251005.mbx

251005.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, October 5, 2025, Vol. 29, No. 277 Headlines 522 FUNDING 2018-2(A): Moody's Affirms Ba3 Rating on Class E Notes A10 SINGLE 2023-GTWY: DBRS Confirms B(low) Rating on Class E Certs AFFIRM MASTER 2025-3: DBRS Finalizes BB Rating on Class E Notes AGL CLO 11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AGL CLO 44: Fitch Assigns 'BB-sf' Rating on Class E Notes AGL CLO 7: Fitch Assigns BB-sf Rating on ER2 Notes, Outlook Stable ALESCO PREFERRED IX: Moody's Upgrades Rating on 4 Tranches to B3 AMMC CLO 25: Fitch Assigns 'BB+sf' Final Rating on Class E-R2 Notes AMMC CLO 25: Moody's Assigns B3 Rating to $250,000 Class F Notes BANK 2021-BNK32: DBRS Confirms BB(high) Rating on 2 Classes BANK5 2024-5YR10: DBRS Confirms BB(high) Rating on Class G Certs BANK5 2025-5YR17: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BARINGS CLO 2023-III: S&P Assigns BB- (sf) Rating on Cl. E-R Notes BARINGS CLO 2025-V: Fitch Assigns 'BB-sf' Rating on Class E Notes BBCMS MORTGAGE 2025-5C37: Fitch Rates Cl. G-RR Certs 'B-sf' BENCHMARK 2019-B15: DBRS Cuts Rating on Class F Certs to B BENCHMARK 2025-V17: DBRS Finalizes BB(high) Rating on GRR Certs BENCHMARK 2025-V17: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class E-R5 Notes BHG SECURITIZATION 2023-B: Fitch Affirms BB Rating on Class E Notes BMO 2025-C13: Fitch Assigns 'B-(EXP)sf' Rating on Class J-RR Certs BRANT POINT 2025-8: Fitch Assigns 'BB-sf' Rating on Class E Notes BRAVO 2025-NQM9: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Notes BRYANT PARK 2023-21: S&P Assigns Prelim 'BB-' Rating on E-R Notes BSPRT 2025-FL12: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes BSTN COMMERCIAL 2025-HUB: DBRS Gives (P) B(high) on HRR Certs CANYON CLO 2021-4: Moody's Assigns Ba3 Rating to $20.5MM E-R Notes CARMAX SELECT 2025-B: Fitch Assigns 'BBsf' Rating on Class E Notes CARVAL CLO I: Moody's Lowers Rating on $29MM Class E Notes to B1 CARVAL CLO II: Moody's Lowers Rating on $41.75MM E-R2 Notes to B1 CARVAL CLO VI-C: Moody's Cuts Rating on $26.5MM Cl. E Notes to B1 CARVANA AUTO 2025-P3: Moody's Assigns Ba3 Rating to Class N Notes CBAMR 2021-14: Fitch Assigns 'BB-sf' Final Rating on Cl. E-R Notes CHASE HOME 2025-10: Fitch Assigns 'B-sf' Rating on Class B-5 Debt CHASE HOME 2025-10: Moody's Assigns B2 Rating to Cl. B-5 Certs CHASE HOME 2025-DRT1: DBRS Finalizes B(low) Rating on B5 Notes CHASE HOME 2025-DRT1: DBRS Gives Prov. B(low) Rating on B-5 Notes CHASE HOME 2025-DRT1: Fitch Assigns 'Bsf' Rating on Class B-5 Debt CHASE HOME 2025-DRT1: Fitch Assigns B(EXP) Rating on Cl. B-5 Notes CITIGROUP 2016-C2: DBRS Confirms BB Rating on Class E Certs CITIGROUP MORTGAGE 2025-4: Moody's Assigns B3 Rating to B-5 Certs COLT 2025-10: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs COLUMBIA CENT 32: S&P Affirms BB- (sf) Rating on Class E Notes COMM 2014-UBS3: DBRS Confirms C Rating on 4 Tranches COMM 2015-CCRE22: Fitch Lowers Rating on Class E Notes to 'CCsf' CSAIL 2017-C8: Fitch Affirms 'B-sf' Rating on Class E Certificates DRYDEN 61 CLO: Moody's Cuts Rating on $21.7MM Cl. E-R Notes to B1 EFMT 2025-INV4: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ELMWOOD CLO 44: S&P Assigns BB- (sf) Rating on Class E Notes ELMWOOD CLO VIII: S&P Affirms B- (sf) Rating on Class F-R Notes FLAGSHIP CREDIT 2024-1: S&P Lowers Cl. E Notes Rating to 'B+ (sf)' GCAT TRUST 2025-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs GLOBAL SC: DBRS Finalizes BB Rating on Class B Notes GOLUB CAPITAL 55(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes GOLUB CAPITAL 82(B): Fitch Assigns 'BB-sf' Final Rating on E Notes GOLUB CAPITAL 82(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes GS MORTGAGE 2014-GC24: Moody's Lowers Rating on 2 Tranches to B2 GS MORTGAGE 2017-GS7: Fitch Affirms 'B+sf' Rating on Cl. G-RR Notes GS MORTGAGE 2025-CES2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes GS MORTGAGE 2025-CES2: Fitch Gives B(EXP)sf Rating on Cl. B-2 Certs GS MORTGAGE 2025-PJ8: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2025-PJ8: Moody's Assigns B3 Rating to Cl. B-5 Certs GSF 2023-1: Fitch Affirms 'BB-sf' Rating on Class E Notes HARVEST SBA 2025-1: DBRS Gives Prov. BB(high) Rating on C Notes JP MORGAN 2020-MKST: Moody's Lowers Rating on Cl. B Certs to Ca JP MORGAN 2025-8: DBRS Finalizes B(low) Rating on B5 Certs JP MORGAN 2025-8: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2025-CES5: DBRS Finalizes BB Rating on B-1 Notes JP MORGAN 2025-CES5: DBRS Gives Prov. B(high) Rating on B2 Notes JP MORGAN 2025-CES5: S&P Assigns Prelim 'B-' Rating on B-2 Notes JP MORGAN 2025-HYB1: Fitch Assigns 'B-sf' Rating on Cl. B-2 Notes JP MORGAN 2025-HYB1: Fitch Assigns B-(EXP) Rating on Cl. B-2 Notes KKR CLO 38: Moody's Lowers Rating on $16MM Class E Notes to B2 KKR CLO 9: Moody's Affirms B1 Rating on $27.9MM Class E-R Notes KRR CLO 58: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable MAD COMMERCIAL 2025-11MD: S&P Assigns BB- (sf) Rating on HRR Certs MADISON PARK XL-R: Fitch Assigns 'BBsf' Final Rating on Cl. E Notes MCF CLO IV: S&P Assigns Prelim BB- (sf) Rating on Class E-R3 Notes MISSION LANE 2025-C: Fitch Gives B(EXP) Rating on Class F Notes MORGAN STANLEY 2015-C21: Fitch Affirms 'BBsf' Rating on 3 Tranches MORGAN STANLEY 2019-L2: DBRS Cuts Class XD Certs Rating to B MORGAN STANLEY 2019-PLND: DBRS Cuts Rating on 4 Classes to Csf MORGAN STANLEY 2020-HR8: DBRS Confirms B(low) Rating on LRR Certs MORGAN STANLEY 2025-DSC3: S&P Assigns B (sf) Rating on B-2 Certs MORGAN STANLEY 2025-NQM7: S&P Assigns B (sf) Rating on B-2 Certs MRCD 2019-PARK: Fitch Affirms BB- Rating on Class D Certs NLT 2025-CES1: Fitch Gives 'Bsf' Rating on Class B-2 Notes OCP CLO 2025-45: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes OCTAGON 55: Fitch Assigns 'BB-sf' Rating on Class E-R Notes OHA CREDIT 21: Fitch Assigns 'BB-sf' Rating on Class E Notes PALISADES CENTER 2016-PLSD: Moody's Cuts Rating on A Certs to Caa3 PALMER SQUARE 2025-4: S&P Assigns BB- (sf) Rating on Class E Notes PARK BLUE CLO 2025-VIII: Fitch Assigns BBsf Rating on Class E Notes PMT LOAN 2025-J3: DBRS Gives Prov. B(low) Rating on B5 Notes PPM CLO 4: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes PPM CLO 4: Moody's Assigns B3 Rating to $250,000 Class F Notes PRET 2025-RPL4: DBRS Finalizes B(high) Rating on Class B-2 Notes PRET 2025-RPL4: Fitch Assigns 'Bsf' Rating on Class B-2 Notes PROGRESS RESIDENTIAL 2021-SFR7: DBRS Confirms B Rating on G Certs PROGRESS RESIDENTIAL 2025-SFR5: DBRS Finalizes B(low) on G Certs PRPM TRUST 2025-NQM4: Moody's Assigns B1 Rating to Cl. B-2 Certs RAD CLO 30: Fitch Assigns 'BB-sf' Rating on Class D Notes RCKT MORTGAGE 2025-CES9: Fitch Assigns 'Bsf' Rating on 5 Tranches REALT 2017: DBRS Confirms B(high) Rating on Class G Certs REGATTA VI FUNDING: Fitch Assigns B-sf Rating on Class F-R3 Notes REPUBLIC FINANCE 2025-A: DBRS Gives Prov. BB(low) Rating on E Notes REPUBLIC FINANCE 2025-A: S&P Assigns Prelim BB+ Rating on E Notes ROCKFORD TOWER 2017-3: Moody's Affirms Ba3 Rating on Class E Notes RR 41 LTD: Fitch Assigns BB-sf Rating on Cl D Notes, Outlook Stable SALUDA GRADE 2025-LOC5: DBRS Gives Prov. B(low) Rating on B2 Notes SCG TRUST 2025-SNIP: Fitch Assigns 'BB-sf' Rating on Cl. HRR Certs SEQUOIA MORTGAGE 2025-9: Fitch Assigns Bsf Rating on Class B5 Certs SEQUOIA MORTGAGE 2025-HYB1: Fitch Assigns 'Bsf' Rating on B2 Certs SIGNAL PEAK 4: S&P Affirms CCC+ (sf) Rating on Class F-R Notes SILVER POINT 12: Fitch Assigns 'BB+sf' Rating on Class E Notes STWD 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes TOWD POINT 2025-FIX1: Fitch Assigns 'B-sf' Rating on 5 Tranches TRICOLOR AUTO 2023-1: Moody's 'B1' Remains on Review for Downgrade TSTAT 2022-1: Fitch Affirms BB- Rating on Class F-R Debt UNITED AUTO 2022-2: S&P Affirms CC (sf) Rating on Class E Notes UPGRADE AUTO 2025-1: DBRS Gives Prov. BB Rating on E Notes VIBRANT CLO XII: Fitch Assigns 'BB-sf' Rating on Class D-RR Notes VOYA CLO 2017-1: Moody's Affirms B1 Rating on $20MM Class D Notes WARWICK CAPITAL 1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes WARWICK CAPITAL 7: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2016-C33: Fitch Lowers Rating on Two Tranches to 'B-sf' WELLS FARGO 2025-C65: Fitch Assigns B-(EXP)sf Rating on F-RR Certs WELLS FARGO 2025-HI: DBRS Finalizes BB(high) Rating on HRR Certs WESTLAKE 2025-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes WESTLAKE AUTOMOBILE 2025-3: DBRS Gives Prov. BB Rating on E Notes WISE CLO 2023-1: Moody's Assigns Ba1 Rating to $250,000 D-R Notes ZAIS CLO 11: Moody's Lowers Rating on $19MM Class E Notes to B3 ZAIS CLO 3: Moody's Cuts Rating on $20MM Class D-R Notes to Caa2 [] DBRS Reviews 974 Classes From 26 US RMBS Transactions [] Moody's Takes Rating Action on 15 Bonds from 5 US RMBS Deals [] Moody's Takes Rating Action on 17 Bonds from 2 US RMBS Deals [] Moody's Takes Rating Action on 32 Bonds from 11 US RMBS Deals [] Moody's Upgrades Ratings on 15 Bonds From 8 US RMBS Deals [] Moody's Upgrades Ratings on 25 Bonds From 7 US RMBS Deals [] Moody's Upgrades Ratings on 26 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 39 Bonds from 4 US RMBS Deals ********* 522 FUNDING 2018-2(A): Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by 522 Funding CLO 2018-2(A), Ltd.: US$26.25M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Dec 6, 2024 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$270M (Current outstanding amount $23,268,070) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Affirmed Aaa (sf) US$36M Class B-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Affirmed Aaa (sf) US$15M Class B-2 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Affirmed Aaa (sf) US$23.25M Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Upgraded to Aaa (sf) US$20.5M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 6, 2024 Affirmed Ba3 (sf) 522 Funding CLO 2018-2(A), Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by MS 522 CLO CM LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in December 2024 The affirmations on the ratings on the Class A, B-1, B-2, C and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD63.9 million (24%) since the last rating action in December 2024 and USD246.7 million (91.4%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated August 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 206.51%, 157.28%, 123.92% and 106.31% compared to November 2024[2] levels of 160.60%, 137.47%, 118.23% and 106.59%, 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: USD157.3 million Defaulted Securities: USD2.7 million Diversity Score: 44 Weighted Average Rating Factor (WARF): 3103 Weighted Average Life (WAL): 3.26 years Weighted Average Spread (WAS): 3.24% Weighted Average Recovery Rate (WARR): 46.50% Par haircut in OC tests and interest diversion test: 3.21% 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. 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 liquidation agent/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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. 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. A10 SINGLE 2023-GTWY: DBRS Confirms B(low) Rating on Class E Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2023-GTWY issued by A10 Single Asset Commercial Mortgage 2023-GTWY as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) With this review, Morningstar DBRS removed all credit ratings from Under Review with Negative Implications, where they were placed on July 2, 2025. All trends are Negative, with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The underlying loan for this transaction is secured by a Class A office property in Miami's Wynwood neighborhood. In July 2024, Morningstar DBRS changed the trends on Classes D, E, and F to Negative from Stable to reflect concerns about the financial struggles of the former borrower, which defaulted on the debt payments and subsequently filed for bankruptcy. In addition, the trend change reflected the potential for the collateral property's value to deteriorate following delays in the borrower's business plan. In July 2025, Morningstar DBRS downgraded Classes E and F to reflect the increased loss projections, following an updated appraisal from October 2024. The new appraisal provided as-is and stabilized values of $89.6 million and $105.9 million, respectively, representing substantial declines of approximately 45.0% from the issuance as-is and stabilized appraised values of $162.6 million and $193.2 million, respectively. At the same time, Morningstar DBRS also placed all credit ratings Under Review with Negative Implications until it gathered more information regarding the resolution of the outstanding defaults and ultimate workout strategy. For further information on these credit rating actions and analytical considerations, please see the press releases dated July 17, 2024, and July 2, 2025, respectively, on the Morningstar DBRS website. The underlying loan transferred to special servicing in July 2024. The B noteholder (the new borrower) has kept senior debt payments current since that time and, according to the servicer, acquired the asset through a bankruptcy sale in late August 2025. As the new borrower had limited access to the property during bankruptcy proceedings, an update on the business plan is not likely until mid-October 2025; however, the servicer has confirmed the borrower has been actively interviewing brokers to help with leasing efforts. With the loan assumption, formerly available future funding of $11.2 million has been removed from the loan and the borrower will now be required to fund leasing costs out of pocket. As of the August 2025 reporting, there was a principal curtailment of $1.6 million, reducing the senior loan amount to $79.2 million. The subject floating-rate loan pays interest only and has a three-year initial term through March 2026, with two one-year extension options, which can be exercised based on the bondholders' approval with no performance thresholds. Given the new borrower has shown commitment in keeping the loan current since July 2024, Morningstar DBRS anticipates a loan extension will occur, giving the borrower time to execute its business plan of stabilizing property operations. Following the workout resolution, Morningstar DBRS removed all credit ratings from Under Review with Negative Implications; however, the trends are Negative to reflect the potential for the collateral property's value to decline further should there be more delays in the borrower's business plan. Despite the collateral property's recent construction and desirable location, the overall challenges in the office landscape, softening submarket conditions, and the former borrower's liquidity issues have significantly affected stabilization efforts. Occupancy was most recently reported below the leased rate figure of 66.2% at issuance and leverage is elevated, with the property's as-is value reflecting a loan-to-value ratio (LTV) approaching 90.0% based on the funded loan amount. Given the recent transition in ownership, Morningstar DBRS did not update its LTV sizing benchmarks. The transaction is secured by the borrower's fee-simple interest in The Gateway at Wynwood (Gateway), a 219,532-square-foot (sf) office building, and an adjacent 5,348-sf retail building (2830 North Miami Avenue) in Miami's Wynwood neighborhood. Gateway was developed by the former sponsor and opened in December 2021, while the 2830 North Miami Avenue building was built in 1936 and acquired by the former sponsor in 2015. As of the June 2025 rent roll, the property was 64.0% occupied with an average rental rate of $58.8 per square foot (psf), unchanged since the last review, and below the issuance leased rate figure of 66.2% and weighted-average (WA) rental rate of $66.18 psf, respectively. Since issuance, Thoma Bravo (9.3% of the net rentable area (NRA)) vacated in August 2024, with minimal rollover during the remainder of the loan term. Two tenants signed new leases, Central Rock Gym (4.6% of the NRA, lease expiring January 2035) and Simon Miami (1.8% of the NRA, lease expiring December 2026). In addition, Spearmint Energy (3.5% of the NRA) expanded to nearly twice its footprint, signing an extension through February 2030. Base rental rates for new leases and extensions commenced from $65.00 psf. According to Reis, comparable Class A office properties within a two-mile radius of the subject reported average asking rental rates of $61.56 psf and a vacancy of 27.8%. At issuance, Morningstar DBRS derived a stabilized net operating income (NOI) of $8.6 million, which assumed a vacancy rate of 15.0%, giving credit to the $14.8 million of upfront leasing reserves designated and available for speculative leasing. The low in-place occupancy rate has kept cash flow well below Morningstar DBRS' issuance expectations, with the servicer reporting an NOI of $5.8 million as of YE2024. While it is highly unlikely the new borrower is able to lease-up the vacant space and stabilize the property in line with the originally contemplated business plan, given the change in market dynamics, the borrower appears to be engaged and incentivized in working toward some level of stabilization during the remainder of the fully extended loan term until March 2028, which Morningstar DBRS will continue to monitor. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM MASTER 2025-3: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following notes issued by Affirm Master Trust Series 2025-3 (AFRMT 2025-3): -- $834,830,000 Class A Notes at AAA (sf) -- $69,570,000 Class B Notes at AA (high) (sf) -- $69,000,000 Class C Notes at A (high) (sf) -- $53,600,000 Class D Notes at BBB (high) (sf) -- $73,000,000 Class E Notes at 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 AAA (sf), AA (high) (sf), A (high) (sf), BBB (high) (sf), and 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 legal opinions that 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. Notes: All figures are in US dollars unless otherwise noted. AGL CLO 11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 11, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 11 LTD. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating AJ 00851TAC0 LT PIFsf Paid In Full AAAsf AS 00851TAA4 LT PIFsf Paid In Full AAAsf B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary AGL CLO 11, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC that originally closed in May 2021. The existing secured notes will be redeemed in full on Sept. 26, 2025 (the closing date). 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 24.57 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.36% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.43% 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 7.5% 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-R, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between '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 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 11 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. AGL CLO 44: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 44 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 44 Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 44 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 $650 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.12, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.25% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-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, between 'BB+sf' and 'A+sf' for class B, between 'BB-sf' and 'A-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 '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 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A-sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 44 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AGL CLO 7: Fitch Assigns BB-sf Rating on ER2 Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the AGL CLO 7 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 7 LTD. XR2 LT AAAsf New Rating AL LT AAAsf New Rating AR2 LT AAAsf New Rating BR2 LT AAsf New Rating CR2 LT Asf New Rating D1R2 LT BBB-sf New Rating D2R2 LT BBB-sf New Rating ER2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 7 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. The transaction originally closed in September 2020 and was refinanced in July 2021. This is the second reset, under which the existing secured notes will be refinanced in full on Sept. 26, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $580 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 23.67, 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 99.31% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.83% 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 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 XR2, between 'BBB+sf' and 'AA+sf' for class AL and class AR2, between 'BB+sf' and 'A+sf' for class BR2, between 'Bsf' and 'BBB+sf' for class CR2, between less than 'B-sf' and 'BB+sf' for class D1R2, and between less than 'B-sf' and 'BB+sf' for class D2R2 and between less than 'B-sf' and 'B+sf' for class ER2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class XR2, class AL and class AR2 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 BR2, 'AA+sf' for class CR2, 'A+sf' for class D1R2, and 'A-sf' for class D2R2 and 'BBB+sf' for class ER2. 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 AGL CLO 7 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. ALESCO PREFERRED IX: Moody's Upgrades Rating on 4 Tranches to B3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by ALESCO Preferred Funding IX, Ltd.: US$59,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes due 2036, Upgraded to Aaa (sf); previously on June 13, 2022 Upgraded to Aa1 (sf); US$3,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes due 2036, Upgraded to Aaa (sf); previously on June 13, 2022 Upgraded to Aa1 (sf); US$51,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes due 2036 (current balance of $48,515,951), Upgraded to Aa3 (sf); previously on June 13, 2022 Upgraded to A2 (sf); US$7,000,000 Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes due 2036 (current balance of $6,659,052), Upgraded to Aa3 (sf); previously on June 13, 2022 Upgraded to A2 (sf); US$54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes due 2036 (current balance of $51,369,831), Upgraded to B3 (sf); previously on June 13, 2022 Upgraded to Caa1 (sf); US$48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due 2036 (current balance of $46,137,718), Upgraded to B3 (sf); previously on June 13, 2022 Upgraded to Caa1 (sf); US$12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due 2036 (current balance of $11,891,165), Upgraded to B3 (sf); previously on June 13, 2022 Upgraded to Caa1 (sf); US$7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due 2036 (current balance of $6,659,052), Upgraded to B3 (sf); previously on June 13, 2022 Upgraded to Caa1 (sf); ALESCO Preferred Funding IX, Ltd., issued in December 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since September 2024. The Class A-1 notes have paid down by approximately 21.1% or $20.3 million since September 2024, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-2, Class B and Class C notes have improved to 242.2%, 172.9% and 107.9%, respectively, from September 2024 levels of 224.0%, 165.6% and 106.9%, respectively. Moody's gave full par credit in Moody's analysis to two deferring assets that meet certain criteria, totaling $11.5 million in par. Since September 2024, three assets with a total par of $10.3 million have redeemed at par. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The Class B, C and D notes will benefit from the diversion of excess interest as long as the Class D OC test continues to fail. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1068 from 1343 in September 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $333.3 million Defaulted/deferring par: $15.0 million Weighted average default probability: 9.04% (implying a WARF of 1068) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-1 notes because its expected loss remain commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings were "TruPS CDOs" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. AMMC CLO 25: Fitch Assigns 'BB+sf' Final Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to AMMC CLO 25, Limited. Entity/Debt Rating Prior ----------- ------ ----- AMMC CLO 25, Limited - 2025 A-1-R2 LT NRsf New Rating NR(EXP)sf A-2-R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AA+sf New Rating AA+(EXP)sf C-R2 LT A+sf New Rating A+(EXP)sf D-1-R2 LT BBB-sf New Rating BBB-(EXP)sf D-2-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary AMMC CLO 25, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is being managed by American Money Management Corporation. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.42% first lien senior secured loans and has a weighted average recovery assumption of 74.07%. 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-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 15 September 2025 ESG Considerations Fitch does not provide ESG relevance scores for AMMC CLO 25, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AMMC CLO 25: Moody's Assigns B3 Rating to $250,000 Class F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by AMMC CLO 25, Limited (the Issuer): US$2,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$256,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% 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 methodology 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): 3187 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. BANK 2021-BNK32: DBRS Confirms BB(high) Rating on 2 Classes ----------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass Through Certificates, Series 2021-BNK32 issued by BANK 2021-BNK32 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 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-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-5-1 at AAA (sf) -- Class A-5-2 at AAA (sf) -- Class A-5-X1 at AAA (sf) -- Class A-5-X2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B-1 at AAA (sf) -- Class B-2 at AAA (sf) -- Class B-X1 at AAA (sf) -- Class B-X2 at AAA (sf) -- Class C at AA (high) (sf) -- Class C-1 at AA (high) (sf) -- Class C-2 at AA (high) (sf) -- Class C-X1 at AA (high) (sf) -- Class C-X2 at AA (high) (sf) -- Class D at A (high) (sf) -- Class X-D at A (sf) -- Class E at A (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class X-G at BBB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations at the previous credit rating action in May 2025. The pool continues to exhibit a healthy weighted-average debt service coverage ratio (DSCR) of 3.24 times (x). According to the August 2025 remittance, the pool consists of the original 64 loans with an aggregate principal balance of $897.0 million, representing minimal collateral reduction of less than 1.0% since issuance. Amortization will be limited through the deal's life as 38 loans, representing 79.0% of the pool balance, are interest only (IO) for their full term. By property type, the pool is most concentrated by loans backed by office and retail properties, which represent 25.2% and 22.3% of the pool, respectively. Two loans, representing 6.7% of the pool, are on the servicer's watchlist, and both are being monitored because of deferred maintenance. There are also two loans in special servicing: Blossom Gardens Apartments, Inc. (Prospectus ID#28, 0.8% of the pool) and CVS-Walgreens Portfolio (Prospectus ID#33, 0.6% of the pool). Although the pool has a notable concentration of loans secured by office properties, these loans are generally performing in line with issuance expectations, reporting a weighted-average DSCR of 3.51x. The pool's office exposure is concentrated in four of the top 10 loans, which represent 23.9% of the pool. This includes two loans, 605 Third Avenue (Prospectus ID#4, 7.9% of the pool) and 530 Seventh Avenue Fee (Prospectus ID#5, 6.1% of the pool), that were assigned an investment-grade shadow rating by Morningstar DBRS at issuance. The 605 Third Avenue loan is secured by a Class A office property in Manhattan's Grand Central submarket that continues to report stable occupancy, most recently at 96.0% as of YE2024, with a YE2024 net cash flow of $21.3 million (DSCR of 3.04x). The 530 Seventh Avenue Fee loan is secured by the leased fee interest in the 15,000-square-foot (sf) land parcel under a 495,245-sf office building at 530 Seventh Avenue. The land parcel is in Manhattan's Garment District neighborhood, which most recently reported an occupancy rate of about 95.0% as of YE2024, and the ground rent covers the debt service obligation by nearly 4x. With this review, Morningstar DBRS confirmed that the performance of both loans remains consistent with investment-grade loan characteristics. The largest office loan in the pool is Pathline Park 9 & 10 (Prospectus ID#1, 10.0% of the pool), which is secured by two office buildings in Sunnyvale, California. The property is 100.0% occupied by Proofpoint, Inc. on a lease through 2031 with no termination options. However, Morningstar DBRS notes the tail end risk as the lease expiration is within three months of the loan's maturity. In addition, the Pathline 10 building is currently listed as available for sublease. Given the increased risk at maturity, Morningstar DBRS applied a stressed loan-to-value ratio (LTV) in its review for this loan, resulting in an expected loss (EL) that is approximately 3x the pool average. The largest specially serviced loan, Blossom Gardens Apartments, Inc., is secured by a 184-unit cooperative multifamily property in Flushing, New York. The loan transferred to special servicing in November 2023 after the borrower did not inform the servicer of fire loss to the property in a timely matter. According to the servicer, the borrower also entered a service contract for insurance rehabilitation, which the servicer deemed to be substantially deficient. Morningstar DBRS requested updated financials as well as updates related to the repairs and insurance claim process, but has not received a response as of the date of this press release. The other specially serviced loan, CVS-Walgreens Portfolio, is backed by two retail properties totaling 25,398 sf in Columbia, Illinois, and Orlando. The loan was transferred to special servicing in June 2025 for imminent nonmonetary default as a result of the borrower not complying with implementing cash management following a tenant credit event. The borrower has since agreed to cooperate in implementing cash management. Morningstar DBRS applied a stressed LTV and elevated probability of default for both loans, which resulted in ELs nearly 10x the pool average for the Blossom Garden Apartments Inc. loan and 4x the pool average for the CVS-Walgreens Portfolio loan. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2024-5YR10: DBRS Confirms BB(high) Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-5YR10 issued by BANK5 2024-5YR10 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class X-F at BBB (sf) -- Class X-G at BBB (low) (sf) -- Class D at A (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance, which remains in line with Morningstar DBRS' issuance expectations. As of the September 2025 remittance, all 42 loans remain in the pool with an outstanding balance of $836.3 million. There are no loans in special servicing, and only two loans, BBR Apartment Portfolio (Prospectus ID#28) and Colonial Manor MHC (Prospectus ID#37), collectively representing 1.3% of the pool, are being monitored on the servicer's watchlist for deferred maintenance issues. The pool is primarily concentrated in multifamily and retail-backed loans, representing 28.6% and 22.6% of the pool balance, respectively, with limited office exposure (9.1% of the pool). One of the two largest loans in the pool, Bay Plaza Community Center (Prospectus ID#1, 9.9% of the pool), is secured by a grocery-anchored shopping center with an office component in the Bronx, New York. The collateral is adjacent to the Mall at Bay Plaza and Bay Plaza Shopping Center and is considered part of the greater Bay Plaza retail complex, which totals more than 2.0 million square feet of prime retail space. The property continues to demonstrate healthy performance, which is consistent with Morningstar DBRS' issuance expectations. Based on the YE2024 rent roll, the property reported an occupancy figure of 90.7%, up slightly from 89.7% at issuance. The property benefits from a granular rent roll, with only one tenant, Stop & Shop (11.8% of net rentable area (NRA)), representing more than 10.0% of NRA. At issuance, two loans, Galt House (Prospectus ID#2, 9.8% of the pool) and Exchange Right 68 (Prospectus ID#6, 5.5% of the pool), were shadow-rated investment grade. With this review, Morningstar DBRS confirms that the performance of both loans remains in line with the investment-grade shadow ratings. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2025-5YR17: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2025-5YR17, commercial mortgage pass-through certificates, series 2025-5YR17 as follows: - $9,599,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $300,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $375,542,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $685,141,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $106,442,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $50,162,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $35,480,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $192,084,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $29,363,000d class D 'BBB-(EXP)sf'; Outlook Stable; - $29,363,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $18,352,000d class F 'BB-(EXP)sf'; Outlook Stable; - $18,352,000cd class X-F 'BB-(EXP)sf'; Outlook Stable; - $11,012,000d class G 'B-(EXP)sf'; Outlook Stable; - $11,012,000cd class X-G 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $42,821,437d class H; - $42,821,437cd class X-H; - $40,700,391e class RR; - $10,814,000e class RR Interest. (a) The exact initial certificate balances or notional amounts of the class A-2, class A-2-X1, class A-2-X2, class A-3, class A-3-X1 and class A-3-X2 trust components (and, consequently, the exact initial certificate balance or notional amount of each class of class A-2 exchangeable certificates and class A-3 exchangeable certificates) are unknown but are expected to be $675,542,000 in the aggregate, subject to a 5.0% variance. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0 to $300,000,000, and the expected class A-3 balance range is $375,542,000 to $675,542,000. 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. The class A-2-X1 and class A-2-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-2 trust component. The class A-3 -X1 and class A-3-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-3 trust component. In the event that the class A-3 trust component is issued with an initial certificate balance of $675,542,000, the class A-2 trust component (and, correspondingly, the class A-2 exchangeable certificates) will not be issued. (b) The class A-2, class A-2-1, class A-2-2, class A-2-X1, class A-2-X2, class A-3, class A-3-1, class A-3-2, class A-3-X1,class A-3-X2, class A-S, class AS-1, class A-S-2, class A-S-X1, class A-S-X2, class B, class B1, class B-2, class B-X1, class B-X2, class C, class C-1, class C-2, class C-X1 and class C-X2 are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Eligible Vertical-risk retention interest representing approximately 5.0% of the initial certificate balance of each class. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 44 loans secured by 66 commercial properties with an aggregate principal balance of $1,030,287,829 as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings, LLC and Bank of America, National Association. The master servicer is expected to be Trimont LLC, Midland Loan Services, a Division of PNC Bank, National Association is expected to act as the primary servicer, and the special servicer is expected to be Torchlight Loan Services, LLC. Computershare Trust Company, N.A. will act as the certificate administrator. Deutsche Bank National Trust Company will act as the trustee. The operating advisor and asset representations reviewer will be Pentalpha Surveillance LLC. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on Oct. 17, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 20 loans totaling 76.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $104.0 million represents a 16.6% decline from the issuer's aggregate underwritten NCF of $124.7 million. Higher Fitch Leverage: The pool's Fitch-estimated leverage is slightly higher than in recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.0% is higher than the 2025 YTD five-year multiborrower transaction average of 100.2% and the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.1% is higher than the 2025 YTD average of 9.7% but in line with the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: One loan, Vertex HQ, representing 8.7% of the pool by balance, received an investment-grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is considerably lower than the 2025 YTD and 2024 averages of 11.6% and 12.6%, respectively. Excluding credit opinion and co-op loans, the pool's Fitch LTV and DY are 105.6% and 9.8%, respectively, compared with the equivalent 2025 YTD LTV and DY averages of 104.6% and 9.3%, respectively. Lower Pool Concentration: The pool is less concentrated than that of recent five-year multiborrower transactions rated by Fitch. The top 10 loans represent 55.6% of the pool, which is lower than both the 2025 YTD and 2024 averages of 61.8% and 60.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 26.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered the loan performance regression in its analysis of the pool. 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 list below indicates the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCC+sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+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 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. BARINGS CLO 2023-III: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R loans and A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R notes and new class X-R debt from Barings CLO Ltd. 2023-III/Barings CLO 2023-III LLC, a CLO originally issued in September 2023 that is managed by Barings LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Sept. 29, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement debt was issued at lower spreads than the previous debt. -- The non-call period was extended to September 2027. -- The reinvestment period was extended to October 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to October 2038. -- No additional assets were purchased on the refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing will be in January 2026. -- New class X debt was issued on the refinancing date and will be paid down using interest proceeds during the first 10 payment dates in equal installments of $500,000, beginning on the second payment date. -- 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 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Barings CLO Ltd. 2023-III/Barings CLO 2023-III LLC Class X-R, $5.0 million: AAA (sf) Class A-R, $35.0 million: AAA (sf) Class A-R loans, $275.0 million: AAA (sf) Class B-R, $70.0 million: AA (sf) Class C-1-R, $30.0 million: A (sf) Class C-2-R, $7.5 million: A (sf) Class D-1-R, $22.5 million: BBB- (sf) Class D-2-R, $5.0 million: BBB- (sf) Class E-R, $15.0 million: BB- (sf) Subordinated notes, $51.0 million: Not rated Ratings Withdrawn Barings CLO Ltd. 2023-III/Barings CLO 2023-III LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' BARINGS CLO 2025-V: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2025-V. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2025-V A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2025-V (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.8 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 96.55% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.46% 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2025-V. 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. BBCMS MORTGAGE 2025-5C37: Fitch Rates Cl. G-RR Certs 'B-sf' ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C37 commercial mortgage pass-through certificates series 2025-5C37 as follows: - $1,881,000 class A-1 'AAAsf'; Outlook Stable; - $75,000,000a class A-2 'AAAsf'; Outlook Stable; - $442,182,000a class A-3 'AAAsf'; Outlook Stable; - $519,063,000b class X-A 'AAAsf'; Outlook Stable; - $70,444,000 class A-S 'AAAsf'; Outlook Stable; - $38,930,000 class B 'AA-sf'; Outlook Stable; - $27,807,000 class C 'A-sf'; Outlook Stable; - $137,181,000b class X-B 'A-sf'; Outlook Stable; - $15,757,000c class D 'BBBsf'; Outlook Stable; - $15,757,000bc class X-D 'BBBsf'; Outlook Stable; - $10,196,000cd class E-RR 'BBB-sf'; Outlook Stable; - $15,757,000cd class F-RR 'BB-sf'; Outlook Stable; - $11,123,000cd class G-RR 'B-sf'; Outlook Stable; Fitch does not expect to rate the following classes: - $32,441,658cd class J-RR. a) Since Fitch published its expected ratings on September 2, 2025, the balances for classes A-2 and A-3 were finalized. The initial certificate balances of A-2 was expected to be in the range of $0-$180,000,000, and the initial aggregate certificate balance of the class A-23 was expected to be in the range of $337,182,000-$517,182,000. The final class balances for classes A-2 and A-3 are $75,000,000 and $442,182,000, respectively. b) Notional Amount and interest only. c) Privately Placed and pursuant to Rule 144A. d) Horizontal risk retention interest. CE- Credit enhancement, NR-Not Rated. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2025-5C37 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E-RR LT BBB-sf New Rating BBB-(EXP)sf F-RR LT BB-sf New Rating BB-(EXP)sf G-RR LT B-sf New Rating B-(EXP)sf J-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT A-sf New Rating A-(EXP)sf X-D LT BBBsf New Rating BBB(EXP)sf Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 30 loans secured by 143 commercial properties having an aggregate principal balance of $741,518,659 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc. (24.3%), 3650 Capital, LLC (22.0%), Citi Real Estate Funding Inc. (15.1%), Goldman Sachs Mortgage Company (12.7%), Bank of Montreal (8.4%), Société Générale Financial Corporation (7.8%), BSPRT CMBS Finance, LLC (5.7%), and UBS AG New York Branch (3.8%). The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is to be 3650 REIT Loan Servicing LLC. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 88.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $246.1 million represents a 15.1% decline from the issuer's aggregate underwritten NCF of $290.0 million. Fitch Leverage: The pool 's Fitch leverage is slightly lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.5% is slightly lower than the 2025 YTD five-year multiborrower transaction average of 100.6% and the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.9% is slightly higher than the 2025 YTD average of 9.6% but lower than the 2024 average of 10.2%. Investment-Grade Credit Opinion Loans: Fitch assigned two loans, representing 10.5% of the pool by balance, investment-grade ratings. Vertex HQ received an investment-grade rating of 'A-sf*' on a standalone basis. ILPT 2025 Portfolio received an investment-grade rating of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is slightly lower than the 2025 YTD average of 10.6% and lower than the 2024 average of 12.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 103.5% and 9.6%, respectively, compared to the equivalent five-year multiborrower 2025 YTD LTV and DY averages of 104.6% and 9.6%, respectively. Pool Concentration: The pool concentration is in-line with recently rated Fitch transactions. The top 10 loans make up 61.9%, which is in-line with the 2025 YTD five-year multiborrower average of 62.1% and but worse than the 2024 average of 60.2%. The pool's effective loan count of 19.2 is below the 2025 YTD and 2024 10-year averages of 21.3 and 22.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2019-B15: DBRS Cuts Rating on Class F Certs to B ---------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B15 issued by Benchmark 2019-B15 Mortgage Trust as follows: -- Class D to BBB (low) (sf) from BBB (high) (sf) -- Class X-D to BB (high) (sf) from BBB (sf) -- Class E to BB (sf) from BBB (low) (sf) -- Class F to B (sf) from B (high) (sf) -- Class X-F to B (high) (sf) from BB (sf) -- Class G-RR to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) The trends on Classes C, D, E, F, X-D, and X-F remain Negative. Class G-RR has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all other classes are Stable. At the previous credit rating action in October 2024, Morningstar DBRS downgraded Classes F and G-RR primarily because of increased loss expectations for the specially serviced loan, Hilton Cincinnati Netherland Plaza (Prospectus ID#18; 2.3% of the pool). In addition, Morningstar DBRS changed the trends on Classes C, D, E, F, G-RR, X-D, and X-F to Negative from Stable because of the transaction's high concentration of loans secured by office collateral totaling approximately 44.0% of the pool, several of which are in secondary markets with declining performance metrics. Since then, Morningstar DBRS' outlook has deteriorated for a handful of office loans, which supports the credit rating downgrades and Negative trends with this review. In the analysis for the current review, Morningstar DBRS applied stressed loan-to-value ratio (LTV) assumptions to each of the nine office loans in the pool and, where applicable, probability of default (POD) penalties, as these loans are currently exhibiting elevated credit risk since issuance. The credit rating confirmations for the senior classes in the transaction reflect the otherwise stable performance for the remainder of the loans in the pool as evidenced by the weighted-average debt service coverage ratio (DSCR) of 2.34 times (x). In addition, the $148.0 million combined certificate balance below the Class B certificate provides a significant cushion against realized losses for the most senior classes. As of the August 2025 remittance, 31 of the original 32 loans remained in the pool with an aggregate principal balance of $794.8 million, representing a collateral reduction of 6.1% since issuance. Specially serviced and watch listed loans represent 5.5% and 51.4% of the pool balance, respectively. Loans on the servicer's watchlist are primarily being monitored for recent or upcoming tenant rollover, a low DSCR, and deferred maintenance. Notably, Morningstar DBRS has increased concerns for Innovation Park (Prospectus ID#2; 8.5% of the pool) and 8 West Centre (Prospectus ID#19; 2.0% of the pool), both of which are secured by office collateral that have reported significant net cash flow (NCF) declines over the last couple of reporting periods. The Innovation Park loan is secured by an 11-building, 1.8 million-square-foot (sf) office park in Charlotte, North Carolina. As of the most recent servicer reporting, occupancy declined to 47.8% as of June 2025, compared with 65.0% as of YE2023 and 96.0% at issuance. Similarly, the loan's NCF declined by more than 35.0% to $7.6 million (with a DSCR of 1.17x) as of June 2025 from the YE2024 NCF of $12.0 million (with a DSCR of 2.17x) and by more than 60.0% from the issuance NCF of $19.2 million (with a DSCR of 2.96x). Tenant rollover over the next 12 months is expected to be limited, with the borrower reporting that the largest tenant at the property, The Imagine Group, LLC (13.6% of the net rentable area (NRA); lease expiration in January 2026), has executed a lease renewal and is expanding its footprint by an additional 28,000 sf. In the analysis for this review, Morningstar DBRS applied a POD penalty and a stressed LTV of 144.0%, using a value derived by applying a 9.5% capitalization rate to the YE2024 NCF, resulting in an expected loss (EL) approximately 3.0x greater than the pool-average EL. The 8 West Centre loan is secured by a 227,045-sf office building in Houston. The occupancy rate at the property was most recently reported at 85.8%, remaining unchanged from the YE2023 and YE2024 occupancy rates but down from being fully occupied prior to that. Audubon Engineering Company LLC (Audubon; 31.7% of the NRA) executed a lease in October 2023 to backfill a large portion of the space previously occupied by Cameron International (47.0% of the NRA), which vacated upon lease expiration in November 2023. Although the lease for Audubon began in 2023, rent payments will not commence until May 2026 and will be set at a rate approximately 20.0% lower than that for the previous tenant. As a result, by YE2026, Morningstar DBRS expects base rental revenue for the in-place tenants to increase to approximately $4.4 million from $3.1 million as of YE2024, albeit remaining below the issuance figure of $5.4 million. The servicer-reported NCF figure of $0.69 million (with a DSCR of 0.43x) is expected to rebound in the near term but is not expected to fully return to the YE2022 NCF figure of $4.9 million (with a DSCR of 1.94x) when the property was fully occupied. In the analysis for this review, Morningstar DBRS applied a POD penalty and a stressed LTV of 100.0%, resulting in an EL approximately 4.0x greater than the pool-average EL. In addition, Morningstar DBRS has increased concerns for two large single-tenant office loans, 899 West Evelyn (Prospectus ID#1; 9.4% of the pool balance) and 600 & 620 National Avenue (Prospectus ID#13; 3.6% of the pool balance), given that the sole leases at each property have expiration dates that are commensurate with the loans' maturity, the former of which has an upcoming termination option and the latter of which is currently physically vacant. The 899 West Evelyn loan is leased to a single tenant, Confluent, through October 2029. The loan is structured with a one-time lease termination effective October 2026, which can be exercised in exchange for a $2.0 million termination fee. Morningstar DBRS notes that the loan is currently under a cash trap with reserves totaling $4.0 million as of the most recent remittance. The entirety of the space is currently listed for lease by Cushman & Wakefield, suggesting a high likelihood that the tenant has given notice of its intention to exercise its lease termination option. The 600 & 620 National Avenue loan is secured by a 528,730-sf suburban office property in McLean, Virginia, about 12 miles west of Washington, D.C. While the property is currently fully leased to Google LLC through May 2029, and cash flow is expected to remain steady until the lease expires, as previously mentioned, the property is currently dark. Morningstar DBRS remains concerned about the loan's ability to refinance upon maturity, should the property remain vacant. While the property benefits from its superior quality and recent construction in 2017, the limited traction subletting the space points to demand challenges for the property and its submarket. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-V17: DBRS Finalizes BB(high) Rating on GRR Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-V17 (the Certificates) issued by Benchmark 2025-V17 Mortgage Trust (the Trust): -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class A-M at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X-D at AA (low) (sf) -- Class D at A (high) (sf) -- Class E at A (sf) -- Class F-RR at BBB (sf) -- Class G-RR at 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 Trust 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-V17: Fitch Assigns 'B-sf' Rating on Class G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2025-V17 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-V17. - $100,000,000 class A-2 'AAAsf'; Outlook Stable; - $340,298,000 class A-3 'AAAsf'; Outlook Stable; - $48,747,000 class A-M 'AAAsf'; Outlook Stable; - $489,045,000a class X-A 'AAAsf'; Outlook Stable; - $33,809,000 class B 'AA-sf'; Outlook Stable; - $25,946,000 class C 'A-sf'; Outlook Stable; - $59,755,00a class X-B 'A-sf'; Outlook Stable; - $15,725,000b class D 'BBBsf'; Outlook Stable; - $15,725,000ab class X-D 'BBBsf'; Outlook Stable; - $6,290,000b class E 'BBB-sf'; Outlook Stable; - $18,084,000bc class F-RR 'BB-sf'; Outlook Stable; - $11,007,000bc class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $29,092,000bc class J-RR. (a) Notional Amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. Since Fitch published its expected ratings on Sept. 8, 2025, the following changes have occurred: The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$200,000,000, subject to a variance of plus or minus 5%. The final class balance for class A-2 is $100,000,000. The initial aggregate certificate balance of the A-3 class was expected to be in the range of $240,298,000,000-$440,298,000, subject to a variance of plus or minus 5%. The final class balance for class A-3 is $340,298,000. There were no other material changes. The final ratings are based on information provided by the issuer as of Sept. 26, 2025. 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 Trimont LLC, the special servicer is Greystone Servicing Company LLC, and the operating advisor is Park Bridge Lender Services LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates 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. BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class E-R5 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R5, B-R5, C-R5, D-1T-R5, D-1F-R5, D-2-R5, and E-R5 debt from Benefit Street Partners CLO IV Ltd./Benefit Street Partners CLO IV LLC, a CLO managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton Investments, that was originally issued in May 2014. At the same time, S&P withdrew its ratings on the previous class X-R4, A-R4, B-R4, C-R4, D-1A-R4, D-1B-R4, D-2-R4, and E-R4 debt following payment in full on the Sept. 24, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R5, B-R5, C-R5, D-1T-R5, D-2-R5, and E-R5 debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The replacement class A-R5, B-R5, C-R5, D-1T-R5, D-2-R5, and E-R5 debt was issued at a floating spread, replacing the original floating spread. -- The replacement class D-1F-R5 debt was issued at a fixed coupon, replacing the original fixed coupon. -- The non-call period was extended to Sept. 24, 2027. -- The reinvestment period was extended to Oct. 20, 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to Oct. 20, 2038. -- The required minimum overcollateralization and interest coverage ratios were amended. -- The transaction adopted benchmark replacement language and was updated to conform to current rating agency methodology. -- Of the identified underlying collateral obligations, 99.83% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 91.98% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Class A-R5, $352.000 million: AAA (sf) Class B-R5, $66.000 million: AA (sf) Class C-R5 (deferrable), $33.000 million: A (sf) Class D-1T-R5 (deferrable), $23.000 million: BBB- (sf) Class D-1F-R5 (deferrable), $10.000 million: BBB- (sf) Class D-2-R5 (deferrable), $4.125 million: BBB- (sf) Class E-R5 (deferrable), $17.875 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Class X-R4 to NR from 'AAA (sf)' Class A-R4 to NR from 'AAA (sf)' Class B-R4 to NR from 'AA (sf)' Class C-R4 (deferrable) to NR from 'A (sf)' Class D-1A-R4 (deferrable) to NR from 'BBB (sf)' Class D-1B-R4 (deferrable) to NR from 'BBB (sf)' Class D-2-R4 (deferrable) to NR from 'BBB- (sf)' Class E-R4 (deferrable) to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Subordinated notes(i), $90.130 million: NR (i)Includes an additional $23.65 million in subordinated notes issued on the refinancing date. NR--Not rated. BHG SECURITIZATION 2023-B: Fitch Affirms BB Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has affirmed all notes of BHG Securitization Trust 2023-A (BHG 2023-A) and BHG Securitization Trust 2023-B (BHG 2023-B). The Rating Outlooks on all classes of BHG 2023-A and classes A, B and C of BHG 2023-B are Stable. The Outlooks on the class D and class E notes of BHG 2023-B were revised to Stable from Positive. Entity/Debt Rating Prior ----------- ------ ----- BHG Securitization Trust 2023-A A 08860FAA6 LT AAAsf Affirmed AAAsf B 08860FAB4 LT AAsf Affirmed AAsf C 08860FAC2 LT Asf Affirmed Asf D 08860FAD0 LT BBBsf Affirmed BBBsf BHG Securitization Trust 2023-B A 08862GAA2 LT AAAsf Affirmed AAAsf B 08862GAB0 LT AA-sf Affirmed AA-sf C 08862GAC8 LT A-sf Affirmed A-sf D 08862GAD6 LT BBB-sf Affirmed BBB-sf E 08862GAE4 LT BBsf Affirmed BBsf Transaction Summary BHG 2023-A and BHG 2023-B are discrete trusts backed by pools of consumer and commercial loans originated or purchased by Bankers Healthcare Group, LLC (BHG). Fitch revised base-case default assumptions upward for both transactions to reflect higher than initially expected defaults since the prior review. Despite weaker performance and higher default assumptions, Fitch affirmed all notes of BHG 2023-A with a Stable Outlook as the transaction benefits from sufficient credit enhancement (CE) that has continued to build and can absorb higher losses under current rating-level stresses. The Outlooks on the class D and class E notes of BHG 2023-B were revised to Stable due to recent signs of collateral weakness and CE, which Fitch expects to stabilize as each note reaches its respective target overcollateralization (OC) level. KEY RATING DRIVERS Collateral Pool Comprised of High FICO Borrowers: As of the cutoff date, the BHG 2023-A receivables pool had a weighted average (WA) FICO score of 745; 2.4% of the borrowers have a score below 661 and 52% have a score higher than 740. The commercial loans represent 75.6% of the pool with the rest being consumer loans. As of the cutoff date, the BHG 2023-B receivables pool had a WA FICO score of 746; 2.46% of the borrowers have a score below 661 and 53.23% have a score higher than 740. Commercial loans represent 49.95% of the pool with the rest being consumer loans. The WA original term of 91 months is lower than 98 months in BHG 2023-A, which itself had declined from the previous transactions. Default Assumption Reflects Securitized Performance: Fitch revised its lifetime base case default assumptions to 27.3% for BHG 2023-A and 15.8% for BHG 2023-B, up from 22.5% at the last review for 2023-A and 13.2% at closing for 2023-B. These revised assumptions were derived by applying a CDR of 11% for BHG 2023-A and 6.5% for BHG 2023-B and recalculating the weighted average life (WAL) of the remaining loans. The higher base case for BHG 2023-A reflects the further increase in defaults, while for BHG 2023-B it accounts for early defaults, a divergence from initial expectations of stable performance. Fitch also considered each transaction's performance relative to prior deals to establish a more accurate and forward-looking default assumption. Credit Enhancement Mitigates Stressed Defaults: For 2023-A the current hard CE totals 84.86%, 54.26%, 34.54% and 24.22% for class A, B, C and D notes, respectively. This is up from 50.30%, 33.20%, 22.18% and 16.41% for class A, B, C and D notes, respectively, at new issuance. Despite the worsening performance and revised default assumption, the transaction has built up CE to the degree that it is able to absorb the higher losses at the current rating level stresses. In particular, the transaction's turbo feature, triggered by the breach of CNL trigger, contributes to an acceleration in the CE buildup. For BHG 2023-B, the current credit enhancement totals 75.61%, 37.88%, 24.86%, 19.11% and 11.01% for class A, B, C, D and E, respectively. The transaction features tranche-level OC targets, with principal payments made sequentially until each class reaches its respective target. As of the August 2025 payment date, class A has reached its target OC and principal payments are now flowing to class B. Fitch applied a 'AAAsf' default stress multiple of 4.0x for the BHG 2023-A transaction and a rating stress of 4.13x, maintained from the last review. The stress multiples decrease for lower rating levels according to Fitch's "Consumer ABS Rating Criteria." The stress multiples for the subordinate notes follow the prescribed lower range of the recommended default stress multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiples reflect the absolute value of the default assumption, the length of default performance history for each loan type (shorter for consumer loans), high weighted average borrower FICO scores and income, and the WA original loan term which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG as capable to service this transaction. Other counterparty risks are mitigated through the transaction structure and such provisions are in line with Fitch's "Counterparty Rating Criteria." True Lender Uncertainty for Partner Bank Loan Origination Continues: BHG, like its peers, purchases loans originated by its partner banks. BHG purchases consumer and certain commercial loans from Pinnacle Bank, a Tennessee state-chartered bank (Pinnacle Bank) and consumer loans from County Bank a Delaware state-chartered bank (County Bank). Uncertainty regarding who is the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower states' usury rate. If there are challenges to the true lender status and if such challenges are successful, the consumer loans and certain commercial loans could be found to be unenforceable or subject to reduction of the interest rate paid or to be paid. Trust performance could be negatively affected by successful challenges, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2023-A and BHG 2023-B's high composition of commercial loans, while the longer original weighted average loan term of 98 months in BHG 2023-A and 91 months in BHG 2023-B is viewed as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade BHG 2023-A Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'. Increased default base case by 10%: 'AA+sf'/'Asf'/'BBBsf'/'BBB-sf'; Increased default base case by 25%: 'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'; Increased default base case by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'BBsf'. BHG 2023-B Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Increased default base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf'; Increased default base case by 25%: 'AAAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'BB+sf'; Increased default base case by 50%: 'AA+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade BHG 2023-A Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'. Decreased default base case by 25%: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'. BHG 2023-B Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'A-sf'. 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. BMO 2025-C13: Fitch Assigns 'B-(EXP)sf' Rating on Class J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2025-C13 Mortgage Trust, commercial mortgage pass-through certificates, series 2025-C13 as follows: - $4,159,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $125,000,000a class A-4 'AAA(EXP)sf'; Outlook Stable; - $432,660,000a class A-5 'AAA(EXP)sf'; Outlook Stable; - $8,116,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; - $569,935,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $154,045,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $84,472,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $40,710,000 class B 'AA-(EXP)sf'; Outlook Stable; - $28,863,000 class C 'A-(EXP)sf'; Outlook Stable; - $8,142,000bc class X-D 'BBB+(EXP)sf'; Outlook Stable; - $8,142,000c class D 'BBB+(EXP)sf'; Outlook Stable; - $11,847,000cd class E-RR 'BBB(EXP)sf'; Outlook Stable; - $8,142,000cd class F-RR 'BBB-(EXP)sf'; Outlook Stable; - $13,230,000cd class G-RR 'BB-(EXP)sf'; Outlook Stable; - $12,213,000cd class J-RR 'B-(EXP)sf'; Outlook Stable. Fitch is not expected to rate the following classes: - $11,195,000cd class K-RR; - $25,444,332cd class L-RR. (a) The initial certificate balances of classes A-4 and A-5 are unknown but expected to be $557,660,000 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-4 balance range is $0 to $250,000,000, and the expected class A-5 balance range is $307,660,000 to $557,660,000. Fitch's certificate balances for classes A-4 and A-5 reflect the midpoint of each 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, the primary assets of which are 47 loans secured by 89 commercial properties having an aggregate principal balance of $814,193,333 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, German American Capital Corporation, KeyBank National Association, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association, Zions Bancorporation, N.A., BSPRT CMBS Finance, LLC, LMF Commercial, LLC, Starwood Mortgage Capital LLC and Greystone Commercial Mortgage Capital LLC. The master servicer is expected to be Midland Loan Services and the special servicer is expected to be Rialto Capital Advisors, LLC. KeyBank National Association is expected to serve as the primary servicer with respect to 15 of the mortgage loans (12.4%) to be sold by itself, in its capacity as a mortgage loan seller, to the depositor. The operating advisor is expected to be Pentalpha Surveillance LLC, the trustee is expected to be Wilmington Savings Fund Society, FSB and the certificate administrator is expected to be Citibank, N.A. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 28 loans totaling 84.4% of the pool balance. Fitch's aggregate pool NCF of $82.6 million represents a 15.1% decline from the issuer's underwritten aggregate pool NCF of $97.2 million. Fitch Leverage: The pool exhibits higher leverage than recent 10-year multiborrower transactions rated by Fitch, with a Fitch loan-to-value (LTV) ratio of 97.9%, compared to the 2025 YTD and 2024 averages of 87.5% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 10.1% is lower the 2025 YTD and 2024 averages of 12.3% and12.3%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 103.4% and 9.9%, respectively, compared to the equivalent 2025 YTD LTV and DY averages of 97.6% and 10.0%, respectively. Investment Grade Credit Opinion Loans: Three loans, representing 15.8% of the pool by balance received an investment-grade credit opinion. BioMed MIT Portfolio (9.5% of the pool) received a standalone credit opinion of 'A-sf*'. Washington Square (5.0% of the pool) received a standalone credit opinion of 'BBB-sf*'. Rentar Plaza (1.2% of the pool) received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is considerably lower than the 2025 YTD and 2024 averages of 23.7% and 21.4%, respectively. Lower Loan Concentration: The pool is less concentrated than recent 10-year multiborrower transactions rated by Fitch. The top 10 loans make up 57.2% of the pool, which is lower than the 2025 YTD average of 63.5% and the 2024 average of 63.0%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.5. 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'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBB-sf'/'BBsf'/'BB-sf'/ 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BRANT POINT 2025-8: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2025-8, Ltd. Entity/Debt Rating ----------- ------ Brant Point CLO 2025-8, 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 Brant Point CLO 2025-8, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.17 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 97.75% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' 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 Brant Point CLO 2025-8, 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. BRAVO 2025-NQM9: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BRAVO Residential Funding Trust 2025-NQM9's mortgage-backed notes. The issuance is a residential mortgage-backed securities transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Sept. 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings(i) Assigned BRAVO Residential Funding Trust 2025-NQM9 Class A-1A, $297,893,000.00: AAA (sf) Class A-1B, $47,740,000.00: AAA (sf) Class A-1, $345,633,000.00: AAA (sf) Class A-2, $23,631,000.00: AA (sf) Class A-3, $68,983,000.00: A (sf) Class M-1, $19,573,000.00: BBB- (sf) Class B-1, $10,264,000.00: BB- (sf) Class B-2, $5,729,000.00: B- (sf) Class B-3, $3,580,751.00: NR Class SA, $7,715.12(ii): NR Class AIOS, 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 payment of the cap carryover amounts. (ii)The class SA notes will be entitled to receive pre-existing servicing advances as of the cutoff date and will not be entitled to any interest or other principal payments. (iii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. BRYANT PARK 2023-21: S&P Assigns Prelim 'BB-' Rating on 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 Bryant Park Funding 2023-21 Ltd./Bryant Park Funding 2023-21 LLC, a CLO managed by Marathon Asset Management L.P. that was originally issued in October 2023. The preliminary ratings are based on information as of Sept. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 6, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing 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, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The existing class D debt will be replaced by two new classes of debt, D-1-R and D-2-R, which are sequential in payment. -- The reinvestment period will be extended to Oct. 18, 2030. -- The non-call period will be extended to Oct. 18, 2027. -- The legal final maturity dates for the replacement debt and the subordinated debt will be extended to Oct. 18, 2038. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 18, 2026. -- 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 rated tranche. "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 Bryant Park Funding 2023-21 Ltd./ Bryant Park Funding 2023-21 LLC Class A-R, $244.0 million: AAA (sf) Class B-R, $60.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1-R (deferrable), $24.0 million: BBB- (sf) Class D-2-R (deferrable), $2.0 million: BBB- (sf) Class E-R (deferrable), $14.0 million: BB- (sf) Other Debt Bryant Park Funding 2023-21 Ltd./ Bryant Park Funding 2023-21 LLC Subordinated notes, $37.4 million: NR NR--Not rated. BSPRT 2025-FL12: Fitch Assigns 'B-(EXP)sf' Rating on Class H Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BSPRT 2025-FL12 Issuer, LLC as follows: - $608,138,000a class A 'AAA(EXP)sf'; Outlook Stable; - $150,690,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $78,035,000a class B 'AA-(EXP)sf'; Outlook Stable; - $60,545,000 class C 'A-(EXP)sf'; Outlook Stable; - $36,327,000a class D 'BBB(EXP)sf'; Outlook Stable; - $13,454,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $21,527,000b class F 'BB+(EXP)sf'; Outlook Stable; - $21,527,000b class G 'BB-(EXP)sf'; Outlook Stable; - $21,527,000b class H 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $64,581,911b,c class J. (a) Privately placed and pursuant to Rule 144A. (b) Retained notes (c) Horizontal risk retention interest, estimated to be 6.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,076,351,912 and does not include future funding. The expected ratings are based on information provided by the issuer as of Sept. 22, 2025. Transaction Summary The notes are collateralized by 44 loans secured by 73 commercial properties having an aggregate principal balance of $1,076,351,912 as of the cut-off date. The pool includes two delayed close loans totaling approximately $45.0 million, which are expected to close within 90 days following the closing date. The loans and interests securing the notes will be owned by BSPRT 2025-FL12 Issuer, LLC, as issuer of the notes. The servicer is expected to be Situs Asset Management LLC, and the special servicer is expected to be BSP Special Servicer, LLC. The trustee and the note administrator are expected to be U.S. Bank Trust Company, National Association. The notes are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 41.1% of the loans by balance, cash flow analysis on 81.7% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 31 loans in the pool (80.7% by balance). Fitch's resulting aggregate net cash flow (NCF) of $60.5 million represents a 14.06% decline from the issuer's aggregate underwritten NCF of $70.3 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 141.3% is worse than both the 2025 YTD and 2024 CRE CLO average of 140.7%. The pool's Fitch NCF debt yield (DY) of 7.2% is better than both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Lower Pool Concentration: The pool is more diverse than any other Fitch-rated CRE CLO transaction. The top 10 loans make up 42.4% of the pool, which is lower than both the 2025 YTD and 2024 CRE CLO averages of 61.8% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 36.1. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool is 49.0% comprised of interest-only loans, based on fully extended loan terms. This is better than both the 2025 YTD and 2024 CRE CLO averages of 73.1% and 56.8%, respectively. As a result, the pool is expected to have 1.0% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 YTD and 2024 were 0.5% and 0.6%, respectively. 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 list 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'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B+sf'/'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list 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'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'B+sf' SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BSTN COMMERCIAL 2025-HUB: DBRS Gives (P) B(high) on HRR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-HUB (the Certificates) to be issued by BSTN Commercial Mortgage Trust 2025-HUB (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) AA (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. The Trust is a single-asset/single-borrower transaction collateralized by the borrower's fee and leasehold interests in The Hub on Causeway, a 31-story, 1.0 million-sf office tower and retail property. The development is in Boston, directly on top of North Sation, one of the three major transportation hubs in Boston, and adjacent to TD Garden, and features unencumbered 360-degree views of downtown Boston, Boston Harbor, Cambridge, and Charlestown. The office and retail towers are part of a larger mixed-use development that also includes a citizen hotel and residential units; in total, the development encompasses 1.5 million sf of space. The hotel and residential units are not collateral to the loan. In 2013, the sponsors, Boston Properties Limited Partnership (BXP) and Delaware North Companies, Inc. (Delaware North), formed a partnership to redevelop the 2.5-acre site adjacent to TD Garden and above North Station. With three separate phases of development, the retail space was built in the first phase in 2018 and the office tower was the final phase in 2021. The property includes approximately 633,818 sf of office space and approximately 384,140 sf of retail space. As of September 1, 2025, the collateral was 98.0% leased to 18 unique tenants. The largest tenant, Verizon Corporate Services Inc. (Verizon), represents a total of 440,010 sf and 43.2% of the total NRA, and it has naming rights on the building. Verizon's lease began in September 2021 and will extend until June 2042 (with the exception of its retail lease expiring in June 2032); this space serves as Verizon's New England headquarters. Verizon has access to a roof deck space, which contains an indoor and outdoor space with a full kitchen and lounge space available to employees. This floor also hosts a number of collaborative workspaces for employees to use and has 360-degree views of Boston and the Greater Boston Area from both the deck and the large floor-to-ceiling windows throughout the space. While Verizon is on a long-term lease, the tenant collectively subleases or is marketing for sublease 299,683 sf, or 68.1% of its space. The second-largest tenant is Rapid7, making up 214,275 sf and representing 21.0% of the NRA; its lease extends until November 2029. Rapid7 has invested approximately $25.0 million ($170 psf) above its provided allowance into its space in order to transform it to better fit its needs. Currently, about 11,045 sf, or 5.2% of the Rapid7 space, is subleased and an additional 33,488 sf, or 15.6% of its space, is in shell condition. The largest retail tenant at the property is AMC Theatres, which has been at the property since January 2023 and has a remaining lease term of 10.9 years. As of the T-12 ended June 2025 sales were only at $314,172 per screen, compared with YE2024 at $269,444 per screen. The second-largest retail tenant at the property is Star Market, which has been at the property since 2019 when the retail section opened and has a remaining lease term of 9.2 years. This is notably the largest Star Market in the Boston area and reported sales of $759 psf for YE2024, compared with $714 psf in 2023. In total, 33.3% of the total NRA will roll through 2030, the final year of the fully extended loan maturity. The loan is not structured with an upfront reserve to mitigate any rollover during the loan term; however, it is structured with a specified tenant trigger cash management clause that will enact if Rapid7 has not renewed its lease by June 1, 2028, in order to address this rollover risk. The property operates under both a fee and leasehold interest, which are both owned and controlled by the members of the joint venture and are collateral for the loan. The Podium/Office Tower Developer LLC has the leasehold interest, and the Podium/Office Tower Owner LP entity owns the fee interest. The ground lease is therefore not held in an arm's-length transaction as the rent is paid between interrelated parties. The appraisal states that the ground lease would not encumber any potential buyer; therefore, the interest is leased fee and there is no ground rent obligation assumed in the cash flow. The sponsor for this transaction is a joint venture between BXP and Delaware North. The 50/50 partnership formed in 2013 when the two groups decided to develop the mixed-use, transit-oriented space directly adjacent to TD Garden. BXP is the largest publicly traded developer, owner, and manager of office spaces in the United States and is concentrated within six distinct markets on the East Coast and West Coast. As of June 30, 2025, BXP's total portfolio amassed 53.7 million sf across 186 properties, including 10 properties under construction. BXP's Boston area portfolio consists of 48 properties and 15.6 million sf. Delaware North is the owner of TD Garden and is a global hospitality and entertainment company. The company is still family owned today, after 100 years, and employees 40,000 team members. Delaware North is one of the world's largest privately held hospitality and entertainment companies; the chairman is also the owner of the National Hockey League's Boston Bruins. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2021-4: Moody's Assigns Ba3 Rating to $20.5MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of refinancing notes (collectively, the "Refinancing Notes") issued by Canyon CLO 2021-4, Ltd. (the "Issuer"). Moody's rating action is as follows: US$155,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) Up to US$160,000,000 Class A-L-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$65,000,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$29,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$20,500,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Canyon CLO Advisors L.P. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes and incurred one class of loans, which will remain outstanding. In addition to the issuance of the Refinancing Notes, the other class of incurred loans and subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: the extension of the non-call period and updates to alternative benchmark replacement provisions. No action was taken on the Class A-L Loans because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $497,768,324 Diversity Score: 74 Weighted Average Rating Factor (WARF): 2868 Weighted Average Spread (WAS): 3.29% Weighted Average Recovery Rate (WARR): 45.87% Weighted Average Life (WAL): 5.25 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CARMAX SELECT 2025-B: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings assigns ratings and Rating Outlooks to the notes issued by CarMax Select Receivables Trust 2025-B (CMXS 2025-B). Entity/Debt Rating Prior ----------- ------ ----- CarMax Select Receivables Trust 2025-B A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 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 BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS CMXS 2025-B has stronger credit quality relative to subprime peers, with a weighted-average (WA) FICO score of 612 and WA loan-to-value (LTV) ratio of 96.4%. Both metrics improved 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 36.3%, 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 than all prior vintages due to impacts from continuing economic headwinds. Fitch used 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 used 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 9.20%, 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 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 ratings for the subordinate notes could be upgraded by up to five 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. CARVAL CLO I: Moody's Lowers Rating on $29MM Class E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by CarVal CLO I Ltd.: US$29,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on June 12, 2018 Assigned Ba3 (sf) CarVal CLO I Ltd., originally issued in June 2018 and partially refinanced in April 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $404.1 million, or $20.5 million less than the $500 million initial par amount targeted during the deal's ramp-up, after considering principal payments. Furthermore, the August 2025 trustee-reported weighted average spread (WAS) has been deteriorating and the current level is 3.31%[1] compared to 3.47%[2] in August 2024, failing the trigger of 3.42%. No actions were taken on the Class A-R, Class B-R, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $403,964,240 Defaulted par: $2,180,400 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3022 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.31% Weighted Average Recovery Rate (WARR): 46.58% Weighted Average Life (WAL): 3.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CARVAL CLO II: Moody's Lowers Rating on $41.75MM E-R2 Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by CarVal CLO II Ltd.: US$41,750,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E-R2 Notes"), Downgraded to B1 (sf); previously on December 11, 2024 Assigned Ba3 (sf) US$7,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on March 14, 2024 Downgraded to Caa1 (sf) CarVal CLO II Ltd., originally issued in March 2019, and most recently partially refinanced in December 2024 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in March 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R2 and Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $656 million, or $23 million less than the $725 million initial par amount targeted during the deal's ramp-up after considering principal payments. Based on Moody's calculations, the OC ratios for the Class E-R2, and Class F-R notes are currently 106.05% and 104.86%, respectively, versus December 2024 levels of 106.91% and 105.74%, respectively. No actions were taken on the Class A-R2, Class B-R2, Class C-R2, and Class D-R2 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: $655,625,492 Defaulted par: $3,871,207 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2924 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.94% Weighted Average Coupon (WAC): 4.21% Weighted Average Recovery Rate (WARR): 46.59% Weighted Average Life (WAL): 3.67 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CARVAL CLO VI-C: Moody's Cuts Rating on $26.5MM Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by CarVal CLO VI-C Ltd.: US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on June 2, 2022 Assigned Aa2 (sf) Moody's have also downgraded the ratings on the following notes: US$26,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on June 2, 2022 Assigned Ba3 (sf) US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to Caa1 (sf); previously on June 2, 2022 Assigned B3 (sf) CarVal CLO VI-C Ltd., issued in June 2022, 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 will end in April 2026. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class B notes is primarily a result of a shorter weighted average life of the portfolio which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. The downgrade rating action on the Class E and 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 Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $491 million, or $9 million less than the $500 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level is 3.17%[1] compared to 3.38%[2] in August 2024, failing the trigger 3.23%. No actions were taken on the Class A-1, Class A-2, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $490,394,134 Defaulted par: $2,000,000 Diversity Score: 74 Weighted Average Rating Factor (WARF): 2843 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Recovery Rate (WARR): 46.58% Weighted Average Life (WAL): 5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CARVANA AUTO 2025-P3: Moody's Assigns Ba3 Rating to Class N Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Carvana Auto Receivables Trust 2025-P3 (CRVNA 2025-P3). This is the third prime auto loan transaction of the year for Carvana, LLC (Carvana), an indirect wholly owned subsidiary of Carvana Co. (B3 positive). The notes are backed by a pool of retail automobile loan contracts originated by Carvana, who is also the administrator of the transaction. Bridgecrest Credit Company, LLC (Bridgecrest Credit), an indirect wholly owned subsidiary of DriveTime Auto Group, is the servicer of the transaction. The complete rating actions are as follows: Issuer: Carvana Auto Receivables Trust 2025-P3 Class A-1 Asset Backed Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-4 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class B Asset Backed Notes, Definitive Rating Assigned Aa2 (sf) Class C Asset Backed Notes, Definitive Rating Assigned A2 (sf) Class D Asset Backed Notes, Definitive Rating Assigned Baa2 (sf) Class N Asset Backed Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Bridgecrest Credit as the servicer. Moody's median cumulative net loss expectation for CRVNA 2025-P3 is 3.00% and loss at a Aaa stress is 13.50%. Moody's based Moody's cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Bridgecrest Credit to perform the servicing functions; and the current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class N notes benefit from 9.90%, 6.50%, 3.00%, 0.50% and 0.25% of hard credit enhancement, respectively. Hard credit enhancement for the Class A notes, Class B notes, Class C notes, and Class D notes consists of overcollateralization, a non-declining reserve account and subordination, except for the Class D notes which do not benefit from subordination. Hard credit enhancement for the Class N notes consists of a non-declining reserve account solely supporting the Class N notes. Additionally, all classes of notes may benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinated notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 Notes short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. CBAMR 2021-14: Fitch Assigns 'BB-sf' Final Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the CBAMR 2021-14, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CBAM 2021-14, Ltd. _Reset 2025 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 CBAMR 2021-14, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management LLC, which originally closed in August 2021. This is the first refinancing where the original notes will be refinanced in whole on Sept. 26, 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 24.42, 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 93.92% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.57% 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 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-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, 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, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CBAM 2021R-14, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CHASE HOME 2025-10: Fitch Assigns 'B-sf' Rating on Class B-5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-10 (Chase 2025-10). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-10 A-10 LT AAAsf New Rating AAA(EXP)sf A-10-A LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-A LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-16-A LT AAAsf New Rating AAA(EXP)sf A-16-X LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-A LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-18-A LT AAAsf New Rating AAA(EXP)sf A-18-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-X1 LT AAAsf New Rating AAA(EXP)sf A-9-X2 LT AAAsf New Rating AAA(EXP)sf A-9-X3 LT AAAsf New Rating AAA(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf 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. CHASE HOME 2025-10: Moody's Assigns B2 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 59 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2025-10, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (99.45% by balance) and GSE-eligible (0.55% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-10 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-A, Definitive Rating Assigned Aaa (sf) Cl. A-15-X*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-16-A, Definitive Rating Assigned Aaa (sf) Cl. A-16-X*, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-A, Definitive Rating Assigned Aaa (sf) Cl. A-17-X*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-18-A, Definitive Rating Assigned Aaa (sf) Cl. A-18-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (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 0.28%, in a baseline scenario-median is 0.11% and reaches 4.12% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CHASE HOME 2025-DRT1: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-DRT1 (the Notes) issued by CHASE Home Lending Mortgage Trust 2025-DRT1 (CHASE 2025-DRT1) as follows: -- $48.3 million Class A-2 at AAA (sf) -- $48.3 million Class A-2-A at AAA (sf) -- $48.3 million Class A-2-X at AAA (sf) -- $15.0 million Class B-1 at AA (high) (sf) -- $14.5 million Class B-2 at A (sf) -- $6.8 million Class B-3 at BBB (sf) -- $6.3 million Class B-4 at BB (low) (sf) -- $2.4 million Class B-5 at B (low) (sf) The Class A-2-X notes are interest-only (IO) notes. The class balance represents a notional amount. The Class A-2 notes are exchangeable notes. This class can be exchanged for combinations of base depositable or depositable notes as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 5.00% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (sf), BBB (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.45%, 1.95%, 1.25%, 0.60%, and 0.35% 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 adjustable-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-DRT1 (the Notes). The Notes are backed by 886 loans with a total principal balance of $966,865,380 as of the Cut-Off Date (August 31, 2025). The pool consists of fully amortizing adjustable-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of 17 months. All of the loans are traditional, non-agency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the presale. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. On or prior to the Closing Date, the Issuing Entity will enter into a credit agreement where J.P. Morgan Chase Bank N.A. (JPMCB) will make all of the Class A-1 Loans to the Issuing Entity. The Class A-1 Loans will be secured by the Trust Estate and are non-offered debt. The Issuing Entity will use the proceeds from the Class A-1 Loans to purchase the mortgage loans from the Depositor. The Depositor will then use those amounts and the proceeds from the sale of the Notes to purchase the mortgage loans from the Mortgage Loan Seller. JPMCB is the Originator of 100.0% of the pool. The mortgage loans will be serviced by JPMCB. NewRez LLC doing business as Shellpoint Mortgage Servicing will act as Special Servicer for loans that become 90 days delinquent. Unique to the CHASE 2025-DRT1 transaction, the largest holder of the most subordinate class outstanding, initially the Class B-6 Notes (Controlling Holder), will have the right to terminate the Special Servicer at any time post-closing without cause. There will not be any advancing of delinquent principal and interest on any mortgages by the related Servicers or any other party to the transaction; however, the related Servicers are obligated to make advances in respect of homeowner's 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. For this transaction, generally, 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 payment to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator and Collateral Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-DRT1: DBRS Gives Prov. B(low) Rating on B-5 Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-DRT1 (the Notes) to be issued by CHASE Home Lending Mortgage Trust 2025-DRT1 (CHASE 2025-DRT1) as follows: -- $48.3 million Class A-2 at (P) AAA (sf) -- $48.3 million Class A-2-A at (P) AAA (sf) -- $48.3 million Class A-2-X at (P) AAA (sf) -- $15.0 million Class B-1 at (P) AA (high) (sf) -- $14.5 million Class B-2 at (P) A (sf) -- $6.8 million Class B-3 at (P) BBB (sf) -- $6.3 million Class B-4 at (P) BB (low) (sf) -- $2.4 million Class B-5 at (P) B (low) (sf) The Class A-2-X notes are interest-only (IO) notes. The class balance represents a notional amount. The Class A-2 notes are exchangeable notes. This class can be exchanged for combinations of base depositable or depositable notes as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 5.00% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.45%, 1.95%, 1.25%, 0.60%, and 0.35% 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 adjustable-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-DRT1 (the Notes). The Notes are backed by 886 loans with a total principal balance of $966,865,380 as of the Cut-Off Date (August 31, 2025). The pool consists of fully amortizing adjustable-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of 17 months. All of the loans are traditional, non-agency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the presale. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. On or prior to the Closing Date, the Issuing Entity will enter into a credit agreement where J.P. Morgan Chase Bank N.A. (JPMCB) will make all of the Class A-1 Loans to the Issuing Entity. The Class A-1 Loans will be secured by the Trust Estate and are non-offered debt. The Issuing Entity will use the proceeds from the Class A-1 Loans to purchase the mortgage loans from the Depositor. The Depositor will then use those amounts and the proceeds from the sale of the Notes to purchase the mortgage loans from the Mortgage Loan Seller. JPMCB is the Originator of 100.0% of the pool. The mortgage loans will be serviced by JPMCB. NewRez LLC doing business as Shellpoint Mortgage Servicing will act as Special Servicer for loans that become 90 days delinquent. Unique to the CHASE 2025-DRT1 transaction, the largest holder of the most subordinate class outstanding, initially the Class B-6 Notes (Controlling Holder), will have the right to terminate the Special Servicer at any time post-closing without cause. There will not be any advancing of delinquent principal and interest on any mortgages by the related Servicers or any other party to the transaction; however, the related Servicers are obligated to make advances in respect of homeowner's 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. For this transaction, generally, 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 payment to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator and Collateral Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2025-DRT1: Fitch Assigns 'Bsf' Rating on Class B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-DRT1 (Chase 2025-DRT1). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-DRT1 A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-A LT AAAsf New Rating AAA(EXP)sf A-2-X LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B-6-X LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 886 loans with a total balance of approximately $966.87 million as of the cutoff date. The pool entirely consists of prime-quality hybrid adjustable-rate mortgages (ARMs). All the loans were originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the main originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB and NewRez LLC (d/b/a Shellpoint Mortgage Servicing) is the special servicer. 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, and the remaining 0.5% qualify as rebuttable presumption (APOR) loans. The collateral comprises 100% adjustable-rate loans that are based on the SOFR index rate. The notes are fixed rate and capped at the net weighted average coupon (WAC), or are based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees the home price values of this pool as 9.3% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25, down 0.5% since last quarter). 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 886 high-quality, fully amortizing ARM loans with maturities of 30 years that total $966.87 million. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. According to Fitch, the loans are seasoned at an average of 20 months. The pool has a WA FICO score of 776, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more, which is indicative of very high credit-quality borrowers. A large percentage of the loans (79.1% as determined by Fitch) have a borrower with a Fitch-derived FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original weighted average (WA) combined loan-to-value (CLTV) ratio is 75.5%, which translates to a sustainable loan-to-value (sLTV) ratio of 75.8%. 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 by UPB are designated as QM Safe Harbor (APOR) loans and the remaining 0.5% of the loans are designated as QM Rebuttable Presumption (APOR). Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, and planned unit developments (PUDs) constitute 89.7% of the pool, condominiums make up 9.0%, co-ops make up 0.9%. and multifamily and manufactured housing make up 0.4%. Fitch viewed the fact that there are no investor loans favorably. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (90.2%), cashout refinances (2.9%) and rate-term refinances (6.9%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 30.2% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the San Francisco MSA (10.1%), followed by the Los Angeles MSA (9.7%) and the Seattle MSA (7.0%). The top three MSAs account for 26.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Due to the strong collateral characteristics of the pool, the raw model losses are lower than Fitch's minimum loss floors for this pool. As a result, Fitch applied its loss floors at each rating category which are 3. 50% at 'AAAsf' rating stress and 0.20% at the 'Bsf' rating stress. Pro-Rata Structure with Triggers (Mixed): The mortgage cash flow allocations are based on available funds and allocated to the senior classes first, and then to the subordinate classes. The transaction is an IPIP structure where interest is paid to the senior classes, and then principal; then the subordinate classes are paid interest, and then principal sequentially, starting with class B-1. Principal is allocated among the senior and subordinate classes, based on the senior/subordinate principal amounts (pro-rata allocation). Performance triggers are in place to re-prioritize unscheduled principal to the senior classes, as well as a lock-out feature that re-allocates principal from a more junior class to pay a more senior class until performance improves and the trigger is no longer breached. The triggers are supportive of maintaining credit enhancement and paying off more senior classes when the transaction experiences performance issues. Realized losses will be allocated reverse sequentially starting with class B-6. Once all the subordinate classes are written off, the senior classes will be allocated losses starting with the A-2-A notes and then to the A-1 loans. No Advancing of Delinquent P&I (Mixed): The servicer, JPMCB, will not advance delinquent principal and interest (P&I) payments on behalf of the loans. Not having full advancing will reduce the loan-level loss severity (LS) compared to a similar transaction with full advancing of delinquent (DQ) P&I payments, as the servicer will not need to be reimbursed for DQ P&I advances from liquidation proceeds (allowing more funds to flow to the notes). However, the credit enhancement (CE) will be increased, as principal will need to be used to pay interest to cover loans that are DQ in an effort to provide liquidity to the transaction. The transaction's structure prioritizes the payment of interest to the 'AAAsf' rated senior classes, which is supportive of these classes receiving timely interest. 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 41.0% 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 SitusAMC, Consolidated Analytics, and Digital Risk. 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 59.0% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.0% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, and Digital Risk were 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 Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS 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. CHASE HOME 2025-DRT1: Fitch Assigns B(EXP) Rating on Cl. B-5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-DRT1 (Chase 2025-DRT1). Entity/Debt Rating ----------- ------ Chase 2025-DRT1 A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-A LT AAA(EXP)sf Expected Rating A-2-X LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 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 B-6-X LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 886 loans with a total balance of approximately $966.87 million as of the cutoff date. The pool entirely consists of prime-quality hybrid adjustable-rate mortgages (ARMs). All the loans were originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the main originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB and NewRez LLC (d/b/a Shellpoint Mortgage Servicing) is the special servicer. 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, and the remaining 0.5% qualify as rebuttable presumption (APOR) loans. The collateral comprises 100% adjustable-rate loans that are based on the SOFR index rate. The notes are fixed rate and capped at the net weighted average coupon (WAC), or are based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees the home price values of this pool as 9.3% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25, down 0.5% since last quarter). 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 886 high-quality, fully amortizing ARM loans with maturities of 30 years that total $966.87 million. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. According to Fitch, the loans are seasoned at an average of 20 months. The pool has a WA FICO score of 776, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more, which is indicative of very high credit-quality borrowers. A large percentage of the loans (79.1% as determined by Fitch) have a borrower with a Fitch-derived FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original weighted average (WA) combined loan-to-value (CLTV) ratio is 75.5%, which translates to a sustainable loan-to-value (sLTV) ratio of 75.8%. 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 by UPB are designated as QM Safe Harbor (APOR) loans and the remaining 0.5% of the loans are designated as QM Rebuttable Presumption (APOR). Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, and planned unit developments (PUDs) constitute 89.7% of the pool, condominiums make up 9.0%, co-ops make up 0.9%. and multifamily and manufactured housing make up 0.4%. Fitch viewed the fact that there are no investor loans favorably. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (90.2%), cashout refinances (2.9%) and rate-term refinances (6.9%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 30.2% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the San Francisco MSA (10.1%), followed by the Los Angeles MSA (9.7%) and the Seattle MSA (7.0%). The top three MSAs account for 26.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Due to the strong collateral characteristics of the pool, the raw model losses are lower than Fitch's minimum loss floors for this pool. As a result, Fitch applied its loss floors at each rating category which are 3. 50% at 'AAAsf' rating stress and 0.20% at the 'Bsf' rating stress. Pro-Rata Structure with Triggers (Mixed): The mortgage cash flow allocations are based on available funds and allocated to the senior classes first, and then to the subordinate classes. The transaction is an IPIP structure where interest is paid to the senior classes, and then principal; then the subordinate classes are paid interest, and then principal sequentially, starting with class B-1. Principal is allocated among the senior and subordinate classes, based on the senior/subordinate principal amounts (pro-rata allocation). Performance triggers are in place to re-prioritize unscheduled principal to the senior classes, as well as a lock-out feature that re-allocates principal from a more junior class to pay a more senior class until performance improves and the trigger is no longer breached. The triggers are supportive of maintaining credit enhancement and paying off more senior classes when the transaction experiences performance issues. Realized losses will be allocated reverse sequentially starting with class B-6. Once all the subordinate classes are written off, the senior classes will be allocated losses starting with the A-2-A notes and then to the A-1 loans. No Advancing of Delinquent P&I (Mixed): The servicer, JPMCB, will not advance delinquent principal and interest (P&I) payments on behalf of the loans. Not having full advancing will reduce the loan-level loss severity (LS) compared to a similar transaction with full advancing of delinquent (DQ) P&I payments, as the servicer will not need to be reimbursed for DQ P&I advances from liquidation proceeds (allowing more funds to flow to the notes). However, the credit enhancement (CE) will be increased, as principal will need to be used to pay interest to cover loans that are DQ in an effort to provide liquidity to the transaction. The transaction's structure prioritizes the payment of interest to the 'AAAsf' rated senior classes, which is supportive of these classes receiving timely interest. 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 41.0% 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 SitusAMC, Consolidated Analytics, and Digital Risk. 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 59.0% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.0% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, and Digital Risk were 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 Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS 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. CITIGROUP 2016-C2: DBRS Confirms BB Rating on Class E Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C2 issued by Citigroup Commercial Mortgage Trust 2016-C2 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (sf) -- Class C at AA (low) (sf) -- Class D at BBB (sf) -- Class X-D at BBB (sf) -- Class E-1 at BB (high) (sf) -- Class E-2 at BB (sf) -- Class E at BB (sf) -- Class F-1 at BB (low) (sf) -- Class F-2 at B (high) (sf) -- Class F at B (high) (sf) -- Class EF at B (high) (sf) -- Class G-1 at CCC (sf) -- Class G-2 at C (sf) -- Class EFG C (sf) -- Class G at C (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains relatively unchanged from the prior review in September 2024. The pool is relatively diverse by property type, with loans representing 26.1%, 25.1%, and 13.5% of the pool collateralized by mixed-use, retail, and lodging properties, respectively. The majority of loans in the pool continue to exhibit stable-to-improving credit metrics, as evidenced by the weighted-average debt service coverage ratio (DSCR) of 2.5 times (x), based on the most recent financial reporting available, which further supports the Stable trends with the remainder of the loans in the pool scheduled to mature within the next 12 months. While there are a few loans of concern, as further described below, Morningstar DBRS notes the transaction continues to benefit from increased credit support as a result of scheduled amortization, loan repayments, and defeasance. In addition, the largest loan in the pool, Vertex Pharmaceuticals HQ (Prospectus ID#1; 11.2% of the pool balance), is shadow-rated investment grade, as further described below. While accruing shortfalls have increased to $2.0 million from $1.2 million at last review, the shortfalls are limited to the sole specially serviced loan, Marriot - Livonia at Laurel Park (Prospectus ID#17; 2.5% of the pool). As of the August 2025 remittance, 43 of the original 44 loans remain in the pool, with a trust balance of $536.2 million, representing a collateral reduction of 12.0% since issuance. To date, the trust has incurred $5.4 million in losses, which have been contained to the nonrated Class H-2 certificate. Eight loans, representing 20.8% of the pool balance, are on the servicer's watchlist. Only one loan, representing 2.5% of the pool balance, is in special servicing, and nine loans, representing 13.6% of the pool balance, are fully defeased. The sole loan in special servicing, Marriott - Livonia at Laurel Park, is secured by a 224-key, full-service hotel in Livonia, Michigan. The loan transferred to special servicing in March 2020 for imminent monetary default, and in January 2023, a court-appointed receiver assumed managerial control over the property and a new franchise agreement was executed through July 2024 alongside the completion of required repairs from the property improvement plan (PIP). The property became real estate owned (REO) in July 2023 and is currently in final negotiations with a prospective buyer, according to the special servicer. Since issuance, the financial performance of the property has significantly deteriorated with the latest available YE2022 net cash flow (NCF) reported at $181,996 (a DSCR of 0.15x), which is 92.1% less than the issuance figure of $2.3 million (a DSCR of 1.94x). The most recent appraisal in August 2022, valued the property at $13.1 million, considerably below the October 2021 and issuance-appraised values of $23.7 million and $27.1 million, respectively. Given the REO status of the property and significant decline in credit performance, Morningstar DBRS analyzed the loan with a liquidation scenario based on a 25.0% haircut to the most recently appraised value, resulting in a liquidated value of $9.8 million and a projected loss severity of 60.0%. The largest loan on the servicer's watchlist, Crocker Park Phase One & Two (Prospectus ID#3; 10.5% of the pool balance), is secured by a mixed-used property, consisting of retail and Class A office space, in Westlake, Ohio. The loan transferred to the special servicer in May 2020 for imminent monetary default and was previously modified to allow for a 12-month deferral of debt service payments to be repaid at loan maturity. In addition, a cash trap was triggered when the largest tenant, Dick's Sporting Goods (Dick's), which occupied 75,000 square feet (2.2% of the net rentable area (NRA)), did not renew its lease a year in advance of its January 2025 expiration date. Leases representing 19.9% of the NRA-- including the Dick's lease expiration--are set to expire in 2025, with an additional 9.1% of the NRA expiring in 2026. According to the annualized trailing three months ended March 31, 2025, financial reporting, the property is expected to generate NCF of $13.5 million (a DSCR of 1.51x), which is higher than the YE2024 and issuance figures of $12.2 million (a DSCR of 1.37x) and $12.0 million (a DSCR of 1.34x), respectively. Although the operating performance at the property has improved since issuance, the concentration of scheduled rollover around the loan's maturity in 2026 suggests increased risks for the loan. As such, Morningstar DBRS evaluated this loan with a stressed loan-to-value ratio, resulting in an expected loss that was approximately four times (x) greater than the pool average. At issuance, the Vertex Pharmaceuticals HQ loan was shadow-rated investment grade. With this review, Morningstar DBRS confirms that the performance of that loan remains consistent with investment-grade loan characteristics, given the strong credit metrics, excellent location, experienced sponsorship, and the underlying collateral's historically stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2025-4: Moody's Assigns B3 Rating to B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 66 classes of residential mortgage-backed securities (RMBS) issued by Citigroup Mortgage Loan Trust 2025-4, and sponsored by Citigroup Global Markets Realty Corp. The securities are backed by a pool of prime jumbo (47.5% by balance) and GSE-eligible (52.5% by balance) residential mortgages aggregated by Citigroup Global Markets Realty Corp. and Citi GSM Portfolio LLC, originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan 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 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 Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-4*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-5*, Definitive Rating Assigned Aaa (sf) Cl. A-I-6*, Definitive Rating Assigned Aaa (sf) Cl. A-I-7*, Definitive Rating Assigned Aaa (sf) Cl. A-I-8*, Definitive Rating Assigned Aaa (sf) Cl. A-I-9*, Definitive Rating Assigned Aaa (sf) Cl. A-I-10*, Definitive Rating Assigned Aaa (sf) Cl. A-I-11*, Definitive Rating Assigned Aaa (sf) Cl. A-I-12*, Definitive Rating Assigned Aaa (sf) Cl. A-I-13*, Definitive Rating Assigned Aaa (sf) Cl. A-I-14*, Definitive Rating Assigned Aaa (sf) Cl. A-I-15*, Definitive Rating Assigned Aaa (sf) Cl. A-I-16*, Definitive Rating Assigned Aaa (sf) Cl. A-I-17*, Definitive Rating Assigned Aaa (sf) Cl. A-I-18*, Definitive Rating Assigned Aaa (sf) Cl. A-I-19*, Definitive Rating Assigned Aaa (sf) Cl. A-I-20*, Definitive Rating Assigned Aaa (sf) Cl. A-I-21*, Definitive Rating Assigned Aaa (sf) Cl. A-I-22*, Definitive Rating Assigned Aaa (sf) Cl. A-I-23*, Definitive Rating Assigned Aaa (sf) Cl. A-I-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-I-27*, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-I-28*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-I-29*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Definitive Rating Assigned A2 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, 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 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 0.54%, in a baseline scenario-median is 0.25% and reaches 9.71% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. COLT 2025-10: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COLT 2025-10 Mortgage Loan Trust's mortgage pass-through 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, planned-unit developments, condominiums, townhouses, condotels, cooperative, two- to four-family properties, and five- to 10-unit multifamily residential properties. The pool consists of 578 loans, which are qualified mortgage (QM)/higher-priced mortgage loans (HPML), QM/non-HPML, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. The preliminary ratings are based on information as of Sept. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) COLT 2025-10 Mortgage Loan Trust´s Certificates Class A-1(ii), $186,530,000: AAA (sf) Class A-1A(ii), $159,652,000: AAA (sf) Class A-1B(ii), $26,878,000: AAA (sf) Class A-1F, $46,633,000: AAA (sf) Class A-1IO, $46,633,000(iii): AAA (sf) Class A-2, $23,686,000: AA (sf) Class A-3, $34,605,000: A (sf) Class M-1, $17,302,000: BBB (sf) Class B-1, $11,927,000: BB (sf) Class B-2, $9,912,000: B (sf) Class B-3, $5,375,537: NR Class A-IO-S, notional(ii): NR Class X, notional(iv): 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)All or a portion of the class A-1A and A-1B certificates can be exchanged for the class A-1 certificates and vice versa. (iii)The class A-1IO certificates are inverse floating-rate certificates. They will have a notional amount equal to the certificate amount of the class A-1F notes, which are floating-rate certificates, and will not be entitled to payments of principal. (iv)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $335,970,537. NR--Not rated. COLUMBIA CENT 32: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R2, B-1R2, C-1R2, and C-FR2 debt and class A-1LR2 loans from Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp., a CLO originally issued in 2022 that is managed by Columbia Cent CLO Advisors LLC and underwent a partial refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1R, B-1R, C-1, and C-F debt and class A-1R loans following payment in full on the Sept. 25, 2025, refinancing date. S&P also affirmed our ratings on the class X-R, A-F, A-FJ, B-F, D-R, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Oct. 24, 2025. -- The non-call period was extended to April 24, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-R and E debt (which were not refinanced). However, given the improved cash flow results following the refinancing, the overall credit quality of the portfolio, the relatively low exposure to 'CCC'/'CCC-' assets, and the passing coverage tests, we affirmed our 'BBB- (sf)' rating on the class D-R debt and 'BB- (sf)' rating on the Class E debt. We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Replacement And Previous Debt Issuances Replacement debt -- Class A-1LR2 loans, $100.00 million: Three-month CME term SOFR + 1.120% -- Class A-1R2, $100.00 million: Three-month CME term SOFR + 1.120% -- Class B-1R2, $15.00 million: Three-month CME term SOFR + 1.650% -- Class C-1R2 (deferrable), $16.00 million: Three-month CME term SOFR + 2.100% -- Class C-FR2 (deferrable), $5.00 million: Three-month CME term SOFR + 5.357% Previous debt -- Class A-1R loans, $50.00 million: Three-month CME term SOFR + 1.450% -- Class A-1R, $150.00 million: Three-month CME term SOFR + 1.450% -- Class B-1R, $15.00 million: Three-month CME term SOFR + 2.050% -- Class C-1 (deferrable), $16.00 million: Three-month CME term SOFR + 3.170% -- Class C-F (deferrable), $5.00 million: Three-month CME term SOFR + 5.970% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class A-1LR2 loans, $100.00 million: AAA (sf) Class A-1R2, $100.00 million: AAA (sf) Class B-1R2, $15.00 million: AA (sf) Class C-1R2 (deferrable), $16.00 million: A (sf) Class C-FR2 (deferrable), $5.00 million: A (sf) Ratings Withdrawn Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class A-1R loans to NR from 'AAA (sf)' Class A-1R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A (sf)' Class C-F (deferrable) to NR from 'A(sf)' Rating Affirmed Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class X-R: AAA (sf) Class A-F: AAA (sf) Class A-FJ: AAA (sf) Class B-F: AA (sf) Class D-R (deferrable): BBB- (sf) Class E (deferrable): BB- (sf) Other Debt Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Subordinated notes, $30.25 million: NR NR--Not rated. COMM 2014-UBS3: DBRS Confirms C Rating on 4 Tranches ---------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3 issued by COMM 2014-UBS3 Mortgage Trust as follows: -- Class B to BB (low) (sf) from BBB (low) (sf) -- Class X-B to CCC (sf) from BB (sf) -- Class C to CCC (sf) from BB (low) (sf) -- Class PEZ to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) The trend on Class B is Negative. Classes C, D, E, F, G, X-B, and PEZ have credit ratings that generally do not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Classes A-M and X-A have Stable trends. The credit rating downgrades on Classes B, X-B, C, and PEZ reflect Morningstar DBRS' updated loss projections for the pool. In the current review of the transaction, Morningstar DBRS performed a recoverability analysis for the remaining five loans in the pool of the September 2025 reporting. All loans are secured by office collateral, with four loans (accounting for 72.7% of the pool balance) currently in special servicing. The liquidation analysis assumptions are generally based on conservative haircuts to the most recent appraised values for individual properties while accounting for accrued servicer advances and additional projected expenses. Morningstar DBRS projects total liquidated losses of nearly $108.0 million, which erodes approximately two-thirds of the Class D certificate, reducing credit support to Classes B and C, supporting the credit rating downgrades. Morningstar DBRS maintained the Negative trend on Class B because of the propensity for increasing interest shortfalls. As of the September 2025 remittance, outstanding interest shortfalls totaled approximately $9.0 million, an increase from the $5.7 million at the previous credit rating action in November 2024. With the September 2025 remittance, Class C received approximately 80.0% of scheduled interest due; the class was previously paid in full during the August 2025 remittance. Since the January 2025 remittance, however, this bond has been affected by interest shortfalls on six separate occasions, with the shortfalls subsequently repaid in later remittances. The primary contributing factors to the increasing interest shortfalls include the servicer's determination of nonrecoverability on two of the specially serviced loans: Southfield Town Center (Prospectus ID#4, 24.9% of the pool) and 1100 Superior Avenue (Prospectus ID#6, 17.1% of the pool). Morningstar DBRS' tolerance for shorted interest at the BB (sf) and B (sf) credit category is limited to six months. The State Farm Portfolio (Prospectus ID#2, 27.3% of the pool) loan is pari passu with notes held in the COMM 2014-UBS4 and COMM 2014-UBS5 transactions, both of which are rated by Morningstar DBRS, and the non-Morningstar DBRS-rated MSBAM 2014-C16 transaction. The loan is secured by a portfolio of 14 cross-collateralized and cross-defaulted office properties in 11 different states. The loan was returned to the master servicer's watchlist in January 2025; however, the credit risk on the loan remains elevated as all of the underlying assets are leased but not occupied by State Farm. All but two of State Farm's leases run through 2028. While State Farm continues to make rental payments, it has physically vacated every property. The loan had an anticipated repayment date in April 2024 and is now hyperamortizing until April 2029, with annual interest rate resets. The servicer approved a partial release for one property in Tulsa, Oklahoma. As of the September 2025 remittance, the current trust balance is $71.8 million, down from $98.1 million in October 2024. Although Morningstar DBRS expects the continued deleveraging of the loan through amortization, Morningstar DBRS believes the current value of the remaining portfolio assets is below the outstanding debt given the dark status of the properties and the tertiary locations. As such, Morningstar DBRS considered a liquidation scenario based on a 50% haircut to the issuance appraised value, which resulted in an implied loss of approximately $7.0 million or a 10% loss severity. The second-largest loan is Equitable Plaza (Prospectus ID#3, 29.5% of the pool), which is secured by a 688,292-square-foot office property in Los Angeles. The loan transferred to the special servicer in April 2024 after the borrower indicated the loan would not be repaid by maturity in June 2024. Since the last credit rating action, the lender has approved a forbearance agreement, under which the loan is currently performing. Major terms of the forbearance agreement include a maturity in June 2026, a $7.0 million principal paydown, and cash management until the loan is paid in full. Funds collected from cash management are being used for leasing and capital expenditure costs. According to the most recent rent roll available dated November 2024, the subject was 57.8% occupied, a decline from 67% at YE2021 and 82% at YE2020. Over the next 12 months, there is a cumulative tenant rollover risk of 8.3% of the net rentable area. According to the most recent financials for the trailing nine-month period ended September 30, 2024, the loan reported a debt service coverage ratio of 1.35 times (x) as compared with the YE2021 and YE2020 figures of 1.68x and 1.53x, respectively. At issuance, the subject was valued at $150.5 million. While a new valuation has yet to be completed, Morningstar DBRS expects that the property's current market value has declined considerably given the drop in performance. Morningstar DBRS liquidated the loan based on a 75.0% haircut to the issuance value while accounting for outstanding advances as well as expected future servicer expenses, resulting in an implied loss of approximately $47.0 million and a loss severity approaching 61%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE22: Fitch Lowers Rating on Class E Notes to 'CCsf' ---------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed five classes of COMM 2015-CCRE22 Mortgage Trust (COMM 2015-CCRE22). The Rating Outlooks for classes B and X-B remain Stable. The Rating Outlooks for classes C, D, and PEZ remain Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE22 B 12592XBG0 LT AA-sf Affirmed AA-sf C 12592XBJ4 LT BBB-sf Affirmed BBB-sf D 12592XAG1 LT B-sf Affirmed B-sf E 12592XAJ5 LT CCsf Downgrade CCCsf PEZ 12592XBH8 LT BBB-sf Affirmed BBB-sf X-B 12592XAA4 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS 'B' Loss Expectations; Concentrated Transaction: Deal-level 'Bsf' rating case losses have increased to 30.9% (7.3% of the original pool balance) from 13.1% (8.5%) at the prior rating action. The transaction is concentrated with only 12 loans remaining, 10 of which (67.4%) have been designated as Fitch Loans of Concern (FLOCs) and are in special servicing. The two performing loans that are current and have maturity dates in December 2029 and April 2035. The downgrade reflects the greater certainty of loss on the remaining loans in the pool. Increased losses are largely attributable to declining appraisal values for specially serviced loans coupled with increasing total exposure and ongoing performance deterioration, particularly among office FLOCs in special servicing. These include One Riverway (22.5%), UnitedHealth Group HQ (15.3%), One Shoreline Plaza (6.3%), 205 West Randolph (5.5%) and Atrium I (2.5%). The Negative Outlooks on classes C, PEZ and D reflect the adversely selected pool, with an elevated office concentration of 60.5% and the high proportion of loans in special servicing (67.4%). Further downgrades are possible if performance deteriorates beyond current expectations, property values decline further, specially serviced loans experience extended workout periods, or loans don't refinance at maturity. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Largest Contributors to Loss: The largest contributor to overall pool loss expectations is the UnitedHealth Group HQ loan, which is secured by a 10-story, 343,602-sf office tower located in Minnetonka, MN. The property was fully leased to United HealthCare Services until they vacated at the December 2024 lease expiration. Per the March 2025 rent roll the property was 100% vacant. The loan was transferred to special servicing in November 2024 for imminent default due to the January 2025 loan maturity. Fitch's 'Bsf' rating case loss of 75% (prior to concentration add-ons) reflects a stress to a recent appraised value equating to a recovery value of $36 psf, which is approximately 84.5% below the appraisal at issuance. The second largest contributor to overall pool loss expectations is the One Riverway loan, which is secured by a 483,410-sf office building located in Houston, TX. The loan transferred to special servicing in May 2023 for imminent monetary default due to low occupancy. The loan was assumed by a new borrower and modified and the loan transferred back to the master servicer in August 2025. The modification included extending the maturity until March 2028 and splitting the note into an A ($54 million) and B ($14.1 million) tranche. Property occupancy has been declining since issuance due to multiple tenants vacating either at or ahead of lease expiration. As of April 2025, occupancy dropped to 49% from 55% at YE2024, 49% at YE2023, and 63% at YE 2022 primarily due to the departure of the largest tenant, Thompson, Coe, Cousi (10.5% of the NRA) at lease expiration in January 2024. Fitch's 'Bsf' rating case loss of 50% (prior to concentration add-ons) reflects a stress to a recent appraised value equating to a recovery value of $71 psf, which is approximately 72.2% below the appraisal at issuance. The third largest increase in loss expectations since the prior rating action is the One Shoreline Plaza loan, which is secured by a 363,222-sf office complex consisting of a 22-story North Tower and a 28-story South Tower with an adjacent seven-level garage structure located in Corpus Christi, TX. The loan transferred to the special servicer in March 2025 for maturity default. Property performance has deteriorated with occupancy declining to 51% as of May 2025 from 74% at issuance. In addition, lease rollover is concentrated with 10.2% of the NRA expiring in 2025, 15.4% in 2026 and 11.8% in 2027 including major tenants, US Attorney's Office (4.7%) and Sabalo Operating (4.3%). Fitch's 'Bsf' rating case loss of 40% (prior to concentration add-ons) reflects a stress to a recent appraised value equating to a recovery value of $31 psf, which is approximately 68.2% below the appraisal at issuance. Changes in Credit Enhancement (CE): As of the September 2025 distribution date, the aggregate balance of the pool has been reduced by 76.4% since issuance and 63.5% since Fitch's prior rating action. Cumulative interest shortfalls of $5.8 million are affecting class B, C, D, E, F, G, H, and PEZ. Realized losses of $2.17 million, impacts the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AA-sf' rated class could occur with an increase in pool-level losses from further value degradation or extended workouts of the specially serviced loans, particularly, One Riverway, UnitedHealth Group HQ, One Shoreline Plaza, 205 West Randolph, and Atrium I. Downgrades to the 'BBB-sf' and 'B-sf' rated classes are possible with higher expected losses from continued underperformance of the FLOCs or with greater certainty of near-term losses on specially serviced assets. Downgrades to distressed ratings would occur as additional loans transfer to special servicing or default, as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' rated class may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs but are not likely with interest shortfalls currently affecting the class. Upgrades to the 'BBB-sf' and 'B-sf' rated classes could occur only if the performance of the remaining pool is stable, recoveries are larger than expected, and there is sufficient CE to the classes. Upgrades to the distressed rated classes are not likely but possible with stronger-than-anticipated recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSAIL 2017-C8: Fitch Affirms 'B-sf' Rating on Class E Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of CSAIL 2017-C8 Commercial Mortgage Trust, commercial mortgage pass-through certificates. The Rating Outlooks on classes A-S, V1-A, X-A, B, X-B, C, V1-B, D, V1-D, and E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2017-C8 A-3 12595BAC5 LT AAAsf Affirmed AAAsf A-4 12595BAD3 LT AAAsf Affirmed AAAsf A-S 12595BBF7 LT AAAsf Affirmed AAAsf A-SB 12595BAE1 LT AAAsf Affirmed AAAsf B 12595BAH4 LT Asf Affirmed Asf C 12595BAJ0 LT BBBsf Affirmed BBBsf D 12595BAK7 LT BBsf Affirmed BBsf E 12595BAM3 LT B-sf Affirmed B-sf F 12595BAP6 LT CCCsf Affirmed CCCsf V1-A 12595BBQ3 LT AAAsf Affirmed AAAsf V1-B 12595BBR1 LT BBBsf Affirmed BBBsf V1-D 12595BBS9 LT BBsf Affirmed BBsf X-A 12595BAF8 LT AAAsf Affirmed AAAsf X-B 12595BAG6 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss increased to 4.6% from 4.2% since Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise five loans (34.1% of the pool), including two loans (21.7%) in special servicing. The Negative Outlooks reflect the high office concentration of 49.8 % (including two mixed use properties with an office component) and the potential for downgrades should performance of the FLOCs, which include 85 Broad Street (15.3% of the pool), Hotel Eastlund (6.4%), 449 South Broadway (5.4%), and Columbus Office Portfolio I (4.6%), fail to stabilize, and/or with prolonged workouts of loans in special servicing. Largest Contributors to Loss: The largest overall contributor to loss expectations is the 85 Broad Street loan, which is secured by a 1,118,512-sf office building in the Financial District, near the New York Stock Exchange in downtown Manhattan. The loan was transferred to special servicing in June 2025 due to imminent monetary default and cash shortfalls affecting the funding of operating expenses. The two largest tenants are Viner Finance (Oppenheimer [24.6% of NRA and 43.9% of rent]) and WeWork (10.5% of NRA and 8.7% of rent). WeWork's lease expires in May 2029 and Viner Finance's (Oppenheimer) expires in February 2028. WeWork has reduced their space from 26.2% of NRA at issuance to 10.5%. The June 2025 occupancy is 61.2%, which declined from 71.5% at YE 2024, 78.7% at YE 2023 and 93% at YE 2020. The drop in occupancy can be attributed to Neilsen (10.5% of NRA) vacating at their lease expiration in March 2025. NOI DSCR has declined but remains strong at 2.40x as of June 2025, 3.16x at YE 2024, and 3.50x at YE 2023. Fitch's 'Bsf' case loss of 7.7% (prior to a concentration adjustment) is based on an 9% cap rate and the YE 2024 NOI. The second largest contributor to loss expectations is the Hotel Eastlund, which is secured by a 168-key full-service hotel located near downtown and the convention center in Portland, OR. The loan transferred to the special servicer for the second time in March 2025 due to payment default. NOI DSCR is 1.06x at YE 2024 compared to 1.19x at YE 2023 and 0.79x at YE 2022. According to the most recent Smith Travel Research report for TTM ended March 2025, the property is outperforming its competitive set with occupancy, ADR and RevPAR of 65%, $159, and $104 compared to 56%, $150, and $83; respectively. As of the TTM ended March 2025, the RevPAR penetration rate was 124.6%. Fitch's 'Bsf' case loss of 13.8% (prior to concentration adjustment) reflects a stress to the most recent appraised value, resulting in a Fitch-stressed value of $180,000 per key. The third largest contributor to loss expectations is the Columbia Office Portfolio I, which is secured by portfolio of four office properties in Dublin, OH totaling 651,596 sf. NOI DSCR is 1.63x at YE 2024 compared to 1.28x at YE 2023 and 1.35x at YE 2022. The June 2025 occupancy is 81%, which increased from 76% at YE 2024, 75% at YE 2023 and 75% at YE 2022. The portfolio has upcoming lease rollover of 6.5% in 2025, 15.1% in 2026, and 10.7% in 2027. Fitch's 'Bsf' rating case loss of 11.7% (prior to concentration adjustment) reflects a 10.5% cap rate and 20% stress to the YE 2024 NOI and factored an elevated probability of default given the near-term rollover and upcoming refinance concerns in early 2027. Increased Credit Enhancement: As of the August 2024 distribution date, the pool's aggregate balance has been reduced by 27.5% to $588.2 million from $811.1 million at issuance. Seven loans (13.9% of the pool) are fully defeased. Realized losses of about $7.8 million are currently impacting the non-rated class NR. Cumulative interest shortfalls of approximately $1.4 million are affecting the non-rated class NR. Under Collateralization: The transaction is slightly undercollateralized by approximately $1,381,850 due to a workout delayed reimbursement advance, which was first reflected in the July 2022 remittance. Pool Concentration: The pool is concentrated with the top five loans comprising 46.7% of the overall transaction; the largest two loans, 85 Broad Street (15.3%) and 245 Park Avenue (13.6%) comprise 29% of the transaction. The two loans no longer have investment grade credit opinions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to high CE and expected continued amortization and loan repayments and dispositions but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf rated classes, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'Asf' and 'BBBsf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include 85 Broad Street, Hotel Eastlund, 449 South Broadway, and Columbus Office Portfolio I. Downgrades to the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Downgrades to distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' and 'BBBsf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DRYDEN 61 CLO: Moody's Cuts Rating on $21.7MM Cl. E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 61 CLO, Ltd.: US$23,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1(sf); previously on August 25, 2024 Assigned Aa3 (sf) US$21,700,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2032, Downgraded to B1 (sf); previously on March 24, 2021 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$298,828,463 (Current outstanding amount, US$230,301,472) Class A-1-R2 Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on August 25, 2024 Assigned Aaa (sf) US$10,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on August 25, 2024 Assigned Aaa (sf) US$55,000,000 Class B-R2 Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on August 25, 2024 Assigned Aaa (sf) US$35,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2032, Affirmed Baa3 (sf); previously on March 24, 2021 Assigned Baa3 (sf) US$6,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2032, Affirmed Caa2 (sf); previously on June 20, 2024 Downgraded to Caa2 (sf) Dryden 61 CLO, Ltd., originally issued in November 2018 and partially refinanced in March 2021 and again in August 2024, 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 January 2024. RATINGS RATIONALE The rating upgrade on the Class C-R2 notes is primarily a result of the deleveraging of the Class A-1-R2 notes following amortisation of the underlying portfolio since the last rating action in August 2024. The Class A-1-R2 notes have paid down by approximately USD84.7 million (26.9%) since closing and USD68.5 million (21.8%) since the last rating action in August 2024. As a result of the deleveraging, over-collateralisation (OC) has increased. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. The over-collateralisation ratio of the Class E-R notes has deteriorated since the rating action in August 2024. According to the trustee report dated August 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 133.60%, 123.95%, 111.57% and 105.12% compared to July 2024[2] levels of 129.44%, 121.74%, 111.56% and 106.11%, respectively. The affirmations on the ratings on the Class A-1-R2, Class A-2-R2, Class B-R2, Class D-R and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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: USD394.69 million Defaulted Securities: USD2.19 million Diversity Score: 87 Weighted Average Rating Factor (WARF): 2571 Weighted Average Life (WAL): 4.05 years Weighted Average Spread (WAS): 3.05% Weighted Average Coupon (WAC): 3.55% Weighted Average Recovery Rate (WARR): 46.04% 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. EFMT 2025-INV4: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to EFMT 2025-INV4's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed-, and adjustable-rate fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, manufactured housing, condotels, and five- to 10-unit multifamily residential properties, to prime and nonprime borrowers. The pool consists of 951 ability-to-repay (ATR)-exempt residential mortgage loans backed by 1,004 properties, including sixteen cross-collateralized loans backed by 69 properties. The preliminary ratings are based on information as of Sept. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties (R&Ws) framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic and sector outlook, which consider 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 List(i) EFMT 2025-INV4 Class A-1, $189,987,000: AAA (sf) Class A-1A, $159,245,000: AAA (sf) Class A-1B, $30,742,000: AAA (sf) Class A-1F, $25,000,000: AAA (sf) Class A-1IO, $25,000,000: AAA (sf) Class A-2, $31,309,000: AA- (sf) Class A-3, $42,789,000: A- (sf) Class M-1, $22,612,000: BBB- (sf) Class B-1, $16,872,000: BB- (sf) Class B-2, $12,002,000: B- (sf) Class B-3, $7,305,446: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. NR--Not rated. N/A--Not applicable. ELMWOOD CLO 44: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 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 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. ELMWOOD CLO VIII: S&P Affirms B- (sf) Rating on Class F-R Notes --------------------------------------------------------------- S&P Global Ratings took various rating actions on 31 classes of debt from Elmwood CLO 16 Ltd., Elmwood CLO 33 Ltd., Elmwood CLO IV Ltd., Elmwood CLO VI Ltd., and Elmwood CLO VIII Ltd., all broadly syndicated U.S. CLO transactions. S&P lowered five ratings and removed them from CreditWatch, where they were placed with negative implications on Aug. 11, 2025, due to indicative cash flow results and credit support at that time. S&P also affirmed 26 ratings from the five transactions. The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In S&P's review, it analyzed each transaction's performance and cash flows and applied its global corporate CLO criteria in our rating decisions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporates other considerations into its decision to raise, lower, or affirm ratings, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its debt; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The downgrades primarily reflect the respective class's indicative cash flow results and decreased credit support as a result of a combination of principal losses, reduced recoveries, and a decline in the weighted average spread in their respective portfolios. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. S&P said, "Although our cash flow analysis indicated a different rating for some classes of debt, we affirmed or took the rating action, as listed below, after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings list Rating Issuer Class From To Elmwood CLO 16 Ltd. A-R AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. Elmwood CLO 16 Ltd. B-R AA (sf) AA (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO 16 Ltd. C-R A (sf) A (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO 16 Ltd. D-R BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO 16 Ltd. E-R BB- (sf)/ B+ (sf) Watch neg Rationale: Decline in credit support and failing cash flows at the previous rating. Although the cash flow results pointed to a lower rating, S&P limited its downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO 16 Ltd. F-R B- (sf) B- (sf) Rationale: Although the cash flow results pointed to a lower rating, S&P affirmed the existing rating as it does not believe that the tranche is currently dependent on favorable conditions in accordance with its 'CCC' definitions based on its current credit enhancement and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO 33 Ltd. A-R AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO 33 Ltd. B-R AA (sf) AA (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO 33 Ltd. C-R A (sf) A (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO 33 Ltd. D-1R BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO 33 Ltd. D-2R BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO 33 Ltd. E-R BB- (sf)/ B+ (sf) Watch neg Rationale: Decline in credit support and failing cash flows at the previous rating. Although the cash flow results pointed to a lower rating, S&P limited its downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO IV Ltd. A-R AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO IV Ltd. B-R AA (sf) AA (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO IV Ltd. C-R A (sf) A (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO IV Ltd. D-R BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO IV Ltd. E-R BB- (sf)/ B+ (sf) Watch neg Rationale: Decline in credit support and failing cash flows at the previous rating. Although the cash flow results pointed to a lower rating, S&P limited its downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO IV Ltd. F-R B- (sf) B- (sf) Rationale: Although the cash flow results pointed to a lower rating, S&P affirmed the existing rating as it does not believe that the tranche is currently dependent on favorable conditions in accordance with its 'CCC' definitions based on its current credit enhancement and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VI Ltd. A-RR AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO VI Ltd. B-RR AA (sf) AA (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO VI Ltd. C-RR A (sf) A (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO VI Ltd. D-1-RR BBB- (sf) BBB- (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO VI Ltd. D-2-RR BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VI Ltd. E-RR BB- (sf)/ B+ (sf) Watch neg Rationale: Decline in credit support and failing cash flows at the previous rating. Although the cash flow results pointed to a lower rating, S&P limited its downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VI Ltd. F-RR B- (sf) B- (sf) Rationale: Although the cash flow results pointed to a lower rating, S&P affirmed the existing rating as it does not believe that the tranche is currently dependent on favorable conditions in accordance with its 'CCC' definitions based on its current credit enhancement and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VIII Ltd. A-R AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO VIII Ltd. B-R AA (sf) AA (sf) Rationale: Passes cash flow at current rating level and at a higher rating. However, rating was affirmed since the CLO is still in its reinvestment period and its portfolio is subject to potential change and volatility. Elmwood CLO VIII Ltd. C-R A (sf) A (sf) Rationale: Cash flow passes at the current rating level Elmwood CLO VIII Ltd. D-R BBB- (sf) BBB- (sf) Rationale: Although the cash flow results pointed to a one notch lower rating, S&P affirmed the existing rating based on the margin of failure, current credit enhancement, and the portfolio's exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VIII Ltd. E-R BB- (sf)/ B+ (sf) Watch neg Rationale: Decline in credit support and failing cash flows at the previous rating. Although the cash flow results pointed to a lower rating, S&P limited its downgrade to one notch based on its current credit enhancement and after considering the exposure to 'CCC'/'CCC-' rated assets. Elmwood CLO VIII Ltd. F-R B- (sf) B- (sf) Rationale: Although the cash flow results pointed to a lower rating, S&P affirmed the existing rating as it does not believe that the tranche is currently dependent on favorable conditions in accordance with its 'CCC' definitions based on its current credit enhancement and the portfolio's exposure to 'CCC'/'CCC-' rated assets. FLAGSHIP CREDIT 2024-1: S&P Lowers Cl. E Notes Rating to 'B+ (sf)' ------------------------------------------------------------------ S&P Global Ratings took various rating actions on 34 classes from 12 Flagship Credit Auto Trust (FCAT) transactions. The ABS transactions are backed by subprime retail auto loan receivables originated by Flagship Credit Acceptance LLC and CarFinance Capital LLC and serviced by Flagship Credit Acceptance LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, the transactions' structures, and their credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent U.S. macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering these factors, S&P believes the notes' creditworthiness is consistent with the raised, lowered, and affirmed ratings. Each transaction's collateral performance continues to trend worse than S&P's previously revised CNL expectations. In addition, delinquencies and extensions for these transactions have been trending higher. Except for FCAT 2024-1, each transaction's overcollateralization is below its target, and all transactions are at their reserve targets. Table 1 FCAT collateral performance (%)(i) Pool 60+ day Series Mo. Factor delinq. Ext. CGL CRR CNL 2019-3 73 2.36 21.71 1.52 19.38 46.29 10.41 2019-4 70 3.03 17.17 1.71 18.74 46.99 9.93 2020-1 67 3.83 17.62 2.82 16.77 47.68 8.77 2020-2 64 4.44 14.98 2.31 14.39 47.91 7.50 2020-3 61 5.99 13.50 2.77 15.16 46.70 8.08 2020-4 58 7.23 11.86 2.77 14.67 45.54 7.99 2021-1 55 9.11 14.62 4.21 14.16 44.74 7.82 2021-2 52 11.79 13.93 3.70 16.95 42.45 9.76 2023-1 31 37.76 10.46 4.44 23.16 37.18 14.55 2023-2 28 43.47 11.49 4.14 23.81 37.06 14.99 2023-3 25 48.60 9.93 4.31 21.03 37.24 13.20 2024-1 17 63.29 8.32 4.11 12.60 37.30 7.90 (i)As of the September 2025 distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 FCAT overcollateralization summary (%)(i) Series Current Target Current ($) Target ($) (%)(ii) (%)(iii) 2019-3 34.96 6.25 2,774,628 3,365,837 2019-4 24.62 5.50 2,990,667 4,006,928 2020-1 20.33 5.50 2,776,504 3,567,849 2020-2 19.53 12.60 2,261,429 2,608,899 2020-3 15.71 9.80 2,118,844 2,250,000 2020-4 12.77 10.25 2,905,169 3,148,007 2021-1 10.59 10.25 2,655,786 2,753,247 2021-2 7.27 6.85 3,167,744 3,695,499 2023-1 5.96 7.50 10,230,078 12,884,138 2023-2 4.21 6.75 8,273,623 13,269,389 2023-3 4.70 4.85 8,040,341 8,290,509 2024-1 7.80 7.80 17,772,872 17,772,872 (i)As of the September 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the overcollateralization target on any distribution date is equal to the greater of the target percentage of the current pool balance and 1% of the initial pool balance. Table 3 FCAT reserve amount summary (%)(i) Series Current Target Current ($) Target ($) (%)(ii) (%)(iii) 2019-3 42.40 1.00 3,365,835 3,365,837 2019-4 32.98 1.00 4,006,927 4,006,928 2020-1 26.13 1.00 3,567,839 3,567,849 2020-2 45.05 2.00 5,217,796 5,217,798 2020-3 25.02 1.50 3,375,000 3,375,001 2020-4 13.83 1.00 3,148,006 3,148,007 2021-1 10.98 1.00 2,753,247 2,753,247 2021-2 8.48 1.00 3,695,499 3,695,499 2023-1 2.65 1.00 4,550,000 4,550,002 2023-2 2.30 1.00 4,522,616 4,522,616 2023-3 2.06 1.00 3,517,606 3,517,606 2024-1 1.58 1.00 3,600,001 3,600,001 (i)As of the September 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal the target percentage of the initial pool balance. In view of each series' performance to date, alongside persistent macroeconomic challenges and relatively weaker recovery rates, S&P increased its expected CNLs for each series from their previous revised levels. Table 4 CNL expectations (%) Lifetime CNL exp. Series Original Previous Current revised 2019-3 12.25-12.75 10.60(ii) 10.70 2019-4 12.00-12.50 10.00(ii) 10.40 2020-1 12.00-12.50 8.75(ii) 9.40 2020-2 14.00-14.50 7.50(ii) 8.10 2020-3 14.00-14.50 8.50(ii) 9.00 2020-4 13.25-13.75 8.50(ii) 9.15 2021-1 13.00-13.50 8.50(ii) 9.15 2021-2 11.50-12.00 10.25(ii) 11.30 2023-1 12.00-12.50 17.25(ii) 22.50 2023-2 12.25-12.75 18.25(ii) 24.75 2023-3 12.25-12.75 18.25(ii) 24.50 2024-1 13.25-13.75 N/A 20.00 (i)As of the September 2025 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal the target percentage of the initial pool balance. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority (which will increase the credit enhancement for the senior notes as the pool amortizes), as well as credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. The transactions' sequential principal payment structures have led to an increase in components of hard credit enhancement as a percentage of the current collateral balance since issuance. Table 5 Hard credit support(i) Series Class Total hard Current total Credit support hard credit at issuance (%) support at issuance (%) 2019-3 E 1.75 77.36 2019-4 E 1.50 57.60 2020-1 E 1.50 46.46 2020-2 E 8.60 64.58 2020-3 D 11.00 115.76 2020-3 E 6.50 40.73 2020-4 D 8.90 84.03 2020-4 E 4.75 26.60 2021-1 D 8.85 66.58 2021-1 E 4.75 21.56 2021-2 C 13.60 106.90 2021-2 D 6.85 49.66 2021-2 E 2.85 15.75 2023-1 A-3 37.15 99.72 2023-1 B 28.90 77.86 2023-1 C 18.10 49.26 2023-1 D 10.40 28.87 2023-1 E 2.75 8.60 2023-2 A-3 37.15 88.53 2023-2 B 28.80 69.32 2023-2 C 17.50 43.32 2023-2 D 9.50 24.92 2023-2 E 1.50 6.51 2023-3 A-3 36.45 78.68 2023-3 B 27.60 60.47 2023-3 C 15.85 36.29 2023-3 D 6.90 17.88 2023-3 E 1.50 6.76 2024-1 A-2 40.60 66.26 2024-1 A-3 40.60 66.26 2024-1 B 30.15 49.75 2024-1 C 17.10 29.13 2024-1 D 7.85 14.51 2024-1 E 4.60 9.38 (i)As of the collection period ended Aug. 31, 2025. (ii)Calculated as a percentage of the total receivable pool balance and, if applicable, consisting of a reserve account, overcollateralization, and subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated an analysis of current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone, without giving credit to the excess spread, was sufficient to support the rating actions, in our view. For some series, we incorporated a cash flow analysis to assess the loss coverage levels for the notes, giving credit to stressed excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance. In addition, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "We also looked at total credit support (as a percentage of the amortizing pool balance) compared with our minimum expected remaining losses, based on the collection period ended August 2025 (the September 2025 distribution date). The cash flow results demonstrated that the classes have adequate credit enhancement at the raised, lowered, and affirmed rating levels. "We will continue to monitor each transaction's the performance to ensure that the credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each rated class." Fourteen Ratings Raised And 25 Affirmed From 12 Flagship Credit Auto Trust Transactions, Oct. 21, 2024 Presale: Flagship Credit Auto Trust 2024-1, April 3, 2024 Presale: Flagship Credit Auto Trust 2023-3, Aug. 2, 2023 Presale: Flagship Credit Auto Trust 2023-2, April 24, 2023 Presale: Flagship Credit Auto Trust 2023-1, Jan. 25, 2023 Presale: Flagship Credit Auto Trust 2021-2, May 6, 2021 Presale: Flagship Credit Auto Trust 2021-1, Jan. 28, 2021 Presale: Flagship Credit Auto Trust 2020-4, Oct. 22, 2020 Presale: Flagship Credit Auto Trust 2020-3, July 23, 2020 Presale: Flagship Credit Auto Trust 2020-2, May 14, 2020 Presale: Flagship Credit Auto Trust 2020-1, Feb. 5, 2020 Presale: Flagship Credit Auto Trust 2019-4, Nov. 6, 2019 Presale: Flagship Credit Auto Trust 2019-3, Aug. 7, 2019 Ratings Raised Flagship Credit Auto Trust Series 2019-3, class E to 'AAA (sf)' from 'AA- (sf)' Series 2019-4, class E to 'AAA (sf)' from 'A+ (sf)' Series 2020-1, class E to 'AA- (sf)' from 'A (sf)' Series 2020-2, class E to 'AAA (sf)' from 'AA+ (sf)' Series 2020-3, class E to 'A+ (sf)' from 'A- (sf)' Series 2021-2, class D to 'AAA (sf)' from 'AA (sf)' Series 2023-1, class B to 'AAA (sf)' from 'AA (sf)' Series 2023-1, class C to 'AA- (sf)' from 'A (sf)' Series 2023-2, class B to 'AAA (sf)' from 'AA (sf)' Series 2023-3 class B to 'AA+ (sf)' from AA (sf)' Ratings Lowered Flagship Credit Auto Trust Series 2023-1, class E to 'B- (sf)' from 'BB- (sf) Series 2023-2, class E to 'B- (sf)' from 'BB- (sf) Series 2023-3, class D to 'B (sf)' from 'BBB (sf) Series 2023-3, class E to 'B- (sf)' from 'BB- (sf) Series 2024-1, class D to 'BB+ (sf)' from 'BBB (sf) Series 2024-1, class E to 'B+ (sf)' from 'BB (sf) Ratings Affirmed Flagship Credit Auto Trust Series 2020-3, class D: AAA (sf)' Series 2020-4, class D: AAA (sf)' Series 2020-4, class E: BBB (sf)' Series 2021-1, class D: AAA (sf)' Series 2021-1, class E: BBB (sf)' Series 2021-2, class C: AAA (sf)' Series 2021-2, class E: BB (sf)' Series 2023-1, class A-3: AAA (sf)' Series 2023-1, class D: BBB (sf)' Series 2023-2, class A-3: AAA (sf)' Series 2023-2, class C: A (sf)' Series 2023-2, class D: BBB (sf)' Series 2023-3, class A-3: AAA (sf)' Series 2023-3, class C: A (sf)' Series 2024-1, class A-2: AAA (sf)' Series 2024-1, class A-3: AAA (sf)' Series 2024-1, class B: AA (sf)' Series 2024-1, class C: A (sf)' GCAT TRUST 2025-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 66 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2025-INV4 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities serviced by Fay Servicing, LLC, with Nationstar Mortgage LLC serving as master servicer. The complete rating actions are as follows: Issuer: GCAT 2025-INV4 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned 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 Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, 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 Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (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 Aa1 (sf) Cl. A-X-31*, Definitive Rating Assigned Aaa (sf) Cl. A-X-32*, Definitive Rating Assigned Aaa (sf) Cl. A-X-33*, Definitive Rating Assigned Aaa (sf) Cl. A-X-34*, Definitive Rating Assigned Aaa (sf) Cl. A-X-35*, 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 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 rating for the Class A-1A Loans assigned on September 12, 2025, because the issuer will not be issuing this class. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.80%, in a baseline scenario-median is 0.45% and reaches 10.54% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. GLOBAL SC: DBRS Finalizes BB Rating on Class B Notes ---------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Fixed Rate Deferrable Interest Structured Notes, Series 2025-1H (the Offered Notes) issued by Global SC Finance X Limited (the Issuer): -- $460,000,000 Class A Notes at BBB (sf) -- $40,000,000 Class B Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Offered Notes are based on Morningstar DBRS' review of the following considerations: (1) The Offered Notes are 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 this transaction. -- In its cash flow scenarios, Morningstar DBRS only assigned limited credit to potential residual cash flows from one warehouse facility (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 warehouse, 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. Morningstar DBRS' credit ratings on the Offered Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the associated Note Interest Payment, Aggregate Note Principal Balance, and interest on unpaid interest. Notes: All figures are in U.S. dollars unless otherwise noted. GOLUB CAPITAL 55(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 55(B)-R, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 55(B)-R, Ltd. A-L-R LT AAAsf New Rating B-R LT AAsf New Rating C-1-R LT Asf New Rating C-2-R LT A-sf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital Partners CLO 55(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL 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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.85 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 98.84% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.13% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 49% 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-L-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-1-R, between 'B-sf' and 'BBB+sf' for class C-2-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-L-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-1-R, 'AA-sf' for class C-2-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 55(B)-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GOLUB CAPITAL 82(B): Fitch Assigns 'BB-sf' Final Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Golub Capital CLO 82(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital CLO 82(B), Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Golub Capital CLO 82(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.89, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 51.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.25% 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-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and '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, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' 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 September 23, 2025 ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital CLO 82(B), 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. GOLUB CAPITAL 82(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital CLO 82(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital CLO 82(B), Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Golub Capital CLO 82(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.89, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 51.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and '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, 'AA+sf' for class C, 'A+sf' for class D-1, and 'Asf' 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 Golub Capital CLO 82(B), Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GS MORTGAGE 2014-GC24: Moody's Lowers Rating on 2 Tranches to B2 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in GS Mortgage Securities Trust 2014-GC24, Commercial Mortgage Pass-Through Certificates, Series 2014-GC24 as follows: Cl. A-S, Downgraded to A3 (sf); previously on Mar 27, 2025 Downgraded to A1 (sf) Cl. B, Downgraded to B2 (sf); previously on Mar 27, 2025 Downgraded to Ba3 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Mar 27, 2025 Downgraded to Caa2 (sf) Cl. PEZ, Downgraded to B3 (sf); previously on Mar 27, 2025 Downgraded to B2 (sf) Cl. X-A*, Downgraded to A3 (sf); previously on Mar 27, 2025 Downgraded to A1 (sf) Cl. X-B*, Downgraded to B2 (sf); previously on Mar 27, 2025 Downgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were downgraded due to the potential for higher losses and increase in interest shortfalls as a result of the exposure to specially serviced loans. Four loans constituting 100% of the pool are in special servicing and the largest specially serviced loan, Stamford Plaza Portfolio (41% of the pool) is secured by office properties with cash flows well below levels at securitization, and has not been generating sufficient cash flow to cover operating shortfalls and debt service since 2019. The loan has been deemed non-recoverable by the master servicer. Furthermore, the specially serviced loans are all two or more months delinquent and have each recognized appraisal reduction amounts as of the September 2025 remittance statement. The rating on the interest-only (IO) classes, Cl. X-A and Cl. X-B, were downgraded due to the decline in the credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 51.1% of the current pooled balance, compared to 49.2% at Moody's last review. Moody's base expected loss plus realized losses is now 15.7% of the original pooled balance, unchanged from 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 Moody's 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 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. 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, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the September 2025 distribution date, the transaction's aggregate certificate balance has decreased by 72% to $304 million from $1.07 billion at securitization. The certificates are collateralized by four remaining specially serviced mortgage loans. As of the September 2025 remittance report, three loans have been deemed non-recoverable by the Master Servicer. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $13.5 million (for an average loss severity of 35.7%). As of the September 2025 remittance statement cumulative interest shortfalls were $5.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Stamford Plaza Portfolio Loan ($125.6 million – 41.3% of the pool), which represents a pari passu portion of a $242.2 million senior mortgage loan. The property is also encumbered by $227.2 million of mezzanine financing. The loan is secured by a four-building office complex representing approximately 982,500 SF and located in Stamford, Connecticut. The loan has been in special servicing since August 2024 after failing to pay off at maturity. As of June 2025, the portfolio was 68% leased, compared to 64% in 2024 and 88% at securitization. The portfolio's cash flow has been distressed since 2018 due to lower occupancy and the loan's actual reported NOI DSCR has been below 1.00X since 2019. The portfolio's year-end 2024 NOI has declined over 50% since securitization and the loan is actively under cash management with all property cash flow being controlled by the lender. Servicer commentary indicates the borrower submitted a proposal and it is being reviewed while also dual tracking foreclosure. The loan has been deemed non-recoverable by the master servicer. Due to the weak office fundamental performance in the CBD of Stamford, CT and the distressed performance of this loan, Moody's anticipated a significant loss on this loan. The second largest specially serviced loan is the is the Coastal Grand Mall Loan ($88 million – 28.9% of the pool), which is secured by an approximately 631,200 SF component of a 1.1 million SF enclosed super-regional mall located in Myrtle Beach, South Carolina. The non-collateral anchors include Dillard's and Belk and the collateral anchor, J.C. Penney is a ground lease tenant. The collateral is 50% owned by CBL & Associates Properties, Inc. and 50% owned by Burroughs & Chapin Company, Inc. The loan previously received Covid relief in May 2020 due to the pandemic but returned to the master servicer in September 2020. The loan transferred to the special servicing in August 2024 after the borrower was unable to pay off the loan at scheduled maturity. The loan has been deemed non-recoverable by the master servicer. The loan has amortized by 30% since securitization. Servicer commentary indicated that the lender is engaged in potential modification discussions with the borrower, while dual tracking foreclosure. The third largest specially serviced loan is the Beverly Connection Loan ($87.5 million – 28.8% of the pool), which represents a pari passu portion of a $175.0 million senior mortgage loan. The property is also encumbered by a $35.0 million B-note. The loan is secured by an approximately 334,600 square feet (SF), two-level, power center located on the border of Beverly Hills and West Hollywood in Los Angeles, California. The collateral is comprised of a fee simple interest in approximately 270,700 SF of retail space and a leasehold interest in the remaining portion with a ground lease expiration in December 2085. The largest tenant, Target, accounts for 30% of net rentable area (NRA) with a lease expiration in 2029. Other national tenants at the property include Marshalls (10% of NRA), Ross Dress for Less (9% of NRA), Nordstrom Rack (9% of NRA), and Saks Fifth Avenue Off Fifth (8% of NRA). As of the February 2025 rent roll, the property was 90% leased. An updated appraised value from December 2024 reflected a 26% decline in value since securitization and was slightly above the senior mortgage loan balance, however, it was 8% below the outstanding whole loan balance (inclusive of the B-note). The loan is interest-only through its term and was last paid through the September 2025 payment date. The loan is actively cash managed with all property cash flow being controlled by the lender. The loan was modified and extended with a new maturity date in July 2026. The remaining specially serviced loan is secured by a single tenant retail property in Grand Blanc, Michigan that is 100% vacant and has been deemed non-recoverable by the master servicer. Moody's estimates an aggregate $155 million loss for the specially serviced loans (51% expected loss on average). GS MORTGAGE 2017-GS7: Fitch Affirms 'B+sf' Rating on Cl. G-RR Notes ------------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust 2017-GS7. The Rating Outlooks remain Negative for ten affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2017-GS7 A-2 36254CAT7 LT AAAsf Affirmed AAAsf A-3 36254CAU4 LT AAAsf Affirmed AAAsf A-4 36254CAV2 LT AAAsf Affirmed AAAsf A-AB 36254CAW0 LT AAAsf Affirmed AAAsf A-S 36254CAZ3 LT AAsf Affirmed AAsf B 36254CBA7 LT Asf Affirmed Asf C 36254CBB5 LT BBBsf Affirmed BBBsf D 36254CAA8 LT BBB-sf Affirmed BBB-sf E 36254CAE0 LT BB+sf Affirmed BB+sf F-RR 36254CAG5 LT BBsf Affirmed BBsf G-RR 36254CAJ9 LT B+sf Affirmed B+sf H-RR 36254CAL4 LT CCCsf Affirmed CCCsf X-A 36254CAX8 LT AAsf Affirmed AAsf X-B 36254CAY6 LT BBBsf Affirmed BBBsf X-D 36254CAC4 LT BB+sf Affirmed BB+sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss increased to 6.8% from 6.2% since Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise eight loans (34.5% of the pool), including two loans (11.8%) in special servicing. The Negative Outlooks incorporate an additional sensitivity scenario on the 90 Fifth Avenue (FLOC; 3.7%) loan that considers a heightened loss given default to account for refinance risk. The Negative Outlooks also reflect possible downgrades if re-leasing efforts to backfill expiring leases at Lafayette Centre (FLOC; 8.1%) remain unsuccessful, if loan performance of One West 34th Street (FLOC; 2.0%) fails to stabilize or loss expectations on the specially serviced loans increase further due to lower valuations and/or with extended resolution times. Additionally, the Negative Outlooks reflect the pool's high concentration of office loans, comprising 53% of the pool. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations is the Lafayette Centre loan, which is secured by a 793,533-sf office property in Washington, D.C. (three office buildings connected by an outdoor plaza and a below-grade mall level). The loan transferred to special servicing in June 2024 for imminent monetary default as the largest tenant, U.S. Commodity Futures Trading Commission (CFTC), had initially noted its intention to vacate and not renew its lease, which was scheduled to expire in September 2025. The tenant represents 37% of the NRA and approximately 60% of the total rent. However, according to the servicer, CFTC subsequently extended its lease for an additional year through September 2026, as of August 2025. Additionally, Medstar, the second-largest tenant, leases 14.2% of the NRA through 2031, but has a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the March 2025 rent roll, the property was 73% occupied with a most recent servicer-reported NOI DSCR of 1.87x as of March 2024, compared with 1.99x as of YE 2023. According to servicer updates, the borrower executed a pre-negotiation letter, and discussions are ongoing regarding a possible consensual receivership and leasing opportunities with current and new tenants. According to CoStar, as of 3Q25, the Washington, D.C., office submarket market reported a 17.4% vacancy rate, 19.4% availability rate and $57.07 psf market asking rent. Fitch's 'Bsf' rating case loss of 28.4% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the TTM March 2024 NOI to account for occupancy declines, higher submarket vacancy rate and upcoming rollover of the largest tenant in 2026. Fitch's analysis also incorporates an increased probability of default to account for heightened refinance risk. The second-largest increase in loss since the prior rating action and fourth-largest contributor to overall pool loss expectations is One West 34th Street, which is secured by a 215,205-sf office property located in Manhattan, New York City. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; leased through January 2034), International Inspiration (4.2%; November 2026), and Amazon (3.5%; October 2026). Property occupancy declined to 77.8% as of the December 2024 servicer-provided rent roll from 78.3% at YE 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy declined between 2023 and 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 0.97x as of YE 2024, compared with 1.05x at YE 2023, 0.87x at YE 2022 and 0.82x at YE 2021. According to CoStar, the property lies within the Penn Plaza/Garment Office Submarket of the New York market area. According to CoStar, as of 3Q25, the office submarket market reported a 14.2% vacancy rate, 13.9% availability rate and $102.47 psf market asking rent. Fitch's 'Bsf' case loss of 34.7% (prior to a concentration adjustment) is based on a 9.25% cap rate and 10.0% stress to YE 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. The second-largest contributor to overall pool loss expectations is the 90 Fifth Avenue, which is secured by a 139,886-sf office and retail property located adjacent to the Fifth Avenue and West 14th Street subway stop, north of Union Square in Manhattan. The loan transferred to special servicing in March 2024 due to the borrower's failure to remit property tax payments. According to the servicer, foreclosure and receivership was filed in February 2025, with litigation ongoing, as of September 2025. Occupancy was 91% as of September 2024, unchanged from YE 2023, compared with 100% at YE 2022 and YE 2021, and 92% at issuance. The property has a major tenant concentration with the largest tenant, Urban Compass (72.1% NRA through May 2025), which has served as the headquarters for the company. Additional tenants include Republic First Bancorp (7.5%; July 2034) and Commerce Bank, NA (2.8%; November 2027). According to the servicer, a leasing update was requested for the Urban Compass space and as of May 2025, the tenant vacated upon lease expiration with no potential tenants noted to backfill the space. In addition, the servicer noted that the property occupancy was 84% as of May 2025 and the occupancy following Urban Compasses departure was approximately 12%. As Urban Compass failed to renew its lease 24 months prior to lease expiration, which was by May 2023, a cash flow sweep commenced; excess cash will be applied towards re-tenanting costs for the Urban Compass space. As of May 2025, the balance of the cash flow sweep account was $8.1 million. The servicer-reported September 2024 NOI DSCR was 1.61x, compared with 2.04x at YE 2023, compared with 1.80x at YE 2022, 1.89x at YE 2021 and 1.82x at YE 2020. Fitch's 'Bsf' rating case loss of 31.1% (prior to concentration add-ons) reflects an 8.25% cap rate and a 10% stress to the YE 2023 NOI. Fitch also included an additional sensitivity scenario in its analysis to account for the significant decline in occupancy and elevated refinance risk where the loan-level 'Bsf' sensitivity case loss increases to 50% (prior to concentration add-ons); this scenario contributed to the Negative Outlooks. Changes in Credit Enhancement (CE): As of the September 2025 distribution date, the pool's aggregate balance has been reduced by 8.5% to $989.2 million from $1.1 billion at issuance. Three loans (6.1% of pool) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued paydowns from amortization and loan repayments, but may happen if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' and 'Asf' category rated class could occur should performance of the FLOCs, most notably Lafayette Centre, One West 34th Street, and 90 Fifth Avenue, deteriorate further, higher-than-expected losses on the specially serviced loans and/or more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance, and with greater certainty of losses on the specially serviced loan or other FLOCs. - Downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated class is not expected, but possible with increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of the FLOCs, Lafayette Centre, One West 34th Street, and 90 Fifth Avenue. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' category rated class is not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the 'CCCsf' rated class is not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-CES2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings assigns final ratings to the residential mortgage-backed securities issued by GS Mortgage-Backed Securities Trust 2025-CES2 (GSMBS 2025-CES2). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2025-CES2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 4,157 closed-end second (CES) loans with a total balance of approximately $296 million as of the cutoff date. 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 9.8% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 4,157 loans totaling approximately $296 million and seasoned at about 14 months in aggregate, as calculated by Fitch (nine months, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 728, a debt-to-income ratio (DTI) of 41.1% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 74.0%. Of the pool, 96.3% of loans are secured by primary residences, 3.2% by investor properties, and 0.5% by second homes. In addition, 8.0% of loans were originated through a retail channel, and 29.9% are designated non-qualified mortgages (NQMs). Of the remainder, 36.8% are safe-harbor qualified mortgages (SHQMs) and 30.5% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second Lien Collateral (Negative): The entire collateral pool comprises CES loans contributed by various originators. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180-Day Chargeoff Feature (Positive): The servicer has the ability, but not the obligation, to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. The controlling holder must be notified of the decision and respond within five business days with their disagreement or the servicer may treat a lack of response as consent and proceed with the chargeoff. To the extent the servicer expects meaningful recovery in any liquidation scenario, they may continue to monitor the loan and not charge it off. While the 180-day chargeoff 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 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. CRITERIA VARIATION Per its U.S. RMBS Rating Criteria, Fitch must assess originators that make up over 15% of a loan pool. Although Amerisave comprises roughly 34% of the loans in the pool, Fitch did not conduct an assessment for it. Instead, Fitch received a presentation from Amerisave that described their management structure and provided operational details that Fitch would typically obtain during an operational risk review. Fitch also confirmed that the loans were underwritten to Goldman Sach's underwriting guidelines. Fitch is comfortable with the portion of the pool originated by Amerisave due to the following factors: the firm provided adequate information, the loans were underwritten to Goldman's guidelines, the credit profile of the loans, the seasoning and pay history of the loans, and GS is an 'Above Average' aggregator that conducts operational risk reviews over their originators. There was no impact to the losses due to this variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. Goldman will also help facilitate a review after the transaction closes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC, Incenter, LLC, d/b/a Edgemac, Digital Risk, LLC, and Opus Capital Markets Consultants, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 100% of the pool by loan count in which diligence was conducted. This adjustment resulted in an 85bps reduction to the 'AAAsf' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-CES2: Fitch Gives B(EXP)sf Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-CES2 (GSMBS 2025-CES2). Entity/Debt Rating ----------- ------ GSMBS 2025-CES2 A-1 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 R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,157 closed-end second (CES) loans with a total balance of approximately $296 million as of the cutoff date. The transaction is expected to close on Sept. 30, 2025. 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 9.8% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 4,157 loans totaling approximately $296 million and seasoned at about 14 months in aggregate, as calculated by Fitch (nine months, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 728, a debt-to-income ratio (DTI) of 41.1% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 74.0%. Of the pool, 96.3% of loans are secured by primary residences, 3.2% by investor properties, and 0.5% by second homes. In addition, 8.0% of loans were originated through a retail channel, and 29.9% are designated non-qualified mortgages (NQMs). Of the remainder, 36.8% are safe-harbor qualified mortgages (SHQMs) and 30.5% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second Lien Collateral (Negative): The entire collateral pool comprises CES loans contributed by various originators. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180-Day Chargeoff Feature (Positive): The servicer has the ability, but not the obligation, to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. The controlling holder must be notified of the decision and respond within five business days with their disagreement or the servicer may treat a lack of response as consent and proceed with the chargeoff. To the extent the servicer expects meaningful recovery in any liquidation scenario, they may continue to monitor the loan and not charge it off. While the 180-day chargeoff 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 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. CRITERIA VARIATION Per its U.S. RMBS Rating Criteria, Fitch must assess originators that make up over 15% of a loan pool. Although Amerisave comprises roughly 34% of the loans in the pool, Fitch did not conduct an assessment for it. Instead, Fitch received a presentation from Amerisave that described their management structure and provided operational details that Fitch would typically obtain during an operational risk review. Fitch also confirmed that the loans were underwritten to Goldman Sach's underwriting guidelines. Fitch is comfortable with the portion of the pool originated by Amerisave due to the following factors: the firm provided adequate information, the loans were underwritten to Goldman's guidelines, the credit profile of the loans, the seasoning and pay history of the loans, and GS is an 'Above Average' aggregator that conducts operational risk reviews over their originators. There was no impact to the losses due to this variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. Goldman will also help facilitate a review after the transaction closes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC, Incenter, LLC, d/b/a Edgemac, and Opus Capital Markets Consultants, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 100% of the pool by loan count in which diligence was conducted. This adjustment resulted in an 85bps reduction to the 'AAAsf' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-PJ8: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on 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 AAA (sf) -- $242.7 million Class A-2 at AAA (sf) -- $242.7 million Class A-3 at AAA (sf) -- $182.0 million Class A-4 at AAA (sf) -- $182.0 million Class A-5 at AAA (sf) -- $182.0 million Class A-6 at AAA (sf) -- $145.6 million Class A-7 at AAA (sf) -- $145.6 million Class A-8 at AAA (sf) -- $145.6 million Class A-9 at AAA (sf) -- $36.4 million Class A-10 at AAA (sf) -- $36.4 million Class A-11 at AAA (sf) -- $36.4 million Class A-12 at AAA (sf) -- $97.1 million Class A-13 at AAA (sf) -- $97.1 million Class A-14 at AAA (sf) -- $97.1 million Class A-15 at AAA (sf) -- $60.7 million Class A-16 at AAA (sf) -- $60.7 million Class A-17 at AAA (sf) -- $60.7 million Class A-18 at AAA (sf) -- $27.6 million Class A-19 at AAA (sf) -- $27.6 million Class A-20 at AAA (sf) -- $27.6 million Class A-21 at AAA (sf) -- $270.3 million Class A-22 at AAA (sf) -- $270.3 million Class A-23 at AAA (sf) -- $270.3 million Class A-24 at AAA (sf) -- $80.9 million Class A-27 at AAA (sf) -- $80.9 million Class A-X-27 at AAA (sf) -- $80.9 million Class A-29 at AAA (sf) -- $80.9 million Class A-X-29 at AAA (sf) -- $80.9 million Class A-30 at AAA (sf) -- $80.9 million Class A-X-30 at AAA (sf) -- $351.2 million Class A-X-1 at AAA (sf) -- $242.7 million Class A-X-2 at AAA (sf) -- $242.7 million Class A-X-3 at AAA (sf) -- $242.7 million Class A-X-4 at AAA (sf) -- $182.0 million Class A-X-5 at AAA (sf) -- $182.0 million Class A-X-6 at AAA (sf) -- $182.0 million Class A-X-7 at AAA (sf) -- $145.6 million Class A-X-8 at AAA (sf) -- $145.6 million Class A-X-9 at AAA (sf) -- $145.6 million Class A-X-10 at AAA (sf) -- $36.4 million Class A-X-11 at AAA (sf) -- $36.4 million Class A-X-12 at AAA (sf) -- $36.4 million Class A-X-13 at AAA (sf) -- $97.1 million Class A-X-14 at AAA (sf) -- $97.1 million Class A-X-15 at AAA (sf) -- $97.1 million Class A-X-16 at AAA (sf) -- $60.7 million Class A-X-17 at AAA (sf) -- $60.7 million Class A-X-18 at AAA (sf) -- $60.7 million Class A-X-19 at AAA (sf) -- $27.6 million Class A-X-20 at AAA (sf) -- $27.6 million Class A-X-21 at AAA (sf) -- $27.6 million Class A-X-22 at AAA (sf) -- $27.6 million Class A-X-28 at AAA (sf) -- $270.3 million Class A-X-23 at AAA (sf) -- $270.3 million Class A-X-24 at AAA (sf) -- $270.3 million Class A-X-25 at AAA (sf) -- $17.1 million Class B-1 at AA (low) (sf) -- $17.1 million Class B-X-1 at AA (low) (sf) -- $17.1 million Class B-1A at AA (low) (sf) -- $5.3 million Class B-2 at A (low) (sf) -- $5.3 million Class B-X-2 at A (low) (sf) -- $5.3 million Class B-2A at A (low) (sf) -- $3.4 million Class B-3 at BBB (low) (sf) -- $2.1 million Class B-4 at BB (low) (sf) -- $571.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. 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 AAA (sf) credit ratings on the Notes reflect 7.75% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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 allowed for the issuance of Classes A-1L, A-2L and A-3L loans which would be the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes were not issued at closing. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-PJ8: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 65 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ8, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (88.0% by balance) and GSE-eligible (12.0% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 8.1% by loan balance), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ8 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-27, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-30, 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 Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (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 Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (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-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on September 16, 2025, because the issuer will not be issuing these 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 0.28%, in a baseline scenario-median is 0.11% and reaches 4.47% 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. GSF 2023-1: Fitch Affirms 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has affirmed the ratings for GSF 2023-1 LLC classes A-1, A-2, A-S, B, C, D, E, and X. Entity/Debt Rating Prior ----------- ------ ----- GSF 2023-1 A-1 362945AA5 LT AAAsf Affirmed AAAsf A-2 362945AC1 LT AAAsf Affirmed AAAsf A-S 362945AE7 LT AAAsf Affirmed AAAsf B 362945AG2 LT AA-sf Affirmed AA-sf C 362945AJ6 LT A-sf Affirmed A-sf D 362945AL1 LT BBB-sf Affirmed BBB-sf E 362945AQ0 LT BB-sf Affirmed BB-sf X 362945AN7 LT A-sf Affirmed A-sf Transaction Summary This is the transactions' fifth ramp and comprises the addition of six loans totaling $98.8 million. Following this addition, the pool will consist of 29 closed loans and one delayed close loan for a total of $678.9 million. All the loans are fixed rate and do not contain future funding facilities. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 84.5% of the pool by balance. Fitch's resulting aggregate trust net cash flow (NCF) of $62.5 million represents a 16.5% decline from the issuer's underwritten NCF of $74.8 million. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Leverage Compared to Recent Multiborrower Transactions: The pool's Fitch LTV 105.9% is lower than BBCMS 2025-5C36 Fitch LTV of 106.9%, higher than WFCM 2025-5C5 Fitch LTV of 100.1%, higher than WFCM 2025-5C3 Fitch LTV of 103.9%, lower than 2025 YTD CRE CLO Fitch LTV of 140.7%, and higher than the 2025 YTD multiborrower five-year Fitch LTV of 100.2%. In addition, the pool's Fitch DY is 9.2% is higher than BBCMS 2025-5C36 Fitch DY of 8.5%, lower than the WFCM 2025-5C5 Fitch DY of 9.6%, lower than WFCM 2025-5C3 Fitch DY of 9.5%, higher than 2025 YTD CRE CLO Fitch DY of 6.4%, and lower than the 2025 YTD multiborrower five-year average Fitch DY of 9.7%. Lower Interest Rates Compared to Recent CLO Transactions: The pool's weighed average note rate of 6.9% is higher than BBCMS 2025-5C36 note rate of 6.5%, higher than WFCM 2025-5C5 note rate of 6.7%, in line with WFCM 2025-5C3 note rate of 6.9%, lower than 2025 YTD CRE CLO note rate of 7.4%, and higher than 2025 YTD Mutliborrower five-year average of 6.6% In addition, the pool's Fitch Term DSCR is 1.17x, which is higher than BBCMS 2025-5C36 Fitch Term DSCR of 1.09x, lower than WFCM 2025-5C5 Fitch Term DSCR of 1.18x, lower than WFCM 2025-5C3 Fitch Term DSCR of 1.18x, higher than 2025 YTD CRE CLO Fitch Term DSCR of 0.76x, and lower than the 2025 YTD multiborrower five-year Fitch Term DSCR of 1.19x. Concentrated by Loan Size: The pool carries 30 loans with an effective loan count of 23.5. The pool's effective loan count of 23.5 is higher than BBCMS 2025-5C36 effective loan count of 19.6, higher than the 17.5 reported for WFCM 2025-5C5, higher than the 18.6 reported for WFCM 2025-5C3, higher than the 19.9 average for the 2025 YTD CRE CLO, and higher than the 21.4 average for 2025 YTD multiborrower five-year deals. The top 10 loans account for 54.2% of the pool; this is lower than BBCMS 2025-5C36 at 67.5%, WFCM 2025-5C5 at 67.1%, WFCM 2025-5C3 at 68.1%, 2025 YTD CRE CLO average of 61.8%, and lower than 61.8% average for 2025 YTD multiborrower five-year deals. Diverse by Property Type: GSF 2023-1 has an effective property count of 4.7 which is higher than BBCMS 2025-5C36 at 3.8, WFCM 2025-5C5 at 4.3, WCM 2025-5C3 at 4.1, 2025 YTD CRE CLO average of 1.7, and higher than the 2025 YTD multiborrower YTD five-year average of 4.6. Loans secured by retail properties represent 33.0%, which differentiates from the comp set that has little to no retail percentage and driven by multifamily concentration. The 2025 YTD CRE CLO and 2025 YTD multiborrower five-year average retail exposures of 2.2% and 16.6%, respectively. Diverse by Geography: GSF 2023-1 has an effective geographic count of 15.1 which is higher than BBCMS 2025-5C36 at 8.9, higher than WFCM 2025-5C5 at 6.2, higher than WFCM 2025-5C3 at 9.0, higher than 2025 YTD CRE CLO average of 11.5, and higher than 9.1 for 2025 YTD multiborrower five-year deals. Loans located in the Boston MSA account for 12.5% of the pool. In the comp set, WFCM 2025-5C5 is the most geographically concentrated with 31.4% of the pool located in the NYC MSA. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: A-1 and A-2/A-S/B/C/D/E - Original Rating: 'AAAsf/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvements in cash flow increase property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: A-1 and A-2/A-S/B/C/D/E - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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 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. HARVEST SBA 2025-1: DBRS Gives Prov. BB(high) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Harvest SBA Loan Trust 2025-1 (HSLT 2025-1): -- $77,300,000 Class A Notes at (P) A (low) (sf) -- $7,000,000 Class B Notes at (P) BBB (low) (sf) -- $3,500,000 Class C Notes at (P) BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The transaction's capital structure and available credit enhancement. Note subordination, cash held in the Reserve Account, and available excess spread, as well as other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 14.30%, 11.11%, and 9.32% respectively, for each of the A (low) (sf), BBB (low) (sf), and BB (high) (sf) rating categories. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing of SBA 7(a) loans: (1) Morningstar DBRS performed an operational review of Harvest and found it to be an acceptable originator and servicer for the collateral. (2) In addition, U.S. Bank National Association, which is an experienced servicer of CRE-backed loans, is the Backup Servicer and custodian for the transaction. -- A review by Morningstar DBRS of Harvest's historical collateral performance since Harvest began originating, which found low defaults and minimal net losses. -- A review of the initial collateral pool, which shows diversity by business type and property type, among other metrics, as well as strong overall credit characteristics, most notably with a weighted average obligor FICO score of 736, weighted average time in business of 18 years, and a weighted average current loan-to-value ratio of 74.85%. -- Harvest's underwriting process, which evaluates the small business borrower's ability to repay the loan primarily from the business cash flows of normal operations (recurring income sources) to service both its existing debt and the requested loan. The weighted average debt service coverage ratio (DSCR) for loans in the initial pool is 2.69 times (x). -- A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. -- Collateral eligibility and concentration limits built into the prefunding parameters that ensure that the final collateral pool continues to maintain strong credit characteristics and collateral diversification. -- The legal structure and expected legal opinions that will address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns September 2025 Update, published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A, Class B and Class C Notes are the Current Interest and Carryforward Interest and the Note Principal Balance. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-MKST: Moody's Lowers Rating on Cl. B Certs to Ca --------------------------------------------------------------- Moody's Ratings has affirmed three and downgraded four classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST, Commercial Mortgage Pass-Through Certificates, Series 2020-MKST as follows: Cl. A, Downgraded to Caa2 (sf); previously on Mar 10, 2025 Downgraded to B1 (sf) Cl. B, Downgraded to Ca (sf); previously on Mar 10, 2025 Downgraded to B3 (sf) Cl. C, Downgraded to C (sf); previously on Mar 10, 2025 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Mar 10, 2025 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Mar 10, 2025 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Mar 10, 2025 Affirmed C (sf) Cl. X-CP*, Downgraded to Ca (sf); previously on Mar 10, 2025 Downgraded to Caa1 (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on three principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from weaker fundamentals in the Philadelphian office market and anticipated further decline in property cash flows as well as the increase in interest shortfalls resulting from the loan's prolonged delinquency status. The property was 55% leased as of the June 2025 rent roll and Moody's expects the occupancy to decline further from lease expirations through year-end 2025. The downgrades also reflect Moody's expectations of higher ongoing interest shortfalls and the potential for higher expected losses upon the ultimate loan resolution given the property's performance and comparable market value data. The loan is last paid through its November 2023 payment date, and no interest has been distributed to any of the outstanding classes since the master servicer non-recoverability determination in February 2025. As a result, the outstanding interest shortfalls totaled $34.9 million (which includes $20.3 million of cumulative non-recoverable interest), and Moody's expects interest shortfalls to continue to increase until the ultimate liquidation of the loan. There were also outstanding servicer advances of $26.8 million (inclusive of prior P&I advances and cumulative accrued unpaid advance interest) as of the September 2025 remittance statement. The ratings on three classes, Cl. D, Cl. E, and Cl. F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the interest only (IO) class, Cl. X-CP, was downgraded due to a decline in the credit quality of its referenced classes. 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 that could impact loan proceeds at each rating level. 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. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or 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 and/or an increase in realized and expected losses. DEAL PERFORMANCE As of the September 2025 distribution date, the transaction's certificate balance was $368 million, the same as at securitization. The interest only, floating rate loan has been in special servicing since August 2022, and the special servicer has previously filed a motion for foreclosure and appointed a receiver in May 2023. The mortgage loan (approximately $376 million) consists of the trust loan of $368 million and approximately $7.6 million of the funded portion from the original non-trust note for pari passu future funding. The future advance loan is not an asset of the trust. At securitization, non-trust pari passu future funding up to $22 million was to be advanced in connection with lender-approved capital spending and leasing expenses, however, the future funding period has since expired. Moody's have taken the additional funded leverage of $7.6 million in Moody's analysis. The loan is secured by a fee simple interest in 1500 Market Street, a 1.8 million SF office building in downtown Philadelphia. The collateral for the loan was built in 1974 and primarily comprises two towers — the East Tower and the West Tower. The towers are connected by a three-story atrium. 1500 Market Street occupies an entire city block at 15th and Market Streets in Philadelphia's CBD, directly adjacent to City Hall. The subject is the only office complex in Philadelphia's CBD that features its own on-site subterranean parking garage with access to Philadelphia's SEPTA and New Jersey Transit's transportation networks. The Philadelphia CBD submarket fundamentals have significantly weakened since securitization and have remained elevated in recent quarters. According to CBRE, the Class A direct vacancy rate was 19% in downtown Philadelphia as of Q2 2025, stable since Moody's last review but significantly higher than 7% in 2019. The property was 55% leased as of the June 2025 rent roll and Moody's expects occupancy will likely drop to the mid- to high-30's by year-end 2025 due to upcoming lease expirations. The property's financial remains well below expectations at securitization with the net operating income (NOI) for the trailing twelve-month period ending June 2025 having dropped to $11.6 million from $20.9 million in 2024. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's uncapped floating rate DSCR has now dropped to below 0.70X and Moody's expects the NOI to further decline through year-end 2025. As a result of the non-recoverability determination there has been no interest distributed to any of the outstanding classes since the February 2025 remittance statement and aggregate outstanding interest shortfalls totaled $34.9 million as of the September 2025 remittance statement. The outstanding interest shortfalls include $20.3 million of cumulative non-recoverable interest since the loan's non-recoverable determinations. Furthermore, the loan has outstanding servicer advances (inclusive of accrued unpaid interest on advances) of $26.8 million and 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. Given the combination of weaker fundamentals of the submarket, distressed cash flow and further lease expirations through year-end 2025, the property faces risks of further declines in cash flow and value which may result in higher anticipated losses on the loan. Moody's NCF is now $12 million resulting in a first mortgage balance (including the non-trust pari passu balance of $7.6 million) that represents a Moody's LTV of 329% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 317% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's cap rate is 10.5%, the same as the last review. Moody's stressed DSCR is 0.35x. JP MORGAN 2025-8: DBRS Finalizes B(low) Rating on B5 Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-8 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-8: -- $319.5 million Class A-2 at AAA (sf) -- $319.5 million Class A-3 at AAA (sf) -- $319.5 million Class A-3-X at AAA (sf) -- $239.6 million Class A-4 at AAA (sf) -- $239.6 million Class A-4-A at AAA (sf) -- $239.6 million Class A-4-X at AAA (sf) -- $79.9 million Class A-5 at AAA (sf) -- $79.9 million Class A-5-A at AAA (sf) -- $79.9 million Class A-5-X at AAA (sf) -- $191.7 million Class A-6 at AAA (sf) -- $191.7 million Class A-6-A at AAA (sf) -- $191.7 million Class A-6-X at AAA (sf) -- $127.8 million Class A-7 at AAA (sf) -- $127.8 million Class A-7-A at AAA (sf) -- $127.8 million Class A-7-X at AAA (sf) -- $47.9 million Class A-8 at AAA (sf) -- $47.9 million Class A-8-A at AAA (sf) -- $47.9 million Class A-8-X at AAA (sf) -- $34.4 million Class A-9 at AAA (sf) -- $34.4 million Class A-9-A at AAA (sf) -- $34.4 million Class A-9-X at AAA (sf) -- $63.9 million Class A-10 at AAA (sf) -- $63.9 million Class A-10-A at AAA (sf) -- $63.9 million Class A-10-X at AAA (sf) -- $63.9 million Class A-11 at AAA (sf) -- $63.9 million Class A-11-A at AAA (sf) -- $63.9 million Class A-11-X at AAA (sf) -- $63.9 million Class A-12 at AAA (sf) -- $63.9 million Class A-12-A at AAA (sf) -- $63.9 million Class A-12-X at AAA (sf) -- $127.8 million Class A-13 at AAA (sf) -- $127.8 million Class A-13-A at AAA (sf) -- $127.8 million Class A-13-X at AAA (sf) -- $111.8 million Class A-14 at AAA (sf) -- $111.8 million Class A-14-A at AAA (sf) -- $111.8 million Class A-14-X at AAA (sf) -- $353.9 million Class A-X-1 at AAA (sf) -- $7.7 million Class B-1 at AA (low) (sf) -- $7.7 million Class B-1-A at AA (low) (sf) -- $7.7 million Class B-1-X at AA (low) (sf) -- $6.0 million Class B-2 at A (low) (sf) -- $6.0 million Class B-2-A at A (low) (sf) -- $6.0 million Class B-2-X at A (low) (sf) -- $3.9 million Class B-3 at BBB (low) (sf) -- $2.4 million Class B-4 at BB (low) (sf) -- $751.7 thousand Class B-5 at 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 AAA (sf) credit ratings on the Certificates reflect 5.85% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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 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. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-8: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 46 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-8, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB) The securities are backed by a pool of prime jumbo (91.1% by balance) and GSE-eligible (8.9% by balance) residential mortgages aggregated by JPMorgan Chase Bank, N.A. (JPMCB) originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-8 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-A, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-12-A, Definitive Rating Assigned Aaa (sf) Cl. A-12-X*, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-A, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-A, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.35%, in a baseline scenario-median is 0.15% and reaches 5.33% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2025-CES5: DBRS Finalizes BB Rating on B-1 Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-CES5 (the Notes) issued by J.P. Morgan Mortgage Trust 2025-CES5 (JPMMT 2025-CES5 or the Issuer) as follows: -- $103.5 million Class A-1A at AAA (sf) -- $4.9 million Class A-1B at AAA (sf) -- $225.0 million Class A-1C at AAA (sf) -- $108.5 million Class A-1 at AAA (sf) -- $18.5 million Class A-2 at AA (low) (sf) -- $14.7 million Class A-3 at A (low) (sf) -- $12.1 million Class M-1 at BBB (low) (sf) -- $9.2 million Class B-1 at BB (sf) -- $6.0 million Class B-2 at B (high) (sf) Class A-1 is an exchangeable Note. This class can be exchanged for proportionate shares of the depositable Notes (Classes A-1A and A-1B) as specified in the offering documents. The AAA (sf) credit rating reflects 16.20% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high) (sf) credit ratings reflect 11.55%, 7.85%, 4.80%, 2.50%, and 1.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 4,021 mortgage loans with a total principal balance of $397,925,387 as of the Cut-Off Date (August 31, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from one to twenty months. Borrowers in the pool represent prime and near-prime credit quality--with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 739, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.8%, and the vast majority of the loans originated with full documentation standards. All loans are current and vast majority of the loans (approximately 99.5% of the pool) have never been delinquent since origination. JPMMT 2025-CES5 represents the seventh CES securitization under the JPM shelf. loanDepot.com, LLC (loanDepot; 36.1%) and Rocket Mortgage, LLC (22.5%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. loanDepot.com, LLC (36.1%), NewRez LLC doing business as Shellpoint Mortgage Servicing (32.1%), and PennyMac Loan Services (9.3%) are the Servicers of the loans in this transaction. Wilmington Savings Fund Society, FSB will act as the Securities Administrator and Owner Trustee. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. On or after the earlier of (1) September 2028 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Optional Redemption Holder (initially, the majority holder of Class XS Notes), or an entity majority owned by the Optional Redemption Holder, may redeem all of the outstanding Notes at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the noteholders in accordance with the priority of payments. Although all the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 15.7% of the loans are designated as non-QM, 10.9% are designated as QM Rebuttable Presumption, and 71.6% are designated as QM Safe Harbor. Approximately 1.9% of the mortgages are loans made to investors for business purposes or were originated by a CDFI designated originator and were not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall. In addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal payment among the senior A-1A, A-1B, and A-1C tranches. Principal proceeds and excess interest can be used to cover interest carryforwards on the Notes, but such interest carryforwards on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A, A-1B, and A-1C Notes are retired. For this transaction, the Class A-1A, A-1B, A-1C, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in October 2029. On any Payment Date, interest and principal otherwise payable to the Class B-3 may also be used to pay any Cap Carryover Amounts. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-CES5: DBRS Gives Prov. B(high) Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-CES5 (the Notes) to be issued by J.P. Morgan Mortgage Trust 2025-CES5 (JPMMT 2025-CES5 or the Issuer) as follows: -- $103.7 million Class A-1A at (P) AAA (sf) -- $5.0 million Class A-1B at (P) AAA (sf) -- $225.0 million Class A-1C at (P) AAA (sf) -- $108.7 million Class A-1 at (P) AAA (sf) -- $18.3 million Class A-2 at (P) AA (low) (sf) -- $14.7 million Class A-3 at (P) A (low) (sf) -- $12.3 million Class M-1 at (P) BBB (low) (sf) -- $9.0 million Class B-1 at (P) BB (high) (sf) -- $6.0 million Class B-2 at (P) B (high) (sf) Class A-1 is an exchangeable Note. This class can be exchanged for proportionate shares of the depositable Notes (Classes A-1A and A-1B) as specified in the offering documents. The (P) AAA (sf) credit rating reflects 16.15% of credit enhancement provided by the subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 11.55%, 7.85%, 4.75%, 2.50%, and 1.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 4,021 mortgage loans with a total principal balance of $397,925,387 as of the Cut-Off Date (August 31, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from one to twenty months. Borrowers in the pool represent prime and near-prime credit quality--with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 739, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.8%, and the vast majority of the loans originated with full documentation standards. All loans are current and vast majority of the loans (approximately 99.5% of the pool) have never been delinquent since origination. JPMMT 2025-CES5 represents the seventh CES securitization under the JPM shelf. loanDepot.com, LLC (loanDepot; 36.1%) and Rocket Mortgage, LLC (22.5%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. loanDepot.com, LLC (36.1%), NewRez LLC doing business as Shellpoint Mortgage Servicing (32.1%), and PennyMac Loan Services (9.3%) are the Servicers of the loans in this transaction. Wilmington Savings Fund Society, FSB will act as the Securities Administrator and Owner Trustee. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. On or after the earlier of (1) September 2028 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Optional Redemption Holder (initially, the majority holder of Class XS Notes), or an entity majority owned by the Optional Redemption Holder, may redeem all of the outstanding Notes at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the noteholders in accordance with the priority of payments. Although all the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 15.7% of the loans are designated as non-QM, 10.9% are designated as QM Rebuttable Presumption, and 71.6% are designated as QM Safe Harbor. Approximately 1.9% of the mortgages are loans made to investors for business purposes or were originated by a CDFI designated originator and were not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall. In addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal payment among the senior A-1A, A-1B, and A-1C tranches. Principal proceeds and excess interest can be used to cover interest carryforwards on the Notes, but such interest carryforwards on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A, A-1B, and A-1C Notes are retired. For this transaction, the Class A-1A, A-1B, A-1C, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in October 2029. On any Payment Date, interest and principal otherwise payable to the Class B-3 may also be used to pay any Cap Carryover Amounts. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-CES5: S&P Assigns Prelim 'B-' Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2025-CES5's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums and two- to four-family residential properties. The pool has 4,021 loans and comprise qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of Sept. 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES5(i) Class A-1A, $103,670,000: AAA (sf) Class A-1B, $4,999,000: AAA (sf) Class A-1C, $225,000,000: AAA (sf) Class A-1(ii), $108,660,000: AAA (sf) Class A-2, $18,305,000: AA- (sf) Class A-3, $14,723,000: A- (sf) Class M-1, $12,335,000: BBB- (sf) Class B-1, $8,954,000: BB- (sf) Class B-2, $5,969,000: B- (sf) Class B-3, $3,979,387: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iv): NR Class A-R, N/A(v): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)Certain proportions of the class A-1A and A-1B notes are exchangeable for the class A-1 notes, and vice versa. (iii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing. (iv)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (v)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. JP MORGAN 2025-HYB1: Fitch Assigns 'B-sf' Rating on Cl. B-2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2025-HYB1 (JPMMT 2025-HYB1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-HYB1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch Ratings has rated the RMBS to be issued by J.P. Morgan Mortgage Trust 2025-HYB1, Series 2025-HYB1 (JPMMT 2025-HYB1), as indicated above. The notes are supported by 163 loans with a balance of $259.02 million as of the cutoff date. The pool entirely consists of prime-quality hybrid adjustable-rate mortgages (ARMs) originated mainly by United Wholesale Mortgage (UWM), which is assessed as an 'Above Average' originator by Fitch. The remaining originators are contributing less than 5% each to the transaction. NewRez LLC d/b/a Shellpoint Mortgage Servicing (RPS2+/Stable) will service all the loans on an interim basis on behalf of the issuer until the servicing transfer date, after which the loans will be serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing (RSS2/Stable). Per the transaction documents, 98.8% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 1.2% are designated as rebuttable presumption (APOR) qualified mortgage loans. Class A-1A, class A-1B, class A-2, and class A-3 notes are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The interest rate for class M-1 notes will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of notes, determined at the time of pricing, or (ii) the net WAC rate for the related payment date. The class B-1, B-2, and B-3 notes are based on the net WAC. Additionally, on any payment date after the step-up date where the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.2% 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. Prime Credit Quality ARM Loans (Positive): The collateral consists of 163 hybrid adjustable-rate, fully amortizing loans totaling $259.02 million. In total, 98.8% of the loans are designated as SHQM and the remaining 1.2% are designated as APOR qualified mortgage loans. The loans were made to borrowers with strong credit profiles but relatively high leverage. The loans are seasoned at approximately six months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 771 FICO and a 37.5% debt-to-income (DTI) ratio, according to Fitch. Based on Fitch's analysis of the pool, the original WA combined loan-to-value (CLTV) ratio is 71.9%, which translates to a sustainable loan-to-value ratio (sLTV) of 79.1%. Per the transaction documents and Fitch's analysis, conforming loans constitute 5.3% of the pool and non-conforming loans constitute 94.7% of the pool. Additionally, 43.9% of the loans were originated by a retail or non-broker correspondent channel, and 56.1% via a broker channel. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (89.8% primary and 10.2% secondary). Single-family homes and planned unit developments (PUDs) constitute 94.0% of the pool and condominiums make up 6.0%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (78.3%), cashout refinances (7.6%) and rate-term refinances (14.2%). Fitch considers it a credit positive that no loans are for investment properties and a majority of mortgages are purchases. A total of 129 loans in the pool are for over $1.0 million, and the largest loan is approximately $4.99 million. There are no loans with an interest rate buy down feature in the pool. Of the pool loans, 43.8% are concentrated in California, followed by Arizona and Texas. The largest MSA concentration is in the Los Angeles MSA (10.8%), followed by the San Diego MSA (10.3%) and the San Francisco MSA (9.7%). The top three MSAs account for 30.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, none of the borrowers were viewed by Fitch as having a prior credit event within the past seven years and none of the loans have a junior lien. First-lien mortgages constitute 100% of the pool (no second-lien loans are in the pool). All loans in the pool are current as of the cutoff date. Loan Count Concentration (Negative): The total loan count for this pool is 163. Fitch adjusts the losses based on the weighted average number (WAN) of the pool, which is 130. To adjust for the low WAN, Fitch increased its loss expectations by 197bps at the AAAsf rating stress. No Advancing of Delinquent Principal and Interest (Mixed): The servicer, will not advance delinquent principal and interest (P&I) payments on behalf of the loans. Not having full advancing will reduce the loan level loss severity compared to a similar transaction that has full advancing of DQ P&I payments since the servicer will not need to be reimbursed for delinquent P&I advances from liquidation proceeds (allowing more funds to flow to the notes). However, the CE will be increased as principal will need to be used to pay interest to cover loans that are delinquent to provide liquidity to the transaction. The transaction's structure prioritizes the payment of interest to the 'AAAsf' rated senior classes, which is supportive of these classes receiving timely interest. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both these features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in October 2029, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000%, and (ii) the net WAC rate. Additionally, on any payment date occurring on or after the payment date in October 2029 on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0% in addition to the model-projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The review confirmed strong origination practices, no material exceptions were listed and loans that received final "B" grades had nonmaterial exceptions that were mitigated with strong compensating factors. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.24% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC 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. 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 JPMMT 2025-HYB1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to strong transaction due diligence, an 'Above Average' aggregator, and 80% of the pool being originated by an 'Above Average' originator, which 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. JP MORGAN 2025-HYB1: Fitch Assigns B-(EXP) Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-HYB1 (JPMMT 2025-HYB1). Entity/Debt Rating ----------- ------ JPMMT 2025-HYB1 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 PT LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the RMBS to be issued by J.P. Morgan Mortgage Trust 2025-HYB1, Series 2025-HYB1 (JPMMT 2025-HYB1), as indicated above. The notes are supported by 163 loans with a balance of $259.02 million as of the cutoff date. The pool entirely consists of prime-quality hybrid adjustable-rate mortgages (ARMs) originated mainly by United Wholesale Mortgage (UWM), which is assessed as an 'Above Average' originator by Fitch. The remaining originators are contributing less than 5% each to the transaction. NewRez LLC d/b/a Shellpoint Mortgage Servicing (RPS2+/Stable) will service all of the loans on an interim basis on behalf of the issuer until the servicing transfer date, after which the loans will be serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing (RSS2/Stable). Per the transaction documents, 98.8% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 1.2% are designated as rebuttable presumption (APOR) qualified mortgage loans. Class A-1A, class A-1B, class A-2, and class A-3 notes are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The interest rate for class M-1 notes will be a per annum rate equal to the lesser of (i) the applicable fixed rate for such class of notes, determined at the time of pricing, or (ii) the net WAC rate for the related payment date. The class B-1, B-2, and B-3 notes are based on the net WAC. Additionally, on any payment date after the step-up date where the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the class A step-up interest carryover reserve account will be prioritized over payment of interest/unpaid interest payable to class B-3 notes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.2% above a long-term sustainable level (vs. 10.5% on a national level as of 1Q25, down 0.5% since last quarter). 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 ARM Loans (Positive): The collateral consists of 163 hybrid adjustable-rate, fully amortizing loans totaling $259.02 million. In total, 98.8% of the loans are designated as SHQM and the remaining 1.2% are designated as APOR qualified mortgage loans. The loans were made to borrowers with strong credit profiles but relatively high leverage. The loans are seasoned at approximately six months in aggregate, according to Fitch, and three months per the transaction documents. The borrowers have a strong credit profile, with a 771 FICO and a 37.5% debt-to-income (DTI) ratio, according to Fitch. Based on Fitch's analysis of the pool, the original WA combined loan-to-value (CLTV) ratio is 71.9%, which translates to a sustainable loan-to-value ratio (sLTV) of 79.1%. Per the transaction documents and Fitch's analysis, conforming loans constitute 5.3% of the pool and non-conforming loans constitute 94.7% of the pool. Additionally, 43.9% of the loans were originated by a retail or non-broker correspondent channel, and 56.1% via a broker channel. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (89.8% primary and 10.2% secondary). Single-family homes and planned unit developments (PUDs) constitute 94.0% of the pool and condominiums make up 6.0%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (78.3%), cashout refinances (7.6%) and rate-term refinances (14.2%). Fitch considers it a credit positive that no loans are for investment properties and a majority of mortgages are purchases. A total of 129 loans in the pool are for over $1.0 million, and the largest loan is approximately $4.99 million. There are no loans with an interest rate buy down feature in the pool. Of the pool loans, 43.8% are concentrated in California, followed by Arizona and Texas. The largest MSA concentration is in the Los Angeles MSA (10.8%), followed by the San Diego MSA (10.3%) and the San Francisco MSA (9.7%). The top three MSAs account for 30.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Furthermore, none of the borrowers were viewed by Fitch as having a prior credit event within the past seven years and none of the loans have a junior lien. First lien mortgages constitute 100% of the pool (no second lien loans are in the pool). All loans in the pool are current as of the cutoff date. Loan Count Concentration (Negative): The total loan count for this pool is 163. Fitch adjusts the losses based on the weighted average number (WAN) of the pool, which is 130. To adjust for the low WAN, Fitch increased its loss expectations by 197bps at the AAAsf rating stress. No Advancing of Delinquent Principal and Interest (Mixed): The servicer, will not advance delinquent principal and interest (P&I) payments on behalf of the loans. Not having full advancing will reduce the loan level loss severity compared to a similar transaction that has full advancing of DQ P&I payments since the servicer will not need to be reimbursed for delinquent P&I advances from liquidation proceeds (allowing more funds to flow to the notes). However, the CE will be increased as principal will need to be used to pay interest to cover loans that are delinquent in an effort to provide liquidity to the transaction. The transaction's structure prioritizes the payment of interest to the 'AAAsf' rated senior classes, which is supportive of these classes receiving timely interest. Modified Sequential-Payment Structure (Neutral): The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both these features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in October 2029, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000%, and (ii) the net WAC rate. Additionally, on any payment date occurring on or after the payment date in October 2029 on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses 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 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The review confirmed strong origination practices, no material exceptions were listed and loans that received final "B" grades had nonmaterial exceptions that were mitigated with strong compensating factors. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.24% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC 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. 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 JPMMT 2025-HYB1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to strong transaction due diligence, an 'Above Average' aggregator, and 80% of the pool being originated by an 'Above Average' originator, which 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. KKR CLO 38: Moody's Lowers Rating on $16MM Class E Notes to B2 -------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following note issued by KKR CLO 38 Ltd.: US$16M Class E Senior Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Apr 19, 2022 Definitive Rating Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$241M Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 19, 2022 Definitive Rating Assigned Aaa (sf) US$15M Class A-2 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Apr 19, 2022 Definitive Rating Assigned Aaa (sf) KKR CLO 38 Ltd., issued in April 2022, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in April 2025. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration in the over-collateralisation ratios and the key credit metrics of the underlying pool over the last year. The over-collateralisation ratios of the rated notes have deteriorated over the last year. According to the trustee report dated August 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 126.73%, 117.45%, 109.45% and 104.69% compared to August 2024[2] levels of 129.07%, 119.63%, 111.47% and 106.62%, respectively. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF). According to the trustee report dated August 2025[1], the WARF was 3014, compared with 2974 in the August 2024[2] report. Also, the weighted average spread (WAS) has deteriorated over the last year. As reported in the August 2025[1] trustee report, the WAS decreased to 3.28%, down from 3.63% in the August 2024[2] report. The affirmations on the ratings on the Class A-1 and A-2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD388.5m Defaulted Securities: USD3.7m Diversity Score: 74 Weighted Average Rating Factor (WARF): 3029 Weighted Average Life (WAL): 4.47 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.3% Weighted Average Coupon (WAC): 3.9% Weighted Average Recovery Rate (WARR): 46.28% Par haircut in OC tests and interest diversion test: 1.25% 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. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KKR CLO 9: Moody's Affirms B1 Rating on $27.9MM Class E-R Notes --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by KKR CLO 9 Ltd.: US$33,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on May 30, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$318,998,540 (Current outstanding amount US$15,785,346) Class A-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 15, 2021 Assigned Aaa (sf) US$54,800,000 Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 6, 2024 Upgraded to Aaa (sf) US$26,500,000 Class C-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on May 30, 2025 Upgraded to Aaa (sf) US$27,900,000 Class E-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on May 30, 2025 Downgraded to B1 (sf) KKR CLO 9 Ltd., originally issued in September 2014 and last refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in May 2025. The affirmations on the ratings on the Class A-R2, B-R2, C-R2, and E-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 notes have paid down by approximately USD38 million 12% since the last rating action in May 2025 and USD303.2 million (95.1%) 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 233.69%, 169.91%, 126.80% and 104.41% compared to April 2025[2] levels of 206.34%, 158.71%, 123.28% and 103.70%, 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: USD172.4m Defaulted Securities: USD1.13m Diversity Score: 41 Weighted Average Rating Factor (WARF): 3522 Weighted Average Life (WAL): 3.12 years Weighted Average Spread (WAS): 3.38% Weighted Average Recovery Rate (WARR): 45.80% Par haircut in OC tests and interest diversion test: 4.93% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the August 2025 trustee report was published at the time Moody's were completing Moody's analysis of the July 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. 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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. 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. KRR CLO 58: Fitch Assigns 'BB-sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 58 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 58 Ltd. A-1 LT AAAsf 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 KKR CLO 58 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.37 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.6% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.58% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-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 KKR CLO 58 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. MAD COMMERCIAL 2025-11MD: S&P Assigns BB- (sf) Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned 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. S&P said, "The 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." Since the preliminary ratings were issued, the loan's coupon decreased to approximately 5.63%, down from 5.80%. As a result, the debt service coverage ratio (DSCR), based on S&P Global Ratings' net cash flow, increased to 1.21x from 1.17x. 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)The issuer issued 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. MADISON PARK XL-R: Fitch Assigns 'BBsf' Final Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Madison Park Funding XL-R, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding XL-R, Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Madison Park Funding XL-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.5% first lien senior secured loans and has a weighted average recovery assumption of 73.31%. 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 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 '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 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 Madison Park Funding XL-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MCF CLO IV: S&P Assigns Prelim BB- (sf) Rating on Class E-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R3, A-L-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt and proposed new class X debt from MCF CLO IV LLC, a CLO managed by Apogem Capital LLC, a subsidiary of New York Life Insurance Co., that was originally issued in October 2014 and underwent a second refinancing in November 2021. The preliminary ratings are based on information as of Sept. 26, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 1, 2025, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-RR, B-RR, C-RR, D-RR, and E-RR debt and assign ratings to the replacement class A-R3, A-L-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 and proposed new class X debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Oct. 1, 2027. -- The reinvestment period will be extended to Oct. 16, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Oct. 16, 2037. -- Additional assets will be purchased on and after the Oct. 1, 2025, refinancing date, and the target initial par amount will be updated to $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be Jan. 16, 2026. -- New class X debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first 14 payment dates in equal installments of $500,000, beginning on the second payment date on April 16, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional $33.77 million in subordinated notes will be issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 MCF CLO IV LLC Class X, $7.00 million: AAA (sf) Class A-R3, $240.00 million: AAA (sf) Class A-L-R3, $50.00 million: AAA (sf) Class B-R3, $50.00 million: AA (sf) Class C-R3 (deferrable), $40.00 million: A (sf) Class D-1-R3 (deferrable), $30.00 million: BBB (sf) Class D-2-R3 (deferrable), $10.00 million: BBB- (sf) Class E-R3 (deferrable), $20.00 million: BB- (sf) Other Debt MCF CLO IV LLC Subordinated notes, $100.09 million: NR NR--Not rated. MISSION LANE 2025-C: Fitch Gives B(EXP) Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings expects to assign ratings to six classes of Mission Lane Credit Card Master Trust (MLCCMT), Series 2025-C, fixed-rate notes. The notes are backed by a revolving pool of receivables that arise under general purpose, consumer Visa credit card accounts originated and owned by Transportation Alliance Bank, Inc. (dba TAB Bank) and WebBank (both partner banks and account owners), and serviced by Mission Lane LLC (Mission Lane). The Rating Outlook for the notes is Stable. Entity/Debt Rating ----------- ------ Mission Lane Credit Card Master Trust, Series 2025-C Class A LT AAA(EXP)sf Expected Rating Class B LT AA(EXP)sf Expected Rating Class C LT A(EXP)sf Expected Rating Class D LT BBB(EXP)sf Expected Rating Class E LT BB(EXP)sf Expected Rating Class F LT B(EXP)sf Expected Rating KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines such collateral characteristics, including credit quality, seasoning, geographic concentration, delinquencies and utilization rate on credit cards. Trust collateral performance has been normalizing compared to the strength exhibited through the pandemic and is exhibiting stable patterns in recent periods. As of the August 2025 collection period, 60+ day delinquencies had decreased to 5.68% from 6.05% a year ago, while gross charge-offs had ticked up to 15.25% from 15.04% in August 2024. Monthly payment rate (MPR) and gross yield (net of reversals) increased slightly, to 13.79% and 35.80%, respectively, compared to 13.12% and 35.16% one year ago. Credit enhancement (CE) is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable Outlook on the notes reflects Fitch's expectation that performance will remain supportive of the ratings. Originator and Servicer Quality: Fitch considers the partner banks and Mission Lane to be adequate originators and a servicer, respectively, as evidenced by the historical delinquency and loss performance of the trust receivables. Mission Lane formerly operated as the credit card division of LendUp Loans LLC prior to its 2018 spinoff as an independent company. It has serviced credit card receivables since 2015, demonstrating extensive experience in credit card origination and operational stability. The availability of a warm backup servicer and the depth of the servicing market further mitigate operational risk. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is mitigated by the ratings of the applicable counterparties to the transactions and contractual remedial provisions in the transaction documents that are in line with Fitch's counterparty criteria. Interest Rate Risk: The transaction carries a degree of interest rate mismatch, in line with the market. Interest rate risk is mitigated by the available CE, which comprises of subordination, overcollateralization in the form of the subordinated transferor amount (STA) at 3.00%, and a reserve account. CE supporting class A, B, C, D, E and F notes is 39.79%, 32.96%, 23.41%, 16.18%, 10.16% and 3.00%, respectively. The reserve account will be funded if the three-month average excess spread (XS) percentage falls to or below 4.00% and will not be funded at close. Steady State Assumptions: - Annualized Charge-offs: 17.00%; - MPR: 11.00%; - Annualized Yield: 29.50%; - Purchase Rate: 100.00%. Rating Case Assumptions for class A, B and C notes: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Charge-offs (multiple): 3.50x/3.00x/2.25x/1.75x/1.50x/1.10x; - MPR (haircut): 40.00%/35.00%/30.00%/25.00%/15.00%/7.50%; - Yield (haircut): 35.00%/30.00%/25.00%/20.00%/15.00%/10.00%; - Purchase Rate (haircut): 100.00%/100.00%/100.00%/100.00%/100.00%/100.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased charge-off rate: Expected ratings for class A, B, C, D, E and F notes (steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase steady state by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'/below 'Bsf'; - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase steady state by 75%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/below 'Bsf' /below 'Bsf'. Rating sensitivity to reduced MPR: Expected ratings for class A, B, C, D, E and F notes (steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%: 'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'/'Bsf'/below 'Bsf'. Rating sensitivity to reduced purchase rate: Expected ratings for class A, B, C, D, E and F notes (100% base assumption): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 75%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 100%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to reduced gross yield: Expected ratings for class A, B, C, D, E and F notes (steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BBB-sf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%:'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'Bsf'/below 'Bsf'. Rating sensitivity to increased charge-off rate and reduced MPR: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%; MPR steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase charge-off steady state by 25% and reduce MPR steady state by 15%: 'AA-sf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase charge-off steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/below 'Bsf'/below 'Bsf'; - Increase charge-off steady state by 75% and reduce MPR steady state by 35%: 'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'/below 'Bsf'/below 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced charge-off rate: Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' '; - Reduce steady state by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'Asf'/'BBB-sf'. Some of the subordinate classes of MLCCMT, series 2025-C may be able to support higher ratings based on the output of Fitch's proprietary cashflow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the ratings of existing tranches, the CE levels are set up to maintain a constant rating level per class of issued notes and may provide more than the minimum CE necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the ratings in anticipation of future issuances. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touch LLP. The third-party due diligence described in Form 15E focused on the comparison and recomputation of certain information with respect to 100 credit card receivable accounts, selected from a credit card receivable listing with respect to 2,886,376 credit card receivable accounts. 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. MORGAN STANLEY 2015-C21: Fitch Affirms 'BBsf' Rating on 3 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed Class 555A of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C21 (MSBAM 2015-C21). In addition, Fitch has also affirmed eight classes of MSBAM 2015-C21. The MSBAM 2015-C21 transaction contains a $30 million non-pooled senior B note (rake certificates) that represents the beneficial interest in the 555 11th Street NW loan. The 555A and 555B rake certificates are subordinate in right of payment of interest and principal to the 555 11th Street NW A notes and derive their cash flow solely from the 555 11th Street NW loan. The 555A and 555B rake certificates are generally not subject to losses from any of the other loans collateralizing the MSBAM 2015-C21 transaction. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C21 555A 61764XBA2 LT BBsf Affirmed BBsf B 61764XBM6 LT Asf Affirmed Asf C 61764XBP9 LT BBsf Affirmed BBsf D 61764XAN5 LT CCCsf Affirmed CCCsf E 61764XAQ8 LT CCsf Affirmed CCsf F 61764XAS4 LT Csf Affirmed Csf PST 61764XBN4 LT BBsf Affirmed BBsf X-B 61764XAA3 LT Asf Affirmed Asf X-E 61764XAG0 LT CCsf Affirmed CCsf KEY RATING DRIVERS 'B' Loss Expectations; Concentrated Transaction: Fitch's 'Bsf' rating case loss expectations for MSBAM 2015-C21 are 34.4% which reflects relatively stable pool performance and recovery expectations since the prior rating action. The transaction is concentrated with only eight loans remaining, five of which (60%) have been designated as Fitch Loans of Concern (FLOCs). The eight loans include four loans (60%) in special servicing, as well as four loans that are current and have maturity dates ranging from November 2027 to January 2035. The affirmations also reflect the increased credit enhancement (CE) due to loan payoffs and sufficient CE relative to expected losses and recoveries for the remaining loans. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their CE. Higher probabilities of default were assigned to loans that recently transferred to special servicing or are past their respective maturity dates and expected to transfer to special servicing. The Negative Outlooks reflect these classes' reliance on proceeds from defaulted loans to repay and the potential for future downgrades, should the expected losses increase due to further performance or appraisal value declines, lower-than-expected recoveries and/or prolonged workouts on specially serviced loans. 555 11th Street NW: The affirmation to class 555A reflects a relatively stable Fitch sustainable net cash flow (NCF) since the prior rating action. The loan failed to refinance at its November 2024 maturity and was transferred to special servicing. A three-year maturity extension to November 2027 was granted, with an additional one-year extension option. The loan was returned to the master servicer in March 2025. The Negative Outlook on class 555A reflects the potential for downgrade, should lack of leasing progress and/or continued worsening market conditions lead to further declines in Fitch's sustainable NCF. The 555 11th Street NW loan is secured by a 414,204-sf office building in Washington, D.C. The property also contains approximately 57,000 sf of retail space, the majority of which was occupied by a theater tenant, Silver Cinemas, which has since vacated prior to its lease expiration in March 2032. Occupancy at the property has fallen further to 70% as of August 2025 from 77% in June 2024, 85% in May 2023, 90% at YE 2022 and 97% at YE 2021. The most recent decline was driven by Silver Cinemas' departure (9.7% NRA). The largest tenant is Latham & Watkins (58.2% of NRA; lease expiry in January 2031), which agreed to expand into the available 20,173-sf space on the building's fourth floor beginning in January 2027. Fitch's updated NCF of $11.35 million is 19% below Fitch's issuance NCF of $14 million, largely driven by increased operating expenses, higher tenant improvement and leasing commission costs (TI/LCs), and lower occupancy assumptions. Fitch's updated NCF incorporates leases-in-place as of the August 2025 rent roll and assumed a gross up rent of $57 psf to achieve a stabilized occupancy of 82.5%; this is in line with the overall Washington, D.C. office market and factors in Latham & Watkins' long-term tenancy, overall minimal near-term rollover and the property's historical overperformance relative to the market. Fitch also assumed 60% reimbursement rate and expenses in line with most recent servicer reporting. Fitch's total TI/LCs of $4.09 psf are well above the $0.89 psf assumed at issuance. Fitch increased its cap rate to 9% from 8.5% at issuance due to the deteriorating office sector outlook and worsened office market conditions in Washington, D.C. Fitch's analysis also applied an upward loan-to-value (LTV) hurdle adjustment due to the low fixed-rate coupon of 3.1%. Largest Contributors to Loss: Westfield Palm Desert Mall (9.1%) is the largest loss contributor for the MSBAM 2015-C21 transaction. The loan, which transferred to special servicing in July 2020 due to payment default, is secured by a 572,724-sf portion of a 977,888-sf regional mall located in Palm Desert, CA with non-collateral anchor tenants that include Macy's and JCPenney. The loan was assumed in November 2023 by Pacific Retail Capital Partners and modified with a two-year extension until March 2027. Occupancy was 90.4% as of July 2024. Fitch's 'Bsf' rating case loss of 56.5% (prior to concentration add-ons) is based on a discount to the April 2025 appraisal value, reflecting a stressed value of $96 psf. The next-largest contributor to loss is the Stone Ridge Plaza loan (2.5%), which transferred to special servicing in October 2020 due to payment default. The loan is secured by a 178,915-sf shopping center located in the Rochester, NY metro area. The loan transferred to special servicing in October 2020 shortly after two tenants accounting for 16.3% of the property's NRA vacated and reduced the occupancy at the time to 68%. A foreclosure action was initiated in April 2022 and a receiver was put in place. Current occupancy was 64% per the July 2025 rent roll. The receiver continues to focus efforts on lease renewals and improving occupancy. A foreclosure sale occurred in June 2025, and the conversion to REO is in progress. Fitch's 'Bsf' rating case loss of 93% (prior to concentration add-ons) is based on a discount to the November 2024 appraisal value, reflecting a stressed value of $39 psf. Increased Credit Enhancement: As of the August 2025 distribution date, the pool's aggregate balance has been reduced by 77.5% to $225.6 million from $901.2 million at issuance. Since Fitch's prior rating action, 45 loans have been repaid totaling $471.6 million (52% of original pool balance) in paydown. Approximately $731,000 in realized losses have been recorded to date. Current interest shortfalls total about $4.1 million and affect classes E, F, G, and H, with 77% of the shortfalls allocated to class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'Asf' category rated class may occur, should performance of the FLOCs deteriorate further or if values significantly decline. These FLOCs include Westfield Palm Desert Mall, International Park and Stone Ridge Plaza. Downgrades to 'BBsf' category rated classes are possible with higher expected losses from continued underperformance of the FLOCs or with greater certainty of near-term losses on specially serviced assets. Downgrades to the distressed classes could occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'Asf' category rated class are possible with significantly increased CE from paydown, coupled with stable to improved pool-level loss expectations and improved performance of FLOCs; classes would not be upgraded above 'AA+sf' if there is likelihood of interest shortfalls; Upgrades to 'BBsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries are larger than expected, and there is sufficient CE to the classes; Upgrades to the distressed rated classes are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs; An upgrade to Class 555A is unlikely but could occur with sustained occupancy and cash flow improvement at 555 11th Street NW. 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. MORGAN STANLEY 2019-L2: DBRS Cuts Class XD Certs Rating to B ------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2019-L2 issued by Morgan Stanley Capital I Trust 2019-L2 as follows: -- Class C to BBB (low) (sf) from BBB (sf) -- Class D to BB (low) (sf) from BB (sf) -- Class E to B (low) (sf) from B (sf) -- Class F-RR to C (sf) from CCC (sf) -- Class G-RR to C (sf) from CCC (sf) -- Class X-D to B (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AA (sf) -- Class B at A (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) Morningstar DBRS also changed the trends on Classes C, D, E, and X-D to Negative from Stable. Classes F-RR and G-RR have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all other classes are Stable. The credit rating downgrades on Classes C, D, E, X-D, F-RR, and G-RR are reflective of Morningstar DBRS' increased loss projections for most of the loans in the special servicing, as well as increased risks for select office loans in the pool, as further described below. According to the September 2025 remittance, there are five specially serviced loans, representing 11.8% of the pool balance. Morningstar DBRS' analysis included a liquidation scenario for four of these five loans, resulting in implied realized losses of approximately $38.1 million, up from the $30.0 million figure considered at the previous credit rating action in October 2024. The updated realized loss projection figure would erode the entirety of the Class G-RR and Class H-RR balances, reducing the credit enhancement available to the junior bonds in the capital stack, further supporting the credit rating downgrades for Classes C, D, E, and X-D. The credit rating downgrades and Negative trends on Classes C, D, E, and X-D also reflect Morningstar DBRS' concerns about ongoing shorted interest to the rated classes, which Morningstar DBRS expects to continue building through the remainder of the resolution periods for the specially serviced loans. As of the September 2025 remittance, cumulative unpaid interest totaled approximately $3.1 million, up from $2.2 million at the previous credit rating action in October 2024. Most of the total shortfall amount is contained to Classes H-RR and G-RR, with the remaining balance affecting Class F-RR. With the September 2025 remittance, Class F-RR was shorted for the first time and received approximately 41.4% of the scheduled interest due. The primary contributors to the increased shortfalls in the past year are nonrecoverability determinations made by the servicer for two loans in the State of Kentucky Portfolio (Prospectus ID#16, 2.5% of the pool balance) and 199 Lafayette (Prospectus ID#19, 2.4% of the pool balance). Morningstar DBRS expects a prolonged time frame to resolution for four of the five specially serviced loans, which suggests an increased propensity for interest shortfalls for Classes C, D, and E, supporting the Negative trends. The credit rating confirmations reflect the overall stable performance of the majority of the loans in the transaction, which remains in line with Morningstar DBRS' expectations since the previous credit rating action. The pool continues to exhibit overall healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) exceeding 2.2 times based on the most recent year-end financial reporting available. As of the September 2025 remittance, 45 out of 50 loans remain in the trust with an aggregate balance of $864.9 million, representing a collateral reduction of 7.5% since issuance. The pool also benefits from six fully defeased loans, representing 12.7% of the current pool balance. Nine loans, representing 19.5% of the pool, are on the servicer's watchlist and are primarily being monitored for performance-related concerns. The transaction is highly concentrated in loans backed by office properties, which represent 36.4% of the current pool balance. Several of the properties are in secondary and tertiary office markets with increased vacancy rates and limited investor appetite for the asset class. Notably, the pool's largest loan, One AT&T (Prospectus ID #2, 6.9% of the pool balance), is collateralized by a high-rise office tower in downtown Dallas and is fully occupied by a single tenant, AT&T, whose lease runs through 2031. However, there have been recent news reports (such as an article on the Dallas ABC affiliate WFAA's website dated August 29, 2025) that the company has been exploring its options for a relocation to the Dallas suburbs. There are no termination options available; however, should the tenant's renewal not be secured at the 2029 loan maturity, the refinance risks would be significant. In addition to the increased projected realized losses for the pool, Morningstar DBRS' modeled expected loss (EL) for the overall pool has increased since the previous credit rating action. Outside of the liquidated loans in special servicing, Morningstar DBRS has identified an additional 11 loans, representing approximately 20% of the pool balance, that continue to exhibit increased risks from issuance. These loans are primarily backed by office property types. Where applicable, Morningstar DBRS increased their probability of default (POD), and, in certain cases, applied stressed LTVs) for loans that have exhibited increased risks from issuance. The resulting WA EL for these loans is three times higher than the pool's average. One of the largest office loans in the pool is the CompuCom World Headquarters loan (Prospectus ID#11, 2.7% of the pool), which is secured by a property in Fort Mill, South Carolina. The subject is fully leased to CompuCom on a lease through October 2032, but the tenant is actively advertising the entirety of its space for sublease on LoopNet. The tenant has no termination options, and a cash trap is to be triggered in the event that the tenant goes dark. The provided August 2024 site inspection report noted that there were 100 employees assigned to this location, and of that number, only 50 worked in the office on a part-time basis. The report also noted that one of the three floors was completely empty at the time of the visit. The issuance appraisal noted a dark value of $25.4 million, which results in an LTV approaching 100%; however, given the degradation in the office market since that time, Morningstar DBRS expects that value could be further stressed. As such, Morningstar DBRS analyzed this loan with a stressed LTV and applied a POD penalty, resulting in an EL that is almost four times the pool average. The biggest contributor to Morningstar DBRS' total liquidated loss projections is the State of Kentucky Portfolio loan, which is secured by five office buildings in Frankfort, Kentucky. The loan transferred to special servicing in September 2022 for imminent monetary default and remains more than 121 days delinquent as of the September 2025 remittance. As of the June 2025 reporting, the portfolio reported a consolidated occupancy of 68.0%. An updated March 2025 appraisal valued the collateral at $13.9 million, similar to the December 2023 valuation of $14.0 million; however, these figures remain well below the issuance appraised value of $34.4 million. Morningstar DBRS liquidated the loan based on a 35.0% haircut to the March 2025 appraisal, given the property's tertiary location and the expectation that investor demand will be limited, which resulted in a loss of almost $18.0 million (loss severity of 82.0%). The largest specially serviced loan, Le Méridien Hotel Dallas, is secured by a 258-key full-service hotel in Dallas, across the street from the Galleria Dallas in Midtown, approximately 12 miles north of the central business district. The loan has been in special servicing since 2020 and the borrower filed for bankruptcy in April 2022. The servicer reports that the borrower remains cooperative as part of the workout process; however, the loan is delinquent and the servicer could ultimately choose to foreclose on the asset as part of the resolution strategy. Though the loan has been reporting below-breakeven DSCRs for the past few years, the property is outperforming its competitive set with a revenue per available room (RevPAR) penetration rate of 163.9%, according to the provided STR, Inc. report, which showed that the subject reported an occupancy rate, average daily rate, and RevPAR of 63.9%, $148.96, and $95.24, respectively, for the trailing 12 months ended March 31, 2025. The property was most recently appraised in April 2025 for $54.0 million, compared with the issuance appraised value of $61.2 million. Given the likelihood of a further extended workout period given the outstanding delinquency, Morningstar DBRS evaluated this loan with a liquidation scenario based on a 30.0% haircut to the most recent appraised value, resulting in an implied loss of $6.5 million and a loss severity of nearly 15.0%. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2019-PLND: DBRS Cuts Rating on 4 Classes to Csf -------------------------------------------------------------- DBRS Limited downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2019-PLND issued by Morgan Stanley Capital I Trust 2019-PLND as follows: -- Class A to C (sf) from CCC (sf) -- Class B to C (sf) from CCC (sf) -- Class X-EXT to C (sf) from CCC (sf) -- Class C to C (sf) from CCC (sf) Morningstar DBRS also confirmed the credit ratings on the following classes: -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) All classes have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on Classes A, B, C, and X-EXT are supported by the updated recoverability analysis, discussed further below, which indicates that a recoverability of principal at the senior portion of the capital stack is unlikely. The credit rating downgrades are further supported by the continued complete shorting of interest payments throughout the entire capital stack. As of the September 2025 remittance, accumulated interest shortfalls totaled $29.1 million, up from $11.3 million as of Morningstar DBRS' previous credit rating action in October 2024. In May 2024, the servicer provided a Notice of Non-Recoverability, citing the proceeds implied by the December 2023 appraisals. As a result, there has been no interest distributed to bondholders since May 2024. The credit rating confirmations on Classes D, E, F, and G are reflective of the recoverability analysis conducted and the ongoing interest shortfalls across those classes. At issuance, the floating rate transaction was secured by a $240.0 million first-lien mortgage loan on two Hilton-branded, full-service hotels on adjacent city blocks in Portland, Oregon. The Hilton Downtown and The Duniway are near the corner of SW Taylor Street and SW 6th Avenue in Portland's downtown core. The two hotels combine for 782 rooms, approximately 63,000 square feet of meeting space, and three food and beverage outlets. The loan initially transferred to the special servicer for monetary default in June 2020, with a foreclosure action finalized in January 2023, and the assets are now real estate owned. The special servicer has received updated valuation figures, although not reported, while continuing to prepare the assets for a disposition in 2025 as per the most recent servicer commentary. For the trailing 12-month (T-12) period ended June 30, 2025, STR reported that occupancy, average daily rate, and revenue per available room (RevPAR) were 56.9%, $159.69, and $90.86, respectively, for the Hilton Downtown, and 65.1%, $155.81, and $101.44, respectively, for the Duniway. For the same T-12 ended June 30, 2025, period, the two properties achieved RevPAR penetrations of 113.4% and 107.1%, relative to their competitive sets. Both properties exhibited increases in RevPAR and RevPAR penetration metrics from the April 2024 STR reports with the Duniway showing larger increases in performance than the Hilton Downtown. The financial performance remains muted as the T-12 ended June 30, 2025, financials for the period ended March 31, 2024, reported a net cash flow (NCF) of $4.8 million, down from the $6.5 million as of YE2023 and well below Morningstar DBRS' NCF of $18.2 million when credit ratings were assigned in 2020. An updated NCF figure was not provided for 2025; however, a combined net operating income (NOI) figure of $1.2 million was reported for the T-12 period ended June 30, 2025. The most recently reported appraisal dated August 2024 valued the properties on an as-is basis at $151.4 million combined, a decline from the December 2023 value of $204.5 million and the issuance value of $340.6 million. While the servicer has not released the updated valuation figures, Morningstar DBRS believes those values will likely show a continued decline from the August 2024 valuation. Although Morningstar DBRS credit ratings are constrained by sustained shorted interest throughout the capital stack, a recoverability analysis was conducted to determine eligibility of any proceeds at the eventual liquidation of the two properties. The liquidation scenario considered was based on a significant 60% haircut to the August 2024 appraised value of $151.4 million while accounting for a 1.0% liquidation fee, outstanding advances, and the inclusion of additional expected servicer expenses ahead of an ultimate disposition which totaled approximately $50.0 million. Morningstar DBRS expects the combined as-is value for the properties has collectively decreased since the August 2024 appraisal. The expected value decline is supported by the continual decline in cash flows as evidenced by the June 2025 NOI figure of only $1.2 million. The resulting projected loss severity was approaching 95% indicating that a full principal recovery in the senior positions of the capital stack is unlikely, supporting the credit rating downgrades on Classes A, B and C and remaining credit rating confirmations. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2020-HR8: DBRS Confirms B(low) Rating on LRR Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-HR8 issued by Morgan Stanley Capital I Trust 2020-HR8: -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AA (low) (sf) -- Class X-D at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (high) (sf) -- Class E-RR at A (low) (sf) -- Class F-RR at A (low) (sf) -- Class G-RR at BBB (sf) -- Class H-RR at BB (high) (sf) -- Class J-RR at BB (sf) -- Class K-RR at B (high) (sf) -- Class L-RR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance since Morningstar DBRS' last credit rating action in October 2024. As of the August 2025 remittance, there remained a relatively low concentration of loans on the servicer's watchlist (six loans; 16.1% of the current pool balance) and there were no specially serviced loans. Underlying property net cash flows (NCFs) have remained in line with issuance expectations as evidenced by the pool's strong debt service coverage ratio (DSCR) of 2.55 times (x). As of the August 2025 remittance, 42 of the original 43 loans remained in the pool, with an aggregate principal balance of $631.6 million, representing a collateral reduction of 8.6%. Two loans, representing 1.2% of the pool, are fully defeased. The pool is relatively concentrated by loan size, as the largest 10 loans represent 59.4% of the current pool balance. Additionally, the pool is concentrated by property type, with loans secured by multifamily and office collateral comprising 32.2% and 30.6% of the pool, respectively. Despite the significant office concentration, Morningstar DBRS notes that, overall, the office loans are generally performing in line with issuance expectations. For loans that Morningstar DBRS identified as exhibiting increased credit risk since issuance, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and elevated probabilities of default in the analysis to reflect the elevated risk. The credit rating confirmations reflect the credit ratings' durability despite Morningstar DBRS' stressed analysis for these loans. The 525 Market Street - Trust loan (Prospectus ID#4, 6.3% of the current pool balance) is secured by the fee, leasehold, and subleasehold interests in 525 Market Street, a 38-story, 1.1 million-square-foot Class A office tower in San Francisco's central business district. The whole loan of $682.0 million encompasses the $60.0 million trust loan, $410.0 million pari passu notes, and subordinate B note debt of $212.0 million. The loan is sponsored by a joint venture between New York State Teachers' Retirement System (advised by J.P. Morgan Asset Management) and RREF America REIT II, Inc., a Maryland corporation. The loan was added to the servicer's watchlist in November 2024 because of low occupancy concerns. As of the March 2025 rent roll, the property was 76.6% occupied, down from 95.0% at issuance. Scheduled tenant rollover risk in the next 24 months totals 16.7% of the net rentable area (NRA) and includes confirmed dark tenant Wells Fargo Bank (2.5% of the NRA, lease expiration in May 2026). The largest tenants at the building include Amazon.com Services, Inc. (39.0% of the NRA, multiple lease expirations date between 2028 and 2031) and Disney Streaming Services LLC (3.5% of the NRA, lease expires in July 2027). As per Reis, office properties within the North Financial District submarket reported a high vacancy rate of 22.7% in Q2 2025, up from 19.8% at Q2 2024. As per the most recently reported financials, the loan reported a DSCR of 1.59x for the trailing three-month period ended March 31, 2025, compared with the YE2024 figure of 2.12x. Because of the depressed tenancy and upcoming tenant rollover risk, Morningstar DBRS analyzed the loan with a stressed LTV and an elevated probability of default, resulting in a loan expected loss (EL) nearly double the overall pool EL. The UHG Optum Health Campus loan (Prospectus ID#8, 4.2% of the pool) is secured by a suburban office property in Eden Prairie, Minnesota. In the October 2024 analysis, Morningstar DBRS considered the loan to be an increased credit risk to the pool given that the property became fully vacant following the departure of the former sole tenant, UnitedHealth Group, upon its lease expiration in December 2023. As of August 2025, the loan has been placed on the servicer's watchlist for performance-related concerns after a brief transfer to special servicing in July 2025. The re-leasing efforts at the property will likely continue to be challenging given the high submarket vacancy, with Reis reporting a Q2 2025 vacancy rate of 21.9% for office space in the Southwest/Northeast Scott County submarket. In its previous analysis, Morningstar DBRS conducted a dark value analysis based on a stabilized NCF of $4.7 million and a stressed capitalization rate of 11.0%. The analysis also incorporated leasing and downtime costs of $15.5 million. Morningstar DBRS maintained the analysis for this review, with the resulting dark value of $27.5 million reflecting an LTV of 96%. The loan EL is approximately six times greater than the pool EL. The Bellagio Hotel and Casino (Prospectus ID#6, 6.2% of the pool) is shadow-rated investment grade. Morningstar DBRS confirms that the loan's characteristics remain consistent with an investment-grade shadow rating, supported by above-average property quality, sponsorship strength, and the collateral's strong performance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-DSC3: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-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 1,114 loans backed by 1,262 properties, which are ability-to-repay exempt. S&P said, "After we assigned our preliminary ratings on Sept. 11, 2025, the issuer dropped 98 loans and updated paystrings for approximately 130 loans. In addition, the class B-1 certificate rate was priced at a fixed rate. After analyzing the final coupons and updated structure, our ratings on the certificates are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., 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. Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3(i) Class A-1-A, $207,747,000: AAA (sf) Class A-1-B, $36,320,000: AAA (sf) Class A-1, $244,067,000: AAA (sf) Class A-2, $32,869,000: AA- (sf) Class A-3, $39,770,000: A- (sf) Class M-1, $19,249,000: BBB- (sf) Class B-1, $9,988,000: BB (sf) Class B-2, $11,441,000: B (sf) Class B-3, $5,811,528: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R-PT, $18,163,878: Not rated Class PT, $345,031,650: Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $363,195,528. MORGAN STANLEY 2025-NQM7: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM7's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, five- to 10-unit multifamily properties, and a mixed-use property. The pool consists of 844 loans backed by 859 properties, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher-priced mortgage loans, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. Of the 844 loans, four loans are cross-collateralized loans backed by 19 properties. 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 and Morgan Stanley Bank N.A.; -- The mortgage originators, including S&P Global Ratings reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's 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. Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-NQM7 Class A-1-A, $272,007,000: AAA (sf) Class A-1-B, $41,783,000: AAA (sf) Class A-1, $313,790,000: AAA (sf) Class A-2, $25,697,000: AA- (sf) Class A-3, $39,902,000: A- (sf) Class M-1, $15,669,000: BBB- (sf) Class B-1, $8,565,000: BB (sf) Class B-2, $8,984,000: B (sf) Class B-3, $5,223,156: NR Class A-IO-S, Notional(i): NR Class XS, Notional(i): NR Class R-PT, $20,895,656: NR Class PT, $396,934,500: NR Class R, Not applicable: NR (i)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $417,830,156. NR--Not rated. MRCD 2019-PARK: Fitch Affirms BB- Rating on Class D Certs --------------------------------------------------------- Fitch Ratings has affirmed four classes of MRCD 2019-PARK Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2019-PARK. The Rating Outlooks were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MRCD 2019-PARK A 55348UAG3 LT AA-sf Affirmed AA-sf B 55348UAL2 LT A-sf Affirmed A-sf C 55348UAN8 LT BBB-sf Affirmed BBB-sf D 55348UAQ1 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Stabilizing Property Operations: The affirmations and revision of Outlooks to Stable from Negative reflect expected improvement in occupancy and rental income due to the ongoing stabilization of property operations with a receiver now in place at the Parkmerced property. Fitch will continue to monitor performance as the receiver works to stabilize the property and address necessary capital improvements. As of the September 2025 remittance, there are a reported $33.9 million in capital improvement reserves. Fitch's sustainable net cash flow (NCF) remains at $50.4 million, which is 13% below Fitch's issuance NCF of $57.7 million. The TTM YE 2024 NCF improved 5% from YE 2022 NOI, but remains 48% below the originator's underwritten NCF from issuance, primarily driven by vacancy and an increase in reported operating expenses and capex. As of the servicer provided July 2025 rent roll, collateral occupancy was 81.9%, compared with the reported YE 2024 occupancy of 80%, September 2023 occupancy of 82.7% and issuance occupancy of 94.2%. Based on the rent roll, the calculated average rent is $2,702. According to CoStar, as of 2Q25, the Sunset-Lakeshore submarket vacancy and average asking rent for similar properties were 10.4% and approximately $3,100, respectively, with the overall San Francisco multifamily at approximately 5.1% and $3,600, respectively. Specially Serviced Loan: The Parkmerced loan transferred to special servicing in March 2024, prior to its scheduled December 2024 maturity. An expected modification agreement was not reached, and the servicer is proceeding with the enforcement of remedies. A receiver was confirmed in March 2025, with a new property manager installed to manage, lease and commence work to address deferred maintenance items. As of the September 2025 remittance, the performing matured trust loans are reported paid through September 2025, and there is interest shortfalls reported of $10,503 affecting the non-rated class H-RR. Overall High Total Leverage: The Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) for the entire trust, inclusive of the $708 million B note, are 0.50x and 174.3%, respectively, while the Fitch-stressed DSCR and LTV for class D (the lowest rated by Fitch (BB-sf)), are 1.05x and 83.6%, respectively. The total debt per unit through class D is approximately $187,000. Fitch's assumptions include a stressed cap rate of 7% and a stressed value that is 48% below the servicer reported 2024 appraisal value. The Fitch-stressed DSCR and LTV of the whole loan, inclusive of a $245 million C note are 0.42x and 208.3%, respectively. At issuance, the capital structure also included a $275.0 million mezzanine loan. Rent Control and Below Market Rents: Because the buildings were constructed before 1979, they are subject to the San Francisco Rent Control Ordinance, limiting the ability to raise rents on occupied units at the property. Due to rent controls, tenants are incentivized to remain at the property, and prior to issuance from 2015 to 2018, average tenant tenure at the property was 11.9 years for fair market units. The average rent as of the July 2025 rent roll is approximately 13% below market compared to the Sunset/Lakeshore multifamily submarket per CoStar. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Lack of performance stabilization toward issuance levels and/or a reversal of recent positive leasing momentum, including a decline in occupancy and/or lower rental revenues at Parkmerced. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are considered unlikely. However, a sustained and significant improvement in performance, including occupancy and cash flow exceeding issuance levels at Parkmerced could result in a positive rating action. 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 MRCD 2019-PARK has an ESG Relevance Score of '4' [+] for Human Rights, Community Relations, Access & Affordability due to constraints on the sponsor's ability to increase tenant rents, as the property is subject to San Francisco rent controls, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NLT 2025-CES1: Fitch Gives 'Bsf' Rating on Class B-2 Notes ---------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed notes issued by NLT 2025-CES1 Trust (NLT 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- NLT 2025-CES1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The residential mortgage-backed notes are supported by 1,656 closed-end second lien (CES) loans with a total balance of approximately $194.0 million as of the cutoff date. The pool consists of CES mortgages from various originators acquired by Nomura Corporate Funding Americas, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. The issuer rolled balances and ended up removing 21 loans from the pool since the publication of the presale. There were no changes to the expected losses, credit enhancement or ratings at the given rating stresses. The structure was updated post-pricing and the coupons for the A-1, A-2, A-3, B-1 and B-2 classes decreased approximately between 20 bps and 56 bps, which increased the weighted average excess spread to 285 bps, a 22-bp increase from the previous WA excess spread of 263 bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.6% above a long-term sustainable level (compared to 10.5% on a national level as of 1Q25), down 0.5% since the quarter prior, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 1,656 loans totaling approximately $194.0 million and is seasoned at about nine months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date (seven months, per the transaction documents). The borrowers have a strong credit profile, including a Fitch FICO score of 741, a 37.0% debt-to-income ratio (DTI) and moderate leverage, with a 78.4% sustainable loan-to-value ratio (sLTV). Of the pool loans, 97.8% are for a primary residence and 2.2% represent second homes and investor properties; 31.2% originated through a retail channel. In addition, 34.0% are designated as safe-harbor qualified mortgages (SHQMs) and 2.6% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, Fitch did not apply any additional penalties for the HPQM loan status. Second Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by NewRez, LLC, NewFi Lending, New American Funding, LLC and Plaza Home Mortgage, Inc. All other originators represent less than 10% of the overall pool. Fitch assumed no recovery and a 100% LS, based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure with Limited Advancing (Mixed): 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. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 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 WA excess cash flow for this transaction is 285 bps, and, in some instances, the required credit enhancement (CE) for a given rating stress is less than the expected loss because of the amount of CE in the form of excess spread. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency by the respective servicer, either Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint) or Select Portfolio Servicing, Inc. (SPS), to the extent such advances are deemed recoverable. If the P&I advancing parties fail to make required advances, the master servicer, Computershare Trust Company, N.A., will be obligated to make such advance. The stop advance feature limits the external liquidity to the notes in the event of large and extended delinquencies. Given the 100% LS assumption for second lien collateral, no additional severity was applied for servicer advancing. However, given standard servicing practices dictate that advances are only performed when deemed recoverable, Fitch did not give credit to advances. 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, a larger amount of excess interest protects 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. In addition, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Fitch conducted this sensitivity analysis at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Situs AMC (AMC) and Clayton. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 93-bp reduction to 'AAAsf' losses. 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. OCP CLO 2025-45: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OCP CLO 2025-45 Ltd./OCP CLO 2025-45 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners, LLC. The preliminary ratings are based on information as of Sept. 26. 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 OCP CLO 2025-45 Ltd./OCP CLO 2025-45 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $49.45 million: NR NR--Not rated. OCTAGON 55: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 55, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Octagon 55, Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Octagon 55, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Octagon Credit Investors, LLC which originally closed in August 2021. This is the first refinancing where the original notes will be refinanced in whole on Sept. 30, 2025. Net proceeds from the issuance of the secured and existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.23, 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 96.39% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.54% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 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-R, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between '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, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 55, 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. OHA CREDIT 21: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 21, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 21, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OHA Credit Funding 21, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.99 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 74.09% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% 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 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, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Funding 21, 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. PALISADES CENTER 2016-PLSD: Moody's Cuts Rating on A Certs to Caa3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on one class and affirmed the ratings on three classes of Palisades Center Trust 2016-PLSD, Commercial Mortgage Pass-Through Certificates, Series 2016-PLSD as follows: Cl. A, Downgraded to Caa3 (sf); previously on Mar 13, 2023 Downgraded to Caa1 (sf) Cl. B, Affirmed C (sf); previously on Mar 13, 2023 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Mar 13, 2023 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Mar 13, 2023 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. A was downgraded primarily due to higher expected losses upon ultimate loan resolution given the decline in performance, the prolonged delinquency and the accumulation and ongoing interest shortfalls caused by the significant appraisal reduction amount (ARA). The loan is last paid through its February 2024 payment date and recent servicer commentary indicates the special servicer is currently working on a note sale in parallel with pursuing foreclosure as a resolution strategy. The downgrade reflects Moody's higher Moody's LTV ratio and higher expected losses from recent declines in cash flow as well as the increase in the appraisal reduction amount associated with the most recent reported appraisal value. The property's net cash flow (NCF) was $12.7 million for the year ending December 2024, which was a 47% year-over-year decline from 2023. Despite depressed cash flow performance since 2019, the loan previously maintained a net cash flow (NCF) DSCR above 1.00X based on its interest only payment at a 3.7% interest rate, however, the DSCR declined to 0.71X based on the year-end 2024 NCF. Additionally, more than 20% of the current tenancy is occupied by temporary tenants and servicer commentary indicated the property is in need of capital improvements to maintain its competitive advantage. The appraisal dated July 2025 that was reported in the September 2025 remittance statement valued the property 20% lower than the prior appraisal value and 26% below the outstanding balance of Class A (inclusive of the $30 million pari passu portion not included in the trust). As a result of the appraisal reduction amounts and loan delinquencies, Cl. A has accumulated $5.6 million of cumulative interest shortfalls as of the September 2025 remittance date. 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. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction's Issuer Profile Score (IPS) is S-4 and has a Credit Impact Score of CIS-4. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns 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. DEAL PERFORMANCE As of the September 2025 payment date, the transaction's aggregate certificate balance remains unchanged since securitization at approximately $389 million. The whole loan of $418.5 million has a split loan structure represented by the trust loan component of $389 million and a companion loan component of $30 million (not included in the trust) that is securitized in JPMDB 2016-C2. The trust includes notes A, B, C and D. The $229 million senior trust A note and the $30 million companion loan component in JPMDB 2016-C2 are pari passu. The trust notes B, C and D are junior to the trust note A and the companion loan component. The loan initially transferred to special servicing in April 2020 and the original April 2021 maturity date was subsequently extended to October 2022 and the modification also included a 6-month principal and interest forbearance. The loan returned to the master servicer in May 2021, however, the loan transferred back to special servicing in September 2022 and the loan received an additional 30-day forbearance period that expired in November 2022. The borrower was unable to pay off the loan at its extended maturity dates and the special servicer commenced foreclosure proceedings in February 2023 and Trigild was installed as court appointed receiver in September 2024 with Spinoso Real Estate Group engaged as property and leasing manager. The loan is last paid through its February 2024 payment date and has minimal outstanding advances which are likely to be offset by cash in reserves. The special servicer is currently working on a note sale as a resolution strategy in parallel with pursuing foreclosure. The most recent appraisal valued the property 78% below the appraised value at securitization and is significantly below the outstanding loan balance. As a result, the servicer has recognized an appraisal reduction amount (ARA) of $218 million on the $388.5 million trust potion as of the September 2025 remittance statement. Due to the appraisal reduction and delinquent payments, all the outstanding classes have been impacted by interest shortfalls and as of the September 2025 remittance statement, cumulative interest shortfalls were $27.5 million and impacted up to Cl. A. Moody's anticipates interest shortfalls will likely continue until ultimate loan liquidation due to the significant ARA and the property's performance. The property's cash flow was already declining prior to 2020 but was further significantly impacted by the coronavirus pandemic and performance has remained well below levels at securitization. The property's NCF declined from $44.9 million in 2016 to $36.9 million in 2019 and $16.2 million in 2020. The property's NCF briefly rebounded to $25.8 million in 2022, however, has since declined to $12.7 million in 2024. Moody's analysis of the June 2025 financial statements shows the 2025 revenue is trending lower than in 2024, however, Moody's anticipates lower operating expenses due to a successful appeal of real estate taxes which will lower real estate taxes going forward. The Palisades Center is an approximately 1.9 million square foot (SF), four level super regional mall located approximately 3.5 miles northwest of the Tappan Zee Bridge and 18 miles northwest of New York City. The property is now managed by Spinoso Real Estate Group. The loan's original sponsor is Pyramid Management Group, LLC, a privately held real estate management and development company headquartered in Syracuse, New York, however, the court appointed receiver is currently in place. The Palisades Center contains several occupied anchors including Macy's (201,000 square feet (SF)), Home Depot (132,800 SF), Target (130,140 SF), BJ's Wholesale Club (118,076 SF) and Dick's Sporting Goods (94,745 SF). The Macy's and former Lord & Taylor (closed in 2020) are both non-collateral spaces on collateral ground leases. Other larger collateral tenants include a 21-screen AMC Palisades Center Cinema, Burlington Coat Factory, Best Buy, Dave and Busters, DSW, and Autobahn Indoor Speedway. A former collateral anchor, JC Penney (157,339 SF) closed in 2017 and a portion of that space is currently leased to temporary tenants. The property's occupancy rate has declined since securitization. In July 2017, JC Penney closed and vacated their three-level 157,339 SF anchor space, which is part of the loan collateral. In addition, Lord & Taylor (119,847 SF) closed in January 2020 and Bed Bath and Beyond (45,000 SF) closed in June 2020. As of June 2025, the property was reported to be 86% occupied (including temporary anchor and inline tenants) compared to 74% at Moody's last review. More than 20% of the total mall occupied space is currently leased to temporary or specialty tenants and while inline occupancy is currently approximately 92%, excluding temporary tenants it would decline to 72%. Additionally, the property encompasses four levels which presents challenges in relation to leasing and redevelopment, and the property is in need of significant capital investment. Given the sustained decline in performance since securitization, Moody's have increased Moody's LTV ratio on the first mortgage balance to 254%. Moody's stressed DSCR on the first mortgage balance is 0.54X, compared to 0.65X at last review. PALMER SQUARE 2025-4: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Palmer Square CLO 2025-4 Ltd./Palmer Square CLO 2025-4 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2025-4 Ltd./Palmer Square CLO 2025-4 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $3.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $35.0 million: NR NR--Not rated. PARK BLUE CLO 2025-VIII: Fitch Assigns BBsf Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2025-VIII, Ltd. Entity/Debt Rating ----------- ------ Park Blue CLO 2025-VIII, Ltd. A-1 70019WAA9 LT NRsf New Rating A-2 70019WAC5 LT AAAsf New Rating B 70019WAE1 LT AAsf New Rating C 70019WAG6 LT Asf New Rating D-1 70019WAJ0 LT BBB-sf New Rating D-2 70019WAL5 LT BBB-sf New Rating E 70019XAA7 LT BBsf New Rating F 70019XAC3 LT NRsf New Rating Subordinated Notes 70019XAE9 LT NRsf New Rating Transaction Summary Park Blue CLO 2025-VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.29% first lien senior secured loans and has a weighted average recovery assumption of 74.51%. 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 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 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Park Blue CLO 2025-VIII, 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. PMT LOAN 2025-J3: DBRS Gives Prov. B(low) Rating on B5 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-J3 (the Notes) to be issued by PMT Loan Trust 2025-J3 (PMTLT 2025-J3 or the Trust) as follows: -- $285.7 million Class A1 at (P) AAA (sf) -- $285.7 million Class A2 at (P) AAA (sf) -- $285.7 million Class A3 at (P) AAA (sf) -- $171.4 million Class A4 at (P) AAA (sf) -- $171.4 million Class A5 at (P) AAA (sf) -- $171.4 million Class A6 at (P) AAA (sf) -- $214.2 million Class A7 at (P) AAA (sf) -- $214.2 million Class A8 at (P) AAA (sf) -- $214.2 million Class A9 at (P) AAA (sf) -- $71.4 million Class A10 at (P) AAA (sf) -- $71.4 million Class A11 at (P) AAA (sf) -- $71.4 million Class A12 at (P) AAA (sf) -- $228.5 million Class A13 at (P) AAA (sf) -- $228.5 million Class A14 at (P) AAA (sf) -- $228.5 million Class A15 at (P) AAA (sf) -- $42.8 million Class A16 at (P) AAA (sf) -- $42.8 million Class A17 at (P) AAA (sf) -- $42.8 million Class A18 at (P) AAA (sf) -- $14.3 million Class A19 at (P) AAA (sf) -- $14.3 million Class A20 at (P) AAA (sf) -- $14.3 million Class A21 at (P) AAA (sf) -- $57.1 million Class A22 at (P) AAA (sf) -- $57.1 million Class A23 at (P) AAA (sf) -- $57.1 million Class A24 at (P) AAA (sf) -- $114.3 million Class A25 at (P) AAA (sf) -- $114.3 million Class A26 at (P) AAA (sf) -- $114.3 million Class A27 at (P) AAA (sf) -- $36.3 million Class A28 at (P) AA (high) (sf) -- $36.3 million Class A29 at (P) AA (high) (sf) -- $36.3 million Class A30 at (P) AA (high) (sf) -- $322.0 million Class A31 at (P) AA (high) (sf) -- $322.0 million Class A32 at (P) AA (high) (sf) -- $322.0 million Class A33 at (P) AA (high) (sf) -- $71.4 million Class A34 at (P) AAA (sf) -- $71.4 million Class A34X at (P) AAA (sf) -- $95.2 million Class A35 at (P) AAA (sf) -- $95.2 million Class A35X at (P) AAA (sf) -- $142.8 million Class A36 at (P) AAA (sf) -- $142.8 million Class A36X at (P) AAA (sf) -- $285.7 million Class A37 at (P) AAA (sf) -- $322.0 million Class AX1 at (P) AA (high) (sf) -- $285.7 million Class AX2 at (P) AAA (sf) -- $285.7 million Class AX3 at (P) AAA (sf) -- $171.4 million Class AX6 at (P) AAA (sf) -- $171.4 million Class AX7 at (P) AAA (sf) -- $214.2 million Class AX8 at (P) AAA (sf) -- $214.2 million Class AX9 at (P) AAA (sf) -- $71.4 million Class AX11 at (P) AAA (sf) -- $71.4 million Class AX12 at (P) AAA (sf) -- $228.5 million Class AX14 at (P) AAA (sf) -- $228.5 million Class AX15 at (P) AAA (sf) -- $42.8 million Class AX18 at (P) AAA (sf) -- $42.8 million Class AX19 at (P) AAA (sf) -- $14.3 million Class AX21 at (P) AAA (sf) -- $14.3 million Class AX22 at (P) AAA (sf) -- $57.1 million Class AX24 at (P) AAA (sf) -- $57.1 million Class AX25 at (P) AAA (sf) -- $114.3 million Class AX26 at (P) AAA (sf) -- $114.3 million Class AX27 at (P) AAA (sf) -- $36.3 million Class AX30 at (P) AA (high) (sf) -- $36.3 million Class AX31 at (P) AA (high) (sf) -- $322.0 million Class AX32 at (P) AA (high) (sf) -- $322.0 million Class AX33 at (P) AA (high) (sf) -- $285.7 million Class AX37 at (P) AAA (sf) -- $3.2 million Class B1 at (P) AA (low) (sf) -- $6.6 million Class B2 at (P) A (low) (sf) -- $2.0 million Class B3 at (P) BBB (low) (sf) -- $1.2 million Class B4 at (P) BB (low) (sf) -- $336.0 thousand Class B5 at (P) B (low) (sf) -- $285.7 million Class A1A Loans at (P) AAA (sf) Classes A-X1, A-X2, A-X3, A-X6, A-X7, A-X8, A-X9, A-X11, A-X12, A-X14, A-X15, A-X18, A-X19, A-X21, A-X22, A-X24, A-X25, A-X30, A-X31, A-X32, A-X33, A-X34, A-X35, A-X36 and A-X37 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-25, A-26, A-27, A-28, A-29, A-31, A-32, A-33, A-34, A-34X, A-35, A-35X, A-36, A-36X, A-37, A-X2, A-X3, A-X8, A-X9, A-X11, A-X12, A-X14, A-X15, A-X26, A-X27, A-X32, A-X33, A-X37, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-34, A-35, A-36 and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-28, A-29, and A-30) with respect to loss allocation. The Class A-1A 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 15.01% of credit enhancement provided by subordinated Notes. The (P) AA (high) (sf), (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 4.20%, 3.25%, 1.30%, 0.70%, 0.35%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 20 to 30 years and a weighted-average (WA) loan age of three months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.2%. 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. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is elected. Notes: All figures are in U.S. dollars unless otherwise noted. PPM CLO 4: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PPM CLO 4 Ltd. reset transaction. Entity/Debt Rating ----------- ------ PPM CLO 4 Ltd. A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AA+sf New Rating C-R2 LT A+sf New Rating D-1R2 LT BBB+sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary PPM CLO 4 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PPM Loan Management Company 2, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 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 94.67% first lien senior secured loans and has a weighted average recovery assumption of 72.87%. 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 'A-sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'AA-sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, 'Asf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for PPM CLO 4 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PPM CLO 4: Moody's Assigns B3 Rating to $250,000 Class F Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by PPM CLO 4 Ltd. (the Issuer): US$210,000,000 Class A-1R2 Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. PPM Loan Management Company 2, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to 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: $350,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2979 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% 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. PRET 2025-RPL4: DBRS Finalizes B(high) Rating on Class B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RPL4 (the Notes) issued by PRET 2025-RPL4 Trust (PRET 2025-RPL4 or the Trust) as follows: -- $289.3 million Class A-1 at AAA (sf) -- $21.5 million Class A-2 at AA (high) (sf) -- $310.8 million Class A-3 at AA (high) (sf) -- $331.6 million Class A-4 at A (sf) -- $347.3 million Class A-5 at BBB (sf) -- $20.9 million Class M-1 at A (sf) -- $15.7 million Class M-2 at BBB (sf) -- $11.4 million Class B -1 at BB (sf) -- $7.0 million Class B-2 at 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 AAA (sf) credit rating on the Notes reflects 25.15% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (sf), BBB (sf), BB (sf), and 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% of 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. PRET 2025-RPL4: Fitch Assigns 'Bsf' Rating on Class B-2 Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRET 2025-RPL4 Trust (PRET 2025-RPL4). Entity/Debt Rating Prior ----------- ------ ----- PRET 2025-RPL4 Trust A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf B LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,751 seasoned performing loans and reperforming loans (RPLs) that had a balance of $406.88 million, including deferred balances, as of the cut-off date. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, and multifamily homes. In the pool, 100% of the loans are seasoned performing loans and RPLs. Based on Fitch's analysis of the pool, Fitch considered 54.3% of the loans exempt from the qualified mortgage (QM) rule as they are investment properties or were originated prior to the Ability to Repay (ATR) rule taking effect in January 2014. Selene Finance LP will service 100.0% of the loans in the pool. Fitch rates Selene 'RPS3+'. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although 9.3% of the pool comprises step-rate loans or loans with an adjustable rate. 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 the prior quarter, based on its updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, despite modest regional declines, but are still being supported by limited inventory. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 1,751 loans totaling \$406.88 million, which includes deferred amounts. The loans are seasoned at approximately 136 months in aggregate, according to Fitch, as calculated from the origination date (134 months, per the transaction documents). Based on its analysis of the pool, Fitch considered the pool to consist of 90.7% fully amortizing fixed-rate loans, 8.1% fully amortizing ARM loans and 1.2% step-rate loans treated as ARM loans. The borrowers have a moderate credit profile, with a 683 Fitch model FICO score. The transaction has a weighted average (WA) sustainable loan-to-value ratio (sLTV) of 59.6%, as determined by Fitch. The debt-to-income ratio (DTI) was not provided for 79% of loans in the transaction pool by loan count; as a result, Fitch applied a 45% DTI to all loans without a provided DTI. According to Fitch, the pool consists of 88.8% of loans where the borrower maintains a primary residence, while 9.1% consists of loans for investor properties and 2.2% are for second homes. Fitch treated loans with unknown occupancy as investor properties. In its analysis, Fitch considered 45.7% of the loans to be non-qualified mortgage (non-QM) loans and 54.3% were considered exempt from QM status. In its analysis, Fitch considered loans originated after January 2014 to be non-QM, as they are no longer eligible to be in government-sponsored enterprise (GSE) pools. In Fitch's analysis, 83.9% of the loans are to single-family homes, townhouses and PUDs, 7.1% are to condos or co-ops, 8.8% are to manufactured housing or multifamily homes, and less than 0.2% are for co-ops. In its analysis, Fitch treated manufactured properties as multifamily and the probability of default (PD) was increased for these loans, as a result. The pool contains 20 loans over \$1.0 million, with the largest loan at \$2.83 million. Based on the due diligence findings, Fitch considered 6.2% of the loans to have subordinate financing. Specifically, for loans missing original appraised values, Fitch assumed these loans had an LTV of 80% and a combined LTV (cLTV) of 100%, which further explains the discrepancy in the subordinate financing percentages, per Fitch's analysis versus the transaction documents. Fitch viewed all loans in the pool as in the first lien position, based on data provided in the loan tape and confirmation from the servicer. Of the pool, 91.7% of loans were current as of Sept. 8, 2025. Overall, the pool characteristics resemble RPL collateral; therefore, the pool was analyzed using Fitch's RPL model, and Fitch extended liquidation timelines as it typically does for RPL pools. Approximately 22.0% of the pool is concentrated in California. The largest MSA concentration is in the New York City MSA at 16.3%, followed by the Los Angeles MSA at 9.0% and the Atlanta MSA at 3.7%. The top three MSAs account for 29.0% of the pool. As a result, there was no penalty applied for geographic concentration. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. Because 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 timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, 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 additional credit enhancement (CE) compared to 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 classes. Sequential Deal Structure (Positive) The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to but excluding the payment date in October 2029, and for the related accrual period, will be a per annum rate equal to the lower of (i) the fixed rate for such class (as set forth in the table on page 1); (ii) the net WA coupon (WAC) rate for such payment date; and (iii) the applicable note available funds cap for such interest accrual period and payment date. Beginning on the payment date in October 2029 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lower of (a) the net WAC rate for such payment date and (b) the sum of (i) the fixed rate set forth in the table above for such class of notes; (ii) 1.000% (with such increased note rate referred to as the "step-up note rate"); and (iii) the applicable note available funds cap for such interest accrual period and payment date. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the (i) the net WAC rate and (ii) the applicable note available funds cap for such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. There is excess spread available to absorb losses. 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 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 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 of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 ProTitle and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A large portion of the loans received 'C' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses by 0.75% and are further detailed in the Third-Party Due Diligence section of the presale. Fitch determined there were five loans with material TRID issues; a $15,500 loss severity penalty was given to loans with material TRID issues, although this did not have any impact on the rounded losses. A ProTitle search found outstanding liens that pre-date the mortgage. It was confirmed the majority of these liens are retired and nothing is owed. There were 41 loans with a clean title search but for which potentially superior post ordination liens/judgments were found totaling $185,994.9488. Additionally, there were 50 mortgage loans for which potentially superior post origination liens/judgments were found totaling $921,277.49. The trust would be responsible for these amounts. Fitch therefore increased the LS by these amounts since the trust would be responsible for reimbursing the servicer for this amount. This has no impact on the rounded losses. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. Due to this, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans; refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. 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 data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations PRET 2025-RPL4 Trust has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the R&W framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PROGRESS RESIDENTIAL 2021-SFR7: DBRS Confirms B Rating on G Certs ----------------------------------------------------------------- DBRS, Inc. reviewed 24 classes from three U.S. single-family rental transactions. Of the 24 classes reviewed, Morningstar DBRS confirmed 18 credit ratings and upgraded six credit ratings. Progress Residential 2021-SFR7 Trust -- Single-Family Rental Pass-Through Certificates, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class B upgraded to AAA (sf) from AA (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class C upgraded to AA (low) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class D upgraded to A (sf) from A (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificates, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class G confirmed at B (sf) Progress Residential 2021-SFR9 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 (low) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D upgraded to A (sf) from A (low) (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 confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (sf) PATH 2023-1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (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. PROGRESS RESIDENTIAL 2025-SFR5: DBRS Finalizes B(low) on G Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by Progress Residential 2025-SFR5 Trust (PROG 2025-SFR5): -- $297.9 million Class A at AAA (sf) -- $60.5 million Class B at AA (low) (sf) -- $34.1 million Class C at A (low) (sf) -- $48.1 million Class D at BBB (sf) -- $27.9 million Class E at BBB (low) (sf) -- $35.7 million Class F1 at BB (sf) -- $21.7 million Class F2 at BB (low) (sf) -- $32.6 million Class G at B (low) (sf) The AAA (sf) credit rating on the Class A certificates reflects 51.76% of credit enhancement provided by subordinate certificates. The AA (low)(sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 41.96%, 36.43%, 28.64%, 24.12%, 18.34%, 14.82%, and 9.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2025-SFR5 Certificates are supported by the income streams and values from 2,173 rental properties. The properties are distributed across nine states and 29 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by Broker Price Opinion (BPO) value, 61.9% of the portfolio is concentrated in three states: Georgia (28.5%), Florida (16.9%), and Texas (16.6%). The average BPO value is $285,620. The average age of the properties is roughly 36 years as of the cut-off date. The majority of the properties have three or more bedrooms. The Certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $617.5 million. Morningstar DBRS finalized its provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria (for more details, see https://dbrs.morningstar.com ). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The finalized credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum DSCR of higher than 1.0 times. (For more details, see the related presale report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the presale report.) Notes: All figures are in U.S. dollars unless otherwise noted. PRPM TRUST 2025-NQM4: Moody's Assigns B1 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) issued by PRPM 2025-NQM4 Trust, and sponsored by PRP-LB VI AIV, LLC. The securities are backed by a pool of non-prime, non-QM residential mortgages acquired by PRP-LB VI AIV, LLC, originated by multiple entities and serviced by Fay Servicing, LLC, Selene Finance LP, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), and SN Servicing Corporation. The complete rating actions are as follows: Issuer: PRPM 2025-NQM4 Trust Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1F, Definitive Rating Assigned Aaa (sf) Cl. A-1IO*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba1 (sf) Cl. B-2, Definitive Rating Assigned B1 (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 4.62%, in a baseline scenario-median is 3.59% and reaches 34.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RAD CLO 30: Fitch Assigns 'BB-sf' Rating on Class D Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 30, Ltd. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 30, Ltd. A-1a LT NRsf New Rating NR(EXP)sf A-1b LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf B LT Asf New Rating A(EXP)sf C-1 LT BBB-sf New Rating BBB-(EXP)sf C-2 LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary RAD CLO 30, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.23 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.28% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.79% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AAsf' for class B, 'Asf' for class C-1, 'A-sf' for class C-2, and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 RAD CLO 30, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RCKT MORTGAGE 2025-CES9: Fitch Assigns 'Bsf' Rating on 5 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES9 (RCKT 2025-CES9). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES9 A-1A LT AAAsf New Rating AAA(EXP)sf A1-B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1A LT BBB+sf New Rating BBB+(EXP)sf M-1B LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBB+sf New Rating BBB+(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 8,520 closed-end second-lien (CES) loans with a total balance of approximately $747 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAAsf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.6% above a long-term sustainable level, compared with 10.6% on a national level as of 1Q25, down 0.5% qoq. Housing affordability is at its worst level in decades, driven by high interest rates and elevated home prices. Home prices had 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 8,520 loans totaling approximately $747 million and is seasoned at about three months in aggregate, as calculated by Fitch (one month, per the transaction documents) — calculated as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 743, a debt-to-income (DTI) ratio of 39.2% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 76.2%. Of the pool, 99.2% of the loans are of a primary residence and 0.8% represent second homes, and 92.1% of loans were originated through a retail channel. Additionally, 63.9% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 14.9% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The 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 write-down at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Consolidated Analytics, Inc. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.0% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 18bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2025-CES9 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to {DESCRIPTION OF ISSUE/RATIONALE}, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2017: DBRS Confirms B(high) Rating on Class G Certs --------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2017 issued by Real Estate Asset Liquidity Trust (REALT) Series 2017 (the Issuer) as follows: -- Class C to AAA (sf) from AA (high) (sf) -- Class D-1 to AA (sf) from AA (low) (sf) -- Class D-2 to AA (low) (sf) from A (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class X at AAA (sf) -- Class E at BBB (high) (sf) -- Class F at BB (high) (sf) -- Class G at B (high) (sf) Morningstar DBRS maintained the Positive trends on Classes D-1 and D-2, changed the trends on Classes E, F, and G to Positive from Stable, and changed the trend on Class C to Stable from Positive. The trends on Classes A-2, B, and X remain Stable. The credit rating upgrades and Stable trends reflect the overall positive outlook for the pool as evidenced by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 1.85 times (x) and WA loan-to-value ratio (LTV) of 50.1% based on the most recent year-end financial reporting. In this review, Morningstar DBRS considered a 20.0% reduction to the Issuer's underwritten net cash flow (NCF) for each remaining loan in the pool to test the durability of the credit ratings in the unlikely event individual property cash flows decline. The analysis suggests the credit ratings are well supported against future cash flow fluctuations, supporting the credit rating upgrades. Morningstar DBRS' analysis also considered a stressed scenario, applying probability of default (POD) and/or LTV adjustments to a select number of loans, to further evaluate the support for credit rating upgrades. The pool further benefits from its limited exposure to loans secured by office collateral, with just three such loans comprising 11.1% of the pool. The Positive trends reflect the improved outlook for Skyline Thunder Centre (Prospectus ID#1; 19.1% of the current pool balance) and Worthington Office North Bay (Prospectus ID#22; 4.0% of the current pool balance). Morningstar DBRS previously flagged these loans during its October 2024 review because of declining DSCR and occupancy. According to the most recent servicer reporting, however, the performance of both loans has improved. Furthermore, the trend changes are supported by the increased credit support to the bonds from collateral reduction and the favorable refinance metrics for seven loans (21.5% of the current pool balance), which are scheduled to mature within the next 15 months. As of the August 2025 remittance, 33 of 71 loans remained in the pool with a total balance of $132.3 million and collateral reduction of 67.5% since issuance. Four loans, representing 28.4% of the pool balance, are on the servicer's watchlist, and no loans are defeased or in special servicing. The loans on the servicer's watchlist are being monitored mainly because of upcoming maturity and low DSCRs. The pool is most concentrated by self-storage loans (34.7% of the current pool balance) followed by retail (31.3% of the current pool balance) and industrial (15.0% of the current pool balance). The largest loan in the pool, Skyline Thunder Centre, is secured by an anchored retail property in Thunder Bay, Ontario. The loan is currently being monitored on the servicer's watchlist for a low DSCR; however, Morningstar DBRS expects the figure to improve because of a significant improvement in the occupancy rate. As per the April 2025 rent roll, the collateral had an occupancy rate of 99.4% compared with 86.7% in the previous year. Old Navy (8.9% of the net rentable area (NRA)) extended its lease by five years through 2029, and two new tenants signed leases for a combined 20,400 square feet (12.2% of the NRA) through 2034. Tenants occupying almost 19.1% of the NRA have leases scheduled to expire within the next 12 months, including the second-largest tenant, Michaels of Canada (13.1% of the NRA). As per YE2024 reporting, the property generated NCF of $1.9 million (a DSCR of 1.08x) compared with a YE2023 figure of $1.8 million (a DSCR of 1.03x). Morningstar DBRS expects NCF to incrementally improve; however, given the upcoming tenant rollover risk, Morningstar DBRS analyzed this loan with an elevated POD penalty, resulting in a loan expected loss (EL) that was more than 2.0x greater than the pool EL. The Worthington Office North Bay loan is backed by an office property in North Bay, Ontario. The loan is currently on the servicer's watchlist because of a low DSCR. According to the March 2025 rent roll, the property was 81.4% occupied, an increase from the YE2023 figure of 68.0%. There is moderate upcoming tenant rollover risk with tenants occupying 11.1% of NRA scheduled to expire over the next 12 months. According to the YE2024 financials, the property generated an NCF of $0.26 million (a DSCR of 0.61x), which reflected a slight improvement from the YE2023 figure of $0.21 million (a DSCR of 0.51x), but this remains significantly below the Issuer's figure of $0.58 million (a DSCR of 1.38x). Morningstar DBRS applied an elevated POD penalty to the loan to reflect the low DSCR and declining cash flow, resulting in an EL almost 2.5x greater than the pool EL. Notes: All figures are in Canadian dollars unless otherwise noted. REGATTA VI FUNDING: Fitch Assigns B-sf Rating on Class F-R3 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Regatta VI Funding Ltd. reset transaction. Entity/Debt Rating ----------- ------ Regatta VI Funding, Ltd. X-R3 LT AAAsf New Rating A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating F-R3 LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta VI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Regatta Loan Management, LLC. The original CLO, which closed in 2016, was not rated by Fitch and has been refinanced twice. On Sept. 26, 2025, the CLO's existing secured notes will be redeemed in full refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $397 million of primarily first lien senior secured leveraged loans, excluding defaulted obligations. 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 24.1 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.67% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.15% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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-R3, between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1-R3, between less than 'B-sf' and 'BB+sf' for class D-2-R3, between less than 'B-sf' and 'B+sf' for class E-R3, and between less than 'B-sf' and 'B+sf' for class F-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R3 and 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, 'A-sf' for class D-2-R3, 'BBB+sf' for class E-R3 and 'BBB-sf' for class F-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Regatta VI Funding, 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. REPUBLIC FINANCE 2025-A: DBRS Gives Prov. BB(low) Rating on E Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by Republic Finance Issuance Trust 2025-A (REPS 2025-A): -- $257,310,000 Class A Notes at (P) AAA (sf) -- $35,900,000 Class B Notes at (P) AA (low) (sf) -- $34,910,000 Class C Notes at (P) A (low) (sf) -- $22,540,000 Class D Notes at (P) BBB (low) (sf) -- $24,340,000 Class E Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) This is Republic Finance, LLC's (Republic or the Company) sixth ABS 144A transaction, their inaugural transaction occurred in October 2019, this is their first transaction of 2025. (2) The is the first of all securitizations issued by Republic that has attained a AAA (sf) credit rating for the senior class. Morningstar DBRS has historically viewed high branch payments as a concern since there is a risk for those high levels of cash or check collections if the sponsor were, hypothetically, in bankruptcy. If this were the case, the Indenture Trustee may not have a perfected interest in collections commingled by the Servicer or with funds, such as cash and checks received at branches, that are not yet deposited into a trust account. -- As of August 1, 2025, the Company no longer accepts cash payments in any branch except branches in the state of Virginia. At this time, Republic Finance is allowing one-time exceptions, and as of August 31, 2025, the total cash payment for the month of August 2025 was less than 1% of all payments. -- Republic currently receives about 48.4% of customer payments in branch and about 39.72% online. Those payments made in branch tend to be checks. Approximately 20% of Republic branches currently have remote check deposit capability; it is expected that this technology will be rolled out to the majority of branches by the end of Q4 2025. Checks are immediately deposited by the branches into a company bank account. From that point, the cash is swept into the trust accounts within two business days. -- Republic supplemented its reporting to its backup servicer, Computershare Trust Company, N.A. (Computershare), in order to ease Computershare's ability to take over servicing in a backup role if it were ever required to do so. (3) The transaction will be the first to have a meaningful concentration of third party originated loans (50% concentration per the reinvestment criteria). Republic has launched a Bank Partnership with Column N.A. This contract is expected to be originating all types of loan products shortly. Although there may be other Bank Partnerships we will review in the future, MDBRS has only reviewed the processes, program agreement and loan agreement Republic has entered into with Column N.A.. The Issuer may acquire Loans originated by other third-party originators expected to be federally chartered banks regulated by the Office of the Comptroller of the Currency with respect to which prior notice has been provided to the Rating Agencies. (4) Republic continues to expand its physical lending footprint. (5) Transaction capital structure and form and sufficiency of available credit enhancement. (6) Credit enhancement will be in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (7) Republic's capabilities with regard to originations, underwriting, and servicing. Morningstar DBRS performed an operational review of the Company and considers it an acceptable originator and servicer of personal loans with an acceptable backup servicer. The Company's senior management team has considerable experience and a successful track record in the consumer loan industry. (8) Acquisition of a majority stake in the Company by CVC in November 2017 with the founding family retaining a significant share of the Company. CVC has since implemented and maintained a growth strategy, including increasing the number of branches, centralizing certain underwriting, and servicing functions as well as building an online presence. CVC always reviews their holdings and is exploring various strategic alternatives regarding ownership at this point. (9) In April 2019, Republic completed the implementation of centralized underwriting policies and processes for all branches, which allowed the creation of a hybrid servicing model. The Company opened a fully centralized collections center in Charlotte, North Carolina. The center was further enhanced in 2021 to close loans over the phone with customers that are not within the geographical footprint of a branch. (10) Computershare will serve as backup servicer. (11) The credit quality of the collateral and performance of Republic's consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Company's portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for assets such as credit card master trusts. -- The weighted-average (WA) remaining term of the Statistical Cut-Off Date is approximately 35 months. -- Morningstar DBRS applied a finance yield haircut of 10.00% to the Class A Notes, 7.33% to the Class B Notes, 5.33% to the Class C Notes, 3.33% to the Class D Notes, and 1.67% to the Class E Notes. While these haircuts are lower than the range described in the Morningstar DBRS Rating U.S. Credit Card Asset-Backed Securities methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. -- The base-case assumption for yield is 25.50%, which remains the same as for the REPS 2024-B transaction, also rated by Morningstar DBRS, and aligns with the reinvestment criteria event if the weighted-average coupon (WAC) is less than 25.50%. -- The WAC of the Statistical Cut-Off Date is 27.96%. (12) Principal payment rates for Republic's portfolio, as calculated by Morningstar DBRS, have trended lower since 2017. Depending on the credit tiers and subportfolio, these rates have generally averaged between 2.5% and 8.0% over the past several years. -- The Morningstar DBRS base-case assumption for the principal payment rate is 3.13%. -- Morningstar DBRS applied a payment rate haircut of 43.26% to the Class A Notes, 38.33% to the Class B Notes, 33.33% to the Class C Notes, 26.67% to the Class D Notes, and 16.67% to the Class E Notes. (13) The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (14) Morningstar DBRS' projected base-case annualized CNL has decreased from the prior REPS 2024-A transaction mainly because of tighter re-investment criteria. Charge-off rates spiked in mid-2022 and early 2023. The losses were related to inflation affordability issues that many of Republic's borrowers faced during early 2022. Since then, Republic has taken many steps to tighten underwriting, enhance servicing, and cease originations in certain buckets. The portfolio has since stabilized, and the Morningstar DBRS net charge-off assumption rate is 14.50%. (15) The legal structure and presence of legal opinions that will address the true sale of the assets from the Seller to the Depositor, the nonconsolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and that it is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. REPUBLIC FINANCE 2025-A: S&P Assigns Prelim BB+ Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Republic Finance Issuance Trust 2025-A's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of Sept. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- Initial hard enhancement of approximately 36.25%, 27.25%, 18.50%, 12.85%, and 6.75% for the class A, B, C, D, and E notes, respectively, including the nonamortizing reserve account. -- The fully funded, nonamortizing reserve account of $2.99 million (approximately 0.75% of the initial loan pool). -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- S&P said, "Our worst-case, weighted average base-case loss for this transaction of 15.80%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Our base case also accounts for historical volatility observed in annualized gross loss rates for Republic Finance LLC's (Republic) managed loan portfolio over time." -- S&P's expectation for timely interest and full principal payments, based on stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section in "S&P Global Ratings Definitions," Dec. 2, 2024. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $23.94 million (approximately 6.00% of the initial loan pool). -- The transaction's legal structure. -- In rating this transaction, S&P Global Ratings will review the relevant legal matters outlined in its criteria. Preliminary Ratings Assigned(i) Republic Finance Issuance Trust 2025-A Class A, $257.31 million: AAA Class B, $35.90 million: AA Class C, $34.91 million: A Class D, $22.54 million: BBB Class E, $24.34 million: BB+ (i)The actual size of these tranches will be determined on the pricing date. ROCKFORD TOWER 2017-3: Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Rockford Tower CLO 2017-3, Ltd.: US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 9, 2024 Upgraded to Aa2 (sf) US$32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Jul 9, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$320,000,000 (Current outstanding amount US$65,780,000) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 9, 2024 Affirmed Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 9, 2024 Upgraded to Aaa (sf) US$27,500,000 Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jul 9, 2024 Affirmed Ba3 (sf) Rockford Tower CLO 2017-3, Ltd., issued in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Rockford Tower Capital Management, L.L.C. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over the last 12 months. The affirmations on the ratings on the Class A, Class B and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD88.0 million (27.5% of original balance) in the last 12 months and USD254.2 million (79.4%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Classes A/B, Class C and Class D. According to the trustee report dated August 2025[1], the OC ratios for Class A/B, Class C and Class D are reported at 178.96%, 148.27% and 121.24%, compared to August 2024[2] levels of 149.01%, 133.08% and 116.84%, 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 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: USD223.6m Defaulted Securities: USD5.1m Diversity Score: 48 Weighted Average Rating Factor (WARF): 3451 Weighted Average Life (WAL): 2.94 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.28% Par haircut in OC tests and interest diversion test: 4.22% 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: -- 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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. 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. RR 41 LTD: Fitch Assigns BB-sf Rating on Cl D Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 41 Ltd. Entity/Debt Rating ----------- ------ RR 41 Ltd A-1a LT NRsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B LT Asf New Rating C-1a LT BBBsf New Rating C-1b LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 41 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.3, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b notes, between 'BB+sf' and 'A+sf' for class A-2 notes, between 'Bsf' and 'BBB+sf' for class B notes, between less than 'B-sf' and 'BB+sf' for class C-1a notes, between less than 'B-sf' and 'BB+sf' for class C-1b notes, between less than 'B-sf' and 'BB+sf' for class C-2 notes and between less than 'B-sf' and 'B+sf' for class D notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AAsf' for class B notes, 'A+sf' for class C-1a notes, 'Asf' for class C-1b notes, 'A-sf' for class C-2 notes and 'BBB+sf' for class D 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 RR 41 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. SALUDA GRADE 2025-LOC5: DBRS Gives Prov. B(low) Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Saluda Grade Alternative Mortgage Trust Asset-Backed Securities, Series 2025-LOC5 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2025-LOC5 (GRADE 2025-LOC5 or the Trust): -- $199.2 million Class A-1A at (P) AAA (sf) -- $60.8 million Class A-1B at (P) AAA (sf) -- $16.0 million Class M-1 at (P) AA (low) (sf) -- $15.3 million Class M-2 at (P) A (low) (sf) -- $14.0 million Class M-3 at (P) BBB (low) (sf) -- $13.2 million Class B-1 at (P) BB (low) (sf) -- $6.9 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 21.15% of credit enhancement provided by subordinate 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 16.30%, 11.65%, 7.40%, 3.40%, and 1.30% 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 recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 2,483 loans with a total unpaid principal balance (UPB) of $329,726,533 and a total current credit limit of $377,598,428 as of the Cut-Off Date (August 31, 2025). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 28 months. All the HELOCs are current and approximately 99.1% have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2025-LOC5 represents the seventh securitization of 100% HELOCs by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). The performance of the previous transactions to date has been satisfactory. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from 10 to 25 years and are no longer allowed to draw. All HELOCs in this transaction are floating-rate loans with interest-only (IO) payment periods aligned with their draw periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 94.1% after two months of seasoning on average. Transaction and Other Counterparties The mortgages were originated by Homebridge Financial Services, Inc. and its affiliates (60.6%), Angel Oak Mortgage Solutions LLC (23.9%) and Better Mortgage Corporation (14.8%) as well as other originators each comprising less than 10.0% of the pool by balance. Shellpoint will service all loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. WSFS Bank will also serve as the Custodian along with Wilmington Trust, National Association. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), Goldman Sachs Bank USA (rated "A" (high) with a Stable trend by Morningstar DBRS), as the VFL Lender, will be required to advance any such Net Draw up to the amount of $15,000,000 (VFL Commitment Amount) until October 2030. If the VFL Lender is not obligated to advance such amount, or after October 2030, the holder of the Issuer Trust Certificate will be required to fund any such portion of Net Draws. The Certificate Principal Balance of the Class G Certificates will increase by any such amount remitted by the VFL Lender or the holder of the Issuer Trust Certificate, as applicable. Saluda Grade, as holder of the Issuer Trust Certificates, will have an ultimate responsibility to ensure draws are funded as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the creditworthiness of the VFL Lender and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class A-1B, M-1, M-2, or M-3 Notes is a Locked Out Class, as described in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class A-1B, M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) 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. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. 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 HELOC. However, the Servicer is required 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. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 20% of the Cut-Off Date UPB, the Sponsor, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the repurchase price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties for an amount not less than minimum price (Clean-Up Call). The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Notes: All figures are in U.S. dollars unless otherwise noted. SCG TRUST 2025-SNIP: Fitch Assigns 'BB-sf' Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following 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. 25, 2025. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $930 million, two-year, floating-rate IO mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple and/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 located 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. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash fl ow (NCF) for the portfolio at $71.3 million. Fitch applied a7.50% 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 located 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 Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/ 'A-sf'/ 'BBB-sf'/ '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 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'/'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. SEQUOIA MORTGAGE 2025-9: Fitch Assigns Bsf Rating on Class B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-9 (SEMT 2025-9). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-9 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A30 LT AAAsf New Rating A31 LT AAAsf New Rating AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 484 loans with a total balance of approximately $591.6 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included two loan drops from the prior pool. Fitch re-ran its asset analysis, and its proposed loss coverage levels did not change. Additionally, Fitch received an updated structure including three new exchangeable bonds (A-30, A-31, and A-IO29 classes). Fitch tested the structure and confirmed these bonds are passing at Fitch's highest rating stress of 'AAAsf'/Outlook Stable and confirmed there were no changes from its expected ratings for the remaining classes. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral consists of 484 loans totaling approximately $591.6 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 779 and a 37.7% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 79.7% sustainable LTV (sLTV) and a 71.6% mark-to-market combined LTV (cLTV). Overall, 95.2% of the pool loans are for a primary residence, while 4.9% are loans for second homes; 77.5% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor APOR qualified mortgage (QM) loans as determined by Fitch. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 10.5% on a national level as of 1Q25, down 0.5% since the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 2.3% yoy nationally as of May 2025, notwithstanding modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially, first to the super-senior classes (A-9, A-12, A-18 and A-26F), concurrently on a pro rata basis, and then to the senior-support A-21 certificate. In SEMT 2025-9, the servicing administrator (RRAC) will be obligated to advance delinquent P&I to the trust for all loans serviced by Select Portfolio Servicing, Inc. (SPS) until deemed nonrecoverable, following initial reductions in the class A-IO-S strip and servicing administrator fees. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.3% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-9 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-9 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This 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. SEQUOIA MORTGAGE 2025-HYB1: Fitch Assigns 'Bsf' Rating on B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-HYB1 (SEMT 2025-HYB1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-HYB1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1AF LT AAAsf New Rating AAA(EXP)sf A1AIO LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1BF LT AAAsf New Rating AAA(EXP)sf A1BIO LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 295 loans with a total balance of approximately $343.5 million as of the cutoff date. The pool consists of prime jumbo adjustable-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure with full advancing. Following Fitch's publication of its presale and expected ratings, an updated collateral pool was provided which included four loan drops from the prior pool. Fitch re-ran its asset analysis and its proposed loss coverage levels did not change. Additionally, Fitch received an updated structure based off the new deal balance and confirmed there were no changes from its expected ratings. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.2% above a long-term sustainable level (vs. 10.5% nationally as of 1Q25, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices.) Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices increased 2.3% YoY nationally as of May2025, despite modest regional declines, but are still being supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 295 loans totaling approximately $343.5 million and seasoned at about six months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 782 and a 38.1% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with a 77.2% sustainable loan-to-value ratio (sLTV) and a 69.7% mark-to-market combined loan-to-value ratio (cLTV). Overall, 94.4% of the pool loans are for a primary residence, while 5.6% are loans for second homes; 75.8% of the loans were originated through a retail channel. In addition, 98.1% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Hybrid ARM Concentration and Payment Shock (Negative): All the loans in this transaction are hybrid adjustable-rate mortgages (ARMs) with an initial fixed period between 60 and 120 months with the large majority of loans (84.8% by unpaid principal balance) having an 84-month initial fixed period. A majority of the loans will have rates subsequently reset every six months. In addition, 99.3% of the loans are originated within two years of the cutoff date and deemed new origination while the remaining 0.7% are seasoned loans. Fitch assumes in its analytical treatment that borrowers approaching their initial and subsequent reset dates exhibit a higher future payment shock as a result of their interest rates changing and, consequently, a higher probability of default (PD). Fitch expects the probability of default (PD) to be 1.17x higher in the 'AAAsf' stress relative to a 100% fully amortizing fixed-rate pool. Sequential-Pay Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a sequential-pay structure, whereby interest and principal are paid pro rata among the classes A-1A and A-1B (with classes A-1AIO and A-1BIO receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. SEMT 2025-HYB1 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent (DQ) P&I to the trust until deemed nonrecoverable for the servicing released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance and delinquencies. Due to the sequential structure and full advancing, the credit enhancement (CE) levels are equivalent to Fitch's expected losses at each rating category except the 'AAAsf' notes due to the limited principal leakage as a result of the pro-rata allocations between the A-1A and A-1B notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-HYB1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-HYB1 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This 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. SIGNAL PEAK 4: S&P Affirms CCC+ (sf) Rating on Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R2, A-R2, B-R2, and C-R2 debt from Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC, a CLO managed by ORIX Advisers LLC, that was originally issued in October 2017 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the previous class X-R, A-R, B-R, and C-R debt following payment in full on the Sept. 25, 2025, refinancing date. S&P also affirmed its ratings on the class D-R, E-R, and F-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period for the class A-R2 debt was extended to June 25, 2026. -- The non-call period for the class B-R2 and C-R2 debt was extended to March 25, 2026. -- No additional assets were purchased on the Sept. 25, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 27, 2025. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F-R debt (which was not refinanced). However, we affirmed our 'CCC+ (sf)' rating on the class F-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class F-R debt, when due, is dependent on favorable business, financial, or economic conditions. Therefore, this class continues to fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Outstanding Debt Issuances Replacement debt -- Class X-R2, $2.00 million: Three-month CME term SOFR + 0.85% -- Class A-R2, $384.00 million: Three-month CME term SOFR + 1.12% -- Class B-R2, $72.00 million: Three-month CME term SOFR + 1.65% -- Class C-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 2.00% Outstanding debt -- Class X-R, $2.00 million: Three-month CME term SOFR + 0.95% + CSA(i) -- Class A-R, $384.00 million: Three-month CME term SOFR + 1.18% + CSA(i) -- Class B-R, $72.O0 million: Three-month CME term SOFR + 2.15% + CSA(i) -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.15% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC Class X-R2, $2.00 million: AAA (sf) Class A-R2, $384.00 million: AAA (sf) Class B-R2, $72.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Ratings Withdrawn Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC Class X-R to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Ratings Affirmed Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC Class D-R (deferrable): BB+ (sf) Class E-R (deferrable): B+ (sf) Class F-R (deferrable): CCC+ (sf) Other Debt Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC Subordinated notes, $58.45 million: NR NR--Not rated. SILVER POINT 12: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 12, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 12, 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 F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Silver Point CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.4% first lien senior secured loans and has a weighted average recovery assumption of 73.17%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 '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 Silver Point CLO 12, 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. STWD 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes ------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes issued by STWD 2022-FL3, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class E-X at BBB (low) (sf) -- Class F-X at BB (low) (sf) -- Class G-X at B (low) (sf) -- Class E-E at BBB (low) (sf) -- Class F-E at BB (low) (sf) -- Class G-E at B (low) (sf) Morningstar DBRS changed the trend on Classes E, F, E-E, E-X, F-E, and F-X to Stable from Negative. The trends on Classes G, G-E, and G-X remain Negative. The trend on all other classes is Stable. The trend changes reflect improvements in the overall transaction, including considerable paydown of $284.3 million since the last review in September 2024, a decreased pool expected loss (EL), and performance improvements in a handful of the largest loans in the pool as a majority of borrowers continue to progress in their respective business plans and achieve stabilization. The credit rating confirmations also reflect the concentration of loan collateral secured by multifamily properties (17 loans, totaling 56.5% of the current trust balance), which has historically proved better able to retain property value and cash flow compared with other property types. In its analysis for this review, Morningstar DBRS determined that a majority of individual borrowers are progressing with their business plans to increase property performance and property value. The unrated, first-loss note of $75.0 million provides a significant cushion against realized losses should the increased risks for those loans ultimately result in defaults and dispositions. In total, there are seven loans secured by office collateral, representing 32.7% of the current trust balance. The majority of the borrowers of these loans have been unable to meaningfully increase property occupancy rates and cash flows since their respective loan closings and, as such, the likelihood of the borrowers being able to refinance loans or sell properties at loan maturity remains low, supporting the Negative trends. In the analysis for this review, Morningstar DBRS stressed the as-is and/or the as-stabilized loan-to-value ratios (LTVs) of these loans, resulting in an increased loan-level EL. Individual loan EL figures ranged from approximately 2.4% to 21.9%. Morningstar DBRS also notes that select borrowers of loans secured by collateral other than office properties are facing increased execution risk in their respective business plans because of a combination of factors, including decreased property values, increased construction costs, slower rent growth, and increases in debt service costs stemming from the current elevated interest rate environment, as all loans have floating interest rates. The transaction faces heightened maturity risk as 13 loans, representing 45.5% of the current trust balance, are scheduled to mature in the next six months. While several of the loans have built-in extension options, Morningstar DBRS notes some loans exhibiting slow performance growth will not qualify to exercise the related options based on current collateral performance and will therefore likely need to be modified. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with an in-depth analysis and credit metrics for the transaction, along with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. As of the September 2025 remittance, the pool comprises 27 loans secured by 38 properties with a cumulative trust balance of $754.1 million, representing a collateral reduction of 24.6%. The transaction had an initial 24-month reinvestment period that ended with the February 2024 remittance. Since Morningstar DBRS' last credit rating action in May 2025, five loans from the pool with a previous cumulative trust balance of $97.4 million have been successfully repaid in full. The 700 Louisiana and 600 Prairie Street loan (Prospectus ID#1, 4.9% of pool) is secured by a 1.3 million-square-foot (sf) office tower and parking garage in downtown Houston. The loan transferred to special servicing in December 2023 for maturity default after its initial maturity in September 2023 and was modified in February 2024, extending the loan maturity to January 2026, returning the loan to the master servicer, and adding a preferred equity partner to contribute up to $30.0 million of capital for leasing costs, capital expenditures, and projected carry costs. The Q2 2025 collateral manager report indicated the $20.0 million renovation of the Western Union and bank hall has been completed and as of the June 2025 rent roll, the property was 67.8% occupied, up from 66.9% as of June 2024. The property generated a May 2025 T-5 annualized net operating income (NOI) and debt service coverage ratio (DSCR) of $18.5 million and 0.89 times (x), respectively. Despite the modification, Morningstar DBRS notes that the asset is likely overleveraged. The most recent appraisal dated January 2024 valued the property at $284.0 million on an as-is basis, an 11.5% reduction from the issuance appraisal of $321.0 million. The updated valuation is indicative of a 6.5% cap rate based on the May 2025 T-5 annualized NOI, which Morningstar DBRS determined to be aggressive. In its current analysis, Morningstar DBRS applied upward cap rate adjustments to both the as-is and as-stabilized LTVs. The resulting as-is and stabilized LTVs were above 100.0%. Morningstar DBRS also applied a probability of default (POD) penalty to reflect the increased business plan execution risk and the status of the loan. The resulting loan EL was nearly three times the weighted-average (WA) EL for the pool. Thirteen loans are on the servicer's watchlist, representing 48.2% of the current trust balance. Two of these loans were flagged for performance issues with low occupancy rates and/or DSCRs; however, this was anticipated at individual loan closing as borrowers continue to progress through business plans to stabilize the assets. Additionally, debt service payments have increased given the floating-rate nature of all the loans in the pool in the current interest rate environment. In terms of leverage, the pool has reported generally consistent figures with 2024 and issuance periods, reporting a current WA as-is appraised LTV of 70.6% and a WA stabilized LTV of 63.6%. By comparison, these figures were 68.6% and 63.4%, respectively, at issuance in February 2022. Morningstar DBRS recognizes that the current market values of the collateralized properties may be inflated as the individual property appraisals were completed in 2021 and 2022 and do not reflect increased interest rate and widening capitalization (cap) rate environments. Morningstar DBRS applied LTV adjustments to 14 loans, representing 83.7% of the current trust balance, which generally reflects higher cap rate assumptions compared with the implied cap rates based on the appraisals. Through September 2025, the lender had advanced cumulative loan future funding of $216.3 million to 24 of the 27 outstanding individual borrowers to aid in property stabilization efforts. The largest advance of $83.9 million was made to the borrower of the Anthem Row loan (Prospectus ID#12; 4.8% of the current pool balance), which is secured by two connected 12-story office buildings in Washington, D.C. The borrower's business plan centers on achieving stabilized occupancy levels and bridging the property through existing free rent periods. An additional $23.7 million of future funding allocated to 14 individual borrowers remains available. Of this outstanding amount, the largest portion is allocated to the borrower of SouthPark Center (Prospectus ID#47; 2.2% of the current pool balance) for its stabilization efforts. The loan is secured by a 10-building Class A office park totaling 1.25 million sf in Orlando, Florida. The borrower's business plan is to use future funding to increase leasing activity throughout the office park. According to the Q2 2025 collateral manager update, the collateral is 83% occupied with negotiations for five new leases totaling 65,000 sf underway. The borrower was notably able to backfill approximately 137,000 sf of space by the vacating tenant Lockheed Martin with new tenant Mitsubishi Power. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2025-FIX1: Fitch Assigns 'B-sf' Rating on 5 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2025-FIX1 (TPMT 2025-FIX1). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2025-FIX1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf B2AX LT B-sf New Rating B-(EXP)sf B2B LT B-sf New Rating B-(EXP)sf B2BX LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf FI LT NRsf New Rating NR(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating X LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf Transaction Summary The TPMT 2025-FIX1 notes are supported by 3,814 seasoned and newly originated second-lien home equity line of credit (HELOC) mortgages with a total credit limit balance of $373 million. The bond sizes reflect the bond sizes as of the cutoff date. The remainder of the commentary reflects the data as of the statistical cutoff date. Spring EQ, LLC originated all the loans and Shellpoint Mortgage Servicing (SMS) will service the loans. NewRez will act as Master Servicer and will advance delinquent (DQ) monthly Interest for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Fitch did not acknowledge the advancing in its analysis due to its projected loss severities on the second-lien collateral. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, a non-offered funding interest will be included that entitles the holder to certain distributions of principal in reimbursement of the funding interest principal amount and interest thereon. On any payment date, the interest rate for the funding interest will be the lesser of the adjusted NWAC and the applicable available funds cap for such payment date. The funding interest owner will be obligated to fund certain draw amounts on the mortgage loans as further described in the transaction's documents. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% above a long-term sustainable level, compared with 10.5% on a national level as of 1Q25, down 0.1% qoq. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 2.9% yoy nationally as of February 2025, despite modest regional declines, and are still being supported by limited inventory. Second Liens (Negative): The entirety of the collateral pool is second-lien HELOC mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans based on their historical behavior in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool primarily consists of new-origination and recently seasoned second-lien mortgages, seasoned at approximately four months (as calculated by Fitch), with a strong credit profile—a weighted average (WA) model credit score of 734, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 79%. Fitch's analysis treated 100% of the loans as full documentation. Approximately 58% of the loans were originated through a reviewed retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such a loan with the approval of the asset manager based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second-lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cash flow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2, and M1 will increase by 100 bps, subject to the net WAC, after four years. Overall, in contrast to other second-lien transactions, this transaction has less excess spread available and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Limited Advancing Construct (Neutral): The servicer of the scheduled serviced mortgage loans will be advancing delinquent Interest on the second-lien collateral for a period up to 60 days delinquent under the OTS method as long as such amounts are deemed recoverable. Given Fitch's projected loss severity assumption on second-lien collateral, Fitch assumed no advancing in its analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.5%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC). A third-party due diligence review was completed on 64.2% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with 76 loans receiving a final grade of C. Fitch applied a credit for the percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 58bps. ESG Considerations TPMT 2025-FIX1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the representations and warranties framework without other operational mitigants, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TRICOLOR AUTO 2023-1: Moody's 'B1' Remains on Review for Downgrade ------------------------------------------------------------------ Moody's Ratings has downgraded and kept on review for further downgrade the ratings of 16 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 B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba2 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-1 Class B Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba3 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-2 Class A Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-3 Class A Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba3 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2025-1 Class A Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to B1 (sf) and Remains On Review for Downgrade; previously on Sep 15, 2025 Downgraded to Ba2 (sf) and Remained On Review for Downgrade A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions reflect the resignation of Wilmington Trust, National Association (Wilmington) as the indenture trustee (including in its capacities as custodian, note registrar and paying agent) for the Tricolor ABS transactions, which resignation was announced on September 20 and becomes effective upon the acceptance of appointment by a successor trustee. In its resignation notice, Wilmington cited the bankruptcy of Tricolor and its affiliates, as well as Wilmington's multiple roles in Tricolor securitizations and Tricolor warehouse facilities, as reasons for its resignation. Wilmington's resignation of its role as trustee and custodian elevates uncertainty regarding the custodial arrangement for the transactions. Moreover, transaction governance risk remains high due to media reports that the law enforcement authorities are investigating Tricolor for alleged fraud. This increases volatility around expectations of collateral performance, especially through the transition period to a successor trustee, custodian and other transaction parties. The rating actions are also driven by the missed note interest payments that resulted in an event of default (EOD) for the transactions. Note payments were due on September 15 and the trusts did not make these payments within the five business days grace period ending on September 22, triggering an EOD. Upon an EOD, the majority noteholders of the controlling classes may vote for an acceleration of the waterfall, thereby declaring all notes immediately due and payable. Under such acceleration, senior note interest and principal payments take priority over subordinate note payments. Vervent, Inc. has been appointed as the successor servicer for the transactions, however, there remains significant uncertainty regarding the timeliness and effectiveness of its efforts to onboard Tricolor's loan portfolio and service it under these circumstances. Following an EOD, the notes may continue to receive payments from the underlying collateral pools, or from the transaction reserve accounts. There remains an elevated risk of performance deterioration for the loan pools. 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. Servicing expenses are likely to increase as a result of the servicing transfer, and such expenses are senior to note payments and uncapped if the waterfall is accelerated. During the review period, Moody's will continue to seek additional information from transaction parties such as the indenture trustee, custodian and servicer, as well as from any successors performing these roles, 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. No actions were taken on the remaining rated classes in these deals and they remain on review for downgrade. The current ratings on these classes reflect the considerations discussed above. 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. 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. TSTAT 2022-1: Fitch Affirms BB- Rating on Class F-R Debt -------------------------------------------------------- Fitch Ratings upgraded the class C-RR, D-1-RR, and D-2-R notes and affirmed the class A-1-RR, A-2-RR, B-RR, E-R, and F-R notes of TSTAT 2022-1, Ltd. (TSTAT 2022-1). All upgraded classes were assigned Positive Rating Outlooks, class E-R has been revised to Positive from Stable, and class F-R has been revised to Stable from Negative. The Outlook for all other classes remains on Stable. Entity/Debt Rating Prior ----------- ------ ----- TSTAT 2022-1, Ltd. A-1-RR 872899AY5 LT AAAsf Affirmed AAAsf A-2-RR 872899BA6 LT AAAsf Affirmed AAAsf B-RR 872899BC2 LT AAAsf Affirmed AAAsf C-RR 872899BE8 LT AA+sf Upgrade AA-sf D-1-RR 872899BG3 LT Asf Upgrade BBB+sf D-2-R 872899BJ7 LT A-sf Upgrade BBB+sf E-R 87289RAG4 LT BB+sf Affirmed BB+sf F-R 87289RAJ8 LT BB-sf Affirmed BB-sf Transaction Summary TSTAT 2022-1 is a broadly syndicated collateralized loan obligation (CLO) managed by Trinitas Capital Management, LLC. The transaction is a static CLO that originally closed in August 2022 was partially refinanced on Dec. 6, 2023, and underwent a second full refinancing on July 22, 2024. The transaction is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Cash Flow Analysis and Continued Note Amortization The upgrades and Positive Outlooks are driven by note amortization of the class A-1-RR notes, which resulted in increased credit enhancement levels and break-even default rate cushions against relevant rating stress default levels. As of September 2025 reporting, approximately 40.9% of the class A-1-RR notes has amortized since the last review in March 2025, with cumulative amortization totaling 84.1% since the June 2024 refinancing. Increasing Concentration and Par Loss While the credit quality of the portfolio has remained stable, the CLO's par loss increased to 1.9% from 0.9% as a result of collateral sales below par. The Fitch weighted average rating factor improved to 26.2 ('B/B-'rating level) from 26.8 at last review and exposure to issuers with a Negative Outlook has decreased to 10.2% from 18.1%. Exposure to the issuers on Fitch's watchlist decreased to 10.1% from 10.2%, based on Fitch's August 2025 reporting. The deleveraging is accompanied by increasing portfolio concentration, with the most recent portfolio, as reported in September 2025, consisting of 95 obligors with the largest 10 obligors representing 20.8% of the portfolio, compared to 129 obligors and 15.1%, respectively, at last review. Spread compression has continued with the underlying weighted average spread decreasing to 3.2% from 3.3%. In addition to modelling the current portfolio, cash flow modeling included a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the stressed analysis extended the weighted average life to 4.0 years from 3.51. Fitch affirmed the class A-1-RR, A-2-RR, and B-RR notes' ratings, and upgraded the class D-1-RR note's rating in line with their model-implied ratings (MIRs) as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The class C-RR, D-1-RR, and F-R notes have MIRs that vary one notch higher than their current ratings, the class D-2-R notes' MIR varies two notches higher, and the class E-R notes' MIR varies three notches higher, given the modest cushions at their respective MIRs, expected increasing portfolio concentration, and potential spread compression. The Positive Outlooks for classes C-RR, D-1-RR, D-2-R, and E-R indicate a potential upgrade if the amortization continues and outweighs increasing portfolio concentration and potential decline in the credit quality of the pool. The Stable Outlooks on the class A-1-RR, A-2-RR, B-RR, and F-R notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, may lead to downgrades of up to four notches, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to six notches, based on the MIRs. 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 Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for TSTAT 2022-1, 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. UNITED AUTO 2022-2: S&P Affirms CC (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings raised its ratings on three classes of notes and affirmed its ratings on three classes of notes from United Auto Credit Securitization Trust 2022-2 and 2024-1 transactions. These are ABS transactions backed by subprime retail auto loan receivables originated and serviced by United Auto Credit Corp. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's revised cumulative net loss (CNL) expectations for each transaction, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. The UACST 2022-2 and 2024-1 transactions are performing worse than our prior or original CNL expectations. Cumulative gross losses for these series are higher, which, coupled with lower cumulative recoveries, are resulting in elevated CNLs. Given the series' relative weaker performances and prevailing adverse economic headwinds, S&P revised and raised our expected CNLs for these series. Table 1 Collateral performance (%)(i) Pool 60+ day Current Current Current Series Month factor delinq. Extensions CGL CRR CNL 2022-2 38 13.89 6.54 2.38 42.06 21.06 33.20 2024-1 17 50.50 4.98 3.63 19.53 24.38 14.77 (i)As of the September 2025 distribution date. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Prior Current Lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2022-2 20.25 32.50 37.50 2024-1 23.50 N/A 29.00 (i)As of September 2024. (ii)As of September 2025. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction has a sequential principal payment structure, in which the notes are paid principal by seniority. It also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the senior tranches, and excess spread. As of the September 2025 distribution date, UACST 2024-1 is at its specified reserve and overcollateralization required levels. UACST 2022-2 is undercollateralized by $13,092,463, approximately 33.1% as a percentage of the current pool balance and the reserve amount is exhausted. Table 3 Hard credit support (%)(i) Total Current total hard credit hard credit Series Class support at support issuance(ii) (% of current)(ii) 2022-2 D 24.35 55.85 2022-2 E 12.00 (33.08) 2024-1 B 53.00 98.98 2024-1 C 43.25 79.67 2024-1 D 28.80 51.06 2024-1 E 18.40 30.47 (i)As of the September 2025 distribution date. (ii)Calculated as a percentage of the total pool balance, which consists of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement, compared to the remaining expected CNLs, for those classes where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that, we believe, are appropriate, given each transaction's performance to date and our current economic outlook. "We also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began to trend higher than our revised base-case loss expectation. "In our view, the results demonstrated that all the classes are credit enhanced at their raised and affirmed rating levels. This is based on our analysis as of the collection period ending August 2025 (the September 2025 distribution date). "We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." Ratings Raised United Auto Credit Securitization Trust 2024-1 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AAA (sf)' from 'A (sf)' Class D to 'A (sf)' from 'BBB (sf)' Ratings Affirmed United Auto Credit Securitization Trust 2024-1 Class E: BB (sf) United Auto Credit Securitization Trust 2022-2 Class D: BBB (sf) Class E: CC (sf) UPGRADE AUTO 2025-1: DBRS Gives Prov. BB Rating on E Notes ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of Notes to be issued by Upgrade Auto Receivables Trust 2025-1 (UPGA 2025-1 or the Issuer) as follows: -- $24,400,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $61,000,000 Class A-2 Notes at (P) AAA (sf) -- $61,000,000 Class A-3 Notes at (P) AAA (sf) -- $27,860,000 Class A-4 Notes at (P) AAA (sf) -- $6,770,000 Class B Notes at (P) AA (sf) -- $8,620,000 Class C Notes at (P) A (sf) -- $6,570,000 Class D Notes at (P) BBB (sf) -- $6,160,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve account, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date for each respective class. (3) Upgrade's auto executive management team which has more than 20 years' experience in the automobile sector. (4) The capabilities of Upgrade with regard to originations, underwriting (UW), and servicing. -- Morningstar DBRS performed an operational review of Upgrade, Inc. and considers the entity to be an acceptable originator and servicer of prime automobile loan contracts. (5) Upgrade started originating indirect auto loans in August 2023. Although this is Upgrade's first auto loan securitization, they are an experienced player in the unsecured consumer loan industry. -- Upgrade began lending on its auto platform in 2023 and performance history is limited, the managed portfolio has not paid down sufficiently to determine CNL as precisely as desired. The Morningstar DBRS' CNL assumption is 3.60%. Morningstar DBRS analyzed performance of proxy issuers in the ABS market and the performance of Upgrade's auto loan portfolio to determine an expected CNL for the UPGA 2025-1 pool. (6) The credit quality of the collateral and performance of Upgrade's auto loan portfolio. -- The pool will include receivables that are approximately 85.28% used loans and 14.72% new loans. -- On average, the obligors on the automobile loan contracts have FICO scores of 717 (which is calculated using the low point of a FICO08 score band). -- The WA coupon on the loans in the pool is 9.57%. -- The WA stated remaining and original term of the loans in the pool are approximately 72 and 73 months, respectively. -- The WA loan-to-value ratio of the loans in the pool is 109.12%. (7) The UPGA 2025-1 transaction has positive structural features, including the following: -- A nondeclining reserve account that is fully funded at closing (equal to 0.50% of the pool balance as of the cutoff date) -- Initial OC will be 1.40%. Thereafter on each distribution date, the Required Overcollateralization Amount will equal 2.90% of the pool balance as of the cutoff date. (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns September 2025 Update, published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (9) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Depositor; the non-consolidation of the special-purpose vehicle with Upgrade; that the trust has a valid first-priority security interest in the assets; and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. The rating on the Class A Notes reflect 15.60% of initial hard credit enhancement provided by the subordinated notes in the pool (13.70%), the reserve account (0.50%), and OC (1.40%). The ratings on the Class B, C, D, and E Notes reflect 12.30%, 8.10%, 4.90%, and 1.90% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Upgrade offers consumer credit products such as unsecured consumer loans and auto loans. For auto loan originations, the Company does business primarily with franchised dealerships and a select group of independent dealerships. Additionally, the Company offers Upgrade-branded deposit accounts and provides tools that help consumers understand and monitor their credit. Notes: All figures are in U.S. dollars unless otherwise noted. VIBRANT CLO XII: Fitch Assigns 'BB-sf' Rating on Class D-RR Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Vibrant CLO XII, Ltd.'s 2025 refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Vibrant CLO XII, Ltd. A-1A2 LT NRsf New Rating A-1B2 LT AAAsf New Rating A-1BR 92558WAS1 LT PIFsf Paid In Full AAAsf A-2AR 92558WAU6 LT PIFsf Paid In Full AA+sf A-2BR 92558WBC5 LT PIFsf Paid In Full AAsf A-2RR LT AAsf New Rating B-R 92558WAW2 LT PIFsf Paid In Full Asf B-RR LT A+sf New Rating C-1R 92558WAY8 LT PIFsf Paid In Full BBBsf C-1RR LT BBB+sf New Rating C-2R 92558WBA9 LT PIFsf Paid In Full BBB-sf C-2RR LT BBB-sf New Rating D-R 92558XAE0 LT PIFsf Paid In Full BB-sf D-RR LT BB-sf New Rating Transaction Summary Vibrant CLO XII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $448 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 24.45, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.63% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.07% 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 0.6-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. - All notes are being refinanced with lower spreads across all tranches. - The non-call period for the refinanced notes is extended to Oct. 20, 2026. - Updated Fitch Test Matrix applicable on the refinancing date. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis The portfolio includes 357 assets from 300 primarily high yield obligors. The portfolio balance, including the amount of principal cash, is approximately $448 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average S&P Recovery Rate test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 45.4% of the current portfolio par balance; ratings for 53.2% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; 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: 17%, 16%, and 12%, respectively; - Assumed risk horizon: 5.81 years; - Minimum weighted average spread of 3.07%; - Minimum weighted average recovery rate of 70.30%; - Maximum weighted average rating factor of 25.00; - Fixed rate Assets: 5%; - Minimum weighted average coupon of 5%; The transaction will exit its reinvestment period on 04-20-2026. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-1B2: 'AAAsf' / Default 44.70% / Recovery 40.04% / Cushion 10.70% - Class A-2RR: 'AAsf' / Default 41.60% / Recovery 48.80% / Cushion 11.20% - Class B-RR: 'A+sf' / Default 38.40% / Recovery 58.85% / Cushion 9.50% - Class C-1RR: 'BBB+sf' / Default 32.10% / Recovery 68.22% / Cushion 6.20% - Class C-2RR: 'BBB-sf' / Default 28.30% / Recovery 68.20% / Cushion 7.20% - Class D-RR: 'BB-sf' / Default 23.50% / Recovery 73.62% / Cushion 7.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-1B2: 'AAAsf' / Default 50.40% / Recovery 36.93% / Cushion 3.10% - Class A-2RR: 'AAsf' / Default 46.80% / Recovery 44.28% / Cushion 3.50% - Class B-RR: 'A+sf' / Default 43.20% / Recovery 54.23% / Cushion 2.20% - Class C-1RR: 'BBB+sf' / Default 36.70% / Recovery 63.71% / Cushion 0.00% - Class C-2RR: 'BBB-sf' / Default 32.50% / Recovery 63.71% / Cushion 2.30% - Class D-RR: 'BB-sf' / Default 27.30% / Recovery 68.98% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1B2, between 'BBB-sf' and 'AA-sf' for class A-2RR, between 'BBsf' and 'A-sf' for class B-RR, between less than 'B-sf' and 'BBB-sf' for class C-1RR, and between less than 'B-sf' and 'BB+sf' for class C-2RR and between less than 'B-sf' and 'B+sf' for class D-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1B2 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-2RR, 'AA+sf' for class B-RR, 'A+sf' for class C-1RR, and 'A-sf' for class C-2RR and 'BBB+sf' for class D-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Vibrant CLO XII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. VOYA CLO 2017-1: Moody's Affirms B1 Rating on $20MM Class D Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Voya CLO 2017-1, LTD.: US$32.5M Class B-R Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 12, 2024 Upgraded to Aa1 (sf) US$27.5M Class C Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Aug 12, 2024 Upgraded to Baa2 (sf) Moody's has also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$17,231,644) Class A-1-R Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 12, 2024 Affirmed Aaa (sf) US$60M Class A-2-R Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 12, 2024 Affirmed Aaa (sf) US$20M Class D Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Aug 12, 2024 Affirmed B1 (sf) Voya CLO 2017-1, LTD., originally issued in April 2017 and partially refinanced in May 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Voya Alternative Asset Management LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class B-R and Class C notes are primarily a result of the significant deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in August 2024. The affirmations of the rating on the Class A-1-R, the Class A-2-R and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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 methodology and could differ from the trustee's reported numbers. The Class A-1-R notes have paid down by approximately USD82.3 million (26%) since the last rating action in August 2024 and USD302.8 million (95%) since closing. As a result of the deleveraging, over-collateralisation (OC) ratios have increased across the capital structure. According to the collateral administrator report dated August 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 212.69%, 149.70%, 119.70% and 104.47% compared to July 2024[2] levels of 158.00%, 131.39%, 114.99% and 105.43%, respectively. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD172.13m Defaulted Securities: USD0.58m Diversity Score: 59 Weighted Average Rating Factor (WARF): 3307 Weighted Average Life (WAL): 2.99 years Weighted Average Spread (WAS): 3.13% Weighted Average Recovery Rate (WARR): 46.14% Par haircut in OC tests and interest diversion test: 4.80% Moody's note that the August 2025 trustee report was published at the time Moody's were completing Moody's analysis of the July 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. 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 incorporates these default and recovery characteristics of the collateral pool into its 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. WARWICK CAPITAL 1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt from Warwick Capital CLO 1 Ltd./Warwick Capital CLO 1 LLC, a CLO managed by Warwick Capital CLO Management LLC--Management Series that was originally issued in September 2023. The preliminary ratings are based on information as of Sept. 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 30, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. At that time, we expect to withdraw our ratings on the existing class A, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The non-call period will be extended to September 2027. -- The reinvestment period will be extended to October 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to Oct. 20, 2038. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology, -- Of the identified underlying collateral obligations, 100.00% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.38% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. 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 Warwick Capital CLO 1 Ltd./Warwick Capital CLO 1 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-1-R (deferrable), $16.00 million: A+ (sf) Class C-2-R (deferrable), $8.00 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 Warwick Capital CLO 1 Ltd./Warwick Capital CLO 1 LLC Subordinated notes, $38.00 million: NR NR—Not rated. WARWICK CAPITAL 7: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Warwick Capital CLO 7 Ltd. Entity/Debt Rating ----------- ------ Warwick Capital CLO 7 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 Warwick Capital CLO 7 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Warwick Capital CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.52 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 74.42% 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 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. ESG Considerations Fitch does not provide ESG relevance scores for Warwick Capital CLO 7 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WELLS FARGO 2016-C33: Fitch Lowers Rating on Two Tranches to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed nine classes of Wells Fargo Commercial Mortgage Trust 2016-C33 (WFCM 2016-C33). Fitch has revised the Outlook for classes C and X-B to Negative from Stable. Following their downgrades, classes D, E, X-D, and X-E were assigned Negative Rating Outlooks. Fitch has downgraded 10 and affirmed five classes of Wells Fargo Commercial Mortgage Trust 2016-C36 (WFCM 2016-C36). Fitch has revised the Outlook for the A-S class to Negative from Stable, and assigned Negative Rating Outlooks to classes B, C, and X-B following their downgrades. Fitch has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2016-C37 (WFCM 2016-C37). The Rating Outlooks remain Negative for classes D, E, F, X-D, and X-EF. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-C37 A-4 95000PAD6 LT AAAsf Affirmed AAAsf A-5 95000PAE4 LT AAAsf Affirmed AAAsf A-S 95000PAG9 LT AAAsf Affirmed AAAsf A-SB 95000PAF1 LT AAAsf Affirmed AAAsf B 95000PAK0 LT AA+sf Affirmed AA+sf C 95000PAL8 LT A+sf Affirmed A+sf D 95000PAX2 LT BBB-sf Affirmed BBB-sf E 95000PAZ7 LT BB+sf Affirmed BB+sf F 95000PBB9 LT B-sf Affirmed B-sf G 95000PBD5 LT CCCsf Affirmed CCCsf X-A 95000PAH7 LT AAAsf Affirmed AAAsf X-B 95000PAJ3 LT AA+sf Affirmed AA+sf X-D 95000PAM6 LT BBB-sf Affirmed BBB-sf X-EF 95000PAP9 LT B-sf Affirmed B-sf X-G 95000PAR5 LT CCCsf Affirmed CCCsf WFCM 2016-C36 A-3 95000MBN0 LT AAAsf Affirmed AAAsf A-4 95000MBP5 LT AAAsf Affirmed AAAsf A-S 95000MBR1 LT AA+sf Affirmed AA+sf A-SB 95000MBQ3 LT AAAsf Affirmed AAAsf B 95000MBU4 LT BBBsf Downgrade Asf C 95000MBV2 LT BBsf Downgrade BBBsf D 95000MAC5 LT CCCsf Downgrade B-sf E 95000MAJ0 LT CCsf Downgrade CCCsf E-1 95000MAE1 LT CCCsf Downgrade B-sf E-2 95000MAG6 LT CCsf Downgrade CCCsf EF 95000MAS0 LT CCsf Downgrade CCCsf F 95000MAQ4 LT CCsf Downgrade CCCsf X-A 95000MBS9 LT AAAsf Affirmed AAAsf X-B 95000MBT7 LT BBBsf Downgrade Asf X-D 95000MAA9 LT CCCsf Downgrade B-sf WFCM 2016-C33 A-3 95000LAY9 LT AAAsf Affirmed AAAsf A-4 95000LAZ6 LT AAAsf Affirmed AAAsf A-S 95000LBB8 LT AAAsf Affirmed AAAsf A-SB 95000LBA0 LT PIFsf Paid In Full AAAsf B 95000LBE2 LT AA+sf Affirmed AA+sf C 95000LBF9 LT Asf Affirmed Asf D 95000LAJ2 LT BB-sf Downgrade BBB-sf E 95000LAL7 LT B-sf Downgrade BB-sf F 95000LAN3 LT CCCsf Affirmed CCCsf X-A 95000LBC6 LT AAAsf Affirmed AAAsf X-B 95000LBD4 LT Asf Affirmed Asf X-D 95000LAA1 LT BB-sf Downgrade BBB-sf X-E 95000LAC7 LT B-sf Downgrade BB-sf X-F 95000LAE3 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.7% in WFCM 2016-C33, 11.14% in WFCM 2016-C36 and 7.48% in WFCM 2016-C37. Fitch Loans of Concerns (FLOCs) comprise seven loans (24.6% of the pool) in WFCM 2016-C33; 12 loans (41.0%) in WFCM 2016-C36, including two specially serviced loans (2.6%); and 14 loans (25.5%) in WFCM 2016-C37, including 10 specially serviced loans (15.4%). The downgrades in WFCM 2016-C33 and WFCM 2016-C36 reflect increased pool loss expectations, driven by performance deterioration of office FLOCs and diminished credit support in the WFCM 2016-C33 transaction due to realized losses from the liquidation of the Omni Officentre loan. Affirmations in the WFCM 2016-C37 transaction reflect generally stable loss expectations since the prior rating action and lower relative exposure to underperformance from office loans in the pool. The Negative Outlooks reflect the office concentration in these transactions (28.3% in WFCM 2016-33, 25.9% in WFCM 2016-C36 and 11.8% in WFCM 2016-C37). They also reflect that further downgrades are possible should performance continue to deteriorate, recovery prospects worsen or if workouts are prolonged for the underperforming office FLOCs and two regional mall and outlet center loans, Gurnee Mills (10.6%) and the specially serviced Mall at Turtle Creek (1.7%) in WFCM 2016-C36. The WFCM 2016-C33 transaction incurred a substantial loss in May 2025 when the Omni Officentre loan was liquidated with a 78% loss severity. Prior to disposition, the loan carried an unpaid principal balance of $14.07 million. The collateral was a 294,090-square-foot office building in Southfield, MI, where performance deteriorated substantially after the property's largest tenant, occupying 40% of the net rentable area, vacated the premises. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines or rollover concerns. Largest Loss Contributors: The largest contributor to overall loss expectations and the largest increase since the prior rating action in WFCM 2016-C33 is the Business & Research Center at Garden City loan, which is secured by a 187,118-sf office building located in Garden City, NY. The property is occupied by two tenants which include: Lifetime Brands Inc. (79.1% NRA; lease expiry in May 2029) and Nassau Community College (13.7%; May 2029). The property is 94% occupied as of March 2025 in-line with performance at YE 2024, but down from 100% as of YE 2022. Per CoStar, approximately 48,512-sf (25.9% of NRA) of space occupied by Lifetime Brands is currently listed on the market for sublease at the 1000 Stewart Avenue property. Fitch's 'Bsf' rating case loss of 26% (prior to concentration add-ons) reflects a 10% cap rate and 20% stress to the YE 2024 net operating income (NOI) and factors an elevated probability of default to account for refinancing concerns given the near-term lease expiration of the tenancy. The second-largest contributor to overall loss expectations in WFCM 2016-C33 is the Brier Creek Corporate Center I & II loan, which is secured by two, four-story office buildings totaling 180,955-sf located in Raleigh, NC. The loan is designated as a FLOC due to the property's negative cashflow since 2022 caused by a significant decline in occupancy. The two largest tenants, which together accounted for approximately 75% of the NRA, vacated at their lease expirations in 2020; occupancy and NOI have yet to recover. As of March 2025, the property was 34% occupied, compared to 75% in 2020 and 94% at issuance. Major tenants include Attindas Hygiene Partners (12.8% of the NRA; lease expiry in March 2026), SCIVIDA (637%; March 2030) and ProKidney (4.3%; July 2027). Fitch's 'Bsf' rating case loss of 39% (prior to concentration add-ons) reflects a 10.5% cap rate and 60% stress to the YE 2020 NOI as well as an elevated probability of default to account for the substantial vacancy. The second-largest increase in loss since the prior rating action in the WFCM 2016-C33 is the Parkview at Spring Street (3.2%). The loan is identified as a FLOC due to the weak submarket and space available for sublease. The loan is secured by a 100,895-sf office building located in Silver Spring, MD. Per CoStar, approximately 25,000-sf (25% NRA) is available for sublease through February 2029. According to Costar, the largest tenant, HIAS INC (24.7% NRA, February 2029), has listed the entirety of their space comprising the second and fifth floors for sublease. Additionally, Bank of America (4% NRA, December 2025) is expected to vacate as the space is reported to be available for lease starting in January 2026. As of March 2025, occupancy was 91%, with NOI debt service coverage ratio (DSCR) of 1.66x. Fitch's 'Bsf' rating case loss of 22% (prior to concentration add-ons) reflects a 10% cap rate and 15% stress to the YE 2024 NOI and factors a higher probability of default to account for refinancing concerns given the near-term lease expirations of dark tenants. In WFCM 2016-C36, the Plaza America I & II loan (9.3%) represents the largest increase in loss expectations since the prior rating action. The loan is secured by a 516,396-sf suburban office property built in 1999 consisting of two buildings that are part of the larger Plaza America office campus in Reston, VA. Occupancy continues to deteriorate, with March 2025 occupancy falling to 55%, down from 75% as of YE 2023, 83% at YE 2022, and 88% at issuance. CoStar shows all of the space for the largest tenant NVR INC (11.9% NRA, April 2026) as available for lease beginning May 2026, indicating the tenant will vacate. Rollover consists of 2.0% in 2025, 16.4% in 2026, 6.9% in 2027, and 5.3% in 2028. As a result of the decline in occupancy, YE 2024 NOI has declined 31% from the issuer's underwritten NOI from issuance and reflects an NOI DSCR of 1.50x. Per CoStar, comparable properties in the Reston office submarket had a 25.2% vacancy rate, 24.0% availability rate, and a market asking rent of $41.69, while the total submarket had a 23.3% vacancy rate, 22.6% availability rate, and a market asking rent of $36.04. Fitch's 'Bsf' rating case loss of 30% (prior to concentration add-ons) reflects a 10% cap rate and 10% stress to the YE 2024 NOI and factored an elevated probability of default given deteriorating performance approaching loan maturity in 2026. The second-largest increase in loss since the prior rating in the WFCM 2016-C36 transaction is the 101 Hudson Street loan (9.7%). The loan is secured by a 42-story, office tower totaling approximately 1,341,649-sf located in Jersey City, New Jersey within the center of Jersey City's Waterfront district. The loan was flagged as a FLOC due to occupancy declines and loan performance below issuance expectations. Occupancy has declined to 64% as of March 2025 compared to 74% at YE 2022 and 98% at underwriting. Per CoStar, there is approximately 182,666-sf (14% total NRA) on the sublease market. Of the top 10 tenants, four have all of their space out for sublease and another has about a third on the market. Rollover consists of 0.8% of NRA in 2025, 6.0% in 2026 and 31.3% in 2027. Fitch's 'Bsf' rating case loss of 10% (prior to concentration add-ons) reflects a 9% cap rate and 10% stress to the YE 2024 NOI and factored an elevated probability of default given declining occupancy and near-term rollover of the largest tenant in 2027. Two regional malls loans in the WFCM 2016-C36 transaction are substantial drivers of loss, which include Gurnee Mills (10.7%) as the largest loss driver and Mall at Turtle Creek (1.7%) as the third-largest contributor to loss. The largest increase in expected loss and the second-largest contributor to loss in the WFCM 2016-C37 transaction is the 80 Park Plaza loan (3.5%). The loan is secured by a 960,689-sf office building located in Newark, NJ and was flagged as a FLOC due to anticipated refinance concerns as a significant portion of the largest tenant's space (PSEG, 85.8% of the NRA through Sept. 2030) has been listed as available for sublease. According to CoStar, approximately 32% of PSEG's space, including floors 12 through 20, is being marketed for sublease. Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects a 10.25% cap rate and 10% stress to the YE 2023 NOI and factors a higher probability of default to account for concentrated exposure to dark space for the largest tenant approaching loan maturity in 2026. The second-largest increase in loss since the last rating action and largest contributor to overall loss expectations in WFCM 2016-C37 is the 1140 Avenue of the Americas loan, which is secured by a leasehold interest in a 242,466-sf office building in Midtown, Manhattan. Performance has deteriorated with September 2024 NOI DSCR falling to 0.24x from 0.40x as of YE 2023. YE 2023 NOI has fallen 48% below YE 2022 and remains 83% below the originator's underwritten NOI from issuance. The collateral is subject to a ground lease with an expiration in 2066 and the current annual ground lease payment of $4.75 million. Fitch's 'Bsf' rating case loss of 90% (prior to concentration add-ons) reflects a discount to a recent appraisal value, implying a stressed value of $66 psf. The short-term nature of the underlying ground lease along with the high ground rent payment are key factors contributing to the significant impairment to value. Increased Credit Enhancement (CE): As of the September 2025 remittance report, the aggregate pool balances of the WFCM 2016-C33, WFCM 2016-C36 and WFCM 2016-C37 transactions have been reduced by 32.2%, 18.6% and 29.3%, respectively, since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments. However, they may occur if deal-level losses increase significantly with limited to no improvement in class CE, and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include Business & Research Center at Garden City, Brier Creek Corporate Center I & II in WFCM 2016-C33; Plaza America I & II, Gurnee Mills, 101 Hudson Street, Mall at Turtle Creek and One & Two Corporate Plaza in WFCM 2016-C36; and 1140 Avenue of the Americas and 80 Park Plaza in WFCM 2016-C37. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, which have Negative Outlooks in each of the three transactions, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs, and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf', 'CCsf' and 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, particularly the office FLOCs in these transactions. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls; Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-C65: Fitch Assigns B-(EXP)sf Rating on F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-C65 commercial mortgage pass-through certificates, series 2025-C65, as follows: - $7,474,000 class A-1 'AAAsf'; Outlook Stable; - $9,544,000 class A-SB 'AAAsf'; Outlook Stable; - $230,000,000a class A-4 'AAAsf'; Outlook Stable; - $235,203,000a class A-5 'AAAsf'; Outlook Stable; - $482,221,000b class X-A 'AAAsf'; Outlook Stable; - $67,166,000 class A-S 'AAAsf'; Outlook Stable; - $36,167,000 class B 'AA-sf'; Outlook Stable; - $28,416,000 class C 'A-sf'; Outlook Stable; - $131,749,000b class X-B 'A-sf'; Outlook Stable; - $22,389,000c class D 'BBB-sf'; Outlook Stable; - $22,389,000bc class X-D 'BBB-sf'; Outlook Stable; - $15,500,000c class E 'BB-sf'; Outlook Stable; - $15,500,000bc class X-E 'BB-sf'; Outlook Stable; - $10,333,000cd class F-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $26,695,246cd class G-RR. (a) The initial certificate balances of classes A-4 and A-5 are unknown and are expected to be $465,203,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$230,000,000 and the expected class A-5 balance range is $235,203,000-$465,203,000. Fitch's certificate balances for classes A-4 and A-5 are assumed the top and bottom of each range, respectively. In the event class A-5 is issued with an initial certificate balance of $465,203,000, class A-4 will not be issued. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. Class balances are grossed up to include their proportionate share of the vertical risk retention interest. The expected ratings are based on information provided by the issuer as of Sept. 30, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 23 loans secured by 79 commercial properties having an aggregate principal balance of $688,887,247 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, JPMorgan Chase Bank, National Association, Goldman Sachs Mortgage Company, Societe Generale Financial Corporation and BSPRT CMBS Finance, LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, N.A., and the special servicer is expected to be Argentic Services Company LP. Computershare Trust Company, National Association is expected to be the trustee and certificate administrator. The certificates are expected to follow a standard sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 21 loans totaling 96.3% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $73.3 million represents a 14.3% decline from the issuer's aggregate underwritten NCF of $85.6 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 90.7% is worse than both the 10-Year 2025 YTD and 2024 averages of 87.5% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 10.6% is worse than both the 10-Year 2025 YTD and 2024 averages of 12.3% and 12.3%, respectively. Investment Grade Credit Opinion Loans: Four loans representing 30.2% of the pool by balance received an investment grade credit opinion. 4 Union Square South (8.7% of pool) received an investment grade credit opinion of 'BBB+sf*' on a standalone basis. Market Place Center (8.7%) and Washington Square (4.5%) received investment grade credit opinions of 'BBB−sf*' on a standalone basis. BioMed MIT Portfolio (8.3%) received an investment grade credit opinion of 'A−sf*' on a standalone basis. The pool's total credit opinion percentage is better than both the 10-Year 2025 YTD and 2024 averages of 23.7% and 21.4%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 100.5% and 9.8%, respectively, compared to the equivalent conduit 10-Year 2025 YTD LTV and DY averages of 97.6% and 10.0%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans make up 73.2% of the pool, which is worse than both the 10-Year 2025 YTD and 2024 averages of 63.5% and 63.0%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.0, which is worse than both the 10-Year 2025 YTD and 2024 averages of 20.5 and 20.8, respectively. 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' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'less than CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'BBBsf' / 'BBsf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) 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. WELLS FARGO 2025-HI: DBRS Finalizes BB(high) Rating on HRR Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-HI (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2025-HI (WFCM 2025-HI or the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at 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. WESTLAKE 2025-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2025-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.3%, 38.9%, 30.1%, 23.2%, and 19.9% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC (Westlake Services) as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2025-3 Class A-1, $237.88 million: A-1+ (sf) Class A-2-A/A-2-B, $431.46 million: AAA (sf) Class A-3, $298.05 million: AAA (sf) Class B, $113.34 million: AA (sf) Class C, $175.60 million: A (sf) Class D, $143.67 million: BBB (sf) Class E, $79.02 million: BB (sf) WESTLAKE AUTOMOBILE 2025-3: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by Westlake Automobile Receivables Trust 2025-3 (Westlake 2025-3 or the Issuer) as follows: -- $237,880,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $215,730,000 Class A-2-A Notes at (P) AAA (sf)* -- $215,730,000 Class A-2-B Notes at (P) AAA (sf)* -- $298,050,000 Class A-3 Notes at (P) AAA (sf) -- $113,340,000 Class B Notes at (P) AA (sf) -- $175,600,000 Class C Notes at (P) A (sf) -- $143,670,000 Class D Notes at (P) BBB (sf) -- $79,020,000 Class E Notes at (P) BB (sf) *The combination of the Class A-2-A and Class A-2-B Notes is expected to equal $431,460,000. The allocation of the principal amount between the Class A-2-A and Class A-2-B Notes will be determined at or before the time of pricing (subject to a maximum allocation of 50% to the Class A-2-B Notes) and may result in the principal amount of the Class A-2-B Notes being zero. CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of subordination, OC, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. (3) Morningstar DBRS' CNL assumption for the Westlake 2025-3 transaction is 12.25% based on the pool composition as of the Statistical Calculation Date (August 31, 2025). -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update, published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The Westlake 2025-3 transaction has positive structural features, including the following: -- A nondeclining reserve account that is fully funded at closing (equal to 1.00% of the initial pool balance). -- A targeted OC of 17.00% of the current pool balance that will step down to 16.00% after the Class A-2-B Notes are paid in full. Initial OC levels start at 7.35% and are subject to a floor of 1.00% of the initial pool balance. (5) The Westlake 2025-3 Notes are exposed to interest risk because of the fixed-rate collateral and the variable interest rate borne by the Class A-2-B Notes. -- Morningstar DBRS ran interest rate stress scenarios to assess the effect on the transaction's performance, and its ability to pay noteholders per the transaction's legal documents. The entire Class A-2 balance is $431,460,000. The Class A-2-A and A-2-B split so that Class A-2-B is capped at 50% of the Class A-2. This is the floating rate tranche so MDBRS assumes it maxed out at the 50/50 floating rate/fixed rate split when analyzing the cash flow runs. -- Morningstar DBRS assumed two stressed interest rate environments for each credit rating category, which consist of increasing and declining forward interest rate paths for 30-day average Secured Overnight Financing Rate (SOFR) based on the Morningstar DBRS Interest Rate Stress Tool. (6) The credit quality of the collateral as of the Statistical Calculation Date and performance of the auto loan portfolio by origination channels. (7) The capabilities of Westlake with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of the Company and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The Westlake senior management team has considerable experience and a successful track record within the auto finance industry, having managed the Company through multiple economic cycles. (8) The quality and consistency of provided historical static pool data for Westlake originations and performance of the Westlake auto loan portfolio. (9) Computershare Trust Company, N.A. (rated BBB and R-2 (middle), both with Stable trends, by Morningstar DBRS) has served as a backup servicer for Westlake. (10) The legal structure and expected presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime, largely because of their credit history and credit scores. Westlake is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect 40.40% of initial hard credit enhancement provided by subordinated notes in the pool (32.05%), the reserve account (1.00%), and OC (7.35%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 33.30%, 22.30%, 13.30%, and 8.35% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. WISE CLO 2023-1: Moody's Assigns Ba1 Rating to $250,000 D-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Wise CLO 2023-1, Ltd. (the Issuer): US$270,000,000 Class A-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned Ba1 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and up to 10% of the portfolio may consist of permitted non-loan assets, second lien loans, senior unsecured loans and first-lien last out loans. OCIC SLF LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3283 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.07 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. ZAIS CLO 11: Moody's Lowers Rating on $19MM Class E Notes to B3 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by ZAIS CLO 11, Limited: US$21,000,000 Class C-R Secured Deferrable Mezzanine Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on June 20, 2024 Assigned Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2032, Downgraded to B3 (sf); previously on August 12, 2020 Downgraded to B1 (sf) ZAIS CLO 11, Limited, originally issued in Dec 2018 and partially refinanced in Jun 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in Jan 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2024. Based on the trustee's August 2025 [1] report, the OC ratio for the Class C notes is reported at 131.33% versus August 2024 [2] level of 119.41%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on the trustee's August 2025 [3] report, the weighted average rating factor (WARF) has been deteriorating and the current level is 3308 compared to 2899 in August 2024 [4]. Additionally, the OC ratio for the Class E notes is reported at 100.78% versus August 2024 [5] level of 101.65%. No actions were taken on the Class A-1-R, Class A-2-R, Class B-R, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $192,627,907 Defaulted par: $3,653,040 Diversity Score: 47 Weighted Average Rating Factor (WARF): 3066 Weighted Average Spread (WAS): 3.56% Weighted Average Recovery Rate (WARR): 46.42% Weighted Average Life (WAL): 3.32 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ZAIS CLO 3: Moody's Cuts Rating on $20MM Class D-R Notes to Caa2 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by ZAIS CLO 3, Limited: US$30M Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on May 7, 2025 Upgraded to Aa3 (sf) US$20M Class D-R Senior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Sep 1, 2020 Downgraded to B2 (sf) Moody's have also affirmed the ratings on the following notes: US$315M (Current outstanding amount US$55,226,507) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 6, 2018 Assigned Aaa (sf) US$65M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 7, 2025 Upgraded to Aaa (sf) US$30M Class C-R Senior Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on Sep 1, 2020 Downgraded to Ba1 (sf) ZAIS CLO 3, Limited, originally issued in May 2015 and refinanced in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by ZAIS Leveraged Loan Manager 3, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrade on the Class B-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in May 2025. The downgrade to the rating on the Class D-R notes are due to the deterioration in over-collateralisation ratios due to par losses since the last rating action in May 2025. The affirmations on the ratings on the Class A-1-R, A-2-R and C-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-1-R notes have paid down by approximately USD$21.6 million (28.1%) since the last rating action in May 2025 and USD$259.8 million (82.5% of original balance) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior notes. According to the trustee report dated August 2025[1] the Class A, Class B and Class C OC ratios are reported at 165.7%, 132.6% and 110.6% compared to April 2025[2] levels of 146.2%, 125.5% and 109.9%, respectively. However, the over-collateralisation ratio for Class D has deteriorated due to par losses. The Class D ratio in August 2025[1] was reported at 99.5% compared to April 2025[2] levels of 101.5% respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD$ 206.4 million Defaulted Securities: USD$ 3.6 million Diversity Score: 47 Weighted Average Rating Factor (WARF): 3315 Weighted Average Life (WAL): 3.1 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.6% Weighted Average Coupon (WAC): 8.0% Weighted Average Recovery Rate (WARR): 45.9% Par haircut in OC tests and interest diversion test: 4.2% 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. [] DBRS Reviews 974 Classes From 26 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 974 classes from 26 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as mortgage insurance-linked notes, and prime jumbo transactions. Of the 974 classes reviewed, Morningstar DBRS upgraded its credit ratings on 58 classes and confirmed its credit ratings on the remaining 916 classes. The Affected Ratings are available at https://bit.ly/3IQh0bv The Issuers are: OBX 2021-INV3 Trust MFA 2021-AEINV1 Trust MFA 2021-AEINV2 Trust OBX 2019-INV2 Trust RATE Mortgage Trust 2021-J3 RATE Mortgage Trust 2021-J4 RATE Mortgage Trust 2021-HB1 Eagle Re 2023-1 Ltd. RATE Mortgage Trust 2024-J3 GS Mortgage-Backed Securities Trust 2021-MM1 GS Mortgage-Backed Securities Trust 2021-PJ10 EverBank Mortgage Loan Trust 2013-2 EverBank Mortgage Loan Trust 2013-1 EverBank Mortgage Loan Trust 2018-1 Chase Home Lending Mortgage Trust 2023-1 GS Mortgage-Backed Securities Trust 2021-PJ2 GS Mortgage-Backed Securities Trust 2023-PJ5 GS Mortgage-Backed Securities Trust 2020-PJ2 GS Mortgage-Backed Securities Trust 2023-PJ6 GS Mortgage-Backed Securities Trust 2021-PJ1 Mello Mortgage Capital Acceptance 2022-INV1 GS Mortgage-Backed Securities Trust 2020-PJ1 Wells Fargo Mortgage Backed Securities 2020-2 Trust Wells Fargo Mortgage Backed Securities 2018-1 Trust Morgan Stanley Residential Mortgage Loan Trust 2024-4 Wells Fargo Mortgage Backed Securities 2021-INV2 Trust CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024 (https://dbrs.morningstar.com/research/435291). Notes: All figures are in US Dollars unless otherwise noted. [] Moody's Takes Rating Action on 15 Bonds from 5 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds and downgraded the ratings of two bonds from five 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE2 Cl. A1A, Upgraded to B2 (sf); previously on Sep 2, 2015 Upgraded to Ca (sf) Cl. A4, Upgraded to Caa3 (sf); previously on May 20, 2011 Downgraded to Ca (sf) Issuer: Bear Stearns Mortgage Funding Trust 2007-AR3 Cl. I-A-1, Upgraded to Aa2 (sf); previously on Nov 5, 2024 Upgraded to A1 (sf) Cl. I-A-2, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-1A-1, Upgraded to Baa1 (sf); previously on May 19, 2022 Upgraded to B3 (sf) Cl. II-1A-2, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-2A-1, Upgraded to Caa2 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 25, 2018 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-CW1 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 5, 2024 Downgraded to B3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa3 (sf) Issuer: RAMP Series 2004-KR1 Trust Cl. M-I-1, Upgraded to Aaa (sf); previously on Nov 5, 2024 Upgraded to Aa1 (sf) Cl. M-I-2, Upgraded to Caa1 (sf); previously on Apr 5, 2011 Downgraded to Ca (sf) Cl. M-II-2, Upgraded to Caa1 (sf); previously on Jul 3, 2018 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrades of Class M-1 issued by HSI Asset Securitization Corporation Trust 2006-OPT3 and Class M-1 issued by J.P. Morgan Mortgage Acquisition Corp. 2006-CW1 are due to outstanding interest shortfalls on the bonds that are not expected to be recouped. These bonds have weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.11x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 17 Bonds from 2 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 11 bonds from two US residential mortgage-backed transactions (RMBS), backed by option ARM mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-1 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-1I, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Cl. A-2I, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Cl. A-NA, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-3 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-1I, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Cl. A-2I, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Cl. A-NA, Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 23, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. IO*, Upgraded to Caa2 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 32 Bonds from 11 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 26 bonds and downgraded the ratings of six bonds from 11 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-CW1 Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Issuer: Centex Home Equity Loan Trust 2002-A Cl. AF-5, Upgraded to A3 (sf); previously on Nov 26, 2024 Upgraded to Ba3 (sf) Cl. AF-6, Upgraded to A2 (sf); previously on Nov 26, 2024 Upgraded to Baa3 (sf) Cl. MF-1, Upgraded to Caa2 (sf); previously on Mar 4, 2014 Downgraded to Caa3 (sf) Issuer: Chase Funding Trust, Series 2004-2 Cl. IB, Upgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. IM-1, Upgraded to Aaa (sf); previously on Nov 14, 2024 Upgraded to Aa1 (sf) Cl. IM-2, Upgraded to Baa3 (sf); previously on Nov 14, 2024 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-10 Cl. 1-AF-4, Upgraded to Caa3 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. 1-AF-6, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Caa3 (sf) Cl. MV-1, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: Equifirst Mortgage Loan Trust 2004-1 Cl. I-A1, Upgraded to Aa1 (sf); previously on Feb 1, 2024 Downgraded to Aa2 (sf) Cl. II-A3, Upgraded to Aa1 (sf); previously on Feb 1, 2024 Downgraded to Aa2 (sf) Cl. M-1, Downgraded to B1 (sf); previously on Jun 9, 2020 Confirmed at Baa3 (sf) Cl. M-2, Downgraded to B1 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Issuer: HarborView Mortgage Loan Trust 2007-7 Cl. 1A-1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Dec 5, 2010 Downgraded to Ca (sf) Issuer: Impac CMB Trust Series 2005-1 Collateralized Asset-Backed Bonds, Series 2005-1 Cl. 1-A-1, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. 2-A-1, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. 2-A-2, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Nov 4, 2015 Upgraded to Caa3 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR6 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Jan 27, 2015 Downgraded to Caa3 (sf) Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2004-3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: RASC Series 2003-KS7 Trust Cl. M-I-1, Upgraded to Baa3 (sf); previously on Nov 26, 2024 Upgraded to Ba3 (sf) Cl. M-I-2, Upgraded to Ca (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR9 Cl. 1A, Upgraded to Caa1 (sf); previously on Mar 13, 2015 Upgraded to Caa2 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The upgrades of Class AF-5 and Class AF-6 from Centex Home Equity Loan Trust 2002-A also reflect the sustained improvement in collateral performance over the past few years, positively impacting Moody's loss coverage ratios. The rating downgrades of Class M-1, Class M-2, Class M-3 and Class M4 from Option One Mortgage Loan Trust 2004-3 and Class M-1 and M-2 from Equifirst Mortgage Loan Trust 2004-1 are the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 15 Bonds From 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded 15 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2006-OA1 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Upgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust Series 2005-8 Cl. II-PO, Upgraded to Caa1 (sf); previously on Jan 9, 2017 Upgraded to Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA18 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2004-5 Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: RALI Series 2006-QS16 Trust Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Issuer: RAMP Series 2004-RS7 Trust Cl. A-II-A, Upgraded to Caa1 (sf); previously on Mar 30, 2011 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 30, 2011 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAMP Series 2004-RS8 Trust Cl. M-II-2, Upgraded to Ba1 (sf); previously on Nov 26, 2024 Upgraded to B1 (sf) Cl. M-II-3, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-OP1 Cl. B-1, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jan 14, 2020 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 25 Bonds From 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from seven US residential mortgage-backed transactions (RMBS), backed by Subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2003-1 A-1, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa1 (sf) A-2, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa1 (sf) Cl. B, Upgraded to Caa1 (sf); previously on Mar 12, 2021 Reinstated to Ca (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2003-3 Cl. A-2, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa2 (sf) Cl. B, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 18, 2024 Upgraded to Caa2 (sf) Issuer: Chase Funding Trust, Series 2003-6 Cl. IA-5, Upgraded to Baa1 (sf); previously on Dec 18, 2024 Upgraded to Ba1 (sf) Cl. IA-7, Upgraded to Baa1 (sf); previously on Dec 18, 2024 Upgraded to Ba1 (sf) Cl. IB, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. IIA-2, Upgraded to A3 (sf); previously on Dec 18, 2024 Upgraded to Baa1 (sf) Cl. IM-1, Upgraded to Ba2 (sf); previously on Dec 18, 2024 Upgraded to B1 (sf) Cl. IM-2, Upgraded to B2 (sf); previously on Dec 18, 2024 Upgraded to Caa1 (sf) Issuer: RASC Series 2004-KS10 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa1 (sf) Cl. M-4, Upgraded to Baa1 (sf); previously on Dec 18, 2024 Upgraded to Ba1 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Jul 1, 2009 Downgraded to C (sf) Issuer: RASC Series 2004-KS5 Trust Cl. A-I-5, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa1 (sf) Cl. A-I-6, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to Aa1 (sf) Cl. M-I-1, Upgraded to Caa1 (sf); previously on May 5, 2017 Upgraded to Caa2 (sf) Cl. M-I-2, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Cl. M-II-1, Upgraded to Aaa (sf); previously on Dec 18, 2024 Upgraded to A3 (sf) Cl. M-II-2, Upgraded to Caa2 (sf); previously on Apr 5, 2011 Downgraded to C (sf) Issuer: RASC Series 2005-EMX1 Trust Cl. B, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Cl. M-4, Upgraded to Aa2 (sf); previously on Dec 18, 2024 Upgraded to A2 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RASC Series 2005-EMX4 Trust Cl. M-4, Upgraded to A1 (sf); previously on Dec 18, 2024 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.09x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some 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. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 26 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 26 bonds from four US residential mortgage-backed transactions (RMBS). RATE Mortgage Trust 2021-J3 is backed by prime jumbo and agency eligible mortgage loans. OBX 2021-INV1 Trust, OBX 2022-INV4 Trust, and Bayview MSR Opportunity Master Fund Trust 2021-INV5 are backed by almost entirely agency eligible investor (INV) mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview MSR Opportunity Master Fund Trust 2021-INV5 Cl. B-3A, Upgraded to A2 (sf); previously on Nov 26, 2024 Upgraded to A3 (sf) Issuer: OBX 2021-INV1 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 26, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Nov 26, 2024 Upgraded to Ba2 (sf) Cl. B-IO1*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Upgraded to Aa1 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Issuer: OBX 2022-INV4 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 26, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Nov 26, 2024 Upgraded to Ba2 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Issuer: RATE Mortgage Trust 2021-J3 Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Nov 26, 2024 Upgraded to Aa2 (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, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.2x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 39 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 39 bonds from four US residential mortgage-backed transactions (RMBS), backed by agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-HP1 Cl. B, Upgraded to A1 (sf); previously on Nov 18, 2024 Upgraded to A2 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 23, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jan 23, 2024 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jan 23, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 18, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 18, 2024 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 18, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Nov 18, 2024 Upgraded to Baa1 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Nov 18, 2024 Upgraded to Baa1 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Nov 18, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 18, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 18, 2024 Upgraded to Ba3 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Nov 18, 2024 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-INV2 Cl. A-4, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4A, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4B, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO1*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO2*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO3*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO1*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO2*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO3*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Dec 2, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Dec 2, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Dec 2, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Dec 2, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 2, 2024 Upgraded to B1 (sf) Cl. S-IO*, Upgraded to Aaa (sf); previously on Nov 23, 2021 Definitive Rating Assigned Aa1 (sf) Issuer: UWM Mortgage Trust 2021-INV2 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 25, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 30, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 25, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Nov 25, 2024 Upgraded to B1 (sf) Issuer: UWM Mortgage Trust 2021-INV3 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 25, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Nov 25, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 25, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 25, 2024 Upgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .04% and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.2x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***