bay; 4.4%). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) is the servicer of the pool. The complete rating actions are as follows: Issuer: OBX 2025-J2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-30, Definitive Rating Assigned Aaa (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa1 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on September 04, 2025, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.26%, in a baseline scenario-median is 0.10% and reaches 4.24% 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. OCTAGON 73 LTD: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 73 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon 73 Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Octagon 73 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.54 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.56% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.19% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 73 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OHA LOAN 2015-1: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the OHA Loan Funding 2015-1 Ltd. reset transaction. Entity/Debt Rating ----------- ------ OHA Loan Funding 2015-1, Ltd. X-R4 LT AAAsf New Rating A-1-R4 LT AAAsf New Rating A-2-R4 LT AAAsf New Rating B-R4 LT AAsf New Rating C-R4 LT Asf New Rating D-1-R4 LT BBB-sf New Rating D-2-R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OHA Loan Funding 2015-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Oak Hill Advisors, L.P., which originally closed in 2015. On the fourth reset of the deal, net proceeds from the issuance of the secured, along with the existing subordinated notes will provide financing on a portfolio of approximately $645 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.09 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 98.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.3% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R4, between 'BBB+sf' and 'AA+sf' for class A-1-R4, between 'BBB+sf' and 'AA+sf' for class A-2-R4, between 'BB+sf' and 'A+sf' for class B-R4, between 'B-sf' and 'BBB+sf' for class C-R4, between less than 'B-sf' and 'BB+sf' for class D-1-R4, and between less than 'B-sf' and 'BB+sf' for class D-2-R4 and between less than 'B-sf' and 'B+sf' for class E-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R4, class A-1-R4 and class A-2-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-R4, 'AA+sf' for class C-R4, 'A+sf' for class D-1-R4, and 'A-sf' for class D-2-R4 and 'BBB+sf' for class E-R4. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Loan Funding 2015-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PALMER SQUARE 2022-3: Moody's Ups $40MM D-R Notes Rating from Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2022-3, Ltd.: US$45M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on May 9, 2025 Upgraded to A1 (sf) US$40M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on May 9, 2025 Upgraded to Ba1 (sf) Moody's have also affirmed the ratings on the following notes: US$483.5M (Current outstanding amount US$86,085,573) Class A-1a-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2025 Affirmed Aaa (sf) US$140M Class A-1b-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2025 Affirmed Aaa (sf) US$40M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2025 Affirmed Aaa (sf) US$45M Class B-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on May 9, 2025 Upgraded to Aaa (sf) Palmer Square Loan Funding 2022-3, Ltd., originally issued in November 2022 and later refinanced in March 2024, is a static collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is serviced by Palmer Square Capital Management LLC. The servicer may sell assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sales and unscheduled principal proceeds received will be used to amortize the notes in sequential order. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the deleveraging of the Class A-1a-R notes following amortisation of the underlying portfolio since the last rating action in May 2025. The affirmations of the ratings on the Class A-1a-R, A-1b-R, A-2-R and B-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1a-R notes have paid down by approximately USD44.7 million (9.24% of original balance) since the last rating action in May 2025 and USD397.4 million (82.2%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated August 2025 [1] the Class A, Class B, Class C and Class D OC ratios are reported at 173.8%, 148.6%, 129.8% and 116.7% compared to April 2025 [2] levels, on which the last rating action was based, of 150.7%, 135.1%, 122.4% and 112.9%, respectively. The key model inputs Moody's use in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology 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: USD 462.83m Defaulted Securities: None Diversity Score: 58 Weighted Average Rating Factor (WARF): 2750 Weighted Average Life (WAL): 3.42 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.70% Weighted Average Recovery Rate (WARR): 46.91% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectation 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 incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. 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 servicer 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. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PEACE PARK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class B-R, C-R, D-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. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C, D, and E debt following payment in full on the Sept. 12, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt was issued at floating spreads, replacing the original fixed- and floating-rate debt. -- The replacement class B-R debt was issued at a floating spread, replacing the original B-1 floating-rate and B-2 fixed-rate debt. -- The original class D debt was replaced by two classes of debt, D-1-R and D-2-R, which are sequential in payment. -- New class X-R debt was 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 were issued on the refinancing date. -- The stated maturity and reinvestment periods were extended by four years. -- The non-call period was 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." 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) Ratings Withdrawn Peace Park CLO Ltd./Peace Park CLO LLC Class A to not rated from 'AAA (sf)' Class B-1 to not rated from 'AA (sf)' Class B-2 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 Peace Park CLO Ltd./Peace Park CLO LLC Class X-R, $6.50 million: Not rated Class A-R, $416.00 million: Not rated Subordinated notes, $64.18 million: Not rated PMT LOAN 2025-INV9: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 63 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, assigned on September 08, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.59%, 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. PRET 2025-RPL4: DBRS Gives Prov. BB Rating on Class B-1 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RPL4 (the Notes) to be issued by PRET 2025-RPL4 Trust (PRET 2025-RPL4 or the Trust) as follows: -- $289.3 million Class A-1 at (P) AAA (sf) -- $21.5 million Class A-2 at (P) AA (high) (sf) -- $310.8 million Class A-3 at (P) AA (high) (sf) -- $331.6 million Class A-4 at (P) A (sf) -- $347.3 million Class A-5 at (P) BBB (sf) -- $20.9 million Class M-1 at (P) A (sf) -- $15.7 million Class M-2 at (P) BBB (sf) -- $11.4 million Class B-1 at (P) BB (sf) -- $7.0 million Class B-2 at (P) B (high) (sf) The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The (P) AAA (sf) credit rating on the Notes reflects 25.15% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 19.60%, 14.20%, 10.15%, 7.20%, and 5.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. PRET 2025-RPL4 is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,751 loans with a total principal balance of $406,876,306 as of the Cut-Off Date (August 31, 2025). The mortgage loans are approximately 134 months seasoned. As of the Cut-Off Date, 91.7% of the loans are current (including 1.3% bankruptcy-performing loans), and 8.3% of the loans are 30 days delinquent (including 0.1% bankruptcy loans) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 53.3% and 68.60% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively. The portfolio contains 63.8% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 92.6% of these loans. Within the pool, 489 mortgages have an aggregate non-interest-bearing deferred amount of $18,313,329, which comprises 4.5% of the total principal balance. PRET 2025-RPL4 is the sixth rated securitization of seasoned performing and reperforming residential mortgage loans on the PRET shelf. The Sponsor, Goldman Sachs Mortgage Company (GSMC), is a New York limited partnership. The Mortgage Loan Seller will contribute the loans to the Trust through GS Mortgage Securities Corp. (the Depositor). As the Sponsor, GSMC or its majority-owned affiliate will retain an eligible vertical interest in the transaction consisting of an uncertificated interest in the Issuer representing the right to receive at least 5% of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. All the loans are being serviced by Selene Finance LP. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners association fees in super-lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Controlling Holder also will have the right to direct the Servicer to sell any mortgage loan that has become 90 or more days delinquent in payment of any related loan payment. In addition, if the Controlling Holder objects to a proposed or contemplated foreclosure action with respect to a mortgage loan, the Controlling Holder must repurchase such mortgage loan at a price equal to the sum of (1) the unpaid principal balance plus interest, (2) any outstanding Post-Cut-Off Date Deferred Amount, and (3) any pre-existing servicing advances, unreimbursed servicing advances, or unpaid servicing fees with respect to such mortgage loan. On any Payment Date on or after the earlier of (1) the three-year anniversary of the Closing Date and (2) the date on which the aggregate Principal Balance of the Mortgage Loans is reduced to less than 30% of the Aggregate Cut-Off Date Principal Balance of the Mortgage Loans, the Controlling Holder will have the option to purchase all remaining loans and other property of the Issuer at the redemption price (Optional Redemption). The Redemption Right Holder will be the beneficial owner of more than 50% the Class X Notes. The Controlling Holder has the option to, on any business day on or after the Payment Date in September 2027, purchase all of the outstanding Notes (Optional Clean-up Call) for a price equal to the sum of (i) the Class Principal Balance of each Class of Notes and (ii) any accrued and unpaid interest thereon (including any Cap Carryover Amounts due to the Class A-1, Class A-2, Class M-1, and Class M-2 and any outstanding amounts due to the Class X Notes). The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class A-2 Notes and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. PRMI 2024-PHL1: DBRS Gives Prov. B Rating on Class B-2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PHL1 (the Notes) to be issued by PRMI Securitization Trust 2024-PHL1 (PRMI 2025-PHL1 or the Trust) as follows: -- $259.6 million Class A-1 at (P) AAA (sf) -- $8.6 million Class A-2 at (P) AA (sf) -- $8.5 million Class A-3 at (P) A (sf) -- $7.0 million Class M-1 at (P) BBB (sf) -- $5.5 million Class B-1 at (P) BB (sf) -- $3.1 million Class B-2 at (P) B (sf) The (P) AAA (sf) rating on the Class A-1 Notes reflects 12.50% of credit enhancement provided by subordinated certificates. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) ratings reflect 9.60%, 6.75%, 4.40%, 2.55%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to PRMI Securitization Trust 2025-PHL1 (PRMI 2025-PHL1 or the Trust), a securitization of a portfolio of newly originated and seasoned, performing, adjustable-rate, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 547 LOC loans with a total unpaid principal balance (UPB) of $296,663,250 and a total current credit limit of $367,998,201 as of the Cut-Off Date (August 31, 2025). The portfolio, on average, is 36 months seasoned, though seasoning ranges from three to 128 months. 98.6% of the LOC loans have had clean pay history since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development (PUDs), townhouses and condominiums. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The transaction is the fourth securitization of first-lien HELOC loans by the Sponsor. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $19.1 billion in assets. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of 25 or 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances . A 25 or 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline (in period 121) after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All of the LOC loans in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio (DTI) calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing Morningstar DBRS-rated deals, the loans in the pool generally have high borrower credit scores, are all in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. The transaction, based on a static pool, employs a sequential-pay cash flow structure subject to a performance trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. Principal proceeds can be used to cover interest shortfalls on the most senior notes outstanding (IPIP). Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3 Notes. The Trust Certificates have a pro rata principal distribution with the Class A-1 Notes while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On or after the earlier of the (i) payment date in October 2027, and (ii) the date on which the aggregate principal balance of the mortgage loans is less than or equal to 30% of the aggregate principal balance as of the cut-off date, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the loans and any real estate owned (REO) properties at an optional termination price described in the transaction documents. An Optional Termination will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Certificate holder may sell, transfer, convey, assign, or otherwise pledge the right to direct the Issuer to exercise the Optional Termination to a third party, in which case the right must be exercised by such third party, as described in the transaction documents. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, The Sponsor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in U.S. dollars unless otherwise noted. PRMI 2025-PHL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRMI Securitization Trust 2025-PHL1 (PRMI 2025-PHL1). Entity/Debt Rating ----------- ------ PRMI 2025-PHL1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes, which are backed by a pool of non-seasoned and seasoned, first-lien, open home equity lines of credit (HELOC) on residential properties, to be issued by PRMI Securitization Trust 2025-PHL1 (PRMI 2025-PHL1). This is the fourth transaction rated by Fitch which includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 547 non-seasoned and seasoned, performing, prime-quality loans with a current outstanding balance as of the cutoff date of $296,663,250 (the collateral balance based on the maximum draw amount is $376,998,201, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are open; the aggregate available credit line amount is expected to be $71.33 million, per the transaction documents. The loans were originated or acquired by CMG Mortgage, Inc. and are serviced by Northpointe Bank (35.49) and Merchants Bank of Indiana (64.51). Both the interest and principal waterfalls have a sequential structure and losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the VFA. The VFA will be funded up front by the holder of the trust certificate, and the holder of the trust certificate will be obligated, in certain circumstances (only if draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws on the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicers, Merchants Bank of Indiana and Northpointe Bank, will not advance delinquent monthly payments of principal and interest (P&I). Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable-rate loans, with 5.3% based on 30 day compound SOFR and 94.7% based on One-Year Treasury CMT per the transaction documents. As a result, there is no Libor exposure in the transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Reflecting its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.8% above a long-term sustainable level (vs. 10.5% on a national level as of 1Q25). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 2.3% yoy nationally as of May 2025 despite modest regional declines, and are still being supported by limited inventory. Prime Credit Quality First Lien HELOC (Positive): The collateral pool consists of 547 first lien, non-seasoned and seasoned, performing prime-quality loans with a current principal balance of $296.66 million as of the cutoff date ($368 million, based on the max draw amount). As of the cutoff date, 100% of the collateral have open HELOC lines. The pool in aggregate is seasoned 39 months, according to Fitch. Of the loans, Fitch determined that 100.0% of the loans are current, with 1.3% of the loans having a DQ in the past 24 months. None of loans have received a prior modification, based on Fitch's analysis, and none of the loans have subordinate financing. The pool exhibits a relatively strong credit profile, as shown by the Fitch-determined 766 weighted average (WA) FICO score (weighted average original FICO is 769 per the transaction documents), as well as the 72.3% combined loan-to-value ratio (CLTV) and 85.2% sustainable LTV ratio (sLTV). Fitch viewed the pool as being roughly 85.0% owner occupied, 94.6% single family, 33.8% purchase and 34.4% cashout/limited cashout refinances, and 31.70% refinances, (all based on the max draw amount). Based on the current drawn amount as of the cutoff date, total cashouts are 66.36%, 31.19% purchase, 2.31% construction to permanent, and 0.15% limited cash out refinances In Fitch's analysis a loan is only treated as a cash out if the cash out amount is more than 3% of the original balance. Approximately 21.9% of the pool is concentrated in California, per Fitch's analysis. The largest MSA concentration is in the Seattle MSA (9.3%), followed by the Phoenix MSA (9.0%) and the Denver MSA (8.2%) per Fitch's analysis. Based on Fitch's analysis, the top three MSAs account for 26.5% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. No Servicer Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure interest will be paid to the 'AAAsf' rated notes in a timely manner, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for higher credit enhancement (CE) than it would for a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'' rated class Sequential Structure (Positive): The proposed structure is a sequential structure that prioritizes the payment of the more senior classes first in both the interest and principal waterfall. In the principal waterfall, unpaid interest on the A-1 is paid first, which is supportive of the A-1 class receiving timely interest. In the principal waterfall, after A-1 is paid any unpaid interest amounts, principal is allocated pro-rata to the trust certificate and the A-1 (at all times the A-1 is expected to receive principal payments until it is paid in full). Once A-1 is paid interest, the principal is allocated to the remaining classes sequentially starting with the A-2 class. If a credit event is in effect, the transaction will still have a sequential structure for the principal waterfall, however all funds will go to the A, M and B classes to pay unpaid interest and then principal, with the trust certificate being paid after the B-3 class is paid in full. Losses are allocated reverse sequentially as follows: Realized losses in respect of the mortgage loans will be applied, through the application of applied realized loss amounts, (a) on any payment date on which a credit event is not in effect, by reducing the residual principal balance of the trust certificates up to the trust certificates writedown amount for such payment date, until the residual principal balance of the trust certificates has been reduced to zero, and then to reduce the note amounts of the offered notes in reverse sequential order of principal payments beginning with the class B-3 notes, in each case until the note amount of such class is reduced to zero, and (b) on any payment date on which a credit event is in effect, by reducing the note amount of the notes and the residual principal balance of the trust certificates in reverse sequential order of principal payments, beginning with the trust certificates and then to the class B-3 notes, and so on, in each case, until the residual principal balance or note amount thereof is reduced to zero. Excess cash flow in the transaction is not used to pay down the bonds, but is used to repay previously allocated realized losses and cap carryover amounts. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve Mortgage Services. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, There are five loans with a 'C' or 'D' grade in the pool, but due to mitigating factors, Fitch did not increase the losses for these loans. Fitch did not give due diligence credit to the five loans graded 'C' of 'D". Fitch decreased its loss expectations by 0.20% at the 'AAAsf' stress due to 49.5% due diligence with no material findings. Westcor Land Title Insurance Company was hired to review the tax, and lien status of the seasoned loans in the pool. They reviewed 496 prospective mortgage loans and confirmed all 496 loans were recorded in the appropriate recording jurisdiction. The lien status review confirmed that 469 loans are in the first lien position. For the remaining 27 prospective mortgage loans, the title search did not confirm the subject mortgage is in the first lien position, but a clear title policy for such prospective mortgage loans confirms that the lien is insured in the first lien position. For two prospective mortgage loans, potentially superior post-origination municipal liens/judgments were found of record, amounting to $1,520.57 as of the date of the title review. Fitch confirmed with the servicers that all liens are in a first lien position and that they will advance as needed to maintain the first lien position. As such Fitch did not increase loss expectations due to the findings from the tax and title review. DATA ADEQUACY Fitch relied on an independent third-party due diligence compliance review performed on approximately 49.5% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Evolve was engaged to perform the review. Loans reviewed under this engagement were given compliance and grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. 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. PROVIDENT FUNDING 2025-4: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2025-4, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (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 0.26%, in a baseline scenario-median is 0.10% and reaches 4.40% 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. REALT 2020-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Inc. confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-1 issued by Real Estate Asset Liquidity Trust, (REALT) Series 2020-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class X at A (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the pool since Morningstar DBRS' previous credit rating action in September 2024. As per the most recent reporting, the pool exhibits relatively healthy credit metrics as evidenced by the weighted average (WA) loan-to-value ratio (LTV) of 57.9% and WA debt service coverage ratio (DSCR) of 1.48 times (x). The pool further benefits from its limited exposure to loans secured by office collateral, with just three such loans comprising 10.6% of the pool, and its heavy concentration in multifamily loans. As of the August 2025 remittance, 41 of 52 loans remain in the pool with a current total balance of $398.5 million as a result of the collateral reduction of 25.1% since issuance, primarily because of loan payoffs. Six loans, representing 22.7% of the pool balance, are on the servicer's watchlist and no loans are defeased or in special servicing. The watch listed loans are being monitored mainly because of declines in occupancy rates and low DSCRs. The pool is most concentrated by multifamily loans (38.3% of the current pool balance) followed by retail (29.8% of the current pool balance) and office loans. The largest loan on the servicer's watchlist, O'Shaughnessy Tower (Prospectus ID#3; 5.8% of the current pool balance), is secured by a 145,074-square-foot office tower in Montréal. The loan was added to the watchlist in June 2021 for a low DSCR, which remains well below breakeven as of the YE2024 reporting. The property's occupancy rate continues to decline, most recently reported at 51.8% as of January 2025 compared with 93.6% at issuance. As per the most recent reporting, the property generated a net cash flow (NCF) of $0.7 million (a DSCR of 0.46x), more than 60.0% below the issuance figure of $1.8 million (a DSCR of 1.24x). The DSCR has been consistently below breakeven for the past few years. Given the sustained decline in occupancy, market deterioration, and low investor demand for this property type, Morningstar DBRS believes the property's current value has likely declined since issuance. Offsetting some of this concern are the loan's 50% recourse and indications of the borrower's commitment, given that the loan has remained current despite cash flow remaining below breakeven for several years. In its analysis for this review, Morningstar DBRS stressed the loan's LTV given the likely decline in value and applied a probability of default (POD) penalty, resulting in an expected loss approximately 7.0x the pool average. Six loans, representing 14.6% of the pool, are scheduled to mature by the end of 2026, including the Regency of Lakefield Retirement, which is set to mature in September 2025. The servicer commentary notes that borrower requested a 90-day maturity extension. As of May 2025, the property is 60.3% occupied, down from the issuance rate of 92.2%. The property generated NCF of $0.4 million (a DSCR of 0.41x) for the trailing 12 months ended in March 31, 2025, 71.7% down from issuance NCF of $1.4 million (a DSCR of 1.45x). For this review, Morningstar DBRS analyzed the loan with an elevated POD, resulting in an expected loss more than triple the pool average. Notes: All figures are in Canadian dollars unless otherwise noted. RR 17 LTD: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 17 Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- RR 17 LTD A-1a 74980QAA9 LT PIFsf Paid In Full AAAsf A-1a-R LT AAAsf New Rating A-1b-R LT AAAsf New Rating A-2-R LT AA+sf New Rating B-R LT Asf New Rating C-R LT BBB-sf New Rating D-R LT BB-sf New Rating Transaction Summary RR 17 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Redding Ridge Asset Management LLC, which originally closed in June 2021 and was rated by Fitch. On the first refinancing date, all the classes will be refinanced while subordinated notes will not be refinanced. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $688 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.82, 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 97.32% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 0.8-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 first refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The transaction will now be managed to Fitch Collateral Quality Tests. The changes include but are not limited to: - All the existing classes will be refinanced. - The spread for the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes are 1.07%, 1.40%, 1.55%, 1.85%, 2.95%, and 6.40% respectively, compared to the spread of 1.38%, 1.66%, 1.91%, 2.16%, 3.21%, and 6.76% for the class A-1a, A-1b, A-2, B, C, and D notes, respectively, at the initial closing in June 2021. - The non-call period for this transaction will end in June 2026. - WAL Test has been extended to six years. - The stated maturity and end of reinvestment period on the refinancing remained the same as the closing date. The current portfolio presented to Fitch includes 345 assets from 285 primarily high-yield obligors. The portfolio balance, including the amount of principal cash, was approximately $688 million. As per the August 2025 trustee report, the transaction passes all of its coverage tests and concentration limitations except WAC test, Moody's rating factor test, Moody's Matrix test, and Deferrable/Partial Deferrable limits. Fitch has an explicit rating, credit opinion or private rating for 51.1% of the current portfolio par balance. Ratings for 48.4% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map while there were 0.5% of the portfolio with no rating. Analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% for top 5 and 2% for others, for an aggregate of 12.5%; - Largest three industries: 17.5%, 15.0%, and 12.0%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread of 2.90%; - Fixed-rate assets: 5%; - Minimum weighted average coupon of 7.0%. The transaction will exit reinvestment period on July 15, 2026. Projected default and recovery statistics for the performing collateral of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate outputs for the FSP were 51.3% at the 'AAAsf' rating stress, 50.1% at the 'AA+sf' rating stress, 42.9% at the 'Asf' rating stress, 33.9% at the 'BBB-sf' rating stress, and 28.6% at the 'BB-sf' rating stress. The PCM recovery rate outputs for the FSP were 37.5% at the 'AAAsf' rating stress, 44.9% at the 'AA+sf' rating stress, 54.8% at the 'Asf' rating stress, 64.2% at the 'BBB-sf' rating stress, and 69.6% at the 'BB-sf' rating stress. In the analysis of the FSP, the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 8.1%, 5.1%, 2.9%, 1.7%, 2.2%, and 0.0%, respectively. The PCM default rate outputs for the current portfolio were 42.6% at the 'AAAsf' rating stress, 41.5% at the 'AA+sf' rating stress, 35.1% at the 'Asf' rating stress, 27.0% at the 'BBB-sf' rating stress, and 22.5% at the 'BB-sf' rating stress. The PCM recovery rate outputs for the current portfolio were 40.4% at the 'AAAsf' rating stress, 49.2% at the 'AA+sf' rating stress, 58.7% at the 'Asf' rating stress, 68.5% at the 'BBB-sf' rating stress, and 73.8% at the 'BB-sf' rating stress. In the analysis of the current portfolio, the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes passed their respective rating thresholds in all nine cash flow scenarios with minimum cushions of 18.0%, 14.8%, 13.9%, 11.3%, 11.0%, and 8.3%, respectively. Fitch has assigned ratings of 'AAAsf', 'AAAsf', 'AA+sf', 'Asf', 'BBB-sf', and 'BB-sf' rating with a Stable Rating Outlook to the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes because it believes the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1a-R, between 'A-sf' and 'AAAsf' for class A-1b-R, between 'BBB-sf' and 'AAsf' 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-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-1a-R and 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-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 17 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. RWC COMMERCIAL 2025-1: DBRS Gives Prov. B Rating on Cl. F Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1 (the Certificates) to be issued by RWC Commercial Mortgage 2025-1 Trust (RWC 2025-1 or the Trust) as follows: -- Class A at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (sf) -- Class F at (P) B (sf) All trends are Stable. The collateral for the RWC 2025-1 transaction consists of 48 fixed-rate loans secured by 48 multifamily properties, including 26 garden-style multifamily properties, 13 low-rise apartment complexes, eight mid-rise apartment complexes, and one build-to-rent property (comprised of multiple single-family rentals). The loans have an aggregate cut-off date balance of $165.0 million and an average loan size of $3.4 million. The loans were originated between November 2023 and May 2025. All 48 loans have five-year loan terms and are full-term IO. Morningstar DBRS analyzed the pool to determine the provisional credit ratings, reflecting the long-term probability of default (POD) within the term and its liquidity at maturity. When the cut-off balances are measured against the Morningstar DBRS net cash flow (NCF) and their respective constants, the resulting weighted-average (WA) Morningstar DBRS debt service coverage ratio (DSCR) is 1.06 times (x). Forty-three loans, representing 92.2% of the pool balance, exhibit a Morningstar DBRS DSCR less than or equal to 1.25x, which is typically the threshold that indicates a higher likelihood of midterm default. The deal exhibits a moderately high Morningstar DBRS WA Issuance loan-to-value ratio (LTV) and Morningstar DBRS WA Balloon LTV of 68.1%. Twenty-seven loans, comprising 56.2% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold which typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. On each distribution date, any available monthly excess cashflow (generated from the excess of the net weighted-average coupon rate over the WA of the pass-through rates of the Class A, Class A-S, Class B, Class C, Class D, Class E, Class F, and Class G certificates) will first be used to cover any realized loss on the mortgage loans and reimburse any previously allocated realized losses on the certificates. Any remaining excess cash flow will be distributed to the Class G certificates. All 48 loans in the pool, comprising 100.0% of the pool balance, are secured by multifamily properties. Multifamily properties have historically demonstrated lower rates of default compared with the majority of other commercial property types and, as a result, typically have lower expected losses. The asset class is viewed favorably by Morningstar DBRS because of the current high cost of home ownership and strong rental tailwinds. The pool consists of 48 performing loans secured by 48 properties spread across 14 states and 22 metropolitan statistical areas (MSAs), resulting in a Herfindahl score of 34.2, significantly above the majority of recent traditional commercial mortgage-backed securities (CMBS) conduit transactions. The higher loan count and diversification are credit-positive and result in an overall decrease in credit enhancement levels. The individual exposure to any potentially problematic loan in the pool decreases as the pool size increases. Six loans, representing 16.3% of the pool, are backed by properties with a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area that experiences increased liquidity driven by strong investor demand, even during times of market stress. Additionally, 17 loans, comprising 29.3% of the pool, are backed by properties with a Morningstar DBRS Market Rank of 5 or 6, which are indicative of less-dense urban areas or dense suburban areas and benefit from lower default frequencies than less-dense suburban, tertiary, and rural markets. Twenty-two loans, representing 46.8% of the pool, are collateralized by properties in Morningstar DBRS MSA Group 3, which represents the best-performing MSA Group out of the top 25 MSAs in terms of historical CMBS default rates. Only seven loans, comprising 18.7% of the pool, are backed by properties in Morningstar DBRS MSA Group 1, which have historically shown the highest rates of default. Twenty-one loans, comprising 45.3% of the pool, are acquisition loans--a higher percentage of the pool than in many recent CMBS conduit transactions. Morningstar DBRS typically views acquisition financing more favorably than refinancing or recapitalizing existing debt as acquisition financing typically includes a meaningful cash investment from the sponsor on an agreed-upon price and aligns the interests more closely with those of the lender, whereas refinance transactions may be cash-out transactions that reduce the borrower's commitment to a property. The pool has a WA Morningstar DBRS DSCR of 1.06x, considerably lower than recent CMBS conduit transactions. Nine loans, representing 19.9% of the pool balance, have a Morningstar DBRS DSCR less than 1.00x, indicating that these loans may have difficulty servicing their debt if cash flows decrease from historical levels. Loans with lower DSCRs receive a POD penalty in Morningstar DBRS' model. The pool has a WA Morningstar DBRS Issuance LTV of 68.1%, indicating moderately high leverage. Three loans, comprising 8.0% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 75.73%, a threshold which typically correlates to the highest frequency of default. All 48 loans in the pool are full-term interest only (IO) and do not benefit from any amortization, resulting in a high WA Morningstar DBRS Balloon LTV of 68.1%. Loans with higher Morningstar DBRS Issuance LTVs and Morningstar DBRS Balloon LTVs receive a POD penalty in Morningstar DBRS' model. Of the 20 loans sampled by Morningstar DBRS, seven loans, comprising 40.9% of the Morningstar DBRS sample, received a property quality assessment of Average -, and two loans, comprising 3.7% of the Morningstar DBRS sample, received a property quality assessment of Below Average. Only one loan, comprising 5.7% of the Morningstar DBRS sample, received a property quality assessment of Average +. Morningstar DBRS applied Average - property quality to all nonsampled loans, resulting in 66.8% of the pool receiving a property quality assessment of Average - or Below Average. Lower-quality properties may be less likely to retain existing tenants and do not attract new tenants as easily, resulting in less stable performance. Five sampled loans, comprising 17.3% of the pool, were classified as having Weak sponsorship, which increases the POD in the Morningstar DBRS model. This designation was generally applied to sponsors that had lower net worth and liquidity, a history of prior defaults or delinquencies, and/or a lack of experience in commercial real estate. Furthermore, only one sampled loan, comprising 1.5% of the pool, was determined to have Strong sponsorship. Morningstar DBRS applied Average sponsor strength to all nonsampled loans. Twenty-five loans, comprising 52.1% of the pool balance, have dated appraisals that will be at least one year old as of the October 1, 2025, cut-off date, including two loans with appraisals that will be almost two years old. In addition, 40 loans, representing 80.4% of the pool balance, have their most recent property financials dated December 2024 or earlier, while 22 loans, representing 40.8% of the pool balance, have their most recent occupancy figures dated December 2024 or earlier. Morningstar DBRS made LTV adjustments to all loans with appraisals that will be at least one year old as of the cut-off date. Morningstar DBRS applied a conservative approach in its cash flow analysis to account for the dated property financials, resulting in an average NCF variance of -13.3% for the 20 sampled loans. This is above the average Morningstar DBRS sampled NCF variance for recent Freddie Mac transactions. Per the terms of the offering circular, property condition reports (PCRs) are not required for loans with an original balance less than $3.5 million. PCRs were not available for 27 loans representing 35.1% of the pool balance, including one loan with a balance of more than $3.5 million secured by a property whose construction was completed within 12 months of origination. Morningstar DBRS applied an NCF variance of -15.0% to the nonsampled loans, above the average sampled NCF variance of -13.3%, to account for the lack of property condition reports for the smaller loans and therefore the possibility that annual replacement reserves could exceed the typical Morningstar DBRS standard. Notes: All figures are in U.S. dollars unless otherwise noted. SARATOGA 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Saratoga Investment Corp. Senior Loan Fund 2022-1 Ltd./Saratoga Investment Corp. Senior Loan Fund 2022-1 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Saratoga Senior Loan Fund I JV LLC, a subsidiary of Saratoga Investment Advisors LLC. The preliminary ratings are based on information as of Sept. 15, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Saratoga Investment Corp. Senior Loan Fund 2022-1 Ltd./ Saratoga Investment Corp. Senior Loan Fund 2022-1 LLC Class X-R, $2.00 million: AAA (sf) Class A-1-R, $252.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $16.00 million: BBB (sf) Class D-2-R (deferrable), $12.00 million: BBB- (sf) Class E-R (deferrable), $10.00 million: BB- (sf) Subordinated notes, $44.20 million: NR NR--Not rated. SCG 2025-SNIP: Fitch Assigns 'BB-(EXP)sf' Rating on Class HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to SCG Trust 2025-SNIP commercial mortgage pass-through certificates, series 2025-SNIP. - $563,100,000a class A 'AAAsf'; Outlook Stable; - $76,700,000a class B 'AA-sf'; Outlook Stable; - $81,700,000a class C 'A-sf'; Outlook Stable; - $98,200,000a class D 'BBB-sf'; Outlook Stable; - $63,800,000a class E 'BBsf'; Outlook Stable. - $46,500,000ab class HRR 'BB-sf'. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the fair value of all classes. The ratings are based on information provided by the issuer as of Sept. 4, 2025. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $930 million, two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple or leasehold interests in a portfolio of 54 industrial buildings and one parcel of land, including 30 light industrial, 13 warehouse/distribution, and 11 advanced manufacturing properties comprising approximately 8.2 million sf across five states and six markets. J.P. Morgan Investment Management also plans to provide a $95 million floating-rate IO mezzanine loan that is coterminous with the mortgage loan. The mortgage loan, along with the mezzanine loan and existing reserves, is expected to be used to pay down the existing debt of $1.003 billion, return $5.2 million in equity to the sponsor, cover approximately $20 million in closing costs, and reserve $1.6 million for free rent and tenant improvement/leasing commissions (TI/LCs). The loan is sponsored by 45 special-purpose entities (SPEs), with each indirectly owned and controlled by affiliates of Starwood Real Estate Income Trust. The loan is expected to be co-originated by Goldman Sachs Bank USA, Barclays Capital Real Estate Inc., Morgan Stanley Bank, N.A., Natixis Real Estate Capital LLC, and UBS AG New York Branch. Trimont LLC is expected to be the servicer, with Situs Holdings, LLC as special servicer. Deutsche Bank National Trust Company is expected to act as the trustee. Computershare Trust Company, N.A. is expected to act as the certificate administrator and custodian. Pentalpha Surveillance LLC will act as operating advisor. The certificates will follow a pro rata paydown for prepayment of the outstanding principal loan amount. To the extent that no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage loan components. The transaction is scheduled to close on Sept. 26, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $71.3 million. Fitch applied a 7.50% cap rate to derive a Fitch value of approximately $950.4 million. High Fitch Leverage: The $930 million whole loan equates to debt of approximately $113.1 psf, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 97.9% and 7.7%, respectively. The loan represents approximately 57.1% of the appraised value of $1.63 billion. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits moderate geographic diversity, with 54 industrial buildings (8.2 million sf) and one parcel of land across five states and six markets. The three largest state concentrations are Nevada (2.9 million sf; 19 properties), Arizona (2.1 million sf; 11 properties), and Colorado (1.4 million sf; 14 properties). The three largest MSAs are Reno, NV (31.6% of NRA; 28.5% of ALA), Phoenix, AZ (26.0% of NRA; 28.0% of ALA), and Denver, CO (17.1% of NRA; 21.4% of ALA). No property accounts for more than 4.6% of ALA. Institutional Sponsorship: The sponsor is indirectly controlled by Starwood Capital Group, a private investment firm focused on global real estate. Founded in 1991, Starwood Capital Group has secured over $90 billion in capital and currently manages assets exceeding $120 billion. As of March 2025, the company owns and operates 58 million sf across 119 properties in the U.S. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/ 'A-sf'/ 'BBB-sf'/ 'BBsf'/'BB-sf' - 10% NCF Decline: 'AAsf'/ 'A-sf'/ 'BBB-sf'/ 'BBsf'/ 'B+sf'/ 'Bsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/ 'A-sf'/ 'BBB-sf'/ 'BBsf'/'BB-sf' - 10% NCF Increase: 'AAAsf'/ 'AA+sf'/ 'A+sf'/ 'BBB+sf'/ 'BBB-sf'/ 'BB+sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PriceWaterhouseCoopers. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SERENITY-PEACE PARK: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Serenity-Peace Park CLO, Ltd. Entity/Debt Rating ----------- ------ Serenity-Peace Park CLO, Ltd. X LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Serenity-Peace Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.59, 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 97.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.77% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47% 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, 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 X, class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Serenity-Peace Park CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers section of the relevant rating action commentary any ESG factor which has a significant impact on the rating on an individual basis. SIXTH STREET XVIII: Fitch Assigns 'BBsf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO XVIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Sixth Street CLO XVIII, Ltd. A 83012HAA2 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating X LT NRsf New Rating Transaction Summary Sixth Street CLO XVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO XVIII Management, LLC. The existing secured notes will be refinanced in whole on September 8, 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.34% first-lien senior secured loans and has a weighted average recovery assumption of 75.38%. 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-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO XVIII, 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. TRICOLOR AUTO 2023-1: Moody's Cuts Rating on Class D Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has downgraded and kept on review for further 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, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class E Asset Backed Notes, Downgraded to Ba2 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class F Asset Backed Notes, Downgraded to Caa1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 B2 (sf) Placed On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-1 Class B Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class C Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class D Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class E Asset Backed Notes, Downgraded to Ba3 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A3 (sf) Placed On Review for Downgrade Class F Asset Backed Notes, Downgraded to Caa1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 B2 (sf) Placed On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-2 Class A Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class B Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class C Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class D Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class E Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 Baa1 (sf) Placed On Review for Downgrade Class F Asset Backed Notes, Downgraded to Caa1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 B2 (sf) Placed On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-3 Class A Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class B Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class C Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A2 (sf) Placed On Review for Downgrade Class D Asset Backed Notes, Downgraded to Ba3 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 Baa1 (sf) Placed On Review for Downgrade Class E Asset Backed Notes, Downgraded to B3 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 Ba1 (sf) Placed On Review for Downgrade Class F Asset Backed Notes, Downgraded to Caa1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 B2 (sf) Placed On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2025-1 Class A Asset Backed Notes, Downgraded to Ba1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A1 (sf) Placed On Review for Downgrade Class B Asset Backed Notes, Downgraded to Ba2 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 A2 (sf) Placed On Review for Downgrade Class C Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 Baa1 (sf) Placed On Review for Downgrade Class D Asset Backed Notes, Downgraded to B3 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 Ba1 (sf) Placed On Review for Downgrade Class E Asset Backed Notes, Downgraded to Caa1 (sf) and Remains On Review for Downgrade; previously on Sep 10, 2025 B2 (sf) Placed On Review for Downgrade RATINGS RATIONALE The rating actions are primarily driven by Tricolor's sudden cessation of all servicing activity and reported allegations of fraud in its operations. These developments could potentially have material implications on the performance of the transactions, including increasing collateral pool losses and missed note interest payments. Tricolor filed for chapter 7 bankruptcy on September 10. Since Moody's September 10 rating action on these notes, Moody's have received notifications from Wilmington Trust, National Association (Wilmington), in its capacity as the indenture trustee, that servicer termination and replacement events have occurred for the transactions due to the bankruptcy filing of Tricolor, and that Vervent, Inc. has been appointed as successor servicer for the transactions. Based on media reports and Moody's conversations with relevant parties, Moody's understanding is that all Tricolor employees have been furloughed and operations have been halted, making the transition of servicing more challenging and increasing the risk of performance deterioration. Moody's will monitor the timeliness and effectiveness of the successor servicer's efforts to onboard Tricolor's loan portfolio and service it under these circumstances. Additionally, servicing expenses could increase as a result of the transfer. Tricolor's integrated business model further increases risk for loan performance following its bankruptcy. In particular, defaults and recoveries on defaulted loans could be negatively impacted as sales of repossessed vehicles to Tricolor affiliates cease and warranties provided by Tricolor to borrowers may not be honored. In Moody's analysis, Moody's considered available performance information and modeled additional expected loss sensitivities between 35% and 50%, as well as higher servicing expense scenarios up to 6%. Interest payments on the notes are due, September 15, and if servicer operations were halted before relevant servicing reports were sent to the indenture trustee, it is not clear if the trusts are able to make those payments in a timely manner. Failure to make senior note interest payments within five business days of the expected payment date would be considered an event of default under the indentures. Upon an event of default, the majority noteholders of the controlling class may vote for an acceleration of the waterfall whereby the senior note interest and principal would take priority over subordinate note payments. If an acceleration of notes is declared following an event of default, the note ratings could be further downgraded. According to media reports, law enforcement authorities are investigating allegations that Tricolor engaged in fraud by double pledging collateral in warehouse facilities. While Moody's are not privy to those investigations, Moody's note that under the ABS transaction documents, the securitization issuers granted a first priority security interest in the collateral to the noteholders. The documents also state that Wilmington as custodian should receive the original loan documents and vehicle titles or evidence of title applications at closing, further protecting trust security interest in the collateral. The documents require the custodian to deliver a certificate to the securitization issuers confirming it has received these records, or stating cases in which these records are missing, within 30 business days of deal closing. In Moody's rating action, Moody's considered the high governance risk due to alleged fraud by Tricolor which increases volatility around expectations of pool losses. As a result, Moody's changed the Issuer Profile Scores for Governance to G-5 from G-4 for the transactions. During the review period, Moody's will seek additional information from transaction parties such as the indenture trustee, custodian and servicer regarding the security interest and loan portfolio, including the status of upcoming note payments and cash available to the trusts, ongoing payments made by the underlying borrowers, the servicing transition, additional expenses incurred by the trusts, and any other relevant information related to these transactions. Moody's will consider the impact of these developments on the performance of the pools and paydown of the rated notes. 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, refinancing opportunities that result in a prepayment of the loan, or if performance volatility associated with alleged fraud declines. 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. If an acceleration of notes is declared following an event of default, the note ratings could be downgraded. 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 could include poor servicing, error on the part of transaction parties including restatement of performance data, lack of transactional governance and fraud. TRICOLOR AUTO 2025-2: S&P Puts Ratings on Six Classes on Watch Neg. ------------------------------------------------------------------- S&P Global Ratings placed its ratings on six classes from Tricolor Auto Securitization Trust 2025-2's (TAST 2025-2's) automobile receivables-backed notes on CreditWatch with negative implications. The CreditWatch placements reflect Tricolor Auto Acceptance LLC's voluntary petition under Chapter 7 of title 11 of the U.S. Bankruptcy Code. Tricolor Auto Acceptance LLC is the sponsor, seller, servicer, and administrator of the TAST 2025-2 transaction. On Sept. 10, 2025, Tricolor Auto Acceptance LLC., a Delaware limited liability company, along with certain affiliates, filed for bankruptcy in the U.S. Bankruptcy Court, Northern District of Texas under Chapter 7 of title 11 of the U.S. Bankruptcy Code. The filing of the bankruptcy petition by Tricolor Auto Acceptance LLC constitutes an insolvency event, and in its capacity as servicer, a servicer termination event. Wilmington Trust N.A. (WTNA), as indenture trustee, has provided a servicer termination notice to the depositor, the servicer, and the backup servicer, terminating the servicer rights and obligations pursuant to the sale and servicing agreement. Vervent Inc., the backup servicer to the transaction, has been appointed the successor servicer, unless the noteholders vote otherwise. S&P said, "We will continue to monitor the transaction's performance. As relevant information becomes available, such as the successor servicer performance, the performance of the receivables as reflected in the monthly investor report, and developments relating to Tricolor's bankruptcy, we will look to resolve the CreditWatch placement." Ratings Placed On Watch Negative Tricolor Auto Securitization Trust 2025-2 Class A: to 'AA (sf)/Watch Neg' from 'AA (sf)' Class B: to 'A (sf)/Watch Neg' from 'A (sf)' Class C: to 'A- (sf)/Watch Neg' from 'A- (sf)' Class D: to 'BBB (sf)/Watch Neg' from 'BBB (sf)' Class E: to 'BB (sf)/Watch Neg' from 'BB (sf)' Class F: to 'B (sf)/Watch Neg' from 'B (sf)' TRIMARAN CAVU 2019-2: S&P Assigns BB- (sf) Rating on Class ER Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt and new class X-R debt from Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC, a CLO managed by Trimaran Advisors LLC that was originally issued in November 2019. The ratings are based on information as of Sept. 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the ratings. On the Sept. 12, 2025, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P withdrew its ratings on the original class A-NA, A-L, A-NB, B, C, and D debt and assigned ratings to the replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R and new class X-R debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Sept. 12, 2027. -- The reinvestment period was extended to July 18, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes was extended to March 18, 2038. -- No additional assets were purchased on the Sept. 12, 2025 refinancing date, and the target initial par amount remained at $450 million. There was 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 was 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 were amended. -- Additional subordinated notes were 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." Ratings Assigned Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC Class X-R, $4.00 million: AAA (sf) Class A-1R, $274.50 million: AAA (sf) Class A-2R, $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) Ratings Withdrawn Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC Class A-NA to not rated from 'AAA (sf)' Class A-L to not rated from 'AA (sf)' Class A-NB to not rated from 'AA (sf)' Class B to not rated from 'A (sf)' Class C to not rated from 'BBB- (sf)' Class D to not rated from 'BB- (sf)' Other Debt Trimaran CAVU 2019-2 Ltd./Trimaran CAVU 2019-2 LLC Subordinated notes, $96.00 million: Not rated US BANK 2025-2: DBRS Gives Prov. BB(high) Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the U.S. Bank C&I Credit-Linked Notes, Series 2025-2, Class B-1 Notes, Class B-2 Notes, Class C Notes, Class D Notes, and Class E Notes (together, the Rated Notes). The Rated Notes are issued pursuant to the Note Issuance and Administration Agreement (the NIAA), to be dated on or about [September 18], 2025, entered into between U.S. Bank National Association (U.S. Bank or the Issuer; rated AA with a Stable trend by Morningstar DBRS), as Issuer, and U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS), as Paying Agent and as Calculation Agent: -- Class B-1 Notes at (P) AA (low) (sf) -- Class B-2 Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (sf) -- Class D Notes at (P) BBB (sf) -- Class E Notes at (P) BB (high) (sf) The provisional credit ratings on the Rated Notes address the timely payment of interest and the ultimate repayment of principal on or before the Legal Final Maturity Date on September 25, 2032. CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS considers the transaction a synthetic risk transfer. The Rated Notes are general obligations of U.S. Bank and are credit-linked to a reference portfolio consisting of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates (the Reference Portfolio) and are issued pursuant to the NIAA. The Reference Portfolio is static and prohibits reinvestment. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Draft NIAA, to be dated on or about [September 18], 2025. (2) The transaction's capital structure and the form and sufficiency of available credit enhancement. (3) The ability of the Rated Notes to withstand projected collateral loss rates under various credit rating scenarios. (4) The credit quality of the Reference Portfolio. (5) The financial strength of U.S. Bank, as the Issuer. (6) Morningstar DBRS' assessment of U.S. Bank, as the Servicer of the transaction. (7) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology (the Legal Criteria). Some strengths of the transaction are (1) the weighted-average (WA) credit quality of the underlying obligors is investment grade; (2) the Reference Portfolio will consist of senior unsecured loans; and (3) the Reference Portfolio is well-diversified. Some challenges identified are (1) the Rated Notes are subordinated in the transaction's capital structure to the Class A Certificates and (2) U.S. Bank is directly issuing the Rated Notes and will be responsible for the payments of interest and principal due on the Rated Notes. Morningstar DBRS analyzed the transaction using its CLO Insight Model, based on the actual obligations in the Reference Portfolio, which will be static; and tranche-specific recovery rates, among other credit considerations referenced in the "Global Methodology for Rating CLOs and Corporate CDOs" (July 9, 2025). The reference portfolio consists of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates across various industries and credit rating levels. The analysis produced satisfactory results, which supported the assigned provisional credit ratings on the Rated Notes. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2025-4: DBRS Finalizes B Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2025-4 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-4 (VCC 2025-4 or the Issuer) as follows: -- $323.8 million Class A at AAA (sf) -- $323.8 million Class A-S at AAA (sf) -- $323.8 million Class A-IO at AAA (sf) -- $23.2 million Class M-1 at AA (low) (sf) -- $23.2 million Class M1-A at AA (low) (sf) -- $23.2 million Class M1-IO at AA (low) (sf) -- $24.9 million Class M-2 at A (low) (sf) -- $24.9 million Class M2-A at A (low) (sf) -- $24.9 million Class M2-IO at A (low) (sf) -- $45.1 million Class M-3 at BBB (low) (sf) -- $45.1 million Class M3-A at BBB (low) (sf) -- $45.1 million Class M3-IO at BBB (low) (sf) -- $29.8 million Class M-4 at BB (sf) -- $29.8 million Class M4-A at BB (sf) -- $29.8 million Class M4-IO at BB (sf) -- $10.8 million Class M-5 at B (high) (sf) -- $10.8 million Class M5-A at B (high) (sf) -- $10.8 million Class M5-IO at B (high) (sf) -- $6.1 million Class M-6 at B (sf) -- $6.1 million Class M6-A at B (sf) -- $6.1 million Class M6-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 31.00% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) credit ratings reflect 26.05%, 20.75%, 11.15%, 4.80%, 2.50%, and 1.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-4 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBCs) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Six of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner-occupied, commercial real estate (CRE) properties. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-4 (the Certificates). The Certificates are backed by 1,140 mortgage loans with a total principal balance of $469,274,562 as of the Cut-Off Date (August 1, 2025). Approximately 49.9% of the pool comprises residential investor loans, about 48.2% are traditional SBC loans and about 2.0% are the SBA 504 loans mentioned above. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC) while 59 loans (15.0%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the six SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day-originated loans, underwriting was based on business cashflows but the loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and the TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as Subservicer for the 59 New Day-originated loans (including the six SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. The target principal balance of each class is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to the target principal balance of each class, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 361 individual loans secured by 368 commercial and multifamily properties with an average cut-off date loan balance of $626,147. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 11.0%. This is approximately 20 basis points (bps) higher than the VCC 2025-3 transaction, 10 bps higher than the VCC 2025-2 transaction, 20 bps lower than the VCC 2025-1 transaction, in line with the VCC 2024-6 transaction, 40 bps higher than the VCC 2024-5 transaction, 40 bps lower than the VCC 2024-4 transaction, and 60 bps lower than the VCC 2024-3 transaction. All loans have original term lengths of 30 years and most of the loans fully amortize over 30-year schedules. However, 15 loans, which represent 7.5% of the SBC pool, have an IO period of 60 months or 120 months. The SBC loans were originated between April 2016 and July 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 1.3 months. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 61.9%. However, Morningstar DBRS made LTV adjustments to 41 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties with a Morningstar DBRS Market Rank 7 to 8.00% for properties with a Morningstar DBRS Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 65.3%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate. If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately 58.0% of the deal (210 SBC loans) has an Issuer net operating income DSCR less than 1.0 times (x), which is in line with the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 714 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. SBA 504 Loans The transaction includes six SBA 504 loans, totaling approximately $9.18 million or 1.96% of the aggregate 2025-4 collateral pool. These are predominantly owner-occupied, first-lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program (SBA 504) in conjunction with community development companies, made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between June 6, 2025, and July 22, 2025, via New Day, which will also act as Subservicer of the loans. The total outstanding principal balance as of the cutoff date is approximately $9,181,594, with an average balance of $1,530,266. The WA interest rate of the 504 loan subpool is 9.60%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties that are owner-occupied by the small business borrower. The WA LTV is 51.18%, WA DSCR is approximately 1.16x, and the WA FICO score of this subpool is 760. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions - Small Business, Appendix (XVIII)" methodology. As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into Morningstar DBRS' proprietary CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 773 mortgage loans with a total balance of approximately $234.1 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2025-4: DBRS Gives Prov. B Rating on 3 Tranches ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2025-4 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2025-4 (VCC 2025-4 or the Issuer) as follows: -- $323.8 million Class A at (P) AAA (sf) -- $323.8 million Class A-S at (P) AAA (sf) -- $323.8 million Class A-IO at (P) AAA (sf) -- $23.2 million Class M-1 at (P) AA (low) (sf) -- $23.2 million Class M1-A at (P) AA (low) (sf) -- $23.2 million Class M1-IO at (P) AA (low) (sf) -- $24.9 million Class M-2 at (P) A (low) (sf) -- $24.9 million Class M2-A at (P) A (low) (sf) -- $24.9 million Class M2-IO at (P) A (low) (sf) -- $45.1 million Class M-3 at (P) BBB (low) (sf) -- $45.1 million Class M3-A at (P) BBB (low) (sf) -- $45.1 million Class M3-IO at (P) BBB (low) (sf) -- $29.8 million Class M-4 at (P) BB (sf) -- $29.8 million Class M4-A at (P) BB (sf) -- $29.8 million Class M4-IO at (P) BB (sf) -- $10.8 million Class M-5 at (P) B (high) (sf) -- $10.8 million Class M5-A at (P) B (high) (sf) -- $10.8 million Class M5-IO at (P) B (high) (sf) -- $6.1 million Class M-6 at (P) B (sf) -- $6.1 million Class M6-A at (P) B (sf) -- $6.1 million Class M6-IO at (P) B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 31.00% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 26.05%, 20.75%, 11.15%, 4.80%, 2.50%, and 1.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-4 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBCs) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Six of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner-occupied, commercial real estate (CRE) properties. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-4 (the Certificates). The Certificates are backed by 1,140 mortgage loans with a total principal balance of $469,274,562 as of the Cut-Off Date (August 1, 2025). Approximately 49.9% of the pool comprises residential investor loans, about 48.2% are traditional SBC loans and about 2.0% are the SBA 504 loans mentioned above. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC) while 59 loans (15.0%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the six SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day-originated loans, underwriting was based on business cashflows but the loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and the TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as Subservicer for the 59 New Day-originated loans (including the six SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. The target principal balance of each class is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to the target principal balance of each class, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 361 individual loans secured by 368 commercial and multifamily properties with an average cut-off date loan balance of $626,147. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 11.0%. This is approximately 20 basis points (bps) higher than the VCC 2025-3 transaction, 10 bps higher than the VCC 2025-2 transaction, 20 bps lower than the VCC 2025-1 transaction, in line with the VCC 2024-6 transaction, 40 bps higher than the VCC 2024-5 transaction, 40 bps lower than the VCC 2024-4 transaction, and 60 bps lower than the VCC 2024-3 transaction. All loans have original term lengths of 30 years and most of the loans fully amortize over 30-year schedules. However, 15 loans, which represent 7.5% of the SBC pool, have an IO period of 60 months or 120 months. The SBC loans were originated between April 2016 and July 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 1.3 months. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 61.9%. However, Morningstar DBRS made LTV adjustments to 41 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties with a Morningstar DBRS Market Rank 7 to 8.00% for properties with a Morningstar DBRS Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 65.3%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate. If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately 58.0% of the deal (210 SBC loans) has an Issuer net operating income DSCR less than 1.0 times (x), which is in line with the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 714 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. SBA 504 Loans The transaction includes six SBA 504 loans, totaling approximately $9.18 million or 1.96% of the aggregate 2025-4 collateral pool. These are predominantly owner-occupied, first-lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program (SBA 504) in conjunction with community development companies, made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between June 6, 2025, and July 22, 2025, via New Day, which will also act as Subservicer of the loans. The total outstanding principal balance as of the cutoff date is approximately $9,181,594, with an average balance of $1,530,266. The WA interest rate of the 504 loan subpool is 9.60%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties that are owner-occupied by the small business borrower. The WA LTV is 51.18%, WA DSCR is approximately 1.16x, and the WA FICO score of this subpool is 760. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions - Small Business, Appendix (XVIII)" methodology. As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into Morningstar DBRS' proprietary CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 773 mortgage loans with a total balance of approximately $234.1 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE CLO 32: Moody's Cuts Rating on $10.5MM Cl. F Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Venture 32 CLO, Limited: US$38,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on December 12, 2023 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$10,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes") (current outstanding balance $11,528,319.25), Downgraded to Caa3 (sf); previously on September 26, 2024 Downgraded to Caa1 (sf) Venture 32 CLO, Limited, originally issued in July 2018 partially refinanced August 2020, 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 transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2024. The Class A-1, Class A-2A and Class A-FR notes have been paid down by approximately 53.4%, 60.8% and 53.4%, respectively or $187 million since then. Based on the trustee's August 2025 report[1], the OC ratio for the Class C notes is reported at 125.60%, versus September 2024 level[2] of 118.32%. The downgrade rating action on the Class F 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 F notes (as inferred from the interest diversion test ratio) is reported at 98.33% versus September 2024 level[4] of 101.87%. Based on the trustee's August 2025 report[5] the weighted average rating factor (WARF) is reported at 3233 versus September 2024 level[6] of 2797. Additionally, Moody's note that the August 2025 trustee reported Class E OC, WARF, Diversity and WAL tests are currently failing. No actions were taken on the Class A-1, Class A-2A, , Class A-FR, Class A-2BR Class B, Class D and Class E 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: $339,652,639 Defaulted par: $13,696,298 Diversity Score: 68 Weighted Average Rating Factor (WARF): 3145 Weighted Average Spread (WAS): 3.66% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.44% Weighted Average Life (WAL): 3.2 years Par haircut in OC tests and interest diversion test: 2.7% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VERUS SECURITIZATION 2025-8: S&P Assigns 'B+' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2025-8's mortgage-backed notes. The note issuance is an RMBS transaction backed primarily by newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, townhouses, five- to 10-unit multifamily residences, condotels, mixed-use properties, and cooperatives. The pool consists of 1,152 qualified mortgage (QM)/non-higher-priced mortgage loan (HPML; safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay (ATR)-exempt loans from 1,162 properties. S&P said, "After we assigned preliminary ratings on Sept. 3, 2025, 13 loans were removed from the collateral pool, and certain loan balances and pay strings were updated, along with changes to bond sizes to reflect the updated loan balances. Separately, the note amounts for class A-1F and class A-1IO, which is a notional amount equal to the class A-1F balance, were reduced to $31.579 million from $84.489 million. In turn, the note amounts for class A-1A and class A-1B were increased to $331.892 million from $291.628 million and to $52.724 million from $46.328 million, respectively. The resized bonds did not change the credit enhancement on the transaction. In addition, the class B-2 notes were priced to receive a coupon rate equal to the net weighted average coupon rate. After analyzing the updated collateral pool, structure, and final coupons, we assigned ratings to the notes that were unchanged from the preliminary ratings we assigned." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned Verus Securitization Trust 2025-8(i) Class A-1(ii), $384,616,000: AAA (sf) Class A-1A(ii), $331,892,000: AAA (sf) Class A-1B(ii), $52,724,000: AAA (sf) Class A-1F, $31,579,000: AAA (sf) Class A-1IO, $31,579,000: AAA (sf) Class A-2, $37,655,000: AA (sf) Class A-3, $54,199,000: A (sf) Class M-1, $22,536,000: BBB (sf) Class B-1, $17,116,000: BB (sf) Class B-2, $11,410,000: B+ (sf) Class B-3, $11,411,033: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)All or a portion of the class A-1A and A-1B notes can be exchanged for the class A-1 notes and vice versa. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. WELLINGTON MANAGEMENT 5: S&P Assigns BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Wellington Management CLO 5 Ltd./Wellington Management CLO 5 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 Wellington Management CLO Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Wellington Management CLO 5 Ltd./Wellington Management CLO 5 LLC Class A, $188.0 million: AAA (sf)* Class A loans, $60.0 million: AAA (sf)* Class B, $56.0 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, $40.7 million: NR NR--Not rated. *The class A loans may not be convertible to class A notes and class A notes may not be convertible to class A loans. WELLS FARGO 2016-C36: DBRS Confirms B Rating on 2 Certs Classes --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C36 issued by Wells Fargo Commercial Mortgage Trust 2016-C36 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class E-1 at BB (low) (sf) -- Class E at B (sf) -- Class E-2 at B (sf) -- Class F-1 at B (low) (sf) -- Class F-2 at CCC (sf) -- Class EF at CCC (sf) -- Class F at CCC (sf) -- Class G-1 at CCC (sf) -- Class G-2 at C (sf) -- Class EFG at C (sf) -- Class G at C (sf) All trends are Stable. Classes F-2, G-1, G-2, EF, F, EFG, and G do not carry a trend given the CCC (sf) or lower credit rating. The credit rating confirmations reflect the transaction's overall stable performance since Morningstar DBRS' previous credit rating action in September 2024, when credit ratings on four classes were downgraded. The collateral properties' cash flow performance is generally strong, as evidenced by a healthy weighted-average debt service coverage ratio (DSCR) of 2.24 times (x) based on YE2024 financial reporting. However, the pool has a high concentration of loans secured by office properties (seven loans representing 25.1% of the pool) and loans representing more than one-third of the pool are currently on the servicer's watchlist, mostly for performance issues. All the remaining loans in the pool are scheduled to mature by November 2026. Morningstar DBRS identified five loans backed by office and retail properties with a cumulative balance of $227.3 million (approximately 32.0% of the pool), which are showing elevated refinancing risk based on the expected replacement loan terms in the current environment for each. Those loans showing increased risks were modeled with stressed scenarios to increase the probability of default (POD) and/or increased loan-to-value ratios (LTVs). Morningstar DBRS also maintained the liquidation scenarios for two real estate owned (REO) loans, Mall at Turtle Creek (Prospectus ID#7; 1.7% of the pool) and One & Two Corporate Plaza (Prospectus ID#28; 0.9% of the pool). This resulted in a combined implied realized loss of more than $16.4 million, with a loss severity of 100% on the remaining balance of the Mall at Turtle Creek loan and 71.0% on the smaller specially serviced loan and eroded the transaction's credit support toward the bottom of the capital stack, where the classes are quite skinny. Morningstar DBRS previously downgraded several classes to B (sf) and lower credit ratings. Interest shortfalls totaling $3.0 million remained outstanding for Classes G-2, H-1, and H-2, most of which are tied to the two REO loans listed above. Morningstar DBRS expects the special servicing concentration and interest shortfalls to increase as the deal continues to season toward the 2026 maturity dates and loans cannot secure replacement financing default. These factors supported the credit rating confirmations in this review. As of the August 2025 reporting, 66 of the original 73 loans remained in the pool with a trust balance of $699.0 million, representing a collateral reduction of 18.6% since issuance as a result of scheduled loan amortization and loan repayments. There are 15 loans, representing 13.1% of the pool, secured by collateral that has been defeased. Two loans, representing 2.6% of the pool, are in special servicing, and 12 loans, representing 34.5% of the pool, are on the servicer's watchlist. The watch listed loans are primarily being monitored for declines in collateral occupancy, low DSCRs, or deferred maintenance. The largest loan in the pool, Gurnee Mills (Prospectus ID#1; 10.73% of the pool), is secured by a 1.7 million-square foot (sf) portion of a 1.9 million-sf regional mall in the northwestern Chicago suburb of Gurnee, Illinois. The loan is sponsored by Simon Property Group (Simon). The subject note represents a pari passu portion of the whole loan, with some of the other debt placed in the CSAIL 2016-C7 Commercial Mortgage Trust transaction, also rated by Morningstar DBRS. The largest collateral tenants are Bass Pro Shops, Kohl's, and Macy's, while noncollateral tenants include Marcus Cinema, Burlington Coat Factory, and Value City Furniture. The property was 91.8% occupied as of December 2024, an increase from the prior year and in line with the issuance figure of 91.1%. The largest tenant, Bass Pro Shops (8.15% of the net rentable area), renewed its lease expiring in December 2025 for an additional five years, as confirmed by the servicer. In early 2025, Simon confirmed that Boot Barn's expansion and the new tenant, Primark (both of which occupy a portion of space vacated by Bed Bath & Beyond) would be completed soon. Simon is in discussions with prospects for space previously occupied by Forever 21, according to the servicer. With these developments, the overall outlook for the property is positive. However, Morningstar DBRS' stressed value analysis suggests a very high LTV approaching 150% for this loan, which could make it difficult for the sponsor to obtain a new loan at maturity in October 2026 without a significant equity contribution. According to the YE2024 financial reporting, the net cash flow for the property was $18.1 million (the servicer reported a DSCR of 1.73x, but the DS figure appears to be short based on the issuance figures, and - when calculating on the issuance DS, the DSCR came to 1.15x), which is an increase from the YE2023 figure of $17.9 million, but ultimately below issuance of $25.1 million (a DSCR of 1.60x). Morningstar DBRS analyzed the loan with a POD penalty and a stressed LTV ratio, resulting in an expected loss (EL) that was 2.5x higher than the pool's average EL. Morningstar DBRS modeled stressed scenarios to increase the POD and LTV for two loans backed by office properties, which are the largest drivers for increased refinancing risks. The 101 Hudson Street loan (Prospectus ID#2; 9.66% of the pool) is backed by a 1.3-million-sf Class A office building in Jersey City, New Jersey. This property is currently on the servicer's watchlist because of continued occupancy declines, with the December 2024 occupancy of 64.2% compared with the December 2023 occupancy rate of 69.8%. Given the likely as-is value decline for the property following these developments, Morningstar DBRS applied a stressed LTV of 127% and POD of 20%, resulting in an EL that was twice the pool's average EL. The Plaza America I & II loan (Prospectus ID#3; 9.30% of the pool) is secured by two Class A office buildings totaling 514,615 sf and a parking garage in Reston, Virginia. This loan is also on the servicer's watchlist because of multiple tenants leaving at their lease expirations, which resulted in a December 2024 occupancy of 53.6% compared with the December 2023 occupancy of 75.5%. Given the low in-place occupancy rate, Morningstar DBRS applied a stressed LTV of 165% and POD of 18%, resulting in an EL that was more than 2.0x the pool's average EL. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2018-C43: DBRS Confirms B(low) Rating on F Certs ------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C43 issued by Wells Fargo Commercial Mortgage Trust 2018-C43 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) In addition, Morningstar DBRS changed the trends on Classes X-D, D, E, and F to Stable from Negative. The trends on the remaining classes are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the last credit rating action. During the previous credit rating action in October 2024, Morningstar DBRS had changed the trends on Classes X-D, D, E, and F to Negative from Stable to reflect the pool's significant exposure to loans secured by office properties, in particular, the South Point Office Center (Prospectus ID#4; 5.5% of the pool) and 35 Waterview Boulevard (Prospectus ID#9; 3.2% of the pool) loans, which are secured by office properties located in secondary markets that are exhibiting increased credit risks. While Morningstar DBRS continues to view these loans, as well as the pool's only specially serviced loan, Galleria Oaks (Prospectus ID#15; 2.3% of the pool), as higher-risk loans, a stressed value analysis for both office loans and a liquidation scenario considered for Galleria Oaks suggests the implied losses for those loans continue to be contained to the unrated Class G, supporting the trend changes to Stable from Negative for the classes near the bottom of the capital stack, as listed above. As of the August 2025 reporting, 56 of the original 63 loans remain in the pool with an aggregate principal balance of $610.6 million, representing a collateral reduction of 15.5% since issuance. The pool is concentrated by property type, with nine loans, representing 29.3% of the pool, secured by office collateral, including two loans, comprising 13.3% of the pool, that are shadow-rated investment grade. Thirteen loans, representing 13.3% of the pool, are secured by collateral that has been defeased. Ten loans, representing 26.6% of the pool, are being monitored on the servicer's watchlist; however, only three of those loans, representing 9.5% of the pool, are being monitored for a low debt service coverage ratio (DSCR) while four loans, representing 6.5% of the pool, are being monitored for low occupancy and/or significant upcoming tenant rollover. In the analysis for this review, Morningstar DBRS analyzed five loans (13.9% of the pool) with performance declines since issuance with stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default (PODs), resulting in a weighted-average expected loss (EL) approximately 4.0 times (x) the pool average. The Southpoint Office Center loan is secured by a 366,808-square foot (sf), Class A suburban office property in Bloomington, Minnesota. The loan was added to the servicer's watchlist in May 2021 because of low occupancy and DSCR following the departure of the property's former largest tenant, Well Fargo (18.2% of the net rentable area (NRA)). More recently, the property's largest tenant, United Bank (11.4% of NRA), announced it will be vacating at the end of its lease term in December 2025 and will move to a new headquarters in Richfield, Minnesota. With this development, the occupancy rate is expected to drop to around 63%, with the DSCR falling to below breakeven levels. Re-leasing could continue to be challenging as, according to Reis, the Southwest/Northeast Scott County submarket reported a vacancy rate of 22.0% in Q2 2025. Given the weakened performance and soft submarket, Morningstar DBRS applied a stressed LTV of more than 150.0% and increased the loan's POD, resulting in an EL that is more than 5.0x that of the pool average. The 35 Waterview Boulevard loan is secured by a 172,498-sf, Class A suburban office in Parsippany, New Jersey. The loan was added to the servicer's watchlist in March 2023 because of its low DSCR, driven by rising vacancy. Although the occupancy rate improved to 84.3% at YE2024 from 72% at YE2023, it is still below the issuance rate of 95.7%. The increase in occupancy can be attributed to the borrower leasing space to two tenants, representing 13.1% of the NRA. Outside of the largest tenant, Sun Chemical Management (38.3% of NRA, lease expiry December 2029), no tenant makes up more than 7.0% of NRA. Due to the increase in occupancy, the DSCR improved to 1.18x as of YE2024 from 0.88x at YE2023. The loan is structured with a cash flow sweep in the event that the DSCR falls below 1.30x. According to the August 2025 reserve report, the loan reports approximately $1.4 million in other reserves. As of Q2 2025, the Parsippany/Troy Hills submarket reported a high vacancy rate of 27.0%. Given that the performance remains below issuance levels and property is located in a soft submarket, Morningstar DBRS analyzed the loan with a stressed LTV of 119.7%, utilizing a value derived by applying a 10.0% capitalization rate to the YE2024 NCF, and maintained an elevated POD, resulting in an EL that is more than 4.0x that of the pool average. The transaction's only special serviced loan, Galleria Oaks, is secured by a 98,522-sf retail property in Austin, Texas. The loan was transferred to special servicing in May 2025 due to payment default, with the loan currently paid through December 2024. According to the May 2025 rent roll, the property reported an occupancy rate of 63.8%, in line with the rate for the last two years but well below the issuance rate of 85%. Cash flow has similarly declined, and was most recently reported at $900,500 during the trailing 12-month period ended April 30, 2025, reflecting a DSCR of 0.87x. As performance and occupancy have declined and the loan remains delinquent, the lender initiated a dual-track workout strategy and is reportedly targeting a September 2025 foreclosure sale date. In the analysis for this review, Morningstar DBRS considered a liquidation scenario based on a conservative 60% haircut to the $23.0 million issuance appraisal value, resulting in projected losses of $7.1 million (loss severity of 50%). At issuance, Morningstar DBRS shadow-rated two loans as investment grade; Moffett Towers II - Building 2 (Prospectus ID#1; 8.4% of the pool) and Apple Campus 3 (Prospectus ID#7; 4.9% of the pool). Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics with this review. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C6: DBRS Gives Prov. BB(low) Rating on JRR Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C6 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-5C6 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class C at (P) AAA (sf) -- Class X-D at (P) AA (sf) -- Class D at (P) AA (low) (sf) -- Class E-RR at (P) A (high) (sf) -- Class F-RR at (P) A (low) (sf) -- Class G-RR at (P) BBB (sf) -- Class H-RR at (P) BBB (low) (sf) -- Class J-RR at (P) BB (low) (sf) All trends are Stable. Classes X-D, D, E-RR, F-RR, G-RR, H-RR, J-RR, K-RR, and R will be privately placed. The collateral for the Wells Fargo Commercial Mortgage Trust 2025-5C6 transaction consists of 26 loans secured by 51 commercial and multifamily properties with an aggregate cut-off date balance of approximately $622.7 million. Three loans, representing 18.0% of the pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.50x. Excluding the three shadow-rated loans, the Morningstar DBRS Issuance DSCR drops to 1.26 times (x). Of the 26 loans, 14 loans, representing 47.3% of the pool, have a Morningstar DBRS Issuance DSCR below 1.25x, which have historically had higher default frequencies. The pool's Morningstar DBRS WA Issuance LTV was 57.8% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 57.7% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a moderate Morningstar DBRS WA Issuance LTV of 63.3% and a Morningstar DBRS WA Balloon LTV of 63.1%. Five of the 26 loans, representing 14.5% of the pool, have Morningstar DBRS Issuance LTV ratios above 67.6%, which have historically had higher default frequencies. The transaction has a sequential-pay pass-through structure. Three loans, representing 18.0% of the pool, exhibited credit characteristics consistent with investment-grade shadow ratings. Aman Hotel New York, which makes up 8.8% of the pool, exhibited credit characteristics consistent with an investment-grade shadow rating of AA (low). Making up 5.2% of the pool, Vertex HQ exhibited credit characteristics consistent with an investment-grade shadow rating of AA (high). Similarly, The Campus at Lawson Lane, which makes up 3.9% of the pool, exhibited credit characteristics consistent with an investment-grade shadow rating of AAA. Five loans, representing 38.8% of the pool, are within Morningstar DBRS Market Rank 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, nine loans, representing 27.9% of the pool, are in areas with Morningstar DBRS Market Ranks 5 or 6, which benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. New York and Los Angeles are the predominant urban markets represented in this transaction. Lastly, 13 loans, representing 56.9% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. The property quality assessment for seven loans, representing 33.9% of the pool, was Excellent, Above Average, or Average +, while five loans, representing only 12.0% of the pool, received a property quality assessment of Average- or Below Average; the remaining loans in the pool received a property quality assessment of Average. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. Eleven loans, representing 42.5% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.9%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. The pool has a Morningstar DBRS Issuance LTV of 57.8% (63.3% excluding shadow-rated loans) and a Morningstar DBRS Balloon LTV of 57.7% (63.1% excluding shadow-rated loans). There are only five loans (14.5% of the pool) with Morningstar DBRS Issuance LTVs above 67.6%, with the highest LTV coming in at 71.2% for 2505 & 2533 Foster Avenue, which makes up only 2.0% of the pool. The 26-loan pool results in a Herfindahl score of 16.4 with the top 10 loans representing a staggering 71.4% of the transaction by cut-off date trust balance. The Herfindahl score is lower than all recent multi-borrower conduits Morningstar DBRS has rated in 2025. Recent transactions include BBCMS 2025-5C34 (Herfindahl score of 22.5), BANK5 2025-5YR16 (Herfindahl score of 21.6), BMARK 2025-B41(Herfindahl score of 18.2), and WFCM 2025-5C5 (Herfindahl score of 17.5). Twenty-four loans, representing 94.8% of the pool, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The two remaining loans amortize over their full loan terms with no periods of IO payments. Twenty loans, representing 87.9% of the pool, are being used to refinance existing debt. Additionally, one loan, representing 1.5% of the pool, is a recapitalization. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. The pool has a relatively high concentration of loans secured by office and retail properties, at seven loans, representing 46.1% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. Twenty-one loans, representing 86.2% of the pool, exhibit negative leverage, defined as the Issuer's implied capitalization rate (cap rate) (Issuer's NCF divided by the appraised value), less the current interest rate. On average, the transaction exhibits -1.2% of negative leverage. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. In the longer term, should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance its loans. Properties in New York City secure five loans, representing 34.4% of the pool. Conduit pools generally benefit from location diversity in case there is an adverse event that affects a certain location. Changes in New York and New York City government policy or local economic trends could negatively affect around one-quarter of the loans in the pool secured by properties in New York City. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-HI: DBRS Gives Prov. BB(high) Rating on HRR Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-HI (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-HI (WFCM 2025-HI or the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class HRR at (P) BB (high) (sf) All trends are Stable. The WFCM 2025-HI transaction is secured by the borrower's fee-simple interests in two full-service beachfront resort hotels encompassing 972 keys in Hawaii. The resorts, Outrigger Reef Waikiki Beach Resort (Outrigger Reef) and Sheraton Kauai, are located on the islands of Oahu and Kauai, respectively. Both properties offer guests direct beach access, panoramic ocean views, an array of dining options, ample meeting and event space, and numerous amenities. Morningstar DBRS views the portfolio positively considering the prime beachfront locations of the collateral, their plentiful amenities, and the significant capital investment made into the properties. Situated along Waikiki Beach in Honolulu, Outrigger Reef (658 keys; 76.2% of allocated loan amount (ALA)) offers guests direct access to one of the most popular beaches in Hawaii. The resort has an extensive amenity package including ground-floor retail outlets, a pool and whirlpool, a full-service spa, a fitness center, a kids club, a private lounge, and three food and beverage (F&B) outlets, including the highly popular Monkeypod Kitchen. Outrigger Reef also offers 6,132 square feet (sf) of indoor meeting space, eight total indoor/outdoor event spaces, and a newly delivered wedding chapel. Sheraton Kauai (314 keys, 23.8% of ALA), in the town of Kapa'a, features an infinity-style pool and whirlpool; a fitness center; five F&B outlets; and 12,454 sf of indoor and outdoor meeting and event spaces, including a 4,620-sf outdoor pavilion used to host luaus and other group events. Both properties present various offerings and experiences that attract a diverse guest base across transient, corporate, and group travelers. The sponsor will use the mortgage loan of $325.0 million, combined with three mezzanine loans totaling $155 million, to retire $325.0 million of existing debt, return $147.8 million of equity to the transaction sponsor, and cover closing costs of $7.2 million. The senior loan is a two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the initial weighted-average (WA) component spread, which is expected to be approximately 2.3000%. The three mezzanine loans of $75 million, $40 million, and $40 million have loan terms co-terminus with those of the mortgage loan. Each mezzanine loan will have a floating rate based on the one-month term SOFR plus a spread of approximately 4.25%, 6.0%, and 8.0%, respectively. For the initial loan term, the borrower is expected to purchase an interest rate cap agreement with a one-month Term SOFR cap strike rate of 3.8068%, and for any extension term, a rate that yields a debt service coverage ratio (DSCR) on the mortgage loan and mezzanine loans of no less than 1.10 times (x). The sponsor of the transaction is KSL Capital Partners (KSL), a private equity firm that specializes in travel and leisure ventures. KSL has raised more than $25 billion and invested in more than 190 travel and leisure businesses since 2005. Outrigger Reef is managed by a brand-affiliate of Outrigger Hospitality Group (Outrigger), a Honolulu-based hospitality company that KSL acquired in 2016. Sheraton Kauai is managed by Davidson Hospitality Group, a highly experienced full-service hospitality management company. KSL acquired Outrigger Reef and Sheraton Kauai in 2016 and 2017, respectively. Since acquisition, KSL has invested approximately $112.4 million ($115,600 per key) in capital improvements into the portfolio. The capital improvements were extensive, including substantial guest room renovations at both properties; enhancements and upgrades to amenities; and significant buildouts and redevelopments of F&B, meeting, and event spaces. Notable developments at the properties include the delivery of the Monkeypod Kitchen restaurant space and the wedding chapel at Outrigger Reef and the luau event pavilion at Sheraton Kauai. Additionally, between 2018 and 2019, KSL completely repositioned Sheraton Kauai from its former brand, Courtyard by Marriott, to its current brand, Sheraton. The sponsor's significant investment into the portfolio strengthens the properties' competitive positions in their respective markets. The portfolio generated revenue per available room (RevPAR) of $265.98 for trailing 12-month period (T-12) ended June 2025, which represents an 11.5% increase since 2023. In the same period, the hotel portfolio garnered a 9.4% increase in average daily rate (ADR) and a 1.9% increase in occupancy. Prior to the pandemic and the sponsor's sweeping renovations of the assets, the portfolio reported a 2017 occupancy rate of 85.4%. Comparatively, for the T-12 ended June 2025, the portfolio exhibited an occupancy rate of 83.5%, signaling its strides in recovering to its full pre-pandemic performance with regards to occupancy. Overall, both Outrigger Reef and Sheraton Kauai reported RevPAR index rates of more than 100% for the T-12 period ended June 2025. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WOODMONT 2021-8: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1L-R loans and the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Woodmont 2021-8 Trust, a CLO managed by MidCap Financial Services Capital Management LLC, a subsidiary of Apollo Global Management Inc., that was originally issued in December 2021 and was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Sept. 12, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 23, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the replacement debt." The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Woodmont 2021-8 Trust Class A-1-R(i), $90.000 million: AAA (sf) Class A-1L-R loans(i), $258.000 million: AAA (sf) Class A-2-R, $30.000 million: AAA (sf) Class B-R, $30.000 million: AA (sf) Class C-R (deferrable), $48.000 million: A (sf) Class D-1-R (deferrable), $26.000 million: BBB+ (sf) Class D-2-R (deferrable), $10.000 million: BBB+ (sf) Class E-R (deferrable), $36.000 million: BB- (sf) Certificates, $82.225 million: NR (i)No portion of class A-1-R debt may be converted into class A-1L-R loans, and no portion of class A-1L-R loans may be converted into class A-1-R debt. NR--Not rated. [] DBRS Reviews 17 Classes From 3 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 17 classes from three U.S. residential mortgage-backed securities (RMBS) transactions. Of the three transactions reviewed, two are classified as reverse mortgages and one as a home equity investment. Morningstar DBRS confirmed its credit ratings on the 17 classes. The Affected Ratings are available at https://bit.ly/4nATQ7D The Issuers are: Unlock HEA Trust 2024-2 Onity Loan Investment Trust 2024-HB2 Brean Asset-Backed Securities Trust 2024-RM9 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "Rating and Monitoring U.S. Reverse Mortgage Securitizations," methodology published on September 30, 2024 (https://dbrs.morningstar.com/research/440088). Notes: All figures are in US dollars unless otherwise noted. [] DBRS Reviews 776 Classes From 52 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 776 classes from 52 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 52 transactions reviewed, 46 are classified as legacy RMBS, three are classified as a securitization of a revolving portfolio of residential transition loans (RTLs), two are classified as home equity line of credit (HELOC) transactions and one is classified as a reperforming mortgage transaction. Of the 776 classes reviewed, Morningstar DBRS upgraded its credit ratings on 20 classes and confirmed its credit ratings on the remaining 756 classes. The Affected Ratings are available at https://bit.ly/3VTtZvR The Issuers are: Ameriquest Mortgage Securities Inc. Series 2004-R8 Ameriquest Mortgage Securities Inc. Series 2004-R9 C-BASS 2005-CB3 Trust Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2 Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4 Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ 2006-HE7 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-11 Credit Suisse First Boston Mortgage Acceptance Corp. Adjustable Rate Mortgage Trust 2005-12 Chase Mortgage Finance Trust Series 2007-A3 ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4 ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM1 ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE2 ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3 ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1 ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1 Carrington Mortgage Loan Trust, Series 2007-HE1 ATLX 2024-RPL1 FIGRE Trust 2024-HE4 BCAP LLC Trust 2007-AA2 BCAP LLC Trust 2007-AA1 BCAP LLC Trust 2007-AA3 BCAP LLC Trust 2007-AA4 Toorak Mortgage Trust 2024-RRTL2 NYMT Loan Trust Series 2024-BPL3 Bear Stearns Alt-A Trust 2007-2 Saluda Grade Alternative Mortgage Trust 2023-FIG3 BNC Mortgage Loan Trust 2007-2 New Residential Mortgage Loan Trust 2024-RTL2 Banc of America Mortgage 2007-3 Trust Banc of America Funding 2007-E Trust Banc of America Funding 2007-7 Trust Citigroup Mortgage Loan Trust 2007-FS1 Argent Securities Inc. Series 2005-W4 Citigroup Mortgage Loan Trust 2006-HE3 Citigroup Mortgage Loan Trust 2006-NC2 Citigroup Mortgage Loan Trust 2006-FX1 Citigroup Mortgage Loan Trust 2006-NC1 Citigroup Mortgage Loan Trust 2006-HE2 Citigroup Mortgage Loan Trust 2007-AHL1 Citigroup Mortgage Loan Trust 2007-AMC2 Citigroup Mortgage Loan Trust 2006-AMC1 Citigroup Mortgage Loan Trust 2007-AMC1 CWALT, Inc. Alternative Loan Trust 2006-6CB Citigroup Mortgage Loan Trust 2006-WFHE4 Citigroup Mortgage Loan Trust 2006-WFHE2 Bear Stearns Mortgage Funding Trust 2007-AR2 Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1 Accredited Mortgage Loan Trust 2005-4 Accredited Mortgage Loan Trust 2005-3 CWABS Asset-Backed Certificates Trust 2004-12 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Affirms BB- Ratings on 9 Exeter Automobile Trusts ---------------------------------------------------------- Fitch Ratings has upgraded 11 classes of notes in nine Exeter Automobile Receivables Trusts (EART). Following their upgrades, Fitch has assigned Positive Rating Outlooks to five classes in nine EART transactions. Additionally, Fitch has affirmed the remaining classes, and revised the Rating Outlooks of 10 classes to Positive from Stable. Entity/Debt Rating Prior ----------- ------ ----- Exeter Automobile Receivables Trust 2023-1 C 30168BAE0 LT AAAsf Upgrade Asf D 30168BAF7 LT Asf Upgrade BBBsf E 30168BAG5 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-2 C 30168CAE8 LT AAAsf Upgrade Asf D 30168CAF5 LT Asf Upgrade BBBsf E 30168CAG3 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-3 C 301989AE9 LT AAAsf Upgrade Asf D 301989AF6 LT Asf Upgrade BBBsf E 301989AG4 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-4 B 30166TAD5 LT AAAsf Upgrade AAsf C 30166TAE3 LT AAsf Upgrade Asf D 30166TAF0 LT Asf Upgrade BBBsf E 30166TAG8 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-5 B 30168DAD8 LT AAAsf Upgrade AAsf C 30168DAE6 LT Asf Affirmed Asf D 30168DAF3 LT BBBsf Affirmed BBBsf E 30168DAG1 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2024-1 B 30167PAD2 LT AAAsf Upgrade AAsf C 30167PAE0 LT Asf Affirmed Asf D 30167PAF7 LT BBBsf Affirmed BBBsf E 30167PAG5 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2024-2 B 30166DAD0 LT AAsf Affirmed AAsf C 30166DAE8 LT Asf Affirmed Asf D 30166DAF5 LT BBBsf Affirmed BBBsf E 30166DAG3 LT BB-sf Affirmed BB-sf Exeter Automobile Receivables Trust 2024-5 A-2 30165BAB9 LT AAAsf Affirmed AAAsf A-3 30165BAC7 LT AAAsf Affirmed AAAsf B 30165BAE3 LT AAsf Affirmed AAsf C 30165BAF0 LT Asf Affirmed Asf D 30165BAG8 LT BBBsf Affirmed BBBsf E 30165BAH6 LT BB-sf Affirmed BB-sf Exeter Automobile Receivables Trust 2025-1 A-2 30167MAB3 LT AAAsf Affirmed AAAsf A-3 30167MAC1 LT AAAsf Affirmed AAAsf B 30167MAD9 LT AAsf Affirmed AAsf C 30167MAE7 LT Asf Affirmed Asf D 30167MAF4 LT BBBsf Affirmed BBBsf E 30167MAG2 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The rating actions of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking higher than the initial rating case proxies for seven of the nine series. However, hard CE levels have grown for all classes of notes in each transaction since close based on the current collateral balance. The Stable Rating Outlooks on the 'AAAsf'-rated notes reflect Fitch's expectation for loss coverage to continue to improve as the transaction amortizes. The upgrades of certain notes reflect improving credit enhancement and loss coverage. The Positive Rating Outlooks reflect the possibility of an upgrade in the next one to two years. The Stable Rating Outlooks on subordinate notes reflects the limited or slower expected pace of upgrades. As of the August 2025 distribution date, 61+ day delinquencies were 10.57%, 10.42%, 10.73%, 9.94%, 9.97%, 9.15%, 8.99%, 6.33%, and 4.68% for EART 2023-1, 2023-2, 2023-3, 2023-4, 2023-5, 2024-1, 2024-2, 2024-5, and 2025-1, respectively. Cumulative net losses (CNL) were 17.53%, 15.92%, 15.20%, 13.88%, 12.25%, 10.41%, 8.86%, 3.71%, and 1.69%, respectively, compared with Fitch's initial rating case proxies of 19.00%, 20.00%, 20.00%, 20.00%, 20.00%, 20.00%, 22.00%, 21.50%, and 21.50% respectively. The transactions other than 2024-5 and 2025-1 are trending higher than Fitch's initial expectations. The revised lifetime CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macroeconomic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential further increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case loss proxies. Fitch raised the ratings cases to 24.25% for 2023-1 and 24.00% for 2023-2, 2023-3, 2023-4, 2023-5 and 2024-2. 2024-1 was raised to only 23.00% to reflect slightly better performance compared to the other outstanding transactions. Lastly, 2024-5 and 2025-1 were maintained at 21.50% due to limited amortization. Fitch conducted updated cashflow modeling for each transaction and loss coverage multiples for the rated notes are consistent with or exceed 3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf', 1.25x for 'BBsf', and 1.20x for 'BB-sf' (with some exceptions for multiple compression on class E notes). Fitch's base case loss expectations, which do not include a margin of safety and are not used in Fitch's quantitative analysis to assign ratings, are 23.50%, 23.00%, 23.00%, 23.00%, 23.00%, 22.00%, 23.00%, 20.00%, 20.00%, and 20.00% for EART 2023-1, 2023-2, 2023-3, 2023-4, 2023-5, 2024-1, 2024-2, 2024-5, and 2025-1, respectively, based on Fitch's Global Economic Outlook - September 2025, transaction performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxies and affect available loss coverage and multiples levels for the transactions. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect the ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. For outstanding transactions, this scenario suggests a possible downgrade of up to three categories for all classes of notes. To date, while the transactions show weakening performance with projected losses exceeding Fitch's initial expectations, hard credit enhancement has generally increased enough to support adequate loss coverage and multiples at the current rating levels, except for certain most subordinate notes. Therefore, further deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding notes. 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 CNLs were 20% less than projected CNL proxy, the ratings could be affirmed or upgraded. 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. [] Fitch Affirms Ratings on 10 Sierra Timeshare Receivables Trusts ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings of Sierra Timeshare Receivables Funding Trust series 2021-1, 2021-2, 2022-1, 2022-2, 2022-3, 2023-1, 2023-2, 2023-3, 2024-1, and 2024-3. The Rating Outlooks on all classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Sierra Timeshare 2021-1 Receivables Funding LLC A 82652QAA9 LT AAAsf Affirmed AAAsf B 82652QAB7 LT Asf Affirmed Asf C 82652QAC5 LT BBBsf Affirmed BBBsf D 82652QAD3 LT BBsf Affirmed BBsf Sierra Timeshare 2021-2 Receivables Funding LLC A 82652RAA7 LT AAAsf Affirmed AAAsf B 82652RAB5 LT Asf Affirmed Asf C 82652RAC3 LT BBBsf Affirmed BBBsf D 82652RAD1 LT BBsf Affirmed BBsf Sierra Timeshare 2022-1 Receivables Funding LLC A 82652TAA3 LT AAAsf Affirmed AAAsf B 82652TAB1 LT Asf Affirmed Asf C 82652TAC9 LT BBBsf Affirmed BBBsf D 82652TAD7 LT BBsf Affirmed BBsf Sierra Timeshare 2022-2 Receivables Funding LLC A 82650TAA5 LT AAAsf Affirmed AAAsf B 82650TAB3 LT Asf Affirmed Asf C 82650TAC1 LT BBBsf Affirmed BBBsf D 82650TAD9 LT BBsf Affirmed BBsf Sierra Timeshare 2022-3 Receivables Funding LLC A 826934AA9 LT AAAsf Affirmed AAAsf B 826934AB7 LT Asf Affirmed Asf C 826934AC5 LT BBBsf Affirmed BBBsf D 826934AD3 LT BB-sf Affirmed BB-sf Sierra Timeshare 2023-1 Receivables Funding LLC A 826943AA0 LT AAAsf Affirmed AAAsf B 826943AB8 LT Asf Affirmed Asf C 826943AC6 LT BBBsf Affirmed BBBsf D 826943AD4 LT BB-sf Affirmed BB-sf Sierra Timeshare 2023-2 Receivables Funding LLC A 82650BAA4 LT AAAsf Affirmed AAAsf B 82650BAB2 LT Asf Affirmed Asf C 82650BAC0 LT BBBsf Affirmed BBBsf D 82650BAD8 LT BB-sf Affirmed BB-sf Sierra Timeshare 2023-3 Receivables Funding LLC A 826944AA8 LT AAAsf Affirmed AAAsf B 826944AB6 LT Asf Affirmed Asf C 826944AC4 LT BBBsf Affirmed BBBsf D 826944AD2 LT BBsf Affirmed BBsf Sierra Timeshare 2024-1 Receivables Funding LLC A 826935AA6 LT AAAsf Affirmed AAAsf B 826935AB4 LT Asf Affirmed Asf C 826935AC2 LT BBBsf Affirmed BBBsf D 826935AD0 LT BBsf Affirmed BBsf Sierra Timeshare 2024-3 Receivables Funding LLC A 82653BAA1 LT AAAsf Affirmed AAAsf B 82653BAB9 LT Asf Affirmed Asf C 82653BAC7 LT BBBsf Affirmed BBBsf D 82653BAD5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The affirmation of the class A, B, C, and D notes for each transaction reflects default coverage levels consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, the 2022-2024 transactions are showing weakening default trends relative to stronger performance in the 2021 transactions. As of the July 2025 collection period, the 61+ day delinquency rates for 2021-1, 2021-2, 2022-1. 2022-2, 2022-3, 2023-1, 2023-2, 2023-3, 2024-1, and 2024-3 are 1.86%, 2.10%, 2.51%, 1.96%, 2.13%, 2.19%, 2.28%, 2.33%, 2.25%, and 2.94%, respectively. Cumulative gross defaults (CGDs) are currently at 18.98%, 18.16%, 19.46%, 18.49%, 19.27%, 18.70%, 16.44%, 15.92%, 14.65%, and 9.11%, respectively. Due to optional repurchases by the seller, none of the transactions have experienced a net loss to date. Transactions 2021-1, 2021-2, 2022-1, and 2022-2 are tracking below their initial rating cases of 22.40%, 21.50%, 22.25%, and 22.50%, respectively. The lifetime proxies of 20.00%, 20.00%, 22.00%, and 22.00%, respectively, were not changed due to recent performance and high seasoning of the pools, given the stabilizing performance trends for these transactions. Transactions 2022-3, 2023-1, 2023-2, 2023-3, 2024-1, and 2024-3 are currently tracking above their initial rating case proxies of 23.00%, 22.50%, 22.00%, 22.00%, 22.00%, and 22.00%, respectively. To account for recent worsening performance, the CGD proxies were revised to 24.00%, 24.50%, 24.00%, 24.50%, 24.50%, and 23.50%, respectively. Under Fitch's stressed cash flow assumptions, the 2021-1, 2021-2, 2022-1, and 2022-2 transactions' default coverages for the class A, B, C, and D notes can support multiples exceeding 3.00x, 2.25x, 1.50x, and 1.25x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf', respectively. Despite the strong multiples, Fitch affirms the 2021-1 ratings and Outlooks as the pro rata structure limits credit enhancement (CE) build and upgrade potential. Fitch does not give modelling credit to optional repurchases, and given high seasoning and low remaining pool with CGDs flattening, upgrades are not warranted under current sector conditions. For 2022-3 and 2023-1, default coverages for the class A, B, C, and D notes can support multiples exceeding 3.00x, 2.25x, 1.50x, and 1.17x for 'AAAsf', 'Asf', 'BBBsf', and 'BB-sf', respectively. For 2023-2, the class A default coverage can support multiples exceeding the 3.00x for 'AAAsf'. The class B default coverage is marginally short of the 2.25x multiple for 'Asf', but still within the 2.00x-2.75x range. The current multiples for the class C and D notes are short of the 1.50x for 'BBBsf' and 1.17x for 'BB-sf', respectively, but within the one category tolerance permitted by the criteria. For 2023-3, the class A default coverage is marginally short of the 3.00x multiples for 'AAAsf', but still within the 3.00x-4.50x range. The class B default coverage is marginally short of the 2.25x multiple for 'Asf', but still within the 2.00x-2.75x range. The current multiples for the class C and D notes are short of the 1.50x for 'BBBsf' and 1.25x for 'BBsf', respectively, but within the one category tolerance permitted by the criteria. For 2024-1, the class A default coverage can support multiple exceeding 3.00x for 'AAAsf'. The class B default coverage is marginally short of the 2.25x multiple for 'Asf', but still within the 2.00x-2.75x range. The current multiples for the class C and D notes are short of the 1.50x for 'BBBsf' and 1.25x for 'BBsf', respectively, but within the one category tolerance permitted by the criteria. For 2024-3, the class A default coverage is marginally short of the 3.00x multiple for 'AAAsf', but still within the 3.00x-4.50x range. The class B default coverage is marginally short of the 2.25x multiple for 'Asf', but still within the 2.00x-2.75x range. The current multiples for the class C and D notes are short of the 1.50x for 'BBBsf' and 1.17x for 'BB-sf', respectively, but within the one category tolerance permitted by the criteria. The shortfalls are considered marginal and are within the range of the multiples for their current ratings. Additionally, Fitch accounted for the seller's optional repurchase and substitution activities across all these transactions, resulting in zero net losses to date. The ratings also reflect the quality of Travel + Leisure Co. timeshare receivable originations, the sound financial and legal structure of the transactions, and the strength of the servicing provided by Wyndham Consumer Finance, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables, updating the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage; - In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Fitch Lowers 10 Distressed Classes in Four US CMBS Deals ----------------------------------------------------------- Fitch Ratings, on Sept. 10, 2025, downgraded 10 distressed classes in four US CMBS transactions due to realized losses. Fitch has withdrawn the ratings of three 'Dsf'-rated classes in one transaction as the transaction balance has been reduced to zero. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C1 E-RR 90276EAS6 LT Dsf Downgrade CCsf F-RR 90276EAU1 LT Dsf Downgrade Csf JPMBB 2015-C29 E 46644RAN5 LT Dsf Downgrade CCsf F 46644RAQ8 LT Dsf Downgrade Csf X-E 46644RAG0 LT Dsf Downgrade CCsf X-F 46644RAJ4 LT Dsf Downgrade Csf WFRBS 2013-C15 D 92938CAL1 LT Dsf Downgrade Csf E 92938CAN7 LT Dsf Downgrade Csf F 92938CAQ0 LT Dsf Downgrade Csf WFRBS 2013-C18 D 96221QAM5 LT WDsf Withdrawn Dsf E 96221QAP8 LT WDsf Withdrawn Dsf F 96221QAR4 LT WDsf Withdrawn Dsf Citigroup Commercial Mortgage Trust 2006-C4 D 17309DAK9 LT Dsf Downgrade Csf Fitch has withdrawn the ratings on the following classes as the transaction balance has been reduced to zero, and therefore the ratings on these classes are no longer relevant: - Classes D, E and F in WFRBS 2013-C18 due to the transaction having a zero balance. Automatic Withdrawal of the Last Default Rating Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Fitch has also downgraded the following classes due to principal losses incurred on the classes: - Class D in CGCMT 2006-C4 due to a realized loss of $3.2 million; - Classes E,F, X-E and X-F in JPMBB 2015-C29 due to realized losses of $10.1 million and $11.1 million, respectively; - Classes E-RR and F-RR in UBS 2017-C1 due to realized losses of $3.1 million and $9.6 million, respectively; - Classes D and E in WFRBS 2013-C15 due to realized losses of $307,225 and $22.1 million, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative rating sensitivities are not applicable as these bonds have realized principal losses and the classes are all rated 'Dsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No further rating changes are expected as these bonds have realized principal losses. While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Upgrades Ratings on 14 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from eight US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2003-3 Cl. M1, Upgraded to Baa1 (sf); previously on Mar 5, 2024 Downgraded to Ba1 (sf) Cl. M3, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-21 Cl. 1-A, Upgraded to Aaa (sf); previously on Nov 15, 2024 Upgraded to A1 (sf) Cl. 2-A-4, Upgraded to Baa1 (sf); previously on Nov 15, 2024 Upgraded to Ba1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-8 Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Nov 6, 2024 Upgraded to Ba2 (sf) Cl. 1-A-2, Upgraded to B1 (sf); previously on Nov 6, 2024 Upgraded to Caa1 (sf) Cl. 2-A-4, Upgraded to Ba2 (sf); previously on Nov 6, 2024 Upgraded to Ba3 (sf) Issuer: Fremont Home Loan Trust 2005-D Cl. M1, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to Ba1 (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4 Cl. 2-A2, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. 2-A3, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Cl. 2-A4, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCH1 Cl. M-6, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Structured Asset Mortgage Investments II Trust 2007-AR2 Cl. I-A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp 2002-BC1 Cl. M2, Upgraded to Ba1 (sf); previously on Dec 1, 2017 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. The rating upgrades on 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. Moody's analysis also considered the existence of historical interest shortfalls for some of these bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rest of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, and the potential impact of any collateral volatility on the model output. 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. [] Moody's Upgrades Ratings on 21 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded 21 ratings from eight US residential mortgage-backed transactions (RMBS), backed by subprime, Alt-A, and Option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: AFC Mtg Loan AB Notes 1999-04 Cl. 1A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2A, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GSAA Home Equity Trust 2005-5 Cl. B-3, Upgraded to Caa2 (sf); previously on Feb 22, 2013 Affirmed C (sf) Issuer: HomeBanc Mortgage Trust 2005-3 Cl. M-4, Upgraded to Caa1 (sf); previously on Jun 13, 2019 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Oct 14, 2010 Downgraded to C (sf) Issuer: MASTR Alternative Loan Trust 2006-2 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa2 (sf) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. A-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2005-HE1 Cl. M-7, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3 Cl. A-1B, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-1C, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-1D, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-2 Cl. M-8, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa2 (sf) Issuer: RALI Series 2007-QH6 Trust Cl. A-1, Upgraded to B1 (sf); previously on Aug 16, 2013 Confirmed at Caa3 (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 1, 2010 Downgraded to C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. 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