251130.mbx

251130.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, November 30, 2025, Vol. 29, No. 333 Headlines 3650R 2022-PF2: Fitch Affirms 'B-sf' Rating on Class J-RR Debt A10 2025-FL6: Fitch Assigns 'B-sf' Final Rating on Class G Notes AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes ALLY BANK 2025-B: Moody's Assigns B2 Rating to Class F Notes AMDR ABS 2025-1: DBRS Finalizes BB(low) Rating on Class B Notes ARBOR REALTY 2021-FL4: DBRS Confirms B(low) Rating on G Notes ATLAS SENIOR XV: S&P Lowers Class E Notes Rating to 'B (sf)' ATLAS SENIOR XVI: S&P Affirms BB- (sf) Rating on Class E Notes BANK 2021-BNK32: Fitch Affirms 'B-sf' Rating on Two Tranches BANK 2023-BNK46: Fitch Affirms 'B-sf' Rating on Two Tranches BANK OF AMERICA 2016-UBS10: DBRS Cuts Rating on Cl. E Debt to Csf BBCMS MORTGAGE 2025-5C38: Fitch Gives 'Bsf' Rating on Class G Certs BEAR STEARNS 2007-AR4: Moody's Ups Rating on II-A-2B Certs to Caa2 BELLEMEADE RE 2025-1: DBRS Finalizes B Rating on Class B1 Notes BENCHMARK 2018-B1: Fitch Lowers Rating on Class C Debt to 'BBsf' BLACK DIAMOND 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes BLP TRUST 2025-IND2: Moody's Assigns Ba2 Rating to Cl. E Certs BUSINESS LOAN 2007-A: S&P Withdraws 'CC(sf)' rating on Cl. D Notes BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. B Certs to B1 BX TRUST 2025-DELC: DBRS Gives Prov. B(high) Rating on HRR Certs CAFL 2025-RRTL2: DBRS Finalizes B(low) Rating on Class M2 Notes CARVANA AUTO 2025-P4: S&P Assigns BB- (sf) Rating on Class N Notes CBAMR 2019-11R: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes CEDAR FUNDING VII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CHI COMMERCIAL 2025-110W: Fitch Gives BB-(EXP) Rating on HRR Certs CIFC FUNDING 2017-IV: Moody's Affirms Ba2 Rating on $34.3MM D Notes CIFC FUNDING 2025-VII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes CIFC FUNDING 2025-VIII: Fitch Assigns BB-(EXP)sf Rating on E Notes CITIGROUP 2015-GC31: DBRS Confirms C Rating on 2 Classes CITIGROUP 2016-P6: Fitch Lowers Rating on Two Tranches to 'B-sf' COMM 2013-CCRE6: DBRS Confirms C Rating on Class F Certs COMM 2014-UBS3: DBRS Cuts 2 Classes Certs Rating to D CORNHUSKER FUNDING 1A: DBRS Confirms B Rating on Class C Notes CORNHUSKER FUNDING 1B: DBRS Confirms B Rating on Class C Notes CORNHUSKER FUNDING 1C: DBRS Confirms B Rating on Class C Notes CQS US 5: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable DEEPHAVEN RESIDENTIAL 2025-CES1: DBRS Rates Class B2 Notes 'Bsf' EFMT 2025-RTL1: DBRS Finalizes B(low) Rating on Class M2 Notes ELP COMMERCIAL 2025-ELP: Fitch Rates Class HRR Certs 'B+sf' FHF ISSUER 2025-2: DBRS Gives Prov. BB Rating on Class E Notes FINANCE OF AMERICA 2025-HB1: DBRS Finalizes BB Rating on M4 Notes FREDDIE MAC 2025-MN12: Fitch Assigns BB-sf Rating on Cl. M-2 Notes GALAXY 36 CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes GCAT 2025-NQM7: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs GREENSKY HOME 2025-3: Fitch Assigns 'BBsf' Rating on Class E Debt GS MORTGAGE 2021-ROSS: DBRS Confirms C Rating on 3 Classes GS MORTGAGE 2025-NQM6: Fitch Assigns B(EXP) Rating on Cl. B-2 Certs HARVEST SBA 2024-1: DBRS Confirms BB Rating on Class C Notes HERTZ VEHICLE III: DBRS Confirms Credit Ratings on 28 Securities HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2025-5 D Notes HOMES 2025-AFC4: S&P Assigns B (sf) Rating on Class B-2 Notes HPS LOAN 15-2019: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ICG US 2018-1: Moody's Affirms Ba3 Rating on $18MM Class D Notes ICG US CLO 2025-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes INVESCO US 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes JP MORGAN 2021-410T: DBRS Confirms B Rating on Class D Certs JP MORGAN 2025-HE3: Fitch Gives B-(EXP) Rating on Class B3 Certs JP MORGAN 2025-INV2: Fitch Gives B-(EXP) Rating on Class B5 Certs JPMCC 2012-CIBX: DBRS Confirms C Rating on 3 Classes KENNEDY LEWIS 23: S&P Assigns BB- (sf) Rating on Class E Notes KKR CLO 33: S&P Affirms 'B (sf)' Rating on Class E Notes KKR FINANCIAL 2013-1: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes LENDINGCLUB 2025-SP2: Fitch Assigns 'Bsf' Rating on Class F Notes LIGHTHOUSE PARK: Fitch Assigns 'BB-sf' Rating on Class E Notes MF1 2024-FL15: DBRS Confirms B(low) Rating on 3 Note Classes MORGAN STANLEY 2025-NQM9: S&P Assigns B (sf) Rating on B-2 Certs MOUNTAIN VIEW XVI: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes MSBAM COMMERCIAL 2012-CKSV: DBRS Confirms B Rating on Cl. CK Certs NASSAU 2019: Fitch Hikes Rating on Class B Notes to 'BBsf' NEUBERGER BERMAN 49: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes NEW RESIDENTIAL 2025-NQM6: Fitch Gives B-(EXP) Rating on B-2 Notes NLT 2025-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes OAKTREE CLO 2025-33: S&P Assigns Prelim BB- (sf) Rating on E Notes OBX 2025-NQM22: Fitch Gives 'B-(EXP)sf' Rating on Class B2 Certs OBX 2025-R1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes OCP CLO 2014-5: S&P Assigns B+ (sf) Rating on Class D-R Notes OCTANE RECEIVABLES 2025-RVM1: S&P Assigns 'BB+' Rating on E Notes ORION CLO 2023-1: Fitch Assigns BB-sf Final Rating on Cl. E-R Notes PRPM 2025-NQM5: DBRS Finalizes B(high) Rating on Class B2 Certs PRPM 2025-RCF6: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes RATE MORTGAGE 2025-J3: DBRS Finalizes B(low) Rating on Cl. B5 Notes RATE MORTGAGE 2025-J3: Moody's Assigns B3 Rating to Cl. B-5 Certs RCKT MORTGAGE 2025-CES11: Fitch Assigns 'Bsf' Rating on 6 Tranches REGATTA XXIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RR 42: Fitch Assigns BB-sf Rating on Cl. D-R Notes, Outlook Stable SCULPTOR CLO XXXVII: Moody's Assigns (P)Ba3 Rating to $12MM E Notes SDART 2025-4: Fitch Assigns 'BBsf' Final Rating on Cl. E Notes SEQUOIA MORTGAGE 2025-12: Fitch Rates Class B5 Certs 'Bsf' SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs SILVER POINT 13: Fitch Assigns 'BBsf' Rating on Class E Notes SIXTH STREET 31: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SLM STUDENT 2003-10: Moody's Lowers Rating on Cl. B Certs to B2 SPLITERO TRUST 2025-1: DBRS Gives Prov. B Rating on B2 Notes STRUCTURED ASSET 2006-BC5: Moody's Ups Rating on A1 Certs from Ba3 THAYER PARK: S&P Affirms B- (sf) Rating on Class E-R Notes TRUPS FINANCIALS 2025-3: Moody's Assigns (P)Ba3 Rating to D Notes TRYSAIL CLO 2021-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes UBS-BARCLAYS COMMERCIAL 2012-C4: DBRS Confirms C Rating on F Certs UNLOCK HEA 2025-2: DBRS Finalizes BB Rating on Class C Notes UPG HI 2025-2: Fitch Assigns 'BBsf' Rating on Class C Notes WELLESLEY PARK: S&P Assigns BB- (sf) Rating on Class E Notes WFRBS COMMERCIAL 2014-C21: DBRS Confirms C Rating on Class F Certs WHITEBOX CLO I: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes [] Fitch Takes Rating Actions on 23 FFELP SLABS [] Moody's Takes Rating Action on 13 Bonds from 7 US RMBS Deals [] Moody's Takes Rating Action on 22 Bonds from 10 US RMBS Deals [] Moody's Upgrades Ratings on 10 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 12 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 26 Bonds from 4 US RMBS Deals ********* 3650R 2022-PF2: Fitch Affirms 'B-sf' Rating on Class J-RR Debt -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of 3650R 2022-PF2 Commercial Mortgage Trust. The Rating Outlooks for classes E-RR and F-RR have been revised to Stable from Negative. The Rating Outlooks for classes G-RR and J-RR are Negative. Entity/Debt Rating Prior ----------- ------ ----- 3650R 2022-PF2 A-1 88575JAS7 LT AAAsf Affirmed AAAsf A-2 88575JAT5 LT AAAsf Affirmed AAAsf A-3 88575JAU2 LT AAAsf Affirmed AAAsf A-4 88575JAV0 LT AAAsf Affirmed AAAsf A-5 88575JAW8 LT AAAsf Affirmed AAAsf A-S 88575JAZ1 LT AAAsf Affirmed AAAsf A-SB 88575JAX6 LT AAAsf Affirmed AAAsf B 88575JBA5 LT AA-sf Affirmed AA-sf C 88575JAA6 LT A-sf Affirmed A-sf D 88575JAC2 LT BBBsf Affirmed BBBsf E-RR 88575JAE8 LT BBB-sf Affirmed BBB-sf F-RR 88575JAG3 LT BBsf Affirmed BBsf G-RR 88575JAJ7 LT B+sf Affirmed B+sf J-RR 88575JAL2 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' ratings case losses are 4.6%, in line with 4.7% at the last rating action. There are nine Fitch Loans of Concern (FLOCs; 30.4% of the pool), with no loans in special servicing. The affirmations and the revision of Outlooks to Stable from Negative on classes E-RR and F-RR reflect overall stable pool performance since the last rating action, as well as a lack of exposure to delinquent or specially serviced loans or near-term losses. The Negative Outlooks on classes G-RR and J-RR reflect the high FLOC concentration and potential for downgrades should Ace Hotel & Swim Club fail to stabilize and expected losses increase with respect to the larger FLOCs, which include Central States Industrial Portfolio, Triple Net Portfolio, Art Ovation Hotel, 500 Delaware and Patewood Corporate Center. Largest Contributors to Loss: The largest overall contributor to loss expectations, Ace Hotel & Swim Club (5.4%), is secured by the leasehold interest in a 179-room boutique full-service hotel subject to an 85-year ground lease agreement, which expires in 2107. The hotel is situated in the heart of Palm Springs, CA. The loan is on the servicer's watchlist due to the debt service coverage ratio (DSCR) breaching the 1.20x threshold and the loan was designated a FLOC due to a decline performance. Cashflow has been impacted by a decline in room revenue. As of TTM June 2025, DSCR was 0.89x, down from 1.51x at YE 2024 and 2.12x at YE 2023. Occupancy declined to 48% as of March 2025 from 49% at YE 2024 and 59% at YE 2023. Per the TTM September 2025 STR report, the property is slightly underperforming its comp set. The penetration rates were 100% for occupancy, 96.6% for average daily rate (ADR) and 96.6% for revenue per average room (RevPAR). Fitch submitted an inquiry requesting the further insight on the drivers contributing to the continued performance decline but did not receive a response. Fitch's 'Bsf' rating case loss of 15.9% (prior to concentration adjustments) reflects a 11.5% cap rate and 15% stress to YE 2024 net operating income (NOI). Fitch's current NCF represents a 38% decline from Fitch's NCF at issuance. The second-largest overall contributor to loss expectations, Triple Net Portfolio (7.4%), is secured by 14 industrial properties totaling 806,752-sf located in Ohio (2), Oklahoma (2), California (4), Michigan (1), New York (1), Ohio (1), Utah (1), Texas (1) and Illinois (1). The two largest tenants are Hunter Defense Technologies (29.7%; expires Feb. 15, 2030) and Victor Energy (26.3%; 9.1% expires Oct. 13, 2026). No other tenant comprises more than 9.4% of NRA. Hunter Defense Technologies recently extended its lease from February 2025 to 2030. The loan remains a FLOC following the loss two tenants since 2024: Kuusakoski Glass Recycling (6.9% NRA and 3% rent) vacated at their June 2024 lease expiration and Myler Disability (6.6% NRA and 11.2% rent) vacated at their March 2025 lease expiration. Upcoming rollover includes 6.6% (11.2% rent) in 2025 and 9.1% (3.2% rent) in 2026. Servicer-reported occupancy was 93.1% at YE 2024 but is expected to have declined to approximately 87% following the loss of Myler Disability. DSCR was 1.10x at YE 2024, down from 1.45x at YE 2023 and 2.00x at YE 2022. YE 2024 cashflow declined significantly from YE 2023 due to increased professional fee expenses. The servicer indicated the increase was attributed to legal expenses incurred in connection with a tenant dispute that has since been largely resolved. Fitch's 'Bsf' rating case loss of 7.1% (prior to concentration adjustments) reflects a 9.0% cap rate and a 7.5% stress to the YE 2023 NOI as YE 2024 may have included a non-recurring expense item. The third-largest overall contributor to loss expectations, Art Ovation Hotel (3.8%), is secured by a 162-unit hotel property located in Sarasota, FL. The hotel is part of Marriott International, Inc., under the Autograph Collection flag. Servicer reported occupancy was 80.9% at June 2025, compared to 81.6% at YE 2024 and 83.8% at YE 2023. DSCR was 1.60x at TTM June 2025, compared to 1.46x at YE 2024 and 1.77x at YE 2023. The loan is currently amortizing as its interest only period ended in 2024. Per the TTM June 2025 STR report, the property is outperforming its comp set. The penetration rates were 110.7% for occupancy, 102.8% for ADR and 113.8% for RevPAR. Fitch's 'Bsf' rating case loss of 7.9% (prior to concentration adjustments) reflects a 11.25% cap rate and cashflow based on a holdback analysis. Minimal Change to Credit Enhancement (CE): As of the October 2025 distribution date, the pool has been reduced by 0.8%. There are no defeased loans or losses to date. Interest shortfalls of approximately $13,000 are impacting the non-rated N-RR. class RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' and 'AAsf' category rated classes are not considered likely due to their senior position in the capital structure and expected continued increases in CE but may occur should interest shortfalls occur or are expected to occur. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur should deal-level loss expectations increase and/or the FLOCs fail stabilize. Downgrades to 'BBsf' and 'Bsf' category rated classes could occur with an increase in loss expectations caused by further performance deterioration, particularly the Ace Hotel & Swim Club, Central States Industrial Portfolio, Triple Net Portfolio, Art Ovation Hotel, 500 Delaware and Patewood Corporate Center loans and/or transfer of FLOCs to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes would occur with improvements in CE from paydowns and/or loan amortization coupled with stable-to improved loss expectations and performance stabilization of FLOCs. Upgrades to 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with a sustained improved performance of the FLOCs. Upgrades to the 'Bsf' category rated classes are not likely until later years in the transactions and would occur with improvements in CE and performance stabilization of 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. A10 2025-FL6: Fitch Assigns 'B-sf' Final Rating on Class G Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to A10 2025-FL6 Issuer, LLC as follows: - $185,500,000a class A 'AAAsf'; Outlook Stable; - $59,062,000a class A-S 'AAAsf'; Outlook Stable; - $22,313,000a class B 'AA-sf'; Outlook Stable; - $20,562,000a class C 'A-sf'; Outlook Stable; - $14,438,000a class D 'BBBsf'; Outlook Stable; - $6,125,000a class E 'BBB-sf'; Outlook Stable; - $8,312,000b class F 'BB-sf'; Outlook Stable; - $8,313,000b class G 'B- sf'; Outlook Stable. The following class is not rated by Fitch: - $25,375,000b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, totaling 12.000% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $350 million and does not include future funding. The ratings are based on information provided by the issuer as of Nov. 24, 2025. Transaction Summary The notes are collateralized by 21 loans secured by 27 commercial properties with an aggregate principal balance of $293,283,763 as of the cut-off date. The pool also includes ramp-up collateral interest of $56.7 million. The loans were contributed to the trust by A10 CRE CLO Seller, LLC. The servicer and special servicer are A10 Capital, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 30.9% of the loans by balance, and cash flow analysis and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 16 loans in the pool (91.0% by balance). Fitch's resulting aggregate net cash flow (NCF) of $17.6 million represents a 9.6% decline from the issuer's aggregate underwritten NCF of $19.5 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 117.9% is lower than both the 2025 YTD and 2024 CRE CLO average of 140.7%. The pool's Fitch NCF debt yield (DY) of 7.95% is higher with both the 2025 YTD and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: The pool diversity is better than recently rated Fitch CRE CLO transactions. The top 10 loans make up 66.2% of the pool, which is higher than the 2025 YTD average of 61.0% and lower than the 2024 CRE CLO average 70.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.6. 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 51.1% comprised of IO loans, based on fully extended loan terms. This is worse than both the 2025 YTD and 2024 CRE CLO averages of 72.0% and 56.8%, respectively. As a result, the pool is expected to have 0.7% 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 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' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / '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' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BBsf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. confirmed five credit ratings from Affirm Asset Securitization Trust 2024-A. Debt Rating Action ---- ------ ------ Class A notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed Class E Notes BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transaction is currently revolving -- Current credit enhancement (CE) is in line with initial levels -- Charge-offs are currently above the initial expectation -- As a percentage of the initial collateral balance, total delinquencies have been stable in recent months -- The level of hard CE is in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transaction. Hard CE and estimated excess spread are sufficient to support Morningstar DBRS' current credit rating levels -- The collateral performance to date and Morningstar DBRS' assessment of future performance -- The transaction parties' capabilities with regard to origination, underwriting, and servicing -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2025 Update," published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Mo 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. ALLY BANK 2025-B: Moody's Assigns B2 Rating to Class F Notes ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the notes issued by Ally Bank Auto Credit-Linked Notes, Series 2025-B (ABCLN 2025-B). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2025-B is the fourth credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical- financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Auto Credit-Linked Notes, Series 2025-B Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Ally Bank or as a result of a FDIC conservator or receivership. The expected source of principal payments will be the cash proceeds from the initial sale of the notes that will be held in a collateral account with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments and, in the unlikely event that the amount on deposit in the collateral account is less than the outstanding principal amount of the notes, also for the payments of principal. The Letter of Credit will be provided by a third party with a rating of A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Ally (Baa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of Ally as the servicer. Moody's median cumulative net loss expectation for the ABCLN 2025-B reference pool is 1.05% and loss at a Aaa stress of 7.00%. Moody's based Moody's cumulatives net loss expectation 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 Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.00%, 7.40%, 5.30%, 4.35%, 3.20%, and 2.55% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. 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 class B, class C, class D, class E, and class F 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 realized losses reduce available subordination. 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. AMDR ABS 2025-1: DBRS Finalizes BB(low) Rating on Class B Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by AMDR ABS Trust 2025-1 (the Issuer or AMDR 2025-1): -- $110,840,000 Class A Notes at BBB (low) (sf) -- $42,310,000 Class B Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, amounts held in the reserve account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under the BBB (low) (sf) and BB (low) (sf) stress scenarios in accordance with the terms of the AMDR 2025-1 transaction documents. (2) The origination (enrollment), servicing and administration capabilities of Americor Financial. (3) The presence of (a) WSFS as Master Backup Servicer and (b) JGW Debt Settlement, LLC as Master Backup Servicer Contractor. Morningstar DBRS considered the process, timing and mechanics around replacement of (a) the Servicer and (b) the law firm Provider to the extent such replacement(s) were to become necessary. -- An additional haircut to cash flows was included as a qualitative adjustment in consideration of the potential for some delay in replacing the Servicer or Provider. While such a delay would be reasonably expected not to be extensive, some additional cancellations could occur. (4) Morningstar DBRS considered the potential for variation in the total amount of cash collections and the timing of such cash collections in its analysis. (5) Morningstar DBRS considered the account structure (including Americor Financial and Provider accounts) and related sweep processes and account control agreements as part of its analysis. (6) The sizing of the reserve account, in the context of the transaction's short tenor, is deemed to be adequate. (7) Legal opinions that address the true sale of the debt settlement assets, the non-consolidation of the trust, and that the trust has a valid perfected security interest in the assets. (8) Transaction legal structure's consistency with Morningstar DBRS's Legal Criteria for U.S. Structured finance. (9) 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. Notes: All figures are in U.S. dollars unless otherwise noted. ARBOR REALTY 2021-FL4: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------- DBRS Limited upgraded its credit ratings on two classes of commercial mortgage-backed notes issued by Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd. as follows: -- Class B Notes to AAA (sf) from AA (sf) -- Class C Notes to AA (low) (sf) from A (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support to the transaction since Morningstar DBRS' previous credit rating action in May 2025. There has been a collateral reduction of 27.2% since closing, with 12.7% in collateral reduction realized since February 2025. Additionally, the transaction benefits from the loan collateral being solely secured by multifamily, which has historically proven to be better able to retain property value and cash flow compared with other property types. As select borrowers have had mixed success in implementing the respective business plans to increase property cash flows and asset values; however, Morningstar DBRS applied increased loan-to-value ratio (LTV) and/or probability of default (POD) penalties on 22 loans (57.8% of the pool) to reflect the increased credit risks, resulting in higher loan-level expected loss (EL) figures. The quantitative results suggest the current credit ratings and Stable trends of the bonds are supported by the increased credit enhancement to transaction, highlighted by a $191.6 million unrated, first loss piece. 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 and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 51 floating-rate mortgages and senior participations secured by 87 transitional multifamily properties with a cut-off date balance totaling $1.79 billion. Most of the loans were in a period of transition with plans to stabilize performance and improve the asset value. The transaction included an 180-day ramp-up acquisition period, which was used to increase the trust balance to $2.1 billion. Additionally, the transaction had a Reinvestment Period that expired with the June 2024 payment date. As of the October 2025 remittance, the pool consisted of 51 loans secured by 64 properties with a cumulative trust balance of $1.5 billion. Since issuance, 72 loans with a former cumulative trust balance of $2.0 billion have successfully repaid from the pool, including 13 loans with a former cumulative trust balance of $393.8 million since Morningstar DBRS' prior credit rating action in May 2025. One loan, Indy Portfolio (Prospectus ID#128; 5.5% of the pool), has been added to the trust since May 2025 as a credit risk exchange. Leverage across the pool has increased as of the October 2025 reporting in comparison with issuance metrics, as nearly all assets in the pool have been re-appraised since Q1 2024. The majority of the updated values have been less than the original As-Is Appraised valued from respective loan closing. Based on the updated As-Is Appraisal values, the current weighted-average (WA) As-Is Appraised LTV is 81.6%. While updated projected As-Stabilized values were not disclosed, Morningstar DBRS believes the current WA Stabilized LTV of 68.2% based on the appraiser's projected As-Stabilized values provided at issuance is not supported. At issuance, the WA As-Is and As-Stabilized LTVs for the pool were 77.3% and 57.3%, respectively. For the purposes of the current analysis, Morningstar DBRS updated the As-Is LTVs for all properties, which were re-appraised and applied adjusted As-Stabilized LTVs to 19 loans, representing 50.2% of the current pool balance, to reflect the current interest rate and widening capitalization rate environment. Through October 2025, the lender had advanced cumulative whole loan future funding of $189.3 million allocated to 26 of the 51 remaining individual borrowers to aid in property stabilization efforts. The largest advance, $61.9 million, was made to the borrower of the 153-10 88th Avenue loan (Prospectus ID#101; 4.2% of the pool), which is secured by a 223-unit multifamily property in Jamaica, New York, consisting of 156 market-rate units and 67 affordable-rate units. The advanced funds were used to complete the ground-up construction of the property. The Q2 2025 collateral manager report noted the property's 421-a tax exemption application has been approved, and the Certificate of Eligibility has been received. The Final Certificate of Occupancy is pending to be received. As of March 2025, the occupancy rate was 99.6% with an average rental rate of $2,718 per unit, which is in line with the appraiser's market rental rate estimate of $2,713 per unit and above the Morningstar DBRS' rental rate projection of $2,268 per unit. The property was re-appraised in June 2025 at an As-Is value of $117.7 million, higher than the $115.6 million value at issuance. The loan matured in October 2025 but has one 12-month extension option remaining. Per the collateral manager, the borrower intends to exercise the extension. There is $0.7 million of unreleased future funding remaining. Outside of the 153-10 88th Avenue loan, an additional $7.4 million of loan future funding allocated to four borrowers remains available. The largest portion ($5.6 million) is allocated to the borrower of the Georgia Portfolio 2 loan (Prospectus ID#34; 1.8% of the pool), which is secured by a portfolio of six multifamily properties in metro Atlanta. The loan transferred to special servicing in December 2024 for payment default and recently matured in October 2025. While the loan has one, 12-month extension option available, the borrower is expected to pay off the loan via a refinance in the near term as the collateral has stabilized, according to an update provided by the collateral manager. The portfolio was re-appraised in December 2024 at $118.1 million, which represents a 6.4% decline from the issuance value of $126.2 million. According to October 2025 reporting, 28 loans, representing 54.5% of the pool, have maturities scheduled through the next six months. According to an update from the collateral manager, 14 of these loans (22.1% of the pool) have available extension options, the majority of which are expected to be exercised. Regarding the remaining loans, most of these borrowers are pursuing loan modification agreement with the lender or the loans are expected to pay off in the near term. In total, 44 loans, representing 84.8% of the current trust balance, have been modified as a result of lagging business plans and loan exit strategies. Terms for the modifications vary from loan to loan; however, common terms include waiving property performance tests and interest rate cap agreement requirements for maturity extensions and forbearance agreements. Nine loans, representing 13.8% of the pool, are in special servicing, including four loans (8.4% of the pool), that are delinquent. Two of the delinquent loans (2.5% of the pool) have been flagged as nonperforming matured balloons, with the servicer dual tracking loan modification and foreclosure resolution strategies. The loans that remain current on debt service obligations are expected to be modified and/or returned to the master servicer. The largest specially serviced loan, Vista Springs (Prospectus ID#52; 3.2% of the pool), is secured by a multifamily property in Moreno Valley, California. The loan transferred to special servicing in January 2025 for payment default and is currently more than 90 days delinquent. Per the Q2 2025 reporting, the borrower is gradually paying back the missed debt service payments as most of the renovation reserve has been depleted to make debt service payments. The collateral manager reports the loan is expected to be refinanced in the near term as performance has appeared to stabilize. According to the July 2025 rent roll, the property was 98.1% occupied with an average rental rate above the issuer's projection of $1,947 per unit. Per the October 2025 reporting, the property was re-appraised in October 2024 at a value of $58.3 million a 4.4% decline from the issuance as-is value of $61.0 million. Although the borrower has demonstrated its commitment to the collateral through several loan modifications, Morningstar DBRS maintains a cautious outlook for the loan given the ongoing delinquency and adjusted the loan's As-Is and Stabilized LTVs based on the updated appraisal value in addition to increasing the loan's POD, resulting in an EL that remains below the pool EL. The other specially serviced and delinquent loan, Apartments at the Venue (Prospectus ID#82; 2.7% of the pool), is secured by two apartment complexes in Valley, Alabama. The loan transferred to special in September 2025 for payment default, as the borrower last remitted debt service in August 2025. Per the Q2 2025 reporting, the borrower is pursuing a loan modification to address the cash shortfalls and bring the loan current. While the property was re-appraised in March 2025 at a value of $110.0 million, which is 24.4% higher than the Issuance As-Is Value of $88.4 million, the property's performance has deteriorated, with occupancy dropping to 61.0% as of June 2025. The collateral manager reports the decline in performance is a result of increased competition, which has compelled property management to offer higher concessions and flexible tenant lease terms. As such, Morningstar DBRS applied an additional stress to the as-is and stabilized LTVs to reflect the performance challenges as well as an increased POD, resulting in a loan EL 1.7 times greater than the pool EL. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS SENIOR XV: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class B-1 and B-2 debt from Atlas Senior Loan Fund XV Ltd. and removed them from CreditWatch where they had been placed with positive implications on Oct. 10, 2025. At the same time, S&P lowered its rating on the class E debt and removed it from CreditWatch where it had been placed with negative implications on Oct. 10, 2025. S&P also affirmed its rating on the class A-1-R, A-2-R, C-R, and D-R debt from the same transaction and removed the class C-R debt from CreditWatch where it had been placed with positive implications on Oct. 10, 2025. The rating actions follow S&P's review of the transaction's performance using data from the October 2025 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. The transaction has made $80.47 million in paydowns to the class A-1-R debt based on the September 2024 trustee report, after our August 2024 rating actions. These paydowns lowered the outstanding balances of the senior debt, and this, in turn, increased the reported overcollateralization (O/C) ratios except for the class E O/C ratio: -- The senior O/C ratio improved to 131.36% from 127.07%. -- The class C O/C ratio improved to 119.67% from 117.77%. -- The class D O/C ratio improved to 110.65% from 110.37%. -- The class E O/C ratio decreased to 104.89% from 105.55%. Per the October 2025 trustee report, the collateral portfolio's exposure to 'CCC' rated collateral, in dollar terms, decreased to $32.25 million, compared with $36.40 million reported in September 2024 trustee report. Over the same period, the par amount of defaulted collateral decreased to $2.00 million from $2.94 million. The upgrades on the class B-1 and B-2 debt reflect the improved credit support available to the debt at the prior rating levels as the results of the paydowns to the senior debt. S&P said, "The affirmations reflect our view that the class A-1-R, A-2-R, C-R, and D-R debt's existing credit support is commensurate with the current rating level. Though our cash flow analysis indicated higher rating for the class C-R debt, our rating action reflects our consideration of its current credit enhancement (which is commensurate with other CLO tranches in the same rating category), and our preference for extra cushion, based on additional sensitivity analyses we ran, to consider the portfolio's exposure to lower-quality assets and distressed prices." Any deterioration in the credit support available to the debt could result in a rating revision. S&P said, "The downgrade reflects the class E debt's failing cash flows and decline in its overcollateralization levels likely due to par losses since our last rating action. In addition, its cash flows were affected by the decline in the transaction's weighted average recovery rate. Although our cash flows test indicates a lower rating for the class E debt, we limited the downgrade based on the existing credit enhancement and the CLO' s limited exposure to assets rated 'CCC'/'CCC-'. However, any increase in defaults or par losses could lead to negative rating actions in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these 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 will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Atlas Senior Loan Fund XV Ltd./Atlas Senior Loan Fund XV LLC Class B-1 to 'AA+ (sf)' from 'AA (sf) / Watch Pos' Class B-2 to 'AA+ (sf)' from 'AA (sf) / Watch Pos' Rating Lowered And Removed From CreditWatch Atlas Senior Loan Fund XV Ltd./Atlas Senior Loan Fund XV LLC Class E to 'B (sf)' from 'BB- (sf) / Watch Neg' Ratings Affirmed And Removed From CreditWatch Atlas Senior Loan Fund XV Ltd./Atlas Senior Loan Fund XV LLC Class C-R: A (sf) from 'A (sf) / Watch Pos' Ratings Affirmed Atlas Senior Loan Fund XV Ltd./Atlas Senior Loan Fund XV LLC Class A-1-R: AAA (sf) Class A-2-R: AAA (sf) Class D-R: BBB- (sf) ATLAS SENIOR XVI: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-1-R, and C-1-R debt from Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC, a CLO managed by Crescent Capital Group L.P. that was originally issued in February 2021. At the same time, S&P withdrew its ratings on the previous class A, B-1, and C-1 debt following payment in full on the Nov. 24, 2025, refinancing date. S&P also affirmed its ratings on the class B-2, C-2, D, 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 non-call period was extended to Aug. 24, 2026. -- No additional assets were purchased on the Nov. 24, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $305.00 million: Three-month CME term SOFR + 1.10% -- Class B-1-R, $41.25 million: Three-month CME term SOFR + 1.65% -- Class C-1-R (deferrable), $26.57 million: Three-month CME term SOFR + 1.90% Refinanced debt -- Class A, $305.00 million: Three-month CME term SOFR + 1.53161% -- Class B-1, $41.25 million: Three-month CME term SOFR + 1.96161% -- Class C-1 (deferrable), $26.57 million: Three-month CME term SOFR + 2.46161% 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 Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC Class A-R, $305.00 million: AAA (sf) Class B-1-R, $41.25 million: AA (sf) Class C-1-R (deferrable), $26.57 million: A (sf) Ratings Withdrawn Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A (sf)' Ratings Affirmed Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC Class B-2: AA (sf) Class C-2 (deferrable): A (sf) Class D (deferrable): BBB- (sf) Class E (deferrable): BB- (sf) Other Debt Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC Subordinated notes, $50.95 million: NR NR--Not rated. BANK 2021-BNK32: Fitch Affirms 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 35 classes of BANK 2021-BNK31, commercial mortgage pass-through certificates, series 2021-BNK31 and 38 classes of BANK 2021-BNK32, commercial mortgage pass-through certificates, series 2021-BNK32. Entity/Debt Rating Prior ----------- ------ ----- BANK 2021-BNK31 A-3 06541ABB5 LT AAAsf Affirmed AAAsf A-3-1 06541ABC3 LT AAAsf Affirmed AAAsf A-3-2 06541ABD1 LT AAAsf Affirmed AAAsf A-3-X1 06541ABE9 LT AAAsf Affirmed AAAsf A-3-X2 06541ABF6 LT AAAsf Affirmed AAAsf A-4 06541ABG4 LT AAAsf Affirmed AAAsf A-4-1 06541ABH2 LT AAAsf Affirmed AAAsf A-4-2 06541ABJ8 LT AAAsf Affirmed AAAsf A-4-X1 06541ABK5 LT AAAsf Affirmed AAAsf A-4-X2 06541ABL3 LT AAAsf Affirmed AAAsf A-S 06541ABP4 LT AAAsf Affirmed AAAsf A-S-1 06541ABQ2 LT AAAsf Affirmed AAAsf A-S-2 06541ABR0 LT AAAsf Affirmed AAAsf A-S-X1 06541ABS8 LT AAAsf Affirmed AAAsf A-S-X2 06541ABT6 LT AAAsf Affirmed AAAsf A-SB 06541ABA7 LT AAAsf Affirmed AAAsf B 06541ABU3 LT AA-sf Affirmed AA-sf B-1 06541ABV1 LT AA-sf Affirmed AA-sf B-2 06541ABW9 LT AA-sf Affirmed AA-sf B-X1 06541ABX7 LT AA-sf Affirmed AA-sf B-X2 06541ABY5 LT AA-sf Affirmed AA-sf C 06541ABZ2 LT A-sf Affirmed A-sf C-1 06541ACA6 LT A-sf Affirmed A-sf C-2 06541ACB4 LT A-sf Affirmed A-sf C-X1 06541ACC2 LT A-sf Affirmed A-sf C-X2 06541ACD0 LT A-sf Affirmed A-sf D 06541AAJ9 LT BBBsf Affirmed BBBsf E 06541AAL4 LT BBB-sf Affirmed BBB-sf F 06541AAN0 LT BB-sf Affirmed BB-sf G 06541AAQ3 LT B-sf Affirmed B-sf X-A 06541ABM1 LT AAAsf Affirmed AAAsf X-B 06541ABN9 LT A-sf Affirmed A-sf X-D 06541AAA8 LT BBB-sf Affirmed BBB-sf X-F 06541AAC4 LT BB-sf Affirmed BB-sf X-G 06541AAE0 LT B-sf Affirmed B-sf BANK 2021-BNK32 A-1 06542BAY3 LT AAAsf Affirmed AAAsf A-2 06542BAZ0 LT AAAsf Affirmed AAAsf A-3 06542BBB2 LT AAAsf Affirmed AAAsf A-4 06542BBC0 LT AAAsf Affirmed AAAsf A-4-1 06542BBD8 LT AAAsf Affirmed AAAsf A-4-2 06542BBE6 LT AAAsf Affirmed AAAsf A-4-X1 06542BBF3 LT AAAsf Affirmed AAAsf A-4-X2 06542BBG1 LT AAAsf Affirmed AAAsf A-5 06542BBH9 LT AAAsf Affirmed AAAsf A-5-1 06542BBJ5 LT AAAsf Affirmed AAAsf A-5-2 06542BBK2 LT AAAsf Affirmed AAAsf A-5-X1 06542BBL0 LT AAAsf Affirmed AAAsf A-5-X2 06542BBM8 LT AAAsf Affirmed AAAsf A-S 06542BBQ9 LT AAAsf Affirmed AAAsf A-S-1 06542BBR7 LT AAAsf Affirmed AAAsf A-S-2 06542BBT3 LT AAAsf Affirmed AAAsf A-S-X1 06542BBU0 LT AAAsf Affirmed AAAsf A-S-X2 06542BBV8 LT AAAsf Affirmed AAAsf A-SB 06542BBA4 LT AAAsf Affirmed AAAsf B 06542BBW6 LT AA-sf Affirmed AA-sf B-1 06542BBX4 LT AA-sf Affirmed AA-sf B-2 06542BBY2 LT AA-sf Affirmed AA-sf B-X1 06542BBZ9 LT AA-sf Affirmed AA-sf B-X2 06542BCA3 LT AA-sf Affirmed AA-sf C 06542BCB1 LT A-sf Affirmed A-sf C-1 06542BCC9 LT A-sf Affirmed A-sf C-2 06542BCD7 LT A-sf Affirmed A-sf C-X1 06542BCE5 LT A-sf Affirmed A-sf C-X2 06542BCF2 LT A-sf Affirmed A-sf D 06542BAJ6 LT BBBsf Affirmed BBBsf E 06542BAL1 LT BBB-sf Affirmed BBB-sf F 06542BAN7 LT BB-sf Affirmed BB-sf G 06542BAQ0 LT B-sf Affirmed B-sf X-A 06542BBN6 LT AAAsf Affirmed AAAsf X-B 06542BBP1 LT AA-sf Affirmed AA-sf X-D 06542BAA5 LT BBB-sf Affirmed BBB-sf X-F 06542BAC1 LT BB-sf Affirmed BB-sf X-G 06542BAE7 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance; 'Bsf' Loss Expectations: The affirmations across both transactions reflect overall stable pool performance and loss expectations since Fitch's prior rating action. Deal-level 'Bsf' rating case loss is 2.1% for BANK 2021-BNK31 and 2.3% for BANK 2021-BNK32. The BANK 2021-BNK31 transaction has three Fitch Loans of Concern (FLOCs; 12.3% of the pool). The BANK 2021-BNK32 transaction has four FLOCs (12.6%), including two specially serviced loans (1.4%). FLOCs: The Coleman Highline FLOC (2.5%) in BANK 2021-BNK31 is secured by a 357,106-sf, single-tenant office property located in San Jose, CA, leased to Roku, Inc., The tenant leases 45% of the NRA through December 2029 and 55% through September 2030. Roku is subleasing approximately 45% of its space per the servicer. The loan is scheduled to mature in November 2030. Fitch's 'Bsf' rating case loss of 7.5% (prior to a concentration adjustment) is based on a 9.50% cap rate to the Fitch issuance NCF. The Quinnipiac Gardens FLOC (0.7%) in BANK 2021-BNK31 is secured by a two-story multifamily apartment complex comprising of 71 units located in New Haven, CT. The borrower has been chronically late on loan payments over the last twelve months, and the loan was reported 30 days delinquent as of November 2025 remittance. Fitch's 'Bsf' rating case loss of 7.5% (prior to a concentration adjustment) is based on a 9% cap rate to the Fitch issuance NCF. The Boca Office Portfolio FLOC (3.3%) in BANK 2021-BNK32 is secured by mixed-use office/retail portfolio of four located in Boca Raton, FL with a granular rent roll. This FLOC was flagged for near-term rollover concerns, which includes approximately 30% of the NRA expiring prior to YE26, and an upcoming loan maturity in March 2026. The property was 84% occupied at YE24, down from 90% at the time of issuance. Fitch's 'Bsf' rating case loss of 2.7% (prior to a concentration adjustment) is based on a 10% cap rate and 15% stress to the YE24 NOI to account for the near-term rollover concerns. The specially serviced Blossom Gardens Apartments, Inc. loan (0.8%) in BANK 2021-BNK32, secured by a 184-unit co-operative housing property located in Flushing, NY, transferred in October 2023 as a result of a fire affecting 36 of the 184 units. According to the servicer, the borrower has entered into a service contract for insurance rehabilitation, which was noted to be deficient. Fitch's 'Bsf' rating case loss of 3.6% (prior to a concentration adjustment) is based on an 8.5% cap rate to Fitch issuance NCF and factors a higher probability of default. The specially serviced CVS-Walgreens Portfolio (0.6%) in BANK 2021-BNK32, secured by a portfolio of two single-tenant retail properties occupied by a CVS and Walgreens located in Florida and Illinois, respectively, transferred in June 2025 due to imminent monetary default stemming from failure in setting up cash management. The loan was reported as 30 days delinquent as of the November 2025 remittance. Fitch's 'Bsf' rating case loss of 32.5% (prior to a concentration adjustment) is based on a 9.0% cap rate to Fitch issuance NCF and factors a higher probability of default. Fitch is also monitoring the performance of the 605 Third Avenue loan (9.1% in BANK 2021-BNK31 and 7.9% in BANK 2021-BNK32) due to an anticipated decline in occupancy. The loan is secured by a 44-story, 1.0 million-sf, LEED Gold, office building located in Manhattan, New York. Major tenant The United Nations Population (12.7% of NRA) will be vacating at the end of their December 31, 2025, lease expiration, which would cause occupancy at the property to drop to approximately 83%. Fitch's analysis applied a 7.75% cap rate and 20% stress to the YE 2024 NOI to account for the drop in occupancy and to bring in-line with submarket conditions. Minimal Changes in Credit Enhancement (CE): As of the October 2025 distribution date, the aggregate pool balances of the BANK 2021-BNK31 and BANK 2021-BNK32 transactions have been paid down by 3.2% and 0.9%, respectively, since issuance. There are no defeased loans in both transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories may occur should performance of the FLOCs deteriorate further, particularly 605 Third Avenue in both the BANK 2021-BNK31 and BANK 2021-BNK32 transactions, and Coleman Highline in BANK 2021-BNK31 and Boca Office Portfolio in BANK 2021-BNK32, or should expected losses for the pool increase significantly due to outsized loan-level losses and/or if additional loans become FLOCs; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories could occur with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. 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 the FLOCs, including 605 Third Avenue, Coleman Highline and Boca Office Portfolio. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transactions. - 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. 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. BANK 2023-BNK46: Fitch Affirms 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 33 classes of BANK 2023-BNK46. The Rating Outlooks for 16 classes were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2023-BNK46 A-1 06541DBA1 LT AAAsf Affirmed AAAsf A-2-1 06541DBB9 LT AAAsf Affirmed AAAsf A-2-2 06541DAA2 LT AAAsf Affirmed AAAsf A-4 06541DBH6 LT AAAsf Affirmed AAAsf A-4-1 06541DBJ2 LT AAAsf Affirmed AAAsf A-4-2 06541DBK9 LT AAAsf Affirmed AAAsf A-4-X1 06541DBL7 LT AAAsf Affirmed AAAsf A-4-X2 06541DBM5 LT AAAsf Affirmed AAAsf A-S 06541DBN3 LT AAAsf Affirmed AAAsf A-S-1 06541DBP8 LT AAAsf Affirmed AAAsf A-S-2 06541DBQ6 LT AAAsf Affirmed AAAsf A-S-X1 06541DBR4 LT AAAsf Affirmed AAAsf A-S-X2 06541DBS2 LT AAAsf Affirmed AAAsf A-SB 06541DCF9 LT AAAsf Affirmed AAAsf B 06541DBT0 LT AA-sf Affirmed AA-sf B-1 06541DBU7 LT AA-sf Affirmed AA-sf B-2 06541DBV5 LT AA-sf Affirmed AA-sf B-X1 06541DBW3 LT AA-sf Affirmed AA-sf B-X2 06541DBX1 LT AA-sf Affirmed AA-sf C 06541DBY9 LT A-sf Affirmed A-sf C-1 06541DBZ6 LT A-sf Affirmed A-sf C-2 06541DCA0 LT A-sf Affirmed A-sf C-X1 06541DCB8 LT A-sf Affirmed A-sf C-X2 06541DCC6 LT A-sf Affirmed A-sf D 06541DAL8 LT BBBsf Affirmed BBBsf E 06541DAN4 LT BBB-sf Affirmed BBB-sf F 06541DAQ7 LT BB-sf Affirmed BB-sf G 06541DAS3 LT B-sf Affirmed B-sf X-A 06541DCD4 LT AAAsf Affirmed AAAsf X-B 06541DCE2 LT AAAsf Affirmed AAAsf X-D 06541DAC8 LT BBB-sf Affirmed BBB-sf X-F 06541DAE4 LT BB-sf Affirmed BB-sf X-G 06541DAG9 LT B-sf Affirmed B-sf KEY RATING DRIVERS Improved 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have decreased slightly to 2.96% from 3.6% at Fitch's prior rating action. Two loans (10.3% of the pool) are considered Fitch Loans of Concern (FLOCs), and no loans are currently in special servicing. The Outlook revisions to Stable from Negative on the A-S, B and C classes primarily reflects the stable-to-slightly improved performance of the largest FLOC, 1201 Third Avenue loan (5.8% of the pool), since the last rating action. While occupancy remains below issuance levels following the largest tenant's, Perkins Coie, early termination and exit, occupancy has remained stable since their departure and the property has signed additional leases. Downgrades to these classes are no longer considered likely in the next 12-24 months given the reduced likelihood of term default. FLOCs: The largest Fitch loan of concern is the 1201 Third Avenue loan, which is secured by a 1.13 million-sf LEED Gold and Platinum certified office tower in downtown Seattle, WA. Updated occupancy has not been reported but estimated to be approximately 52% after Perkins Coie departed. Reported occupancy and DSCR were 75% and 3.31x as of YE 2023, and 81% and 2.94x, respectively, at issuance. The former largest tenant at the property at issuance, Perkins Coie (26% of NRA), exercised their early termination option and vacated the property in June 2025. The termination triggered an excess cash flow sweep and payment of a $7.9 million lease termination fee, which has been reserved by the servicer and applied toward the $90 psf TI/LC reserve structured in the loan documents at issuance. As of November 2025, the current reserve balance is $25 million. In addition, the second largest tenant is WeWork (10% of NRA through June 2034), which filed for Chapter 11 bankruptcy protection and later exited bankruptcy in 2024. WeWork has a $3.5 million letter of credit that decreases by $200,000 per year starting July 1, 2025, as well as a $4.4 million corporate guaranty that decreases by $700,000 starting July 1, 2024. According to a bankruptcy filing by WeWork in May 2024, the subject location was not included on the schedule of rejected locations and the location remains active per the WeWork website. The sponsor has active proposals with prospective tenants to backfill a portion of the vacated Perkins Coie space. Per CoStar, a new lease with law firm Stoel Rives was executed in September 2025 for approximately 5% of the NRA. Estimated occupancy including this new lease is estimated to be approximately 57%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 2.4% reflects a 10.25% cap rate and an alternative value approach informed by existing building performance, as well as third-party market data and the appraisal, resulting in a Fitch sustainable net cash flow of $18.6 million. Due to the performance declines, the loan is no longer designated as a Credit Opinion Loan. The second Fitch loan of concern is the 1825 K Street NW loan (4.4%), which is secured by a 13-story, 261,516-sf office property located along K Street NW in Washington, D.C.'s central business district. The year-end 2024 servicer-reported DSCR was 0.82x, down from 1.74x at issuance, largely due to elevated payroll and professional fee expenses. However, the April 2025 reported DSCR has improved to 1.40x, driven by rental income growth in 2025. The property maintains 73% occupancy, in line with issuance. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 3.8% reflects a 9% cap rate and a 10% stress to the Fitch Issuance NCF to account for the low DSCR. Minimal Change in Credit Enhancement (CE): As of the October 2025 distribution date, the aggregate pool balance has decreased by less than 1% since issuance. There are no defeased loans in this transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the senior position in the capital structure and expected continued amortization but could occur if deal-level expected losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf', 'AAsf', 'Asf' category rated classes could occur without sufficient recovery in occupancy and/or cash flow of the 1201 Third Avenue loan to Fitch's view of sustainable performance, or if the loan defaults prior to maturity. Downgrades to 'BBBsf', 'BBsf' and 'Bsf' category rated classes could occur if deal-level losses increase significantly from deterioration in performance of FLOCs, loans transfer to special servicing and/or with outsized losses on larger FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, particularly 1201 Third 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 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. 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. BANK OF AMERICA 2016-UBS10: DBRS Cuts Rating on Cl. E Debt to Csf ----------------------------------------------------------------- DBRS, Inc. downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2016-UBS10 issued by Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 as follows: -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at BBB (high) (sf) -- Class D at B (low) (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class X-D at B (sf) -- Class X-E at C (sf) -- Class X-F at C (sf) Morningstar DBRS discontinued the credit rating on Class A-SB due to repayment. The trends on Classes B, C, D, X-B, and X-D have been changed to Negative. Classes E, F, G, X-E, and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrade and Negative trends generally reflect Morningstar DBRS' liquidated loss expectations, as outlined below, as well as the increased refinance risks driven by expected collateral value declines for select loans in the pool. Most remaining loans are scheduled to mature by the end of 2025 or in early 2026 and as of the October 2025 remittance, there are four specially serviced loans, representing 19.4% of the current pool. Morningstar DBRS analyzed liquidation scenarios for two of the four loans in special servicing, resulting in estimated liquidated losses of approximately $50.2 million, which would be contained to Class F. The pool is concentrated by property type with loans backed by office and retail properties representing 36.8% and 29.4% of the pool, respectively. One performing top 10 loan, 2100 Ross (Prospectus ID#7, 5.78% of the pool balance), is backed by an office property in the Dallas central business district that has reported significant occupancy declines from issuance and has exposure to near-term rollover that will be particularly challenging given soft submarket conditions. Where applicable, a stressed analysis for these loans exhibiting increased risks was conducted wherein Morningstar DBRS increased the probability of default and, in certain cases, applied stressed loan-to-value ratios to increase the expected loss (EL) in the CMBS Insight Model run. The resulting weighted-average (WA) EL for the stressed loans was almost 1.5 times the pool average EL. The credit rating confirmations reflect the otherwise stable performance of the remainder of the transaction, with the majority of the loans expected to successfully repay at their respective maturity dates. This expectation is based on the performance of the underlying collateral, which remains healthy overall, as exhibited by a WA debt service coverage ratio (DSCR) of 1.6 times and WA debt yield of 12.0% according to the most recent year-end financials. As of the October 2025 remittance, 38 of the original 52 loans remain in the pool, with an aggregate balance of $539.7 million, representing a collateral reduction of 38.4% since issuance. Nine loans, representing 16.5% of the pool, are fully defeased. There are 18 loans representing 42.4% of the pool currently being monitored on the servicer's watchlist, almost all of which are being monitored because of an upcoming maturity date. The largest loan in special servicing is Belk Headquarters (Prospectus ID#3, 9.4% of the current pool balance), which is secured by a 473,698-square-foot (sf) Class B office property in suburban Charlotte, North Carolina. The property served as the corporate headquarters for regional department store retailer Belk, which filed for bankruptcy and went dark following a fully remote policy installation in 2021. Belk quickly emerged from bankruptcy but the loan transferred to special servicing in December 2022 for imminent default. The most recent servicer commentary indicates a deed in lieu of foreclosure is still being negotiated. Belk's lease runs through 2031 and the servicer has confirmed the lease obligations have been honored. Most recently, it has been reported that Belk has called its corporate employees back to the office, but it's noteworthy that the entirety of the space at the subject remains listed for immediate sublease. An updated appraisal completed in September 2025 valued the property at $37.7 million, a 61.0% decline from the issuance appraised value of $96.9 million. Given the suburban location within a secondary market that has seen significant vacancy spikes in recent years, investor appetite for this property is expected to be limited. As such, Morningstar DBRS' liquidation scenario considered a stressed 50.0% haircut to the September 2025 appraisal, resulting in a loss severity of approximately 71%, or $36.0 million. Another loan in special servicing is Princeton Pike Corporate Center (Prospectus ID#18, 3.68% of the current pool balance), which is secured by an eight-building suburban office complex in the Trenton suburb of Lawrenceville, New Jersey. The loan is pari passu with several other loan pieces, including the loan in the MSBAM 2016-C29 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in February 2024 for imminent monetary default and was last paid in April 2025. Despite the extended delinquency, the special servicer, Greystone, has yet to report an updated appraisal report. The consolidated collateral occupancy rate has fallen to 42.6% as of the June 2025 rent rolls, a decline from the already low September 2023 figure of 59.5%. According to Reis, office properties within the Trenton submarket reported an average vacancy rate of 14.7% as of Q3 2025, with a five-year forecast vacancy rate of 22.4% by Q4 2029. Given the likelihood the as-is value has sharply declined since issuance, Morningstar DBRS liquidated the loan from the pool based on a 75.0% haircut to the issuance value of $199.0 million, resulting in a value of $49.8 million ($61 per sf) and an implied loss of more than $10.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS MORTGAGE 2025-5C38: Fitch Gives 'Bsf' Rating on Class G Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2025-5C38 commercial mortgage pass-through certificates series 2025-5C38 as follows: - $128,125,000 Class A-2 'AAAsf'; Outlook Stable; - $455,808,000 Class A-3 'AAAsf'; Outlook Stable; - $583,933,000a Class X-A 'AAAsf'; Outlook Stable; - $71,948,000 Class A-S 'AAAsf'; Outlook Stable; - $44,838,000 Class B 'AA-sf'; Outlook Stable; - $34,410,000 Class C 'A-sf'; Outlook Stable; - $151,196,000ab Class X-B 'A-sf'; Outlook Stable; - $19,812,000b Class D 'BBBsf'; Outlook Stable; - $29,197,000ab Class X-D 'BBB-sf'; Outlook Stable; - $9,385,000b Class E 'BBB-sf'; Outlook Stable; - $17,727,000b Class F 'BB-sf'; Outlook Stable; - $8,342,000b Class G 'Bsf'; Outlook Stable. Fitch does not rate the following classes: - $43,795,000bc Class J-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest. CE - credit enhancement; NR - not rated. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 41 loans secured by 76 commercial properties having an aggregate principal balance of $834,190,000 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate, Inc. (27.7%), Goldman Sachs Mortgage Company (17.9%), Citi Real Estate Funding Inc. (14.7%), LMF Commercial LLC (11.4%), BSPRTCMBS Finance, LLC (9.8%), German American Capital Corporation (8.6%), RREF V-D Direct Lending Investments, LLC (3.6%), Starwood Mortgage Capital LLC (3.5%), and UBS AG (2.9%). The master servicer is Trimont LLC and the special servicer is Rialto Capital Advisors, LLC. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 83.7% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $164.1 million represents a 13.8% decline from the issuer's aggregate underwritten NCF of $190.8 million. Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.4% is higher than the 2025 YTD and 2024 five-year multiborrower transaction averages of 100.3% and 95.2%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is in line with the 2025 YTD average of 9.7% and lower than the 2024 average of 10.2%. Lower Pool Concentration: The pool is less concentrated than those in other recent Fitch-rated transactions. The top 10 loans represent 59.2% of the pool, which is less concentrated than both the 2025 YTD and 2024 five-year multiborrower averages of 61.8% and 60.2%, 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 25.2. 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 attributed mainly 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'/'BB-sf'/'Bsf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/ BEAR STEARNS 2007-AR4: Moody's Ups Rating on II-A-2B Certs to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating of Cl. Grantor Trust II-A-2B issued by Bear Stearns Mortgage Funding Trust 2007-AR4, backed by Option ARM mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating action is as follows: Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4 Cl. Grantor Trust II-A-2B, Upgraded to Caa2 (sf); previously on Jul 21, 2025 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating action mainly results from the correction of an error. In Moody's prior analysis, the cashflow modeling for the Cl. Grantor Trust II-A-2B incorrectly allocated funds to certain items, such as basis risk shortfalls and outstanding realized losses, before paying principal to the bond, leading to higher than appropriate expected principal losses on the grantor trust bonds. This has been corrected, and the rating action also takes into account the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation for the bond. Additionally, this bond is currently undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BELLEMEADE RE 2025-1: DBRS Finalizes B Rating on Class B1 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Insurance-Linked Notes, Series 2025-1 (the Notes) issued by Bellemeade Re 2025-1 Ltd. (BMIR 2025-1 or the Issuer): -- $39.9 million Class M-1A at BBB (low) (sf) -- $59.8 million Class M-1B at BB (high) (sf) -- $42.7 million Class M-1C at BB (low) (sf) -- $37.0 million Class M-2 at B (high) (sf) -- $19.9 million Class B-1 at B (sf) The BBB (low) (sf) credit rating reflects 5.30% of credit enhancement, provided by subordinated notes in the transaction. The BB (high) (sf), BB (low) (sf), B (high) (sf), and B (sf) credit ratings reflect 4.25%, 3.50%, 2.85%, and 2.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. BMIR 2025-1 is the 20th rated mortgage insurance (MI)-linked note transaction for Arch Mortgage Insurance Company (Arch MI) and United Guaranty Residential Insurance Company (UGRIC; collectively the ceding insurers). The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the ceding insurer pays to settle claims on the underlying MI policies. This is the first rated MILN transaction where the target credit enhancement (CE) is tied to PMIERs capital requirement. As of the Cut-Off Date, the pool of insured mortgage loans consists of 153,074 fully amortizing first-lien fixed- and variable-rate mortgages. All loans have been underwritten to a full documentation standard, all but two have original loan-to-value ratios (LTVs) less than or equal to 100.0%, and none have ever been reported to the ceding insurers as 60 or more days delinquent. As of the Cut-Off Date, these loans have not been reported to be in a payment forbearance plan. The mortgage loans have MI policies effective in or after January 2024 and in or before September 2025. Approximately 2.0% (by balance) of the underlying insured mortgage loans in this transaction are not eligible to be acquired by Freddie Mac and Fannie Mae (government-sponsored enterprises (GSEs) or agencies). All of the mortgage loans (by the Cut-Off Date) are insured under the new master policy that was introduced on March 1, 2020, to conform to the GSEs' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements (PMIERs) guidelines (see the Representations and Warranties section of the related report for more detail). On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the ceding insurers. As per the agreement, the ceding insurers will receive protection for the funded portion of the MI losses. In exchange for this protection, the ceding insurers will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to U.S. Treasury money-market funds and securities rated at least Aaa-mf by Moody's or AAAm by S&P. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked Notes (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the ceding insurers when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the ceding insurers' premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive principal payment if the non-senior coverage level exceeds the target credit enhancement, which is tied to required PMIERs capital amount. As of the Closing Date, non-senior coverage level exceeds the target CE, thus allowing the rated classes to receive principal payments from the first Payment Date. The required PMIERs capital amount is initially set based on loan-level risk characteristics such as LTV, credit score, purpose, documentation standard, debt-to-income ratio, amortization term, etc. As the mortgage loan seasons, the required PMIERs capital amount will adjust based on the underlying mortgage loan performance. If the mortgage loan is current or less than 60-days delinquent (the Performing Mortgage Loan), the required PMIERs capital amount will be reduced based on loan age. However, if the mortgage loan is more than or equal to 60-days delinquent (including FC/BK/pending claims) (the Non-Performing Mortgage Loan), the required PMIERs capital amount will be increased based on the number of months of missed payments and status of the MI claim. (See the Cash Flow Structure and Features section for more details). The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. Morningstar DBRS did not run interest rate stresses for this transaction as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the ceding insurers must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the ceding insurers will establish a cash and securities account, the premium deposit account. In case of the ceding insurers' default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The premium deposit account will not be funded at closing. The ceding insurers will make a deposit to this account up to the applicable target balance only when one of the following Premium Deposit Events occur (please refer to the related report for more detail). The Notes are scheduled to mature in October 2035 but will be subject to early redemption at the option of the ceding insurers (1) for a 10% clean-up call or (2) on or following the payment date in October 2030, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Additionally, there is a provision for the ceding insurers to issue a tender offer to reduce all or a portion of the outstanding Notes. Arch MI and UGRIC, together, act as the ceding insurers. The Bank of New York Mellon (rated AA (high) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B1: Fitch Lowers Rating on Class C Debt to 'BBsf' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of Benchmark 2018-B1 Mortgage Trust (BMARK 2018-B1). Class C of BMARK 2018-B1, following the downgrade, was assigned a Negative Outlook. The Rating Outlooks for affirmed classes A-M, B, X-A, and X-B remain Negative. Fitch has also affirmed all classes of Benchmark 2018-B2 Mortgage Trust (BMARK 2018-B2). The Outlooks for affirmed classes A-S, B, C, D, X-A, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B1 Mortgage Trust A-4 08162PAW1 LT AAAsf Affirmed AAAsf A-5 08162PAX9 LT AAAsf Affirmed AAAsf A-M 08162PAZ4 LT AAAsf Affirmed AAAsf A-SB 08162PAV3 LT AAAsf Affirmed AAAsf B 08162PBA8 LT Asf Affirmed Asf C 08162PBB6 LT BBsf Downgrade BBB-sf D 08162PAG6 LT CCCsf Downgrade B-sf E 08162PAJ0 LT CCsf Downgrade CCCsf F-RR 08162PAL5 LT Csf Downgrade CCsf X-A 08162PAY7 LT AAAsf Affirmed AAAsf X-B 08162PAA9 LT Asf Affirmed Asf X-D 08162PAC5 LT CCCsf Downgrade B-sf X-E 08162PAE1 LT CCsf Downgrade CCCsf Benchmark 2018-B2 A-3 08161CAC5 LT AAAsf Affirmed AAAsf A-4 08161CAD3 LT AAAsf Affirmed AAAsf A-5 08161CAE1 LT AAAsf Affirmed AAAsf A-S 08161CAJ0 LT AA-sf Affirmed AA-sf A-SB 08161CAF8 LT AAAsf Affirmed AAAsf B 08161CAK7 LT A-sf Affirmed A-sf C 08161CAL5 LT BBB-sf Affirmed BBB-sf D 08161CAP6 LT BB-sf Affirmed BB-sf E-RR 08161CAR2 LT CCCsf Affirmed CCCsf F-RR 08161CAT8 LT CCsf Affirmed CCsf G-RR 08161CAV3 LT Csf Affirmed Csf X-A 08161CAG6 LT AA-sf Affirmed AA-sf X-D 08161CAM3 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss for the BMARK 2018-B1 increased to 14.8%, from 11.8% at Fitch's prior rating action. Deal-level 'Bsf' rating case loss in the BMARK 2018-B2 transaction were 11.4% compared to 11.3% at the prior review. The BMARK 2018-B1 transaction has 12 Fitch Loans of Concern (FLOCs; 43.4% of the pool), including six loans in special servicing (22.8%). The BMARK 2018-B2 transaction has 15 FLOCs (43.2%), including seven loans in special servicing (21.6%). The downgrades in the BMARK 2018-B1 transaction primarily reflect higher pool loss expectations on the three largest loans in the transaction (20.9% of the pool) since the prior rating action. Higher losses are driven by significantly lower updated appraisal valuations for the specially serviced loans 90 Hudson (8.5%) and Worldwide Plaza (6.1%), as well as continued performance deterioration of Valencia Town Center (6.3%). The Negative Outlooks in BMARK 2018-B1 reflect the pool's high proportion of loans in special servicing (22.8%) and elevated office concentration of 32.4%. Further downgrades are possible if performance deteriorates beyond current expectations, most notably for the largest three loans, property values decline further, specially serviced loans experience extended workout periods, or additional loans default at or prior to maturity. The affirmations in the BMARK 2018-B2 transaction reflect increased credit enhancement (CE) from scheduled amortization and relatively stable deal expected losses due to better-than-expected recoveries from liquidated loans. Since the prior review, 220 Northwest 8th Avenue (1.7% balance at prior review) and Village Green of Waterford (2.0%), previously the third and fifth largest contributors to expected loss, respectively, liquidated with realized losses of 70.0% and 10.0% compared with expected losses of 73.3% and 38.8%, respectively. The Negative Outlooks for classes A-S, B, C, D, X-A, and X-D in BMARK 2018-B2 reflect a high office concentration of 43.2%, and the potential for further downgrades should recovery prospects on specially serviced loans/REO assets worsen and/or performance continues to deteriorate beyond current expectations on the FLOCs including specially serviced Central Park of Lisle (7.5%), Worldwide Plaza (4.7%), Braddock Metro Center (4.0%), and 90 Hudson (2.8%). Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action in the BMARK 2018-B1 transaction and the second largest increase in loss expectations in the BMARK 2018-B2 transaction is the 90 Hudson loan (8.5% in BMARK 2018-B1 and 2.8% in BMARK 2018-B2), secured by a 432,284-sf office property located in Jersey City, NJ that was built in 1999. The largest tenant at the property, Lord Abbett (60.5% of the NRA) vacated at lease expiration in December 2024. The loan transferred to special servicing in July 2025 for imminent payment default and the servicer is proceeding with foreclosure. Colliers was appointed as receiver in September 2025. A cash sweep was activated in June 2023 after Lord Abbot did not renew their lease; the October 2025 reserve balance was reported at $7.1 million. The second largest tenant, Charles Komar & Sons (36.9%), with lease expiration in December 2031 has listed 53,047 sf as available for sublease according to Costar. CoStar reports that 326,093 sf (68.9% of the NRA) is listed as available for lease in the building. Fitch's loss expectations of 59.6% (prior to concentration add-ons) considers the most recent appraisal value, which is approximately 75% below the issuance appraisal value, equating to a recovery value of $125 psf. The second largest contributor to loss expectations in the BMARK 2018-B1 transaction is the Valencia Town Center loan (6.3%), which is secured by the leasehold interest in a 395,483-sf mixed-use property located in Santa Clarita, CA. The ground lease expires in 2115 with no extension options. The fixed ground rent payment was originally $2.6 million with 2% annual increases for the first 10 years, followed by a 3% increase each year from 2026 through 2045. The payment remains at $5.7 million until 2066, after which it increases 2% per year until the term expiration. The largest tenant, Princess Cruise Lines (PCL) is in the process of relocating its global headquarters to South Florida, a move expected to be completed by 2028. The Valencia office is being listed for sublease, and a significant portion of the company's footprint will be reduced as the relocation progresses. Out of the total 73.2% of NRA the tenant occupies, 38.1% (44.9% of total rents) expires in March 2026 with the remaining 35.1% (41.4%) expiring in December 2027. Occupancy is expected to drop to 46.9% in 2026 from 85% and down to 3% in 2027 assuming no new leases are signed. The PCL lease is guaranteed by their parent company, Carnival Corporation. As of YE 2024, NOI DSCR remained stable at 2.56x due to PCL's continued rent payments. A cash flow sweep has been triggered, and the October 2025 reserve balance was reported at $23 million. Fitch's 'Bsf' rating case loss of 34.9% (prior to concentration adjustments) reflects a value that incorporates a sum-of-the-parts analysis to ascertain the aggregate individual values of the leased fee and leasehold interests based on market occupancy and rental rate assumptions to lease up the vacated office space. The loss also factors in a higher probability of default given the continued concerns with the large portion of dark space, lack of leasing activity for the dark space, elevated availability rates in the submarket, as well as the leasehold interest in the collateral with escalating ground rent payments. The property has been listed for sale by Colliers. The largest increase in loss expectations in the BMARK 2018-B1 transaction and second largest increase in loss expectations in the BMARK 2018-B2 transaction since the prior rating action is the Worldwide Plaza loan (6.1% in BMARK 2018-B1 and 4.7% in BMARK 2018-B2), secured by a 2.0 million-sf office property located in New York City on 8th Avenue between 49th and 50th streets. The loan transferred to special servicing in September 2024 due to imminent monetary default. As of June 2025, occupancy declined to 63% from 91% at YE 2023, primarily driven by the departure of the second largest tenant, Cravath Swaine & Moore (30.0% of the NRA) vacating at lease expiration in August 2024. In addition, largest tenant Nomura (currently 34.3% of the NRA; lease expiration in Sept. 2032) downsized from 40.0% of the NRA and extended its lease on the reduced space through December 2046. Fitch's loss expectations of 26% (prior to concentration add-ons) reflects a 50% stress to the YE 2023 NOI due to the elevated vacancy levels and is in line with the most recent appraisal value, which is approximately 78% below the issuance appraisal value, equating to a recovery value of $190 psf. The largest contributor to expected losses in the pool in the BMARK 2018-B2 transaction is the REO asset, Central Park of Lisle (7.5% of the pool and largest in the pool), which is a 693,606-sf office complex located in Lisle, IL. The asset transferred to special servicing in September 2022 for imminent maturity default and became REO in February 2024. Property performance continues to weaken, with the September 2025 occupancy falling to 51.2% from 68% at YE 2023. The decline in occupancy reflects the downsizing of largest tenant, KONE, and the departure of major tenants, Farmers Insurance (9.4% of the NRA) and Kantar (5.8%) at their respective lease expirations in May 2024 and January 2025. Fitch's 'Bsf' rating case loss of 47.3% (prior to concentration adjustments) reflects a 20% stress to the most recent appraisal value which is approximately 61.2% below the issuance appraisal equating to a recovery value of $60 psf. The third largest increase in loss expectations since the prior rating action in the BMARK 2018-B2 transaction is the Braddock Metro Center loan (4.0%), which is secured by a three-property office portfolio totaling 315,589 sf located in Alexandria, VA. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy declined to 79% as of October 2024 from 81% at YE 2023 and 89% at YE 2022. As of June 2024, the servicer-reported NOI DSCR fell to 1.01x from 1.25x at YE 2023 and 1.69x at YE 2022. The property has 83,758 sf (21.5% of the NRA) of total available space, of which 4,175 sf is from the space of the third largest tenant, Cushman & Wakefield, according to CoStar. Fitch's 'Bsf' rating case loss of 50.1% (prior to concentration adjustments) considers the most recent appraisal value, equating to a recovery value of $119 psf. Increased Credit Enhancement (CE): As of the November 2025 distribution date, the aggregate balances of the BMARK 2018-B1 and BMARK 2018-B2 transactions have been reduced by 29.6% and 29.3%, respectively, since issuance. Three loans (8.0% of the pool) in the BMARK 2018-B1 transaction are fully defeased. Five loans (5.1%) in the BMARK 2018-B2 transaction are fully defeased. The BMARK 2018-B1 transaction has 12 (55.4%) full-term, interest-only (IO) loans and 26 (44.6%) loans that are currently amortizing. The BMARK 2018-B2 transaction has 13 (49.1%) full-term, interest-only (IO) loans and 29 (50.9%) loans that are currently amortizing. Cumulative interest shortfalls of $2.77 million are currently impacting the non-rated Classes V-RR, and G-RR in the BMARK 2018-B1 transaction and $1.14 million impacting the G-RR and NR-RR classes in the BMARK 2018-B2 transaction. Realized losses of $11.9 are impacting the non-rated VRR and G-RR classes in the BMARK 2018-B1 transaction and $15.9 million impacting the non-rated NR-RR class in the BMARK 2018-B2 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably 90 Hudson, and Worldwide Plaza in both transactions, Valencia Town Center in BMARK 2018-B1, and Central Park of Lisle and Braddock Metro Center in BMARK 2018-B2, deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. This includes 90 Hudson, and Worldwide Plaza in both transactions, Valencia Town Center in BMARK 2018-B1, and Central Park of Lisle and Braddock Metro Center in BMARK 2018-B2. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the '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 but are limited based on sensitivity to adverse selection and concentrations to the FLOCs and loans in special servicing. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/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. BLACK DIAMOND 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Black Diamond CLO 2025-2 Ltd./Black Diamond CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Black Diamond CLO 2025-2 Adviser 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 Black Diamond CLO 2025-2 Ltd./Black Diamond CLO 2025-2 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.05 million: NR NR--Not rated. BLP TRUST 2025-IND2: Moody's Assigns Ba2 Rating to Cl. E Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by BLP Trust 2025-IND2, Commercial Mortgage Pass-Through Certificates, Series 2025-IND2: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan collateralized by the borrower's fee simple interests in 20 industrial facilities encompassing 3,503,107 SF. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The collateral consists of 20 properties located across 8 metropolitan statistical areas ("MSAs) in 7 states. The largest MSA concentrations are Northern New Jersey (6 properties, 55.0% of ALA, 52.5% of in-place NCF), Inland Empire (3, 15.5%, 19.9%) and Boston (4, 8.7%, 11.1%). The Portfolio's property-level and MSA level Herfindahl scores are 5.05 and 2.95, respectively, based on ALA. The top property, Monroe 8A Logistics Center, represents 41.6% of ALA. No other single property represents more than 8.5% of ALA. The facilities were built at various points between 1965 and 2024, with a weighted average construction year of 1996 by ALA. Together, they contain approximately 3,503,107 SF of aggregate rentable area. Property size ranges between 328,754 SF and 1,281,000 SF, and average approximately 125,111 SF. Excluding one property that is a development site (2.2% of ALA). Maximum ceiling clear heights range between 11 feet and 40 feet, and average approximately 33.0 feet. Office space represents approximately 4.8% of the Portfolio NRA. Dock high doors, a vital specification for warehouse distribution centers, range from 2 to 222 total doors or 26 doors on average portfolio wide. As of October 2025, the Portfolio was 94.7% occupied tenanted by 25 unique tenants. Approximately 46.4% of the Portfolio's NRA is leased to tenants Moody's rate investment grade. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.30X and Moody's first mortgage actual stressed DSCR is 0.86X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $620,000,000 represents a Moody's LTV ratio of 97.2% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 94.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is approximately 0.75. Notable strengths of the transaction include: (i) proximity to global gateway markets, (ii) infill locations, (iii) geographic diversity, (iv) below market leases, (v) tenant profile, (vi) multiple property pooling, and (vii) strong sponsorship. Notable concerns of the transaction include: (i) rollover risk, (ii) tenant concentration, (iii) cash out, floating-rate interest-only loan profile, (iv) non-sequential prepayment provision, and (v) credit negative legal features, (vi) credit negative environmental features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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 may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BUSINESS LOAN 2007-A: S&P Withdraws 'CC(sf)' rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings withdrew its 'CC (sf)' rating on class D from Business Loan Express Business Loan Trust 2007-A at the issuer's request. BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. B Certs to B1 -------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes and affirmed the rating on one class in BX Trust 2017-CQHP, Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP as follows: Cl. A, Downgraded to Ba1 (sf); previously on Jul 2, 2024 Downgraded to Baa1 (sf) Cl. B, Downgraded to B1 (sf); previously on Jul 2, 2024 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Jul 2, 2024 Downgraded to B3 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Jul 2, 2024 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Jul 2, 2024 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 2, 2024 Downgraded to C (sf) RATINGS RATIONALE The ratings on five P&I classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio driven by the prolonged loan delinquency and sustained underperformance of the remaining three assets. The action also takes into account the high servicer advances, which have continued to rise following the disposition of the Boston asset, as well as the lagging recovery in the hotel market for the locations of the three remaining assets. This floating rate loan has been in special servicing since June 2020 and one of the original assets, Club Quarters Hotel Boston, was sold in December 2024 with the sale proceeds applied to outstanding advances at that time and then to pay down a portion of the loan principal balance. As of the October 2025 distribution date, the loan was last paid through its April 2025 payment date and there is approximately $10.0 million of loan advances, other expenses and cumulative accrued unpaid advance interest outstanding. 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. The loan is secured by three remaining hotels located in San Francisco, CA, Chicago, IL and Philadelphia, PA and the downgrades also reflect the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution of these remaining assets. While their combined NOI reported for the first eight months of 2025 has improved compared to the same period in 2024, the combined NOI on the three hotels was approximately 68% below their combined NOI in 2019 with each individual hotel performing well below its related levels in 2019. Combined with the significant increase in the floating interest rate since 2022, the loan's NOI DSCR was below 0.60X based on the annualized NOI from August 2025. The rating on the P&I class, Cl. F, was affirmed because the rating is consistent with Moody's expected loss. 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 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 and/or an increase in realized and expected losses. DEAL PERFORMANCE As of the October 17th, 2025 distribution date, the transaction's aggregate certificate balance was $240.7 million. The securitization is backed by a single floating rate loan currently secured by three Club Quarter hotels totaling 1,050 rooms and located in San Francisco (346 rooms), Chicago Central Loop (429 rooms), and Philadelphia (275 rooms). The portfolio is encumbered with $61.3 million of non-pooled mezzanine debt. The loan has been in special servicing since June 2020 for monetary default and one of the original assets, Club Quarters Hotel Boston (178 rooms), was sold in December 2024. While the sale proceeds for the Boston asset were above its original allocated loan amount and in-line with its most recent appraisal value, the sale proceeds were first applied to the significant outstanding advances (approximately $48 million at Moody's last review) with the remaining balance to pay down the loan. Furthermore, the Boston asset recognized the most significant recovery since 2020 and was the only asset performing close to its pre-COVID levels. According to the update from the servicer, a foreclosure sale was held for the Chicago asset in August 2025 and the trust was the winning bid. The special servicer is also pursuing foreclosure of the other two assets. As of the October 2025 distribution date, the loan was last paid through its April 2025 payment date and there is approximately $10.0 million of loan advances, other expenses and cumulative accrued unpaid advance interest outstanding. As of August 2025, the combined annualized NOI for the three remaining assets increased to $8.5 million, up from their annualized August 2024 NOI of $6.5 million. However, their NOI remains significantly below historical levels, 66% and 68% lower than their combined NOI in 2018 and 2019, respectively. Due to the loan's floating interest rate exceeding 6.0%, the DSCR is below 0.60X based on the annualized August 2025 NOI. Furthermore, the markets for the three remaining assets continue to experience a prolonged recovery. According to the year-end 2024 STR Report, the San Francisco/San Mateo MSA recorded the weakest performance among the Top 25 MSAs, with RevPAR still down 32.4% compared to 2019. The Chicago and Philadelphia MSAs posted RevPAR gains of 8.1% and 1.5%, respectively, over their 2019 levels. However, both remain well below the overall US RevPAR growth of 15.2% during the same period. Moody's analysis reflects the slow recovery and the first mortgage balance of $240.7 million represents Moody's LTV of 222.4% (not including outstanding advances). However, due to the delinquency and low cash flow on the remaining three assets there are outstanding loan advances and accrued unpaid interest totaling approximately $10.0 million causing the aggregate loan exposure to be $250.7 million as of the October 2025 remittance. There are outstanding interest shortfalls totaling $144,387 impacting up to Cl. F and no losses have been realized as of the current distribution date. BX TRUST 2025-DELC: DBRS Gives Prov. B(high) Rating on HRR Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-DELC (the Certificates) to be issued by BX Trust 2025-DELC: -- Class A at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class C at (P) AA (low) (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. The transaction is collateralized by the borrower's fee-simple and leasehold interests in a portion of Hotel Del Coronado, a 938-key, full-service luxury property and is a designated National Historic Landmark in Coronado, California, across the bay from downtown San Diego. Of the 938 keys, 718 keys are guest rooms and 220 are condominiums across five distinct neighborhoods, including Shore House and Beach Village (both condominiums) as well as The Views, The Cabanas, and The Victorian Building (all hotels). Hotel Del Coronado was built in 1887 and is known for its historical charm, wood-frame construction, and vibrant decor reminiscent of the 19th century. This makes Hotel Del Coronado one of the most recognizable historic hotels in the U.S. USA Today and Smart Meetings rated Hotel Del Coronado as the best waterfront resort in 2025. Coronado's unique blend of exclusivity, scenic beaches, year-round appeal, and, most importantly, lack of waterfront land make it a premier market for luxury oceanfront resorts. The hotel comprises a collection of buildings across an approximately 30-acre site. The resort's original structure, the three-story Victorian Building, contains approximately half of the guest room inventory and serves as the architectural and operational centerpiece of the property. The 220 condominiums are third-party-owned units, but all participate in the revenue-sharing program operated by the hotel. The 718 hotel rooms are branded under Curio Collection by Hilton, while the third-party-owned units within the Beach Village and Shore House neighborhoods are operated under Hilton's LXR brand. The hotel offers high-end resort amenities in line with a luxurious beachside resort, including upscale dining outlets, a three-meal restaurant, a seafood restaurant, a lounge, a poolside restaurant, two pool bars, a pizza shop, a taco shack, a grab-and-go marketplace, and a dessert shop. Additionally, the hotel offers 98,000 square feet (sf) of indoor meeting and event space and approximately 146,500 sf of outdoor event space, including historic ballrooms and a private beach. Recreational amenities consist of three outdoor pools, a history museum, a full-service spa with 18 treatment rooms, a fitness center, and direct access to a private beach. The transaction sponsor is an affiliate of Blackstone Inc., the world's largest alternative asset manager with approximately $1.2 trillion in assets under management as of September 2025 and more than 12,500 real estate assets. Since 2015, the sponsor has invested $569.0 million ($606,568 per key) into the asset. The renovation was focused on revitalizing Hotel Del Coronado to its former glory as the most distinguished hotel in Coronado while increasing the room count and adding food and beverage outlets. The renovation ended in August 2025 with the $159.0 million renovation of the historic Victorian Building. This renovation focused on restoring the vintage-inspired chandelier, oak reception desk, historic stained-glass windows in the front porch, etc. Importantly, all guest rooms in the Victorian Building were revamped with the latest technology, floral wall coverings, woven vinyl raffia headboards, and blue Chinoiserie lamps. The hotel also added the Nobu and Veranda restaurants to its robust oceanfront dining area in early summer 2025. The loan is a two-year, floating-rate interest-only 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 weighted-average mortgage loan component spread of 2.604%. The borrower will enter into an interest rate agreement with an assumed SOFR cap of 4.250% during the initial term. The subject was previously securitized in the Morningstar DBRS-rated BX 2023-DELC transaction, from which $950.0 million of debt was refinanced as a result of this transaction. The transaction will represent cash-neutral financing, with the sponsor retaining approximately $630.0 million of equity remaining in the property. Notes: All figures are in U.S. dollars unless otherwise noted. CAFL 2025-RRTL2: DBRS Finalizes B(low) Rating on Class M2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RRTL2 (the Notes) issued by CAFL 2025-RRTL2 Issuer, LP (the Issuer) as follows: -- $218.0 million Class A-1 at A (low) (sf) -- $22.8 million Class A-2 at BBB (low) (sf) -- $22.5 million Class M-1 at BB (low) (sf) -- $21.8 million Class M-2 at B (low) (sf) The A (low) (sf) credit rating reflects 27.35% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.75%, 12.25%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 156 mortgage loans with a total unpaid principal balance (UPB) of approximately $138,206,827 -- Approximately $161,793,172 in the Accumulation Account -- Approximately $1,250,000 in the Pre-funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. CAFL 2025-RRTL2 represents the sixth RTL securitization issued from the CAFL shelf. Founded in 2014 and acquired in 2019, CoreVest, a wholly owned subsidiary of Redwood Trust, Inc. (Redwood Trust), is a specialty real estate lending and asset management company which specializes in business purpose loans (BPLs) to residential real estate investors, including term loans on stabilized properties and bridge loans. In the 24 months ending December 2024, CoreVest originated $3.3 billion of business purpose loans (BPLs), including $2.1 billion of RTLs. The revolving portfolio consists of first lien, fixed- or adjustable-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of 12 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 745. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 82.5%. -- A maximum NZ WA As Is Loan-to-Value (AIV LTV) ratio of 70.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Collateral Administrator. In the CAFL 2025-RRTL2 revolving portfolio, collateral interests may be: Fully funded: With no obligation of further advances to the borrower, With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction and/or interest draw requests upon the satisfaction of certain conditions, or Partially funded: With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property or interest draws, if applicable, upon the satisfaction of certain conditions, With an uncommitted option to fund additional mortgaged properties. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the CAFL 2025-RRTL2 eligibility criteria, unfunded commitments are limited to 35.0% of the portfolio by the assets of the Issuer (UPB plus amounts in the Accumulation Account). CoreVest Lines of Credit (LOC) LOC is a product CoreVest offers to experienced RTL borrowers with typically 10+ fix and flip transactions or rental properties. Such LOC can be closed end or revolving and typically have lower leverage points than CoreVest fix and flip loans. These LOC require both an initial sponsor underwrite (UW), as well as a property UW for each related project. Generally, for revolving LOC, there is a replenishment period of 12 months and a total term of 18 to 24 months. During the replenishment period, new properties/projects can be funded with undrawn amounts available on the LOC. After the LOC replenishment period, as properties/fundings get completed/paid down, the LOC gets paid down as well. Like multiproperty blanket loans, there is a collateral release premium so that the overall LOC LTV improves as properties pay off and exit the LOC. At LOC origination, Corevest conducts a full sponsor UW upfront, which includes a complete review of the sponsor's business plan, strategy, and creditworthiness. Based on this review, CoreVest will approve a maximum LOC amount for the sponsor. During the replenishment period of the LOC, for every additional property/funding request by the sponsor, a full property UW is completed, which includes a review of the appraisal, title, insurance, and the project's alignment with the sponsor's business plan. In addition, third-party due-diligence review (TPR) is conducted. CoreVest has no obligation to fund new properties/projects in a LOC, even if there is undrawn balance available, and may decline a request, if warranted, based on its UW review. Within an RTL securitization, each individual funding within a revolving LOC function similarly to adding an additional mortgage loan during the revolving period of an RTL securitization. A similar UW and TPR process would be applied to both an additional property in a LOC and an additional loan in an RTL securitization. Transaction eligibility criteria and concentration limits govern the replenishment of LOC collateral in the same fashion as any other RTL in the securitization. Even though LOC borrowers are approved up to a certain line amount, there is no obligation by CoreVest to fund additional fundings in a LOC, similar to how there is no obligation by an RTL lender to a borrower to originate a new RTL. Once the RTL securitization reaches the end of the reinvestment period, there exists the possibility that certain LOC may still be within their replenishment periods. At that point, all amounts in the securitization Accumulation Account would be released through the waterfall and there would be no more replenishment of cash to fund additional properties. If an LOC borrower requests a new funding for a project during the securitization amortization period, the Collateral Administrator (CoreVest) will advance funds for such additional property. The additional funding would be contributed to the Trust as collateral (adding to the credit support of the securitization) and the Collateral Administrator will reimburse itself for the funding from the cash flow waterfall, only after all the rated notes have paid down to zero. Collateral Participation CoreVest may acquire Participations in the form of participation interests in a mortgage loan where the acquired interest by the Issuer (Collateral Participation) is pari passu with one or more companion participations. Companion participations are only interests in such mortgage loans and not acquired by the Issuer. The rights and obligations of the holders of Collateral Participation are governed by a participation agreement. Collateral interests refer to Collateral Participations as well as the mortgage loans. Participation Interests with Committed Advances are not permitted by the Acquisition Criteria. Cash Flow Structure and Draw Funding A failure to redeem the Notes in full by the Payment Date in November 2029 (Mandatory Auction Trigger Date) will trigger a mandatory auction of the underlying collateral interests. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year, and subsequent auctions will be carried out every six months. If the Collateral Administrator fails to conduct the auction, holders of more than 50% of the Class M-2 Notes will have the right to appoint a different auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with bullet pay features to Class A-2 and more subordinate notes on the related Expected Redemption Date (ERD). During the reinvestment period, the Notes will generally be IO. During and after the reinvestment period, principal and interest collections will be used to pay interest to the Notes, sequentially. After the reinvestment period, available funds will be applied as principal to pay down Class A-1, until reduced to zero. After Class A-1 is paid in full and prior to the earliest of (1) an Event of Default (EOD), or (2) the Mandatory Auction Trigger Date, any available funds remaining will be deposited into the Redemption Account. Class A-2 and more subordinate notes are not entitled to any payments of principal until the earliest of (1) an optional redemption date, (2) the Mandatory Auction Trigger Date, or (3) an EOD. If the Issuer does not redeem the Notes by the payment date in May 2028, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month. The transaction incorporates a debt for tax structure and the interest rates on the Notes are set at fixed rates, which are not capped by the net weighted-average coupon (Net WAC) or available funds. This feature, along with the bullet features, cause the structure to have elevated subordination levels relative to a comparable structure with fixed-capped interest rates and no bullet feature because interest entitlements are generally higher, and more principals may be needed to cover interest shortfalls. Morningstar DBRS considered such nuanced features and incorporated them in its cash flow analysis. The cash flow structure is discussed in more detail in the Cash Flow Structure and Features section of the related presale report. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Collateral Administrator or the Servicers are obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Collateral Administrator or the Servicers, as applicable, will be entitled to reimbursements for Servicing Advances from available funds prior to any payments on the Notes. The Collateral Administrator will satisfy Draw Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer or (b) directing the release of funds from the Accumulation Account. The Collateral Administrator will be entitled to reimbursements for such Draw Advances from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.00% to the most subordinate rated class. The structure maintains this CE through a Minimum Credit Enhancement Test, which if breached, redirects available funds (1) to pay down Class A-1 and then (2) to the Redemption Account, prior to replenishing the Accumulation Account. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-funding Interest Account is in place for the first two months of the securitization to help cover one month of interest payment to the Notes. Such account is funded upfront in an amount equal to $1,250,000. On the payment dates occurring in December 2025 and January 2026, the Note Administrator will withdraw a specified amount to be included in the available funds. Historically, CoreVest RTL originations have generated robust mortgage repayments, which have exceeded unfunded commitments within the same portfolio. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated CoreVest's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related presale report for more details. Other Transaction Features Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to less than 25% of the initial Note Amount, the Issuer, at its option, may purchase all the outstanding Notes at par plus interest and fees. Seller Repurchase Option The Seller will have the option to repurchase any DQ or credit risk collateral interest at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases in aggregate may not exceed 10.0% of the Closing Date UPB of the collateral interests (as increased by any approved Draw Requests on collateral interests with unfunded amounts, satisfied by the Collateral Administrator after the Closing Date). During the reinvestment period, if the Seller repurchases DQ or credit risk collateral interests, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Loan Sales -- The Issuer may sell a collateral interest under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a material diligence defect, or a material document defect -- The Seller elects to exercise its Seller Repurchase Option An optional redemption or successful mandatory auction occurs. U.S. Credit Risk Retention As the Sponsor, Redwood Maple Mortgage Fund, LP, through itself and a majority-owned affiliate (the Originator), will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by mortgage properties that are located within certain disaster areas. Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow a standard protocol, which includes a review of the impacted area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. CARVANA AUTO 2025-P4: S&P Assigns BB- (sf) Rating on Class N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2025-P4's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 16.95%, 13.57%, 9.88%, 6.53%, and 6.43% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.43x coverage of S&P's expected cumulative net loss of 2.85% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated U.S. 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 ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Carvana Auto Receivables Trust 2025-P4(i) Class A-1, $103.000 million: A-1+ (sf) Class A-2, $290.670 million: AAA (sf) Class A-3, $290.670 million: AAA (sf) Class A-4, $155.020 million: AAA (sf) Class B, $36.920 million: AA (sf) Class C, $35.050 million: A (sf) Class D, $23.370 million: BBB (sf) Class N(ii), $20.563 million: BB- (sf) (i)Class XS notes (unrated) were issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CBAMR 2019-11R: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to CBAMR 2019-11R, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CBAMR 2019-11R, Ltd. X-R LT AAA(EXP)sf Expected Rating A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary CBAMR 2019-11R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CBAM CLO Management, LLC. The transaction was originally rated by Fitch and closed in November 2019 and was reset in November 2021, which Fitch did not rate. 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 22.78, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.44% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.94% 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 10% 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 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-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 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 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CBAMR 2019-11R, 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. CEDAR FUNDING VII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Cedar Funding VII CLO, Ltd.'s 2025 reset transaction. Entity/Debt Rating ----------- ------ Cedar Funding VII CLO, Ltd. X-R2 LT NRsf New Rating A-R2 LT AAAsf New Rating B-R2 LT NRsf New Rating C-R2 LT NRsf New Rating D-1R2 LT NRsf New Rating D-2R2 LT NRsf New Rating D-3R2 LT NRsf New Rating E-R2 LT BB-sf New Rating F-R2 LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Cedar Funding VII CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Aegon USA Investment Management, LLC that originally closed in March 2018 and subsequently completed a partial refinancing in Aug. 2024. On Nov. 2025, 2025 (the 2025 reset date), the existing secured notes will be redeemed in full with refinancing proceeds. Net proceeds from the issuance of the refinancing obligations and the existing subordinated notes will provide financing on a portfolio of approximately $300 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.8 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 93.76% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.99% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-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-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 and 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 '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 Cedar Funding VII CLO, Ltd. (2025 Reset). 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. CHI COMMERCIAL 2025-110W: Fitch Gives BB-(EXP) Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to CHI Commercial Mortgage Trust 2025-110W, Commercial Mortgage Pass Through Certificates, Series 2025-110W: - $408,400,000 class A 'AAA(EXP)sf '; Outlook Stable; - $68,700,000 class B 'AA-(EXP)sf'; Outlook Stable; - $54,000,000 class C 'A-(EXP)sf'; Outlook Stable. - $76,000,000 class D 'BBB-(EXP)sf'; Outlook Stable. - $57,900,000 class E 'BB(EXP)sf'; Outlook Stable. - $35,000,000a class HRR 'BB-(EXP)sf' ; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes in aggregate. Transaction Summary The certificates represent the beneficial ownership interest in a trust, which is expected to hold a $700.0 million, five-year, fixed-rate, interest-only commercial mortgage whole loan. The mortgage loan will be secured by the borrower's fee simple interest in a 57-story, Class A, 1.5 million-sf, LEED Gold office tower—110 North Wacker—located in the West loop, in Chicago, Illinois. Loan proceeds will be used to refinance $556.1 million of existing debt; repay $129.8 million of preferred equity; pay $11.4 million of closing costs; and fund $2.7 million of upfront reserves. The loan sponsors are a joint venture of Oak Hill Advisors, Callahan Capital Partners, and Affinius Capital LLC. The property is managed by Callahan Property Management LLC and by CBRE as sub-manager (with respect to both property management and leasing). The loan is expected to be co-originated by JPMorgan Chase Bank, National Association, Bank of America, N.A., Wells Fargo Bank, National Association, Goldman Sachs Bank USA, and Bank of Montreal. The mortgage loan sellers are JPMorgan Chase Bank, National Association, Bank of America, N.A., Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company (which will acquire Goldman Sachs Bank USA's interest in the mortgage loan on or prior to the closing date), and Bank of Montreal. Trimont LLC, will serve as the servicer, and Situs Holdings, LLC will serve as the special servicer. Deutsche Bank National Trust Company, a national banking association will act as the Trustee and Computershare Trust Company, National Association will act as certificate administrator. Pentalpha Surveillance LLC is expected to serve as the operating advisor. The certificates will follow a sequential-pay structure. The transaction is scheduled to close on Dec. 15, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the property is estimated at $57.0 million. This is 15.9% lower than the issuer's NCF and 11.3% lower than the year-end 2024 (YE 2024) NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $735.9 million. High Fitch Leverage: The $700.0 million trust loan equates to debt of $459.70 psf, with a Fitch debt service coverage ratio (DSCR) of 0.93x, loan-to-value ratio (LTV) of 95.1% and debt yield of 8.1%. The loan represents about 69.5% of the appraiser concluded property value of $1.007 billion. Trophy Quality Asset: The loan is secured by 110 North Wacker, a 57-story, Class A office tower located at 110 North Wacker Drive in Chicago, Illinois. Delivered in 2020 and designed by Goettsch Partners, the property comprises approximately 1,522,732 sf of NRA, with typical floorplates ranging from 28,000 to 31,000 sf. Situated within Chicago's West Loop submarket, the asset benefits from immediate access to major transportation hubs including Ogilvie Station, Union Station, and multiple CTA "L" lines, as well as riverfront positioning that provides enhanced connectivity to the central business district and surrounding suburbs. 110 North Wacker is distinguished by its LEED Gold certification and additional industry accolades, including WELL Platinum, Energy Star, Wired Score Platinum, and Smart-Score Platinum certifications. The building features energy-efficient infrastructure such as 100% LED lighting, advanced HVAC systems with variable frequency drives, a 15,000 sf green roof, biophilic design elements, and was constructed with recycled and regionally sourced materials. Notable amenities include a state-of-the-art fitness and wellness center, multiple dining options including Bar Mar and Bazaar Meat, and a privately maintained riverfront promenade and public park spanning approximately half an acre. Fitch inspected the property and assigned the property a quality grade of "A". Strong Tenant Profile; Limited Rollover: 110 North Wacker is currently 97.8% leased to 38 distinct tenants, including firms specializing in professional and legal services, financial institutions, and multinational corporations. The property benefits from a higher proportion of investment-grade or creditworthy tenants compared to other multitenant office buildings rated by Fitch, with 34.6% of Fitch base rent and 36.8% of NRA attributable to creditworthy tenants such as Bank of America and Brookfield. Near-term rollover risk is limited, with only 7.7% of Fitch base rent and 8.3% of NRA scheduled to expire prior to the loan's maturity in December 2030. Several tenants have demonstrated a strong commitment to the asset by investing amounts in excess of their contractual tenant improvement allowances, including Thoma Bravo ($7.9 million), Linden ($6.8 million), Headlands ($6.1 million), Jones Day ($20.3 million), and Bank of America ($118.7 million). Institutional Sponsorship: The sponsorship for 110 North Wacker is provided by a joint venture between Callahan Capital Partners (CCP), Oak Hill Advisors (OHA), and Affinius Capital LLC (Affinius). CCP is responsible for day-to-day management and leasing and brings property-type and market-specific expertise. CCP has experience building and repositioning large platforms in the real estate industry. Since acquiring the property in 2022, the Loan Sponsor has increased occupancy from approximately 78.0% at the time of acquisition to 97.8% as of October 2025 and invested approximately $64.4 million to upgrade leasable area. Following the origination of the mortgage loan, the Loan Sponsor is expected to retain approximately $395.6 million in remaining cash equity. The joint venture combines CCP's operational expertise with the institutional investment and capital markets experience of OHA and Affinius, offering broad experience in asset management and office sector investment across major U.S. markets. 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'/ 'BBBsf'/ '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 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 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. CIFC FUNDING 2017-IV: Moody's Affirms Ba2 Rating on $34.3MM D Notes ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by CIFC Funding 2017-IV, Ltd.: US$49.1M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$520M (Current outstanding balance US$80,928,012) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 1, 2025 Affirmed Aaa (sf) US$88M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 1, 2025 Affirmed Aaa (sf) US$44.6M Class B-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 1, 2025 Upgraded to Aaa (sf) US$34.3M Class D Junior Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Jul 1, 2025 Upgraded to Ba2 (sf) CIFC Funding 2017-IV, Ltd., issued in September 2017 and refinanced in June 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CIFC CLO Management LLC. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrade on the Class C-R notes is 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 July 2025. The affirmations on the ratings on the Class A-1-R, A-2-R, B-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 Class A-1-R notes have paid down by approximately USD79.2 million (15%) since the last rating action in July 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated October 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 170.24%, 142.00%, 120.04% and 108.35% compared to May 2025[2] levels of 163.67%, 138.75%, 118.81% and 107.98%, respectively. Moody's notes that the October 2025 principal payments are not reflected in the reported OC ratios. 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: USD327.4 million Diversity Score: 50 Weighted Average Rating Factor (WARF): 2780 Weighted Average Life (WAL): 2.5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.7% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: none 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 "Collateralized Loan Obligations" published in October 2025. 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. -- 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. CIFC FUNDING 2025-VII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2025-VII, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-VII, 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-1 LT A(EXP)sf Expected Rating C-2 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 LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2025-VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.32, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.08% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44% 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 '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 CIFC Funding 2025-VII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CIFC FUNDING 2025-VIII: Fitch Assigns BB-(EXP)sf Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2025-VIII, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-VIII, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating D-3 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2025-VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.89, 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 74.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% 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 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'A-sf' for class D-3 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 CIFC Funding 2025-VIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CITIGROUP 2015-GC31: DBRS Confirms C Rating on 2 Classes -------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 issued by Citigroup Commercial Mortgage Trust 2015-GC31 as follows: -- Class A-S to CCC (sf) from A (high) (sf) -- Class B to C (sf) from B (sf) -- Class C to C (sf) from CCC (sf) -- Class X-A to CCC (sf) AA (low) (sf) -- Class PEZ to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at C (sf) -- Class E at C (sf) Morningstar DBRS placed Class A-4 Under Review with Negative Implications. All other classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect Morningstar DBRS' increased loss projections for the five remaining loans in the pool, all of which are specially serviced as of the October 2025 reporting. In June 2025, Morningstar DBRS downgraded its credit ratings on Classes F and G after the transaction incurred a loss of $20.8 million, which wiped out Class G, the unrated Class H, and eroded into Class F. The loss was tied to the reimbursement of nonrecoverable advances to the servicer for the 135 South LaSalle loan (Prospectus ID#1, 44.4% of the pool). With this review, based on a recoverability analysis, which incorporates conservative haircuts to the most recent appraised values for individual properties, servicer advances, and additional projected expenses, implied losses total nearly $131.1 million, eroding approximately 15.0% of the Class A-S certificate balance, supporting the credit rating downgrades. As of the October 2025 remittance, cumulative interest shortfalls total $8.5 million with the entirety of interest due on Class A-S being shorted. While the servicer is receiving approximately $420,000 in monthly interest, it appears to be allocating $300,000 toward a trust fund expense. Morningstar DBRS is gathering information from the servicer to evaluate the likelihood that the outstanding shortfalls will be repaid and/or if shortfalls are expected to continue to grow and will closely monitor the transaction level reporting in accordance with its surveillance process during the Under Review period. Given the uncertain disposition timeline for the remaining assets and the makeup of the remaining collateral, there is continued increased risk for interest shortfalls to increase further, supporting the placement of Class A-4 Under Review-Negative. Should interest shortfalls persist past Morningstar DBRS tolerance levels as loans remain unresolved, future credit rating actions may be warranted. The largest loan in the pool, 135 South LaSalle, (Prospectus ID#1; 44.4% of the current pool balance), is secured by a Class A office property commonly known as the Field Building, in Chicago's central business district. The loan transferred to special servicing in November 2021 for payment default after the former largest tenant, Bank of America (previously 62.3% of the net rentable area), vacated the majority of its space at the July 2021 lease expiration, bringing the occupancy rate down to just under 20.0%. The subject property was selected as one of five finalists for the LaSalle Corridor Revitalization project, which is geared toward transforming dated office space into residential housing. Since the last credit rating action in May 2025, the redevelopment plans have been approved with $98.0 million of public financing secured. While the future redevelopment remains promising, the timing and extent to which funding will be available remains unclear. An updated appraisal dated November 2024 valued the subject at $44.5 million, down from the January 2024 value of $67.7 million, the $90.0 million value in January 2023, and the issuance value of $330.0 million. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 30% haircut to the November 2024 appraised value, in addition to outstanding advances and expected servicer expenses, resulting in a $31.2 million value. This analysis suggested a projected loss severity over 75.0% or approximately $77.0 million. The second-largest loan in special servicing is the Selig Office Portfolio (Prospectus ID#2; 32.0% of the current pool balance), which is secured by a portfolio of nine office buildings totaling 1.6 million square feet throughout Seattle. The subject loan of $72.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and GSMS 2015-GC30 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. The loan transferred to the special servicer in December 2024 after the borrower indicated it would be unable to pay off the loan at its scheduled maturity in April 2025. According to the most recent servicer commentary, the borrower and special servicer are discussing a potential loan extension; however, nothing has been finalized. Occupancy has been declining in recent years and was most recently reported at 63.0% for as of June 2025, compared with the issuance occupancy rate of 92.3%. According to Q2 2025 reporting, the loan reported a debt service coverage ratio of 1.59 times (x) below the issuance figure of 2.22x. While loan modification discussions are generally noted to be relatively positive developments, Morningstar DBRS remains concerned about the subject's occupancy and cash flow declines as well as the softening submarket fundamentals in recent years. Morningstar DBRS believes the borrower's inability to refinance the loan is a direct result of these factors, with no significant improvement expected in the near to moderate term. As such, the sponsor's willingness to commit additional capital and/or otherwise support the loan could be limited. In August 2025, an updated appraisal valued the portfolio at $341.2 million, a 37.3% decline from the $544.5 million issuance appraisal. Given these factors, the loan was analyzed with a liquidation scenario based on a stressed value analysis. Morningstar DBRS applied a 25.0% haircut to the August 2025 value in the liquidation analysis, resulting in a $255.9 million value and loss severity approaching 40.0%. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2016-P6: Fitch Lowers Rating on Two Tranches to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed seven classes of Citigroup Commercial Mortgage Trust 2016-P6 (CGCMT 2016-P6). The Rating Outlooks were revised to Stable from Negative for two affirmed classes. Fitch has also assigned a Negative Outlook to three classes following their downgrades. The Outlooks are Negative for two affirmed classes. Fitch has also affirmed 15 classes of Citigroup Commercial Mortgage Trust 2016-C2 (CGCMT 2016-C2). The Outlooks are Negative for five affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P6 A-4 17291EAV3 LT AAAsf Affirmed AAAsf A-5 17291EAW1 LT AAAsf Affirmed AAAsf A-AB 17291EAX9 LT AAAsf Affirmed AAAsf A-S 17291EAY7 LT AAAsf Affirmed AAAsf B 17291EAZ4 LT AA-sf Affirmed AA-sf C 17291EBA8 LT BBB-sf Downgrade A-sf D 17291EAA9 LT B-sf Downgrade BB-sf E 17291EAC5 LT CCsf Downgrade CCCsf F 17291EAE1 LT Csf Downgrade CCCsf X-A 17291EBB6 LT AAAsf Affirmed AAAsf X-B 17291EBC4 LT AA-sf Affirmed AA-sf X-D 17291EAL5 LT B-sf Downgrade BB-sf CGCMT 2016-C2 A-3 17291CBQ7 LT AAAsf Affirmed AAAsf A-4 17291CBR5 LT AAAsf Affirmed AAAsf A-AB 17291CBS3 LT AAAsf Affirmed AAAsf A-S 17291CBT1 LT AAAsf Affirmed AAAsf B 17291CBU8 LT AA-sf Affirmed AA-sf C 17291CBV6 LT A-sf Affirmed A-sf D 17291CAA3 LT BBB-sf Affirmed BBB-sf E 17291CAG0 LT BB-sf Affirmed BB-sf E-1 17291CAC9 LT BB+sf Affirmed BB+sf E-2 17291CAE5 LT BB-sf Affirmed BB-sf EF 17291CBC8 LT CCCsf Affirmed CCCsf F 17291CAN5 LT CCCsf Affirmed CCCsf X-A 17291CBW4 LT AAAsf Affirmed AAAsf X-B 17291CBX2 LT A-sf Affirmed A-sf X-D 17291CBG9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS 'Bsf' Loss Expectations; Upcoming Maturities: Deal-level 'Bsf' rating case loss increased since Fitch's prior rating action to 11.1% in CGCMT 2016-P6 and slightly decreased to 4.5% in CGCMT 2016-C2, from 9.2% and 4.6%, respectively, at the prior rating action. The CGCMT 2016-P6 transaction has 11 Fitch Loans of Concern (FLOCs; 44.7% of the pool), including eight loans (14.3%) in special servicing, six (3.5%) of which were transferred for non-monetary default related to the same sponsor and guarantor. The CGCMT 2016-C2 transaction has four FLOCs (17.7%), including one loan (2.6%) in special servicing. These pools have significant upcoming maturities as the majority of the loans are scheduled to mature in 2026. Fitch also performed a liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. CGCMT 2016-P6: The downgrades reflect the higher pool loss expectations since the prior rating action, driven primarily by two FLOCs, the 681 Fifth Avenue loan (8.5%), which transferred to special servicing in September 2023 and is showing sustained performance deterioration and 925 La Brea Avenue (4.0%), due to elevated vacancy and refinance risk. In addition, the Georgetown Plaza FLOC (3.5%) is exhibiting high loss expectations due to anticipated refinance concerns from upcoming rollover risk. The Negative Outlooks reflect the potential for downgrades if performance on the aforementioned FLOCs does not stabilize and/or the workout of the specially serviced 681 Fifth Avenue loan is prolonged, with additional value degradation and/or increasing exposure, leading to higher-than-expected losses. Further downgrades are also possible with additional value declines, or if loans currently expected to refinance default on or before their maturity dates. CGCMT 2016-C2: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. As of the November 2025 remittance, the Marriott - Livonia at Laurel Park loan (2.6%), which transferred to special servicing in March 2020, was liquidated with a loss severity of approximately 89%, with the losses contained to the non-rated Class H. The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on FLOCs, and the significant upcoming maturities in the pool, including Opry Mills (11.6%) and refinance and upcoming rollover concerns on the Crocker Park Phase One & Two (10.8%) FLOC. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in the CGCMT 2016-P6 transaction is the 681 Fifth Avenue loan, which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY. The loan transferred to special servicing in September 2023 due to payment default. The loan has been 90+ days delinquent since March 2024, with foreclosure litigation ongoing and a receiver in place. The majority of the property's rental income (78% of total base rents) came from the dark retail tenant, Tommy Hilfiger (27.3% of the NRA), that vacated in April 2019 but continued to pay rent until its lease expiration in May 2023. As of June 2025, occupancy was 52%, unchanged since office tenant Apex (7.2% of the NRA) vacated at its March 2023 lease expiration, but down from 59% at YE 2022 and 86% at YE 2018. The servicer-reported June 2025 NOI DSCR was 0.11x compared with 0.08x at YE 2024. Fitch's 'Bsf' rating case loss of 72.0% (prior to concentration add-ons) reflects a discount to the latest appraisal value provided by the servicer and a 76% value decline from the appraised value at issuance. The second largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in CGCMT 2016-P6 is the 925 La Brea Avenue loan, which is secured by a mixed-use (office/retail) property in West Hollywood, CA. This FLOC was flagged for declining property performance and elevated vacancy. According to the June 2025 rent roll the property was 73% occupied, in line with YE 2024 but down from 100% at YE 2020. The previous largest tenant, WeWork, vacated 75% of the NRA ahead of its June 2029 lease expiration and stopped paying rent in Q2 2021. The current largest tenants include Regus (49.0% of NRA through July 2032) and Burke Williams Spa (24.3%, August 2026), which occupies the ground floor retail space. Regus assumed a portion of the former WeWork space (49% of NRA) in July 2022, with the remaining 26% of the NRA still vacant. The servicer-reported June 2025 NOI DSCR was 0.97x, compared with 0.68x at YE 2024, 0.50x at YE 2023, -0.02x at YE 2022, and -0.46x at YE 2021. Fitch's 'Bsf' rating case loss of 36.7% (prior to concentration add-ons) reflects a 9% cap rate, a 7.5% stress to the YE 2024 NOI, and an increased probability of default to account for elevated vacancy and refinance risk. The third largest increase in loss since the prior rating action and the third largest contributor to overall pool loss expectations in CGCMT 2016-P6 is the Georgetown Plaza loan, which is secured by a mixed-use (office/retail) property in the Glover Park neighborhood of Washington, DC. This FLOC was flagged for rollover and refinance risk. As of June 2025, the property was 81% occupied, in line with YE 2024 and YE 2023. According to the January 2025 rent roll, the current largest tenants include MedStar-Georgetown (19.9%, February 2033), MedStar-Georgetown Medical (12.9%, through October 2024), and Cantoni, LLC (7.6%, through April 2035). The second largest tenant, MedStar-Georgetown Medical, appears to continue to operate at the property based on online searches, although a leasing update was not provided. The servicer-reported June 2025 NOI DSCR was 1.08x, compared with 1.38x at YE 2024, 1.35x at YE 2023, 0.76x at YE 2022, and 1.20x at YE 2021. Fitch's 'Bsf' rating case loss of 21.9% (prior to concentration add-ons) reflects a 10.5% cap rate, a 20% stress to the YE 2024 NOI, and an increased probability of default to account for rollover and refinance risk. After the disposition of the Marriott - Livonia at Laurel Park, the largest contributor to overall loss expectations in CGCMT 2016-C2 is Crocker Park Phase One and Two loan, which is secured by a 615,062-sf mixed use (retail/office) property built in 2004 and located in Westlake, OH in the Cleveland metro area. Office accounts for about 18% of the collateral NRA. This loan is a FLOC due to anticipated refinance concerns and rollover risk. The loan matures in August 2026. According to the April 2025 rent roll, occupancy was 92%, down from 99% at March 2024 and June 2023, and down from 97% at YE 2021 and 98% at issuance. Upcoming rollover includes 19.9% of the NRA in 2025, which includes Dick's Sporting Goods (15.5% of the NRA, through May 2025), and 8.6% of the NRA in 2026. A leasing update was not provided for Dick's Sporting Goods. The largest retail tenants include Fitness & Sports Clubs (6.5% NRA; February 2032), Barnes & Noble (4.7% NRA; which renewed its lease to March 2035 from March 2025), and Regal Cinemas Crocker Park 16 (4.0% NRA; January 2029). The largest office tenants include Wells Fargo (2.8% NRA; August 2029) and Key Bank (2.4%; August 2028). The servicer-reported June 2025 NOI DSCR was 1.59x compared with 1.49x at YE 2024, 1.37x at YE 2023 and 1.28x at YE 2022. Fitch's 'Bsf' rating case loss of 3.2% (prior to concentration add-ons) reflects an 8.75% cap rate and a 20% stress to the YE 2024 NOI due to upcoming rollover concerns. The second largest contributor to overall loss expectations in CGCMT 2016-C2 is the Opry Mills loan, which is secured by a 1.2 million sf super-regional mall located in Nashville, TN, approximately seven miles from downtown Nashville. The property is located adjacent to the Gaylord Opryland Resort & Convention Center, the largest non-gaming hotel and convention facility. The loan matures in July 2026. The largest tenant Bass Pro Shops (11.1% NRA) renewed its lease to April 2030 from April 2025. The mall was 95% occupied in June 2025, with a June 2025 NOI DSCR of 3.33x compared with 3.18x at YE 2024. Fitch's 'Bsf' rating case loss of 2.1% (prior to concentration add-ons) reflects a 12% cap rate and a 7.5% stress to the YE 2024 NOI. Change in Credit Enhancement (CE): As of the October 2025 distribution date, the pool's aggregate balance for CGCMT 2016-P6 has been reduced by 25.5% to $680.5 million from $913.4 million at issuance. Five loans (4.0% of pool) have been defeased. As of the October 2025 distribution date, the pool's aggregate balance for CGCMT 2016-C2 has been reduced by 14.7% to $519.6 million from $609.2 million at issuance. Eight loans (11.2% of pool) have been defeased. Undercollateralization: The CGCMT 2016-P6 transaction is undercollateralized by approximately $530,607 due to a WODRA on the Sheraton Portland Airport loan, which was reflected in the August 2021 remittance report. In addition, the CGCMT 2016-C2 transaction is undercollateralized by approximately $754,400 due to a WODRA on Crocker Park Phase One and Two and Hyatt Regency Huntington Beach Resort loans, which was reflected in the June 2022 remittance report. Investment-Grade Credit Opinion Loan At issuance; Payoff Expected: The Vertex Pharmaceuticals loan (11.6%), which was assigned an investment-grade credit opinion of 'BBB-sf' on a standalone basis at issuance, continues to exhibit investment-grade credit characteristics. This loan is expected to pay off as of the December 2025 remittance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably 681 Fifth Avenue, 925 La Brea Avenue, and Georgetown Plaza in CGCMT 2016-P6 and Opry Mills and Crocker Park Phase One and Two in CGCMT 2016-C2, deteriorate further or if 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 loans or other FLOCs. - Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes 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 classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including 681 Fifth Avenue, 925 La Brea Avenue, and Georgetown Plaza in CGCMT 2016-P6 and Opry Mills, and Crocker Park Phase One and Two in CGCMT 2016-C2. - 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 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/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. COMM 2013-CCRE6: DBRS Confirms C Rating on Class F Certs -------------------------------------------------------- DBRS Limited downgraded the credit rating on one class of the Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 issued by COMM 2013-CCRE6 Mortgage Trust as follows: -- Class E to C (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AAA (sf) -- Class X-B at AA (high) (sf) -- Class C at AA (sf) -- Class PEZ at AA (sf) -- Class D at BB (low) (sf) -- Class F at C (sf) Morningstar DBRS changed the trend on Class D to Negative from Stable. The trends on all other classes are Stable except for Classes E and F, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Morningstar DBRS downgraded Classes D and E as part of its prior credit rating action in December 2024, primarily as a result of the projected loss expectations tied to the two remaining loans in the pool, Federal Center Plaza (Prospectus ID#1, 56.5% of the current pool balance) and The Avenues (Prospectus ID#3, 43.5% of the current pool balance). Since that time, the Federal Center Plaza loan transferred to special servicing. According to the February 2025 appraisal, the property's value has deteriorated more significantly than originally expected. Morningstar DBRS analyzed both remaining loans in the pool with liquidation scenarios, resulting in a projected cumulative loss amount of $43.6 million. Those projected losses would erode the entirety of the Class G certificate balance, and approximately 90.0% of the Class F certificate balance, a primary consideration for the credit rating downgrade to C (sf) from B (low) (sf) on the Class E certificate. The Negative trend on the Class D certificate reflects the potential for further value deterioration for the underlying collateral backing the two remaining loans. Both assets have experienced a sustained decline in operating performance and/or no meaningful leasing traction, a factor that is further exacerbated by the loans' near-term maturity dates. Morningstar DBRS' conservative liquidation scenarios for the remaining loans suggest that the Class B and C certificates remain well insulated from projected liquidated losses and will ultimately be recovered, supporting their Stable trends. Although the Class B, C, D, E, and F certificates continue to receive full interest due, the transaction has an increased propensity for interest shortfalls. Should the workout period for the specially serviced loan continue to extend and/or should the as-is values for the underlying collateral backing the remaining loans deteriorate further, the aforementioned certificates may be more susceptible to interest shortfalls because of accumulating appraisal subordination entitlement reduction amounts, outstanding advances, and other expenses/fees. In the event of unforeseen circumstances that result in interest shortfalls accruing at a higher rate than expected, Morningstar DBRS notes that it could change trends and/or further downgrade the credit rating, as applicable. The largest remaining loan in the pool, Federal Center Plaza, is secured by the borrower's fee-simple interest in two adjoining eight-story office buildings, in Washington, D.C. Both buildings were built to suit for two federal government tenants in the early 1980s and have been continuously occupied by government tenants ever since; however, downsizings have occurred over the past several years. The loan was modified in November 2023. The terms included a maturity extension to February 2025, subject to certain requirements, with an additional one-year extension option to February 2026. The loan transferred to special servicing for a second time in November 2024 after the borrower was unable to meet the requirements of the loan extension. The borrower and lender have agreed to a 12-month forbearance that depends on the renewal of the largest tenant's (The Federal Emergency Management Agency (FEMA)) lease. The tenant currently occupies 64.3% of total net rentable area (NRA) across the property on a lease that extends through August 2027. In December 2023,, FEMA announced it would be relocating two blocks from the subject to a renovated and federally owned facility at 301 7th Street SW in 2027. However, according to various media outlets, market conditions and federal cost-cutting have halted those plans. According to the June 2025 rent roll, total property occupancy was 74.4% with an average in-place rental rate of $42.7 per square foot (psf). In comparison, Q2 2025 Reis data reported an average vacancy rate of 10.8% and average rental rate of $53.3 psf for the Southwest submarket of Washington, D.C. The YE2024 net cash flow (NCF) of $13.5 million (a debt service coverage ratio (DSCR) of 2.47 times (x)), remains 27.0% below the $18.4 million Morningstar DBRS NCF derived at issuance. As of the October 2025 remittance, there were $26.2 million in total reserves, of which $8.3 million was being held in tenant reserves. The collateral was re-appraised in June 2025 for $170.0 million, a 28.3% decline from the February 2023 appraised value of $237.0 million, and a 45.0% decline from the issuance appraised value of $309.0 million. The $130.0 million trust loan balance implies a loan-to-value ratio (LTV) of 76.5%, compared with the LTV of 42.1% at issuance. Given the uncertainty with the upcoming FEMA lease expiration in early 2027 and precipitous value decline from issuance, Morningstar DBRS analyzed the loan with a conservative liquidation scenario, based on a 35.0% haircut to the June 2025 appraisal, resulting in a total implied loss of $26.6 million and a loss severity of 20.0%. The Avenues loan is secured by a 599,030-square-foot (sf) component of in-line space within a larger 1.1 million-sf regional mall in Jacksonville, Florida. The loan was modified in April 2023; the terms included a maturity extension to February 2026 and the activation of a cash trap with excess funds held in a lockbox reserve. As of the October 2025 reporting, the reserve balance was $12.1 million, $11.4 million of which was held in other reserves. Noncollateral anchors are Dillard's, Belk, and JCPenney. One collateral anchor is the vacant former Sears box totaling 20.2% of the NRA that closed in 2019. The other was Forever 21 (19.4% of NRA), but the company filed for Chapter 11 bankruptcy in May 2025 and subsequently closed all remaining U.S. stores. As such, the tenant vacated the subject in May 2025 prior to its January 2026 lease expiration. Morningstar DBRS has reached out to the servicer for a leasing update and awaits a response; however, local reporting indicates that Elev8 Fun has purchased the former Forever 21 anchor parcel with a planned conversion that was slated to begin in August 2025. The property is considered inferior to another mall in the area, St. Johns Town Center, which shares common sponsorship in Simon Property Group. The collateral's occupancy rate as of the June 2025 rent roll was 66.0%, down from 91.3% at issuance. Given the low occupancy rate, the loan remains on the servicer's watchlist. According to the annualized June 2025 financials, NCF was $11.5 million, reflecting a DSCR of 3.15x, 28.1% below the Morningstar DBRS NCF of $16.0 million derived at issuance. The collateral was re-appraised for $166.0 million in April 2023, a 32.0% decline from the issuance appraised value of $244.0 million. The April 2023 value reflects an LTV of 66.0% when compared with the issuance LTV of 45.0%. Given the sustained performance declines in part because of the departure of Forever 21, increased competition, and likely value decline as a result, Morningstar DBRS liquidated the loan based on a conservative 50% haircut to the April 2023 appraised value, resulting in a projected loss of $17.0 million and a loss severity approaching 20.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-UBS3: DBRS Cuts 2 Classes Certs Rating to D ----------------------------------------------------- DBRS Limited downgraded the credit ratings on three classes across two transactions as follows: COMM 2014-UBS3 Mortgage Trust (COMM 2014-UBS3) -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) DBJPM 2016-C1 Mortgage Trust (DBJPM 2016-C1) -- Class G to D (sf) from C (sf) Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on all three classes. The credit ratings downgrades were due to a loss to the respective trusts that was reflected with the October 2025 remittances. The COMM 2014-UBS3 transaction incurred a loss of $41.0 million, wiping out Class G and the unrated Class H and eroding $2.1 million of Class F. The loss was tied to the liquidation of the 1100 Superior Avenue loan (Prospectus ID#6). The loan-level loss was in line with Morningstar DBRS' expectation of $44.5 million at the last review. The DBJPM 2016-C1 transaction incurred a loss of $7.0 million, wiping out the remainder of the unrated Class H and eroding $3.4 million of Class G. The loss was tied to non-recoverable advances for the Sheraton North Houston loan (Prospectus ID#4, 5.5% of the pool). At the last review, Morningstar DBRS analyzed this loan with a liquidation scenario, with implied losses totaling $34.4 million (100% loss severity). Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1A: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1A LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class A Notes confirmed at BBB (sf) -- Class B Notes confirmed at BB (sf) -- Class C Notes confirmed at B (sf) The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity of September 15, 2036. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period end date is April 22, 2030. The Stated Maturity is September 15, 2036. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of September 30, 2025, several performance metrics were failing. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. Specifically, the transaction is failing the Maximum DBRS Risk Score Test (current 35.04% vs threshold 33.70%), Senior Secured Loans concentration limitation (current 91.5% vs minimum threshold 95.0%) and 3rd Largest DBRS Industry Classification concentration limitation (current 12.9% vs maximum threshold 12.5%). Morningstar DBRS considered these failures in its analysis. As of September 30, 2025, a total par amount of defaulted obligations registered in the Portfolio is $2,419,143. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of September 30, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among other factors, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; currently 5.281%; threshold 4.90% Maximum Weighted Average Life: currently 3.59; threshold 8.00 Maximum Risk Score: Subject to Collateral Quality Matrix; currently 35.04; threshold 33.70 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; currently 65.53%; threshold 64.30% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; currently 21.12; required 21.00 Coverage Tests Class A Overcollateralization (OC): Actual 135.33%; threshold 124.50% Class B OC: Actual 125.37%; threshold 116.80% Class C OC: Actual 120.92%; threshold 113.40% Class A Interest Coverage (IC): Actual 168.55%; threshold 115.00% Class B IC: Actual 147.25%; threshold 110.00% Class C IC: Actual 136.74%; threshold 105.00% Some particular strengths of the transaction are (1) collateral quality which consists mostly of senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges were identified in that (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis supported the credit rating actions on the Notes. In the Level II surveillance process, the predictive model is utilized to determine if the current rating is passing or failing. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1B: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1B LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class A Notes confirmed at BBB (sf) -- Class B Notes confirmed at BB (sf) -- Class C Notes confirmed at B (sf) The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity of September 15, 2036. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period end date is April 22, 2030. The Stated Maturity is September 15, 2036. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of September 30, 2025, several performance metrics were failing. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. Specifically, the transaction is failing the Maximum DBRS Risk Score Test (current 34.39% vs threshold 33.70%), 2nd Largest DBRS Industry Classification concentration limitation (current 16.9% vs maximum threshold 15.0%) and 3rd Largest DBRS Industry Classification concentration limitation (current 16.4% vs maximum threshold 12.5%). Morningstar DBRS considered these failures in its analysis. As of September 30, 2025, a total par amount of defaulted obligations registered in the Portfolio is $2,419,143. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of September 30, 2025. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among other factors, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; currently 5.167%; threshold 4.90% Maximum Weighted Average Life: currently 3.99; threshold 8.00 Maximum Risk Score: Subject to Collateral Quality Matrix; currently 34.39; threshold 33.70 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; currently 65.55%; threshold 64.30% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; currently 23.00; required 21.00 Coverage Tests Class A Overcollateralization (OC): Actual 134.44%; threshold 124.50% Class B OC: Actual 124.54%; threshold 116.80% Class C OC: Actual 120.12%; threshold 113.40% Class A Interest Coverage (IC): Actual 163.69%; threshold 115.00% Class B IC: Actual 143.00%; threshold 110.00% Class C IC: Actual 132.79%; threshold 105.00% Some particular strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges were identified in that (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis supported the credit rating actions on the Notes. In the Level II surveillance process, the predictive model is utilized to determine if the current rating is passing or failing. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1C: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings as follows on the Class X Notes, Class A Notes, Class B Notes, Class C Notes (together, the Secured Notes), issued by Cornhusker Funding 1C LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows : -- Class X Notes confirmed at AAA (sf) -- Class A Notes confirmed at BBB (sf) -- Class B Notes confirmed at BB (sf) -- Class C Notes confirmed at B (sf) The credit ratings on the Class X Notes address the timely payment of interest and ultimate return of principal. The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity of September 15, 2036. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period end date is April 22, 2030. The Stated Maturity is September 15, 2036. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of September 30, 2025, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmation on the Notes, as per the Level I surveillance approach in the CLO Methodology. No model was applied in this review. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. Some of the performance metrics that Morningstar DBRS reviewed are listed below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; currently 5.205%; threshold 4.90% Maximum Weighted Average Life: currently 3.69; threshold 8.00 Maximum Risk Score: Subject to Collateral Quality Matrix; currently 31.15; threshold 33.70 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; currently 66.00%; threshold 64.30% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; currently 23.60; required 21.00 Coverage Tests Class A Overcollateralization (OC): Actual 136.21%; threshold 124.50% Class B OC: Actual 126.18%; threshold 116.80% Class C OC: Actual 121.70%; threshold 113.40% Class A Interest Coverage (IC): Actual 181.38%; threshold 115.00% Class B IC: Actual 147.25%; threshold 110.00% Class C IC: Actual 147.14%; threshold 105.00% Some particular strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges were identified in that (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of September 30, 2025, the transaction is in compliance with all the Eligibility Criteria, coverage tests and collateral quality tests. As of September 30, 2025, a total par amount of defaulted obligations registered in the Portfolio is $972,292.21. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. CQS US 5: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 5, Ltd. Entity/Debt Rating ----------- ------ CQS US CLO 5, 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CQS US CLO 5, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (US), 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 23.14, 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 74.79% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is up to 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 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B, 'AAsf' for Class C, 'A+sf' for Class D-1, and 'A-sf' for Class D-2 and 'BBBsf' 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 CQS US CLO 5, 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. DEEPHAVEN RESIDENTIAL 2025-CES1: DBRS Rates Class B2 Notes 'Bsf' ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on Deephaven Residential Mortgage Trust 2025-CES1 (DRMT 2025-CES1 or the Trust) as follows: -- $154.3 million Class A-1A at AAA (sf) -- $24.7 million Class A-1B at AAA (sf) -- $178.9 million Class A-1 at AAA (sf) -- $12.8 million Class A-2 at AA (sf) -- $12.2 million Class A-3 at A (sf) -- $14.1 million Class M-1 at BBB (sf) -- $12.6 million Class B-1 at BB (sf) -- $8.0 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 27.45% of credit enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 22.25%, 17.30%, 11.60%, 6.50%, and 3.25% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CES1 (the Notes). The Notes are backed by 1,044 mortgage loans with a total principal balance of $246,624,443 as of the Cut-Off Date (September 30, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from zero to 38 months. Borrowers in the pool represent prime and expanded-prime credit quality--weighted-average (WA) Morningstar DBRS-calculated FICO score of 733, Issuer-provided original combined loan-to-value ratio (CLTV) of 67.6%. As of the Cut-Off Date, 99.6% of the pool was current and 0.4% of the pool was 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, none of the borrowers are in active bankruptcy. DRMT 2025-CES1 represents the first CES securitization sponsored by Sutton Funding LLC (Sutton). Deephaven Mortgage, LLC (66.2%), Oaktree Funding Corporation (13.8%), are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Selene Finance LP (Selene; 100.0%) is the Servicer of all the loans in this transaction. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Owner Trustee. U.S. Bank National Association and Computershare Trust Company, N.A. will act as the Custodians. Citicorp Trust Delaware, National Association will act as the Delaware Trustee. As Sponsor, Sutton, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. On or after the earlier of (1) the Payment Date occurring in November 2028 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer at a price equal to the greater of (A) the note amounts of the related Notes plus accrued and unpaid interest, including any Net WAC Shortfalls, servicing advances, fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) 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, 80.9% of the loans are designated as non-QM, 0.2% are designated as QM Rebuttable Presumption, and 4.3% are designated as QM Safe Harbor. Approximately 14.6% of the mortgages are loans were not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer 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 becomes 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal 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 employs a sequential-pay cash flow structure with pro rata principal payment among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest shortfall on the Notes, but such interest shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, and A-3 fixed rates step-up by 100 basis points on and after the payment date in November 2029. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2025-RTL1: DBRS Finalizes B(low) Rating on Class M2 Notes -------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by EFMT 2025-RTL1 (the Issuer) as follows: -- $211.4 million Class A1 at A (low) (sf) -- $24.3 million Class A2 at BBB (low) (sf) -- $21.2 million Class M1 at BB (low) (sf) -- $28.2 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 29.55% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 21.45%, 14.40%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 410 mortgage loans with a total principal balance of approximately $119,222,387, -- Approximately $119,000,000 in the Accumulation Account -- Approximately $61,777,613 in the RP Accumulation Account, and -- Approximately $1,000,000 in the Pre-Funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. EFMT 2025-RTL1 represents the first RTL securitization issued by the Sponsor, EF Holdco WRE Assets LLC. The Sponsor is an affiliate of Ellington Financial Inc. (Ellington), which was originally formed as a Delaware limited liability company in 2007 and converted to a Real Estate Investment Trust (REIT) in 2019. The company invests in financial assets including residential and commercial mortgage loans, mortgage-backed securities, reverse mortgage loans, mortgage servicing rights and related investments, consumer loans, asset-backed securities, collateralized loan obligations, and other strategic investments. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of 6 to 36 months. The loans may be extended, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include, but are not limited to: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA Loan-to-Cost ratio (LTC) of 82.5% excluding ground-up construction (GUC) loans. -- A maximum NZ WA LTC of 80.0% for GUC loans. -- A maximum NZ WA As Repaired Loan-to-Value ratio (ARV LTV) of 67.5% excluding GUC loans -- A maximum NZ WA ARV LTV of 62.5% for GUC loans. -- A maximum NZ WA As-Is Loan-to-Value (AIV LTV) ratio of 70%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed used properties (the latter is limited to 2.5% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Collateral Manager. In the EFMT 2025-RTL1 revolving portfolio, RTLs may be: -- Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account established by each Servicer for future disbursement to fund draw requests for construction, rehabilitation, or repair on the mortgaged property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. -- With a portion of the loan proceeds held back by the Servicers for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. -- Partially funded: -- With a commitment to fund borrower-requested draws for approved Rehabilitation Disbursement Requests upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the EFMT 2025-RTL1 eligibility criteria, unfunded commitments are limited to 40.0% of the assets of the issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans and (2) amounts in the Accumulation Account, RP Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes on or prior to the payment date in May 2028, the Class A1 and A2 fixed rates listed in the Credit Ratings table will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicers or any other party to the transaction. However, the Servicers are obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicers will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The related Servicer or Asset Manager will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, releasing funds from the related Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, either (A) advancing funds on behalf of the Issuer (Rehabilitation Advance) or (B) requesting the Collateral Manager direct the release of funds from the Accumulation Account and RP Accumulation Account. The related Servicer or Asset Manager, as applicable, will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account, RP Accumulation Account and from the transaction cash flow waterfall, after payment of interest to the notes. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account and RP Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.0% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-funding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $1,000,000. On the payment dates occurring in December 2025, January 2026, and February 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for Ellington's historical aggregations and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this report for more details. Other Transaction Features Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at price equal to par plus interest and fees. Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 7.5% of the cumulative UPB of the mortgage loans as of the Initial Cut-Off Date. During the reinvestment period, if the Sponsor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material R&W breach, a material document defect, or a diligence defect that the Sponsor is unable to cure, -- The Sponsor elects to exercise its Repurchase Option, or -- An optional redemption occurs. U.S. Credit Risk Retention The Sponsor, or a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by properties that are located within certain disaster areas. Although many RTLs already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. ELP COMMERCIAL 2025-ELP: Fitch Rates Class HRR Certs 'B+sf' ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ELP Commercial Mortgage Trust 2025-ELP commercial mortgage pass-through certificates, series 2025-ELP as follows: - $465,500,000 class A 'AAAsf'; Outlook Stable; - $88,900,000 class B 'AA-sf'; Outlook Stable; - $60,000,000 class C 'A-sf'; Outlook Stable; - $83,700,000 class D 'BBB-sf'; Outlook Stable; - $117,900,000 class E 'BB-sf'; Outlook Stable; - $43,000,000(a) class HRR 'B+sf'; Outlook Stable. (a) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $859.0 million five-year, fixed-rate, interest-only (IO) commercial mortgage loan. The loan is secured by the borrower's fee simple and leasehold interests in a portfolio of 60 properties, including 59 industrial facilities and one industrial service facility comprising approximately 14.8 million sf located in nine states and eight markets. The properties were acquired by affiliates of EQT Real Estate Holdings US Inc., which will act as borrower sponsor, in a series of acquisitions from 2007 to 2020. The portfolio has a weighted-average year built of 2003 with weighted-average clear heights of 30' and a limited office concentration equal to 6.9% of NRA. Loan proceeds were used to refinance approximately $836.2 million of existing debt, pay $10.7 million in closing costs and fund working capital of approximately $12.1 million. The certificates follow a pro rata paydown in connection with voluntary prepayments and property releases up to the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The loan is originated by Wells Fargo Bank, National Association, Citi Real Estate Funding Inc., Bank of America, N.A., and Societe Generale Financial Corporation. KeyBank National Association is the servicer and special servicer. Computershare Trust Company, N.A. is the certificate administrator. Deutsche Bank National Trust Company is the trustee. Park Bridge Lender Services LLC is the operating advisor. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $60.7 million. This is 6.6% lower than the issuer's NCF. Fitch applied a 7.50% cap rate to derive a Fitch value of approximately $809.3 million. High Fitch Leverage: The $859.0 million whole loan equates to debt of approximately $59 psf with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 0.83x, 106.1% and 7.1%, respectively. The loan represents approximately 66.0% of the aggregate of the individual as-is appraisal values of $1.36 billion. Fitch's stressed NCF of approximately $60.7 million represents a 6.6% haircut to the issuer's underwritten figure. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity, with 60 properties (14.6 million sf) located across nine states, eight MSAs and 17 submarkets, per CoStar. The three largest MSAs (by allocated loan amount [ALA]) are Louisville (22.1% of net rentable area [NRA]; 20.9% ALA), Indianapolis (16.9% of NRA; 18.2% ALA) and Memphis (25.1% of NRA; 17.6% of ALA). The Fitch effective MSA count for the pool is 6.7. The portfolio also exhibits significant tenant diversity, as it features over 124 distinct tenants The largest tenant, PetSmart, accounts for 9.7% of Fitch base rent. No other tenant accounts for more than 6.2% of Fitch base rent. Institutional Sponsorship and Management: The loan is sponsored by an affiliate of EQT Real Estate, a global real estate investment manager based in Stockholm, Sweden with U.S.-based operations headquartered in Radnor, PA. EQT Real Estate resulted from a 2021 merger between EQT AB and Exeter Property Group. Its portfolio consists of 2,000 properties totaling over 400 million sf across five continents. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FHF ISSUER 2025-2: DBRS Gives Prov. BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of Notes to be issued by FHF Issuer Trust 2025-2 (FHF 2025-2 or the Issuer) as follows: -- $45,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $194,568,000 Class A-2 Notes at (P) AAA (sf) -- $18,032,000 Class B Notes at (P) AA (sf) -- $25,116,000 Class C Notes at (P) A (sf) -- $10,143,000 Class D Notes at (P) BBB (sf) -- $23,506,000 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) The 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 fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected 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 rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The historical static pool data for FHF originations and performance of the FHF auto loan portfolio. (4) The credit quality of the collateral and performance of FHF's auto loan portfolio, as of the Statistical Calculation Date: -- The pool will include 96.84% of receivables originated by franchise dealers with a weighted-average (WA) mileage of 42,262 miles. -- The loans in the pool will have a non-zero WA credit score of 663 and a WA annual percentage rate of 17.44%. Approximately 36% of the borrowers in the pool do not have a credit score; however, approximately 70% of the pool have an Individual Taxpayer Identification Number (ITIN). -- The WA loan-to-value ratio (LTV) is 111.11%. -- The Morningstar DBRS CNL assumption is 9.45% based on the Statistical Calculation Date pool composition and expected final pool composition. (5) The capabilities of FHF with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of FHF and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- The consistent operational history of FHF and the overall strength of the Company and its management team. -- The FHF senior management team has experience within the auto finance industry, with very limited turnover in the senior and mid-level management team. (6) The backup servicer, Vervent, will receive monthly pool data, confirm that such data is readable and perform certain operations and tests with respect to such data on the monthly servicer reports. (7) All certificates of title of the financed vehicles are held with a third party. (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 COVID-19 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 Issuer, the nonconsolidation of the special-purpose vehicle with FHF, 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. Notes: All figures are in U.S. dollars unless otherwise noted. FINANCE OF AMERICA 2025-HB1: DBRS Finalizes BB Rating on M4 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2025-HB1 (the Notes) issued by Finance of America HECM Buyout 2025-HB1: -- $297.0 million Class A at AAA (sf) -- $43.2 million Class M1 at AA (low) (sf) -- $30.3 million Class M2 at A (low) (sf) -- $19.8 million Class M3 at BBB (low) (sf) -- $30.0 million Class M4 at BB (sf) -- $10.1 million Class M5 at BB (low) (sf) The AAA (sf) credit rating reflects 28.3% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and BB (low) (sf) credit ratings reflect 17.8%, 10.5%, 5.7%, -1.5%, and -4.0% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes that may be issued in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association (HOA) dues if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the cut-off date, September 30, 2025, the collateral consists of approximately $413.99 million in unpaid principal balance (UPB) from 1,376 performing and nonperforming HECM reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. Of the total loans, 289 have a fixed-rate interest (21.35% of the balance) with a weighted-average coupon (WAC) of 4.969%. The remaining 1,087 loans are adjustable rate (78.65% of the balance) with a WAC of 7.308%, bringing the entire collateral pool to a WAC of 6.808%. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. The Class M Notes are not entitled to any payments of principal prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event occurs. Prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event, if any, has occurred, Available Funds that would otherwise be available to pay principal on the Class M Notes after the Class A Notes have been paid in full will instead be deposited into the Redemption Account, until the amount on deposit therein is equal to the Redemption Account Required Amount. Amounts will be deposited to and withdrawn from the Redemption Account and paid in accordance with the priority described in the definition of "Redemption Account" below and in the Priority of Payments. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2025-MN12: Fitch Assigns BB-sf Rating on Cl. M-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks for the Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes, Series 2025-MN12. - $125,659,000b class M-1 'BBB-sf'; Outlook Stable; - $56,900,000b class M-2 'BB-sf'; Outlook Stable; Fitch does not rate the following classes: - $19,896,101,535a class A-H; - $188,489,971a class M-1H; - $231,069,891a class M-2H; - $141,367,000b class B-1; - $94,244,729a class B-1H; - $209,432,648a class B-2H. (a) Class A-H, M-1H, M-2H, B-1H and B-2H are reference tranches and will not have corresponding notes. Reference tranches will be referenced only in connection with making calculations of principal payments required to be made on the notes, and reductions and increases in the class balances of the notes. (b) Class M-1, M-2 and B-1 will have corresponding reference tranches for the purpose of making calculations of principal payments required to be made by the trust, and reductions and increases in the class balances of the notes. Since Fitch published the presale report, the class balance of M-2 changed to $56,900,000 from $172,781,000; and the class balance of M-2H changed to $231,069,891 from $115,188,891. The aggregate amount for the Class M-2 and Class M-2H reference tranches is unchanged. Transaction Summary MSCR 2025-MN12 serves as a credit risk transfer (CRT) mechanism, where the credit risk of a reference pool of loans held and/or guaranteed by Freddie Mac are transferred to the notes' investors. The reference pool consists of 890 obligations totaling $20.9 billion. The reference pool loans were originated in connection with Freddie Mac's Multi PC (398; 56.0%), K Series (280; 38.5%), Targeted Affordable Housing Bond Credit Enhancement (TAH BCE; 7; 2.8%) and small balance loan (205; 2.7%) programs. When a first- and second-lien loan are both included in the reference pool, Fitch modeled them as one loan; therefore, loan counts may vary slightly from those in offering documents. Notes' proceeds will be used by the trust to purchase eligible investments (EIs), as defined under the transaction documents. On each payment date, the trust will use earnings from EIs to pay interest due, with Freddie Mac (rated AA+ by Fitch) acting as a backstop to provide any additional funds to when earnings from the EIs are insufficient to pay amounts due. The transaction is intended to mimic traditional CMBS cash flows for investors. On each payment date, noteholders will receive interest payment based on the note's interest rate and outstanding notional balance. The notional balance can be reduced by losses to the trust from liquidations or modifications. Noteholders will also be entitled to principal paydowns from corresponding principal payments on the reference pool. On the closing date, the issuer will enter into a collateral administration agreement (CAA) and capital contribution agreement (CCA) with the trust, which will provide credit protection to Freddie Mac on the reference loan pool. According to the CAA, the trust is required to pay the issuer based on credit events and modification events, as defined under the transaction documents. KEY RATING DRIVERS Fitch Property Cash Flow: Fitch performed cash flow analyses on 82 loans totaling 16.95% of the pool by balance. Fitch's resulting net cash flow (NCF) of $1.7 billion represents a 10.1% decline from the issuer's underwritten NCF of $1.855 billion. GSE Multifamily Programs Historical Performance: Historical losses under GSE multifamily programs are much lower than those of conduit transactions. This is the 12th issuance under Freddie's MSCR series, and as of August 2025, the delinquency rate for the series was 0.1%, with 27 of approximately 3,377 loans in special servicing. Under its seven multifamily issuance programs, aggregate issuance was about $840 billion, with aggregate losses of about $195 million (0.02%). Loan Diversity: The pool's loan concentration is highly diverse. It has an effective loan count of 253.6, materially higher than the average for 2025 YTD Fitch-rated 10-year Freddie Mac transactions (K Series) of 18.6. The top 10 loans represent 10.8% of the pool, compared with 2025 YTD Fitch-rated 10-year Freddie Mac transactions' (K Series) 60.9%. The pool is also more geographically diverse, with an effective geographic count of 27.8, compared with the 2025 YTD Fitch-rated 10-year Freddie Mac transactions' (K Series) 13.9. Fitch applied QRS of '1', instead of '3', to most of the loans in the pool, reflecting the additional benefit of the diversity of the pool and strong historical Freddie Mac loan performance. Ratings Cap: The ratings are capped at the lower of the credit protection buyer (Freddie Mac, rated AA+ by Fitch) and account holder of the charged assets (U.S. Bank National Association, rated A+ by Fitch). Although the current ratings are not constrained by a rating cap, a downgrade of either party may affect the ratings, and upgrades due to improvement in underlying asset performance may be limited based on the caps. 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: 'BBB-sf'/'BB-sf' - 10% NCF Decline: '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: 'BBB-sf'/'BB-sf' - 10% NCF Increase: 'BBB-sf'/'BB-sf CRITERIA VARIATION The loan term was capped at 13 years, consistent with early payoff data provided by a frequent issuer. 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. GALAXY 36 CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Galaxy 36 CLO Ltd./Galaxy 36 CLO LLC's floating- and fixed-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 PineBridge Investments LLC. The preliminary ratings are based on information as of Nov. 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Galaxy 36 CLO Ltd./Galaxy 36 CLO LLC Class A-1, $279.00 million: AAA (sf) Class A-2, $13.50 million: AAA (sf) Class B, $49.50 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D-1 (deferrable), $27.00 million: BBB- (sf) Class D-2 (deferrable), $4.50 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $42.50 million: NR NR--Not rated. GCAT 2025-NQM7: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to eight classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2025-NQM7 Trust, and sponsored by Blue River Mortgage VI LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by GCAT 2025-34, LLC and GCAT 2025-35, LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GCAT 2025-NQM7 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2(sf) Cl. A-3, Assigned (P)A1 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) 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 1.72%, in a baseline scenario-median is 1.13% and reaches 18.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GREENSKY HOME 2025-3: Fitch Assigns 'BBsf' Rating on Class E Debt ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GreenSky Home Improvement Issuer Trust 2025-3 (GSKY 2025-3). Entity/Debt Rating Prior ----------- ------ ----- GreenSky Home Improvement Issuer Trust 2025-3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 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 Consistent Receivable Quality: GSKY 2025-3 is backed by economic participations in an asset pool of fixed-rate unsecured home improvement loans, including advances made on the loans after the closing date (see the next Key Rating Driver), extended mainly to prime obligors (FICO scores below 700 account for 4.2% of IPB) in the U.S. originated by Goldman Sachs Bank USA and Synovus Bank through the GreenSky Program. The GreenSky Program offers three core loan products: reduced rate loans, zero-interest loans and deferred interest loans, as further described in this Rating Action Commentary. Loan proceeds are earmarked for heating, ventilation and air conditioning (HVAC) systems; kitchens and bathrooms; basement projects; and windows, solar/energy efficiency products and other home improvement products and services. The characteristics of the initial asset pool are generally in line with those of prior GreenSky transactions as well as peer home improvement lenders. The weighted average (WA) FICO score of the asset pool is 783. The WA original term of the asset pool is 119 months and WA loan seasoning is four months. Loans with Future Advances: As of the statistical asset pool cutoff date of Sept. 7, 2025, around 10.0% of the initial asset pool was composed of participations in open purchase window loans (OPWLs). OPWLs have a remaining purchase window during which the borrower can draw additional funds, increasing the loan amount up to a contractual maximum, to cover additional expenses or purchases related to home improvement projects with the merchant. Participations in loans in the initial asset pool feature a remaining purchase window of up to six months from the final cutoff date. The issuer commits to purchasing all remaining draws on OPWLs up to a maximum drawable amount of approximately $97.6 million through a part of periodic available collections on the asset pool and funding provided by the funding interest. Fitch assigned a 'AAAsf' rating-case default multiple that was 0.25x higher than that for other loans to account for OPWLs' possible performance volatility in the event that the related home improvement project is not complete as of the closing date and the risk that the additional funding may not be provided to the borrower upon insolvency of Synovus Bank, as the originator partner funding the loan to the borrower, or the funding interest holder, which (together with the Retained Interest Holder) provides the funding required by the transaction to purchase participations in the additional draws to the extent there are insufficient available funds in the issuer's account. Asset Pool Assumptions: Fitch's WA lifetime base-case default rate assumption is 5.9% for the initial pool, based on the mix of product type and FICO scores. Given the open loans' mechanism, pool composition may change slightly over the initial six months after the final cutoff, possibly leading to a maximum base case default rate of 6.0%. Fitch assumed a WA rating case default multiple of 5.24x at the 'AAAsf' rating level, assessed at the median-high end of the range of Fitch's applicable rating criteria. It primarily reflects the limited origination-specific performance data history. Consequently, the assumed lifetime default rate for the asset pool is 31.5% at the 'AAAsf' rating level. Fitch applied an 18% base case recovery rate on defaulted loans, based on historical recoveries and forward-looking expectations. Fitch applies a rating-dependent recovery haircut at the higher end of the range provided by Fitch's consumer ABS rating criteria, equal to 60% at 'AAAsf', resulting in an assumed recovery rate at 'AAAsf' of 7.2%. In its analysis, Fitch differentiated prepayment rates according to product type, as the deferred products feature a promotional period during which either no principal or interest is due or just no interest, depending on the type of product. The assumed base-case WA prepayment rate is 20.2% per annum (pa) during the promotional period and 16.1% pa thereafter, also based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's applicable rating criteria and throughout this report. Transaction Structure: GSKY 2025-3 financed the purchase of the participations in the asset pool via seven classes of rated notes (Class A-1, A-2, A-3 [together the Class A notes], B, C, D, and E notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in December 2025. Credit enhancement (CE) to the notes is provided by overcollateralization (OC; initially equal to 5.5% of 95% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve fund sized at 0.50% of the initial note balance over 95%, as well as excess spread to the extent generated by the asset pool (initially estimated at 7.2% pa). The structure envisages an OC build-up to a target of 6.0% of 95% of the outstanding asset pool, with a floor of 0.50% of 95% of the initial asset pool. Additionally, the target OC for Class A is 36.5%. Total hard CE at closing (as a percentage of 95% of the initial asset pool, including reserve fund and excluding excess spread) is 30.8%, 21.3%, 16.3%, 10.7% and 6.0% for Class A, B, C, D, and E notes, respectively. Funding Interest and Unhedged Interest Rate Risk: The transaction includes a funding interest, serving as a variable funding note (VFN), to fund the portion of the purchase price for participations in future advances made on the loans after the closing date (the OPWLs) that is not funded via collections received by the issuer with respect to the asset pool. As of the cutoff date, the aggregate amount of potential future advances on OPWLs is equal to approximately $97.6 million. Interest on funded amounts under the funding interest will carry a variable-interest rate equal to one-month term SOFR plus a margin, payable in priority to class A interest payments. As the loans in the asset pool pay a fixed interest rate; the variable-rate interest on the funding interest exposes the transaction to interest rate risk, which Fitch considered a residual risk given the funding interest can represent no more than 13% of the rated bonds (11.25% of the asset pool, assuming all OPWLs are fully funded) and the repayment of the funding interest is due to occur by no later than month seven from closing in Fitch's modeling of rating-case scenarios. Fitch applied interest rate stresses under its "Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria." Adequate Servicing Capabilities: Under the transaction structure, Synovus Bank will hold the legal title and servicing rights to the underlying home improvement loans. GreenSky, together with its subsidiary, GreenSky Servicing, LLC and other affiliates will act servicer for the transaction; Systems & Services Technologies, Inc. (SST), will act as backup servicer for the transaction upon closing and on behalf of and as agent for the origination partner (Synovus Bank). The servicer causes collections from the asset pool to be transferred to an origination partner designated account within two business days of receipt, and then to the payment account held with Wilmington Trust, National Association (classified as a transaction account bank under Fitch's counterparty criteria) on the following business day. Fitch reviewed the potential commingling exposure of three days of collections, sized at about 20 bps of the initial asset pool, and considered the exposure immaterial in light of the credit protection available to the notes. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk as in line with ratings up to 'AAAsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examined the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than, and recovery assumptions that are lower than, the initial base case. An increase in base case defaults by 50% may lead to downgrades up to -2 notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. A decrease in base case defaults by 50% may lead to upgrades up to three categories. CRITERIA VARIATION In its analysis of the transaction, Fitch applied a criteria variation to its "Consumer ABS Rating Criteria," which stipulates a maximum of one-notch deviation between the model implied rating (MIR)derived under Fitch's cash flow modeling (via Fitch's Solar Loans ABS Cash Flow Model) and assigned ratings, when assigning ratings to a new ABS issuance. For Class C, D and E notes, Fitch assigned ratings below the MIR in excess of one notch (ranging between two and three notches), given the subordinate position of these tranches and resulting reliance on excess spread generated by the structure, as well as the increased sensitivity of the default trigger to its default assumptions and default timing. For Class C, D and E notes, Fitch assigned ratings below the MIR in excess of one notch (up to three notches), given the additional risk arising from the funding interest structure, the reliance of the structure to the cumulative net loss trigger, and related sensitivity of the model implied ratings to default timing assumptions. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 155 randomly selected statistical receivables. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2021-ROSS: DBRS Confirms C Rating on 3 Classes ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of the Commercial Mortgage Pass-Through Certificates issued by GS Mortgage Securities Corporation Trust 2021-ROSS as follows: -- Class A to A (low) (sf) from AA (low) (sf) -- Class A-Y to A (low) (sf) from AA (low) (sf) -- Class A-Z to A (low) (sf) from AA (low) (sf) -- Class A-IO to A (low) (sf) from AA (low) (sf) -- Class B to BB (low) (sf) from A (low) (sf) -- Class C to CCC (sf) from BB (low) (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS maintained the Negative trends on Classes A, A-Y, A-Z, A-IO, and B. Classes C, D, E, F, and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The Class A, A-Y, A-Z, and A-IO certificates (the CAST certificates) can be exchanged for other classes of CAST certificates and vice versa, as described in the offering memorandum. The $691.0 million loan is secured by the fee-simple interest in seven Class A/Class B office properties totaling approximately 2.1 million square feet in Arlington, Virginia. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss expectations for the underlying loan. Despite the execution of a loan modification and the loan's return to the master servicer since last review, Morningstar DBRS' opinion continues to hold that the loan will be resolved with a significant loss to the trust. As such, the liquidation analysis was updated with this review to incorporate changes commensurate with the terms of the loan modification, which Morningstar DBRS anticipates will increase total loan exposure by final disposition, as further outlined below. At the last review, Morningstar DBRS liquidated the loan based on a 25.0% haircut to the January 2024 appraised value of $682.7 million. Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all outstanding advances at the time of the review, Morningstar DBRS' previous liquidation scenario indicated a total trust exposure of nearly $800.0 million and implied losses exceeding $285.0 million, which would erode into Class E, supporting the downgrades to all classes. In January 2025, the loan was modified to extend the maturity date to December 2027, with two one-year extension options, and to change the loan's interest rate from its original floating-rate structure to a fixed-rate, pay-and-accrue structure. Based on the terms of the agreement, the loan will pay interest at 6.0%, with 3.0% paid current and the remaining 3.0% accruing. During the extension terms, the pay rate will increase to 3.5%. To facilitate the modification, the borrower guaranteed $50.0 million of new equity, of which, $20.0 million was funded in cash with $7.5 million used to pay down outstanding advances. As of the October 2025 remittance, outstanding servicer advances made prior to the loan modification were reported at $32.5 million and accrued interest was estimated at approximately $17.3 million, with interest shortfalls totaling $28.6 million, affecting Class D and below. In the analysis for this review, Morningstar DBRS applied a 30.0% haircut to the January 2024 appraised value to account for the soft submarket and the potential for further value decline, resulting in a liquidation value of $477.9 million (loan-to-value ratio (LTV) of 144.6%). Inclusive of a 1.0% liquidation fee, all outstanding servicer advances made prior to the loan modification, all current deferred interest, and projected deferred interest through the loan's final extended maturity, Morningstar DBRS' liquidation scenario indicates the total trust exposure could reach nearly $830.0 million. The implied losses based on the outlined liquidation scenario exceed $340.0 million, which would erode into Class D, supporting the downgrade to C (sf). Although the results of the liquidation scenario suggest that Classes A, B, and C are insulated from loss at this point in time, the implied LTV for each of those classes, based on the estimated amount of proceeds that would be received upon liquidation, has increased beyond the LTV Sizing Benchmarks at each of the respective prior credit rating categories, supporting the credit rating downgrades to those classes with this review. As of June 2025, the collateral was 74.7% occupied, in line with the Rosslyn/Courthouse submarket, which reported an occupancy rate of 73.0%, according to Reis. Reis projects submarket vacancy to marginally improve in the next five years but expects vacancy to remain higher than 20.0%, suggesting that significant improvements to the portfolio's performance are unlikely. The portfolio's largest tenant is the U.S. Department of State (16.1% of the portfolio's net rentable area (NRA)), with a lease expiration in 2034. Inclusive of other government tenants, U.S. General Services Administration comprise 20.9% of the portfolio NRA. No other single tenant occupies more than 6.0% of the portfolio's NRA or represents more than 8.0% of the gross rents. Because of a change in property management occurring in 2024, consolidated YE2024 financials were not provided. According to the annualized trailing nine-month (T-9) financials ended September 30, 2024, the portfolio reported a net cash flow (NCF) of $53.9 million. While T-6 financials are being reported for the period ended June 30, 2025, Morningstar DBRS believes they may be inflated, as provided operating statements for the same period report $5.6 million of pre-paid rent and $755,000 of termination fee income. When excluding these figures, the annualized T-6 ended June 30, 2025, NCF is approximately $53.8 million, in line with the Q3 2024 NCF and implying a capitalization rate of 11.3% based on the Morningstar DBRS liquidation value of $477.9 million. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-NQM6: Fitch Assigns B(EXP) Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-NQM6 (GSMBS 2025-NQM6 Trust). Entity/Debt Rating ----------- ------ GSMBS 2025-NQM6 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating 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 PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 848 nonprime loans originated by various entities and have a total balance of approximately $324 million, as of the cut-off date. The transaction is scheduled to close on or about Nov. 26, 2025. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2025-NQM6 has a final probability of default (PD) of 38.38% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 44.6%. The expected loss in the 'AAAsf' rating stress is 17.11%. Structural Analysis (Positive): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1A, A-1B, A-2 and A-3 certificates until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1A, A-1B, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes toward the senior cap carryover amount on any date for as long as there is an unpaid cap carryover amount for any of the senior classes. This increases the principal and interest (P&I) allocation for the senior classes as long as the B-3 class is not written down. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2025-NQM6 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. 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 37.5%, at 'AAA'. The analysis indicates 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 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) for SitusAMC, Consolidated Analytics, Selene, Opus, and Evolve; all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Third-party due diligence was performed on 100.0% of the loans in the transaction, and all reviewed loans were graded "A" or "B". Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B. 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 2024-1: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the classes of notes issued by Harvest SBA Loan Trust 2024-1. Debt Rating Action ---- ------ ------ Class A Notes A (low) (sf) Confirmed Class B Notes BBB (low) (sf) Confirmed Class C Notes BB (sf) Confirmed The credit rating confirmations are based on the following analytical considerations: -- The transaction's capital structure and available credit enhancement (CE), which has increased since inception. -- CE consists of overcollateralization, subordination, cash held in the Reserve Account, and available excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS stresses. -- Collateral performance for the most part is within expectations. The Default Trigger was breached as of the October 2025 distribution date, changing the priority of payments from pro rata to sequential. This trigger is curable if defaults fall below the trigger threshold. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing of SBA 7(a) loans. -- The transaction features a full turbo structure to the Notes. -- 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 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. HERTZ VEHICLE III: DBRS Confirms Credit Ratings on 28 Securities ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on 28 securities issued by seven Hertz Vehicle Financing III LLC transactions as detailed in the summary chart below. The Affected Ratings are available at https://tinyurl.com/4htuayc2 The Issuers are: Hertz Vehicle Financing III LLC, Series 2021-2 Hertz Vehicle Financing III LLC, Series 2024-2 Hertz Vehicle Financing III LLC, Series 2024-1 Hertz Vehicle Financing III LLC, Series 2023-3 Hertz Vehicle Financing III LLC, Series 2023-1 Hertz Vehicle Financing III LLC, Series 2023-2 Hertz Vehicle Financing III LLC, Series 2023-4 The credit rating confirmations are based on the following analytical considerations: -- Transaction's capital structure, current rating, and sufficient credit enhancement (CE) levels. Current CE has remained stable relative to initial levels and at the required levels for each class of notes. -- The fleet mix remains stable and strong, with a high portion of vehicles from investment grade manufacturers. -- Gains above book value remain consistently strong, with residual gains well over 100% in recent months. -- Collateral performance is within expectations. The master trust is in compliance with respect to the key concentration limits and all performance related triggers. -- 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. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2025-5 D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the series 2025-5 and series 2025-6 rental car asset-backed notes to be issued by Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2025-5 notes and the series 2025-6 notes will have an expected final payment date in three and five years, respectively. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2025-5 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-5 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-5 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-5 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-6 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available credit enhancement, which consists of subordination and over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-3 and series 2025-4 transactions, except for the share of program vehicles. Moody's increased program vehicle percentage to 7.1% from 4.8% due to the recent increase in the concentration of program vehicles in the fleet and the sponsor's 2026 forecast. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Hertz Vehicle Financing III LLC, Series 2025-5 and Series 2025-6 pre-sale report. Detailed application of the assumptions is provided in the methodology. The required credit enhancement for the series 2025-5 and series 2025-6 notes will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. The series 2025-5 and 2025-6 class A, B, and C notes will also benefit from subordination of 31.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. The minimum liquidity enhancement amount will be around 3.50% of the outstanding note balance for the series 2025-5 notes and 3.75% for the series 2025-6 notes, sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-5 and 2025-6 subordinated notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2025-5 and 2025-6 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HOMES 2025-AFC4: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2025-AFC4 Trust's series 2025-AFC4 mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 1,098 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) HOMES 2025-AFC4 Trust Class A-1A, $299,986,000: AAA (sf) Class A-1B, $46,152,000: AAA (sf) Class A-1, $346,138,000: AAA (sf) Class A-2, $39,921,000: AA (sf) Class A-3, $44,998,000: A (sf) Class M-1, $12,461,000: BBB (sf) Class B-1, $8,307,000: BB (sf) Class B-2, $5,769,000: B (sf) Class B-3, $3,923,656: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $461,517,656 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. HPS LOAN 15-2019: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan Management 15-2019, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- HPS Loan Management 15-2019, Ltd. X-R2 LT AAAsf New Rating A-1R2 LT AAAsf New Rating A-2-R 40439DAQ1 LT PIFsf Paid In Full AAAsf A-2R2 LT AAAsf New Rating B-R 40439DAS7 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 40439DAU2 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating D-R 40439DAW8 LT PIFsf Paid In Full BBB-sf E-R2 LT BB-sf New Rating Transaction Summary HPS Loan Management 15-2019, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HPS Investment Partners CLO (UK) LLP. The transaction originally closed in 2019 and was first refinanced in March 2022. On the first refinancing date, all the notes, except the subordinated notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million of primarily first lien senior secured leveraged loans (excluding defaults). 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 22.69 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 97.98% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.01% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A-sf' and 'AA+sf' for class A-1R2, between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+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 X-R2, class A-1R2 and 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, 'AAsf' for class C-R2, 'A-sf' for class D-1R2, 'BBB+sf' for class D-2R2, and 'BBBsf' 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 HPS Loan Management 15-2019, 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. ICG US 2018-1: Moody's Affirms Ba3 Rating on $18MM Class D Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by ICG US CLO 2018-1, Ltd.: US$22M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Mar 17, 2025 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$48M (Current outstanding amount US$26,680,587) Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 17, 2025 Upgraded to Aaa (sf) US$24M Class B Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 17, 2025 Upgraded to Aaa (sf) US$18M Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 8, 2020 Confirmed at Ba3 (sf) ICG US CLO 2018-1, Ltd., issued in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by ICG Debt Advisors LLC - Manager Series. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class C notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A-2, B and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Since the last rating action, the USD64.1 million remaining balance of the class A-1 notes were fully repaid and subsequently the Class A-2 notes were also paid down by an additional USD21.3 million (44.4%). Cumulatively, USD277.3 million has been repaid since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated October 2025[1] the Class A, Class B, Class C and Class D OC ratios are reported at 209.03%, 151.25%, 120.67% and 103.55% compared to February 2025[2] levels of 163.99%, 135.07%, 116.28% and 104.39%, respectively. Moody's notes that the October 2025 principal payments are not reflected in the reported OC ratios. 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: USD98.4m Defaulted Securities: USD3.5m Diversity Score: 32 Weighted Average Rating Factor (WARF): 3458 Weighted Average Life (WAL): 2.87 years Weighted Average Spread (WAS): 3.33% Weighted Average Recovery Rate (WARR): 46.56% Par haircut in OC tests and interest diversion test: 5.72% 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 "Collateralized Loan Obligations" published in October 2025. 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. 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. 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. ICG US CLO 2025-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2025-2 Ltd./ICG US CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC – Manager Series, an affiliate of Intermediate Capital Group PLC. The preliminary ratings are based on information as of Nov. 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 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 ICG US CLO 2025-2 Ltd./ICG US CLO 2025-2 LLC Class A, $252.000 million: AAA (sf) Class B, $52.000 million: AA (sf) Class C (deferrable), $24.000 million: A (sf) Class D-1 (deferrable), $20.000 million: BBB- (sf) Class D-2 (deferrable), $4.000 million: BBB- (sf) Class E (deferrable), $14.000 million: BB- (sf) Subordinated notes, $36.725 million: NR NR--Not rated. INVESCO US 2025-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2025-3, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2025-3, 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 Invesco U.S. CLO 2025-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49, 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 98.35% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.45% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. 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 notes, 'AAsf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E 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 Invesco U.S. CLO 2025-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. JP MORGAN 2021-410T: DBRS Confirms B Rating on Class D Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-410T issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-410T as follows: -- Class A at AA (sf) -- Class B at BBB (sf) -- Class X-A at BBB (high) (sf) -- Class C at BB (sf) -- Class D at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The transaction is collateralized by a redeveloped Class A office and retail building in Manhattan's Hudson Yards submarket. The credit rating confirmations reflect Morningstar DBRS' overall outlook for the transaction, which remains relatively unchanged since the prior review in November 2024. At that time Morningstar DBRS downgraded its credit ratings on Classes A, X-A, and B, given the increased risks in the property's occupancy decline and lack of positive leasing momentum, and as a result of the downward pressure implied by the loan-to-value (LTV) Sizing Benchmarks following updates to Morningstar DBRS' analysis. Although the property's occupancy rate has remained below 70.0%, following the early lease termination of the former second-largest tenant, First Republic Bank (First Republic; formerly 33.5% of net rentable area (NRA)), the loan's anticipated repayment date (ARD) is in January 2028, providing the sponsor with a fair amount of time to backfill vacant space at the property. Other mitigating factors include the loan's strong institutional sponsorship by 601W Companies, the property's prime location and the lack of significant rollover risk in the remaining tenancy during the rest of the fully extended loan term. In addition, the most recently derived Morningstar DBRS Value continues to suggest that the senior Class A and Class B certificates are generally well insulated against loss, with credit enhancement levels of approximately 44.0% and 30.0%, respectively. These factors, in addition to the property's in-place cash flows, which are sufficient to support the outstanding mortgage debt, form Morningstar DBRS' primary rationale for the credit rating confirmations and Stable trends with this review. In the event unforeseen circumstances arise, which would negatively impact the property value and/or the sponsor's commitment to the subject loan, Morningstar DBRS notes the credit ratings could be affected, as applicable. The sponsor acquired the property, formerly known as the Master Printers Building, for $952.5 million. The whole loan amount of $705.0 million consists of seven senior A notes totaling $408.0 million, one junior B note totaling $157.0 million, a senior mezzanine loan totaling $20.0 million, and one junior mezzanine loan totaling $120.0 million. Six of the seven senior A notes and the junior B note are securitized in the subject transaction. The trust loan is interest only (IO) throughout the ARD term. The terms of the ARD require that, should the loan remain outstanding beyond that date, it will incur additional interest and will begin hyper-amortizing, with the fully extended maturity date occurring in March 2032. Should the former First Republic space remain vacant, Morningstar DBRS expects there would be little to no excess cash flow available to pay down the loan. As such, during the prior credit rating action, Morningstar DBRS removed the ARD credit applied in the LTV-sizing benchmarks at issuance. According to the trailing six months ended June 30, 2025, financial reporting, the property was 65.2% occupied and generated an annualized net cash flow (NCF) of $24.2 million, resulting in a debt service coverage ratio (DSCR) of 1.11 times (x). In comparison, the property was 99.2% occupied and generated $49.0 million of NCF (a DSCR of 2.25x) at issuance. First Republic formerly accounted for approximately 38.0% of the base rent. The two largest tenants at the property are Amazon.com Services Inc. (52.8% of the NRA, lease expiry in May 2037) and Related (11.9% of the NRA, lease expiry in 2045). Both tenants have termination options beginning in 2030 and every subsequent five years. The loan is currently cash managed because of First Republic's lease termination, and according to the terms of the loan agreement the lender will continue to sweep excess cash until such time the cumulative amount being held in the excess cash flow reserve fund exceeds $100 per square foot (psf). According to the October 2025 reporting, reserve balances total $5.7 million. According to the servicer, the borrower continues to market vacant space at the property with several prospective tenants showing interest; however, no new leases have been signed to date. Per Q2 2025 Reis data, Class A properties within a one-mile radius reported vacancy and average rental rates of 9.5% and $83.24 psf, respectively; compared with the subject property's average office rental rate of approximately $86.00 psf. Reis projects submarket vacancy rates to continue to remain relatively steady over the next few years, a factor which should contribute to positive leasing traction in the near to moderate term. In the analysis for this review, Morningstar DBRS maintained the valuation approach from the December 2023 credit rating action. As part of that review, The Morningstar DBRS NCF was updated based on the in-place tenancy and expected lease-up costs of the vacant First Republic space. That analysis resulted in a stabilized Morningstar DBRS value of $539.3 million, a -19.0% and -44.0% variance from the Morningstar DBRS value and appraised value derived at issuance, respectively. The Morningstar DBRS Value implies an LTV of 75.7% on the senior debt and an LTV of 105.0% based on the total mortgage debt amount of $565.0 million. The leverage increases substantially to an all-in Morningstar DBRS LTV of 131.0% when factoring in both the senior and junior mezzanine loans. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 5.0% in the LTV sizing benchmarks to account for stable market fundamentals and above average property quality. The credit rating assigned to the Class C certificate is higher than the result implied by the LTV Sizing Benchmarks by three or more notches. The variances are warranted given the loan's strong sponsorship, Class A status of the property, the overall desirability of the subject's submarket, and the in-place cash flows, which suggest there remains sufficient cash flow to support the outstanding mortgage debt. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-HE3: Fitch Gives B-(EXP) Rating on Class B3 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-HE3 (JPMMT 2025-HE3). Entity/Debt Rating ----------- ------ JPMMT 2025-HE3 A1 LT AAA(EXP)sf Expected Rating M1 LT AA+(EXP)sf Expected Rating M2 LT A(EXP)sf Expected Rating M3 LT BBB(EXP)sf Expected Rating B1 LT BBB-(EXP)sf Expected Rating B2 LT BB(EXP)sf Expected Rating B3 LT B-(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by first- and second-lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2025-HE3 (JPMMT 2025-HE3), as indicated above. This is the ninth transaction to be rated by Fitch that includes prime-quality first- and second-lien HELOCs with open draws off the JPMMT shelf and the eight second-lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificates are 5,372 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $600,04 million (includes the maximum HELOC draw amount). Of the loans, 97.8% are purchases, over 90% are single- family/PUDs, and 89.7% are owner-occupied or second homes. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze and may be opened in the future. As of the cutoff date, weighted average (WA) utilization of the HELOCs is 91.72%, per the transaction documents. Per Fitch's analysis, the main originators in the transaction are United Wholesale Mortgage (64.69), and Better Mortgage Corporation (21.46,). All other originators make up less than 15% of the pool. The loans are serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 94.95%) and loanDepot.com LLC (5.05%). Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Chase Bank, National Association (JPMCB). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2025-HE3 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. Fitch based its analysis on the current total amount drawn by the borrower to date on the HELOC, not just the balance of the loans in this transaction. As a result, all Fitch-determined percentages are based on the HELOC-drawn amount. The servicers, Shellpoint and loanDepot.com, LLC, will not be advancing delinquent (DQ) monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans. These loans are adjusted based on the prime rate. The Class A-1, M-1, M-2, M-3 and B-1 certificates are floating rate and use SOFR as the index; they are capped at the net WA coupon (WAC). The annual rate on Class B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The participation interest is in a fixed pool of draws related to 5,372 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $600,04 million (includes the maximum HELOC draw amount). Of the loans, 97.8% are purchases, over 90% are single-family/PUDs, and 89.7% are owner-occupied or second homes. The loans are seasoned at an average of 10 months. The pool has a weighted average (WA) original FICO score of 747, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.52%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 72.61%. This transaction has a Final PD of 22.23% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 96.79%. The expected loss in the 'AAAsf' rating stress is 21.51%. Structural Analysis (Mixed): JPMMT 2025-HE3 has Modified Sequential structure with No Advancing The proposed structure is a modified-sequential structure in which principal is distributed pro rata to the A-1, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent the triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, as well as cap carryover amounts. The transaction has a lockout feature benefiting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 classes is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the NPL percentage plus (iii) the charged off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected toward the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out starting on day one. The A-1 and M classes are floating-rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the B-1, B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with Class B-4. The servicer will not advance delinquent monthly payments of P&I. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2025-HE3 to be fully de-linked and the transaction will be structured with a bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2025-HE3; therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without caps. 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 37.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 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, Digital Risk, 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 applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. 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, 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. 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 are 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 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-INV2: Fitch Gives B-(EXP) Rating on Class B5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2025-INV2 (JPMMT 2025-INV2). Entity/Debt Rating ----------- ------ JPMMT 2025-INV2 A1 LT AA+(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10C LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A10X4 LT AAA(EXP)sf Expected Rating A10X5 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11A LT AAA(EXP)sf Expected Rating A11B LT AAA(EXP)sf Expected Rating A11C LT AAA(EXP)sf Expected Rating A11X1 LT AAA(EXP)sf Expected Rating A11X2 LT AAA(EXP)sf Expected Rating A11X3 LT AAA(EXP)sf Expected Rating A11X4 LT AAA(EXP)sf Expected Rating A11X5 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A12A LT AAA(EXP)sf Expected Rating A12B LT AAA(EXP)sf Expected Rating A12C LT AAA(EXP)sf Expected Rating A12X1 LT AAA(EXP)sf Expected Rating A12X2 LT AAA(EXP)sf Expected Rating A12X3 LT AAA(EXP)sf Expected Rating A12X4 LT AAA(EXP)sf Expected Rating A12X5 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13A LT AAA(EXP)sf Expected Rating A13B LT AAA(EXP)sf Expected Rating A13C LT AAA(EXP)sf Expected Rating A13X1 LT AAA(EXP)sf Expected Rating A13X2 LT AAA(EXP)sf Expected Rating A13X3 LT AAA(EXP)sf Expected Rating A13X4 LT AAA(EXP)sf Expected Rating A13X5 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14A LT AAA(EXP)sf Expected Rating A14B LT AAA(EXP)sf Expected Rating A14C LT AAA(EXP)sf Expected Rating A14X1 LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A14X5 LT AAA(EXP)sf Expected Rating A2 LT AA+(EXP)sf Expected Rating A2A LT AA+(EXP)sf Expected Rating A2B LT AA+(EXP)sf Expected Rating A2C LT AA+(EXP)sf Expected Rating A2X1 LT AA+(EXP)sf Expected Rating A2X2 LT AA+(EXP)sf Expected Rating A2X3 LT AA+(EXP)sf Expected Rating A2X4 LT AA+(EXP)sf Expected Rating A2X5 LT AA+(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3C LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A3X4 LT AAA(EXP)sf Expected Rating A3X5 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4C LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A4X4 LT AAA(EXP)sf Expected Rating A4X5 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5C LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A5X4 LT AAA(EXP)sf Expected Rating A5X5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6C LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A6X4 LT AAA(EXP)sf Expected Rating A6X5 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7C LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A7X4 LT AAA(EXP)sf Expected Rating A7X5 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8C LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A8X4 LT AAA(EXP)sf Expected Rating A8X5 LT AAA(EXP)sf Expected Rating A9 LT AA+(EXP)sf Expected Rating A9A LT AA+(EXP)sf Expected Rating A9B LT AA+(EXP)sf Expected Rating A9C LT AA+(EXP)sf Expected Rating A9X1 LT AA+(EXP)sf Expected Rating A9X2 LT AA+(EXP)sf Expected Rating A9X3 LT AA+(EXP)sf Expected Rating A9X4 LT AA+(EXP)sf Expected Rating A9X5 LT AA+(EXP)sf Expected Rating AX1 LT AA+(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating RX LT NR(EXP)sf Expected Rating Transaction Summary The JPMMT 2025-INV2 certificates are supported by 450 loans with a scheduled balance of $328.74 million as of the cutoff date. The pool consists of 100% prime quality investor loans that are underwritten to the borrowers' credit profile. The loans are fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years. The loans are originated mainly by United Wholesale Mortgage, LLC with various other originators contributing less than 10% each. All mortgage loans in the pool will be serviced by JPMCB and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Nationstar is the master servicer. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 100% prime quality investor loans that are underwritten to the borrowers' profile. The loans are fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years and 66.11% of the loans are purchases, over 60% of the loans are single family/PUDs with 18% being multi- family and 12% being condos. The loans are newly originated. The pool has a weighted average (WA) original FICO score of 771, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.59%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 75.83%. This transaction has a Final PD of 15.13% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 39.66%. The expected loss in the 'AAAsf' rating stress is 6.00%. Structural Analysis (Mixed): JPMMT 2025-INV2 has a senior/subordinate shifting interest structure with Full Advancing. The mortgage cash flow and loss allocation in JPMMT 2025-INV2 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. This transaction has CE or subordination floors. The CE or senior subordination floor of 2.00% 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 1.70% 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. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-C is written off. This transaction has full advancing of DQ P&I until it is deemed non-recoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2025-INV2 to be fully de-linked and the transaction to be structured with a bankruptcy remote special-purpose vehicle. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2025-INV2 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any Rating Caps. 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 37.4%, at 'AAA'. The analysis indicates 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 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) by or SitusAMC, Clayton, Consolidated Analytics, and Maxwell; all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Third-party due diligence was performed on 100.0% of the loans in the transaction, and all reviewed loans were graded "A" or "B". Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B. 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." AMC, Maxwell, Clayton, and Consolidated Analytics 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 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 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. JPMCC 2012-CIBX: DBRS Confirms C Rating on 3 Classes ---------------------------------------------------- DBRS Limited confirmed its credit ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2012-CIBX issued by JPMCC 2012-CIBX Mortgage Trust as follows: -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) None of these classes have credit ratings that carry a trend in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect the minimal changes to Morningstar DBRS' expectations and the ongoing credit risk associated with the two remaining loans in the pool, Jefferson Mall (Prospectus ID#4; 50.9% of the current pool balance) and Southpark Mall (Prospectus ID#5; 49.1% of the current pool balance). Both loans previously underwent loan modifications and were returned to the master servicer in 2023, however, in May 2025, the Southpark Mall loan transferred back to the special servicer for imminent monetary default. The 2023 modification terms included maturity date extensions for both loans to June 2026, as well as the execution of a hard lockbox requiring excess cash flow to be applied to principal payments and to fund reserves. As of the October 2025 remittance, transaction reserves total $3.7 million, a decline from $8.3 million at Morningstar DBRS' last review. Given the default history and performance concerns across both loans, Morningstar DBRS conducted a recoverability analysis of the remaining collateral as the basis for its credit ratings. The analysis considered the most recent appraised values for the two underlying assets, the continued declining performance, and the potential for further value decline. Based on the most recent appraised values, future expected losses at disposition will likely be contained to Classes F and G, and the unrated Class NR; however, when subject to additional stress tests, Class E remains exposed to possible losses at resolution, supporting the maintenance of the C (sf) credit ratings across all classes. The Jefferson Mall loan is secured by 281,020 square feet (sf) of in-line space and one stand-alone restaurant parcel in a 956,992-sf super-regional mall in Louisville, Kentucky. The remaining noncollateral anchors are Dillard's, JCPenney, and Tilted 10. As of the June 2025 rent roll, the property was 95.6% occupied, remaining generally in line with historical figures. Approximately 13.9% of the net rentable area (NRA) have leases scheduled to expire within the next 12 months, including two of the top five tenants: H&M (8.1% of the NRA, lease expires in January 2026) and Shoe Department Encore (5.7% of the NRA, lease expires in July 2026). Cash flows have been declining in recent years, with the financials for the trailing 12 months ended March 31, 2025, reporting an NCF of $4.2 million (debt service coverage ratio (DSCR) of 0.95 times (x)), compared with the YE2024 and YE2023 figures of $4.4 million (DSCR of 0.99x) and $5.6 million (DSCR of 1.25x), respectively. The most recent appraisal, dated February 2021, valued the property at $34.7 million, a 65.9% decline from the issuance appraised value of $101.7 million. Given the performance declines, high rollover prior to the loan's maturity, and more dated appraisal, Morningstar DBRS analyzed the loan with a stressed value, resulting in a loss severity of more than 50.0%. The Southpark Mall loan is secured by the borrower's fee-simple interest in 397,596 sf of a larger 687,375-sf regional mall in Colonial Heights, Virginia. The mall is anchored by Dick's Sporting Goods (collateral) and three non-collateral anchors. The loan transferred to special servicing in May 2025 for imminent monetary default. Per the servicer commentary, the special servicer has commenced the receivership and foreclosure process, with the appointment of a receiver approved by the court in July 2025. As of the June 2025 rent roll, the property was 98.0% occupied, remaining in line with historical figures, with approximately 8.8% of the NRA having leases scheduled to expire within the next 12 months. Annualizing the financials for the trailing six months ended June 30, 2025, yields an NCF of $3.9 million (DSCR of 0.91x), a decline from the YE2024 and YE2023 NCFs of $4.2 million (DSCR of 0.99x) and $4.1 million (DSCR of 0.98x), respectively. An updated appraisal was received in July 2025, valuing the property at $25.5 million, representing a 36.3% decline from the February 2021 appraisal of $40.0 million and a 75.2% decline from the issuance appraised value of $103.0 million. Given the continued performance declines, Morningstar DBRS analyzed the loan with a stressed value, resulting in a loss severity approaching 60.0%. Notes: All figures are in U.S. dollars unless otherwise noted. KENNEDY LEWIS 23: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Kennedy Lewis CLO 23 Ltd./Kennedy Lewis CLO 23 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 Kennedy Lewis Investment 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 Kennedy Lewis CLO 23 Ltd./Kennedy Lewis CLO 23 LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.00 million: NR NR--Not rated. KKR CLO 33: S&P Affirms 'B (sf)' Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, and C-R debt from KKR CLO 33 Ltd./KKR CLO 33 LLC, a CLO managed by KKR Financial Advisors II LLC, that was originally issued in 2021. At the same time, S&P withdrew its ratings on the previous class A, B, and C debt following payment in full on the Nov. 21, 2025, refinancing date. S&P also affirmed its ratings on the class D and E notes, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2026. -- No additional assets were purchased on the Nov. 21, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $240.00 million: Three-month CME term SOFR + 1.08% -- Class B-R, $64.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.00% Previous debt -- Class A, $240.00 million: Three-month CME term SOFR + 1.43161% -- Class B, $64.00 million: Three-month CME term SOFR + 2.01161% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.26161% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class C-R, D, and E debt. Given the passing coverage tests along with benefit from a reduction in spreads from this refinancing, we assigned our 'A (sf)' rating on the class C-R debt and affirmed our ratings on the class D and E debt. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned KKR CLO 33 Ltd./KKR CLO 33 LLC Class A-R, $240.00 million: AAA (sf) Class B-R, $64.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Ratings Withdrawn KKR CLO 33 Ltd./KKR CLO 33 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Ratings Affirmed KKR CLO 33 Ltd./KKR CLO 33 LLC Class D (deferrable): 'BBB- (sf)' Class E (deferrable): 'B (sf)' Other Debt KKR CLO 33 Ltd./KKR CLO 33 LLC Subordinated notes, $39.05 million: NR NR--Not rated. KKR FINANCIAL 2013-1: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the KKR Financial CLO 2013-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ KKR Financial CLO 2013-1, Ltd X-R LT NRsf New Rating A-1R3 LT NRsf New Rating A-2R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1R3 LT BBBsf New Rating D-2R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary KKR Financial CLO 2013-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC. The original CLO, closed in June 2013, and was rated by Fitch. The CLO was subsequently reset, and such resets were not rated by Fitch. On Nov. 20, 2025, the CLOs existing secured notes will be redeemed in full from refinancing proceeds. 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 22.6, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.34% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.52% 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 that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and '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, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1-R3, 'A+sf' for class D-2-R3, and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for KKR Financial CLO 2013-1, 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. LENDINGCLUB 2025-SP2: Fitch Assigns 'Bsf' Rating on Class F Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by LendingClub Rated Notes Issuer Trust, Series 2025-SP2 (LENDR 2025-SP2) as listed below. Entity/Debt Rating ----------- ------ LENDR 2025-SP2 A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBBsf New Rating E LT BBsf New Rating F LT Bsf New Rating Transaction Summary LendingClub Bank (LendingClub) is the sponsor of the transaction. LendingClub established the LendingClub Rated Notes Issuer Trust, a master trust, to facilitate the issuance of series notes, certificates and retained interests. Series LENDR 2025-SP2 is a new series issuance out of this larger master trust. The LENDR 2025-SP2 trust is backed by a static pool of unsecured consumer loans originated by LendingClub. KEY RATING DRIVERS Solid Receivable Quality: The LENDR 2025-SP2 pool comprises entirely prime loans assigned the lowest internal risk grade, P1, which reflects the strongest credit quality and lowest risk borrowers. The LENDR 2025-SP2 pool has a weighted average (WA) FICO score of 739; 6.04% of the pool has a FICO below 700, with a minimum FICO of 662. The obligors in the pool have a WA debt-to-income ratio (DTI) of 19.10%. The WA interest rate of the pool is 9.97%, and the pool has a WA remaining term of 45.64 months with around four months of seasoning. Stabilizing Default Rate Trends: LendingClub's go-forward approved default rates for its prime loan portfolio, which collateralizes the capital structure, began to increase early in vintage year 2021 and saw a notable rise by vintage year 2022. The cumulative gross default (CGD) rate for the P1 risk grade in vintage 1Q21 was approximately 3.13% and peaked at approximately 5.91% in vintage 3Q22. However, since initiating corrective measures that included cutting originations to higher-risk grades, performance in subsequent 2023 vintages has been improving qoq. Fitch's WA base case default assumption (the default assumption) for LENDR 2025-SP2 is 7.60%. The default assumption was established based on data stratified by LendingClub's proprietary risk grade and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage year 2021 and recognized the improving default curves in vintage year 2023, which have continued into 2024. Credit Enhancement Mitigates Stressed Losses: Credit enhancement (CE) consists of overcollateralization (OC) and subordination for the senior tranche. Initial hard CE totals 34.36%, 24.42%, 15.02%, 8.32%, 5.63% and 2.72% for the class A, B, C, D, E and F notes, respectively. Although the transaction does not have a reserve account, initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for prime loans. The stress multiples decrease for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, WA borrower FICO scores and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Adequate Servicing Capabilities: LendingClub has a strong track record of servicing consumer loans since launching its online lending marketplace platform in 2007. LendingClub performs pre-charge-off loan servicing activities in-house, along with outsourcing post-charge-off activities to third parties. The bank is the lead servicer on all of its securitization transactions. The trust has assigned CardWorks Servicing, LLC as the backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Increased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf' Base case defaults increase 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'B-sf'/'NRsf' Base case defaults increase 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'/'NRsf' Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case recoveries decrease 10%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf' Base case recoveries decrease 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf' Base case recoveries decrease 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf' Increased Defaults and Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase 10%/ base case recoveries decrease 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf' Base case defaults increase 25%/base case recoveries decrease 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'CCCsf'/'NRsf' Base case defaults increase 50%/base case recoveries decrease 50%: 'Asf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Decreased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults decrease 20%: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf' 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 LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 100 randomly selected sample loans. In addition, for each sample loan PricewaterhouseCoopers LLP observed that the loan contract has been electronically signed by the borrower. 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. LIGHTHOUSE PARK: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Lighthouse Park CLO, Ltd. Entity/Debt Rating ----------- ------ Lighthouse Park CLO, 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 LT NRsf New Rating Transaction Summary Lighthouse Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.91 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.99% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47% of the portfolio balance in aggregate while the top five obligors can represent up to 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 three-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 '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 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 'BBBsf' 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 Lighthouse Park CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MF1 2024-FL15: DBRS Confirms B(low) Rating on 3 Note Classes ------------------------------------------------------------ DBRS, Inc. confirmed all credit ratings on all classes of notes issued by MF1 2024-FL15 LLC as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (sf) -- Class H at B (low) (sf) -- Class F-E at BB (high) (sf) -- Class F-X at BB (high) (sf) -- Class G-E at BB (sf) -- Class G-X at BB (sf) -- Class H-E at B (low) (sf) -- Class H-X at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has remained in line with Morningstar DBRS' expectations since issuance as evidenced by stable performance and leverage metrics. Additionally, the trust is primarily secured by multifamily collateral, which has historically exhibited lower default rates and retained values in times of market downturns than other property types. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 24 floating-rate mortgages secured by 31 mostly transitional properties with a cut-off date balance totaling $845.7 million, excluding $138.9 million of future funding commitments. Most loans were in a period of transition with plans to stabilize performance and improve the values of the underlying assets. The managed transaction includes a 24-month reinvestment period expiring in July 2026. Since closing, one loan, representing 4.4% of the current pool balance, has been added to the trust. Leverage across the pool has remained unchanged since issuance. The current weighted-average (WA) as-is loan-to-value ratio (LTV) is 67.1% and the current WA stabilized LTV is 62.2%, based on the as-is and stabilized appraised values for the collateral properties as provided at issuance or contribution and the current outstanding loan balances. In the analysis for this review, Morningstar DBRS applied LTV adjustments to two loans, representing 12.4% of the current trust balance, generally reflective of higher capitalization rate (cap rate) assumptions compared with the implied cap rates based on the appraisals. As of the October 2025 remittance, there were no loans in special servicing; however, 18 loans, representing 73.1% of the current trust balance, were on the servicer's watchlist. The majority of these loans have been flagged for occupancy and cash flow concerns; however, Morningstar DBRS notes the majority of the underlying properties are newly built and are in the early stages of the respective business plans. In addition to the $51.8 million unrated equity piece, there is also $61.9 million across the three below investment-grade rated bonds, providing credit enhancement of 12.6% to the BBB (low) (sf)-rated Class E Notes. Through September 2025, the lender had advanced cumulative loan future funding of $130.5 million to 12 outstanding individual borrowers to aid in property stabilization efforts. The largest advance, $33.2 million, was to the borrower of the Carolina Crossing loan, which is secured by a 249-home build-to-rent community in Bolivia, North Carolina. The advanced funds have been used to fund the acquisition of the remaining homes and aid in offsetting amenity construction costs. According to the collateral manager, the sponsor has acquired all 249 planned units through eight advances of future funding with the last draw funded in February 2025. An additional $30.1 million of loan future funding allocated to 13 of the outstanding individual borrowers remains available. The largest portion of available funding ($5.8 million) is allocated to the aforementioned Carolina Crossing loan. The second-largest portion of available funds ($5.0 million) is allocated to the Tamarac Village loan, which is secured by a 401-unit, Class A, garden-style apartment community in Tamarac, Florida. As of May 2025, the portfolio was 96.3% occupied, up from 68.0% as of February 2025. According to the Q3 2025 collateral manager's update, the portfolio was 96.3% occupied as of May 2025. As of the YE2024 reporting, the property reported an NCF of $6.4 million equating to a DSCR of 0.80x and debt yield of 7.1%. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2025-NQM9: 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-NQM9's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and five- to 10-unit multifamily properties. The pool consists of 830 loans backed by 894 properties, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher-priced mortgage loan, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. Of the 830 loans, 21 loans are cross-collateralized loans backed by 85 properties. S&P said, "After we assigned preliminary ratings on Nov. 13, 2025, the issuer dropped four loans. In addition, the class B-1 certificate rate was priced at a fixed rate coupon, and the credit support increased for classes A-3, M-1, B-1, and B-2. After analyzing the final pool, final coupons and the updated structure, we assigned ratings to the classes that 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.; -- The mortgage originators, including S&P Global Ratings reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9 Class A-1-A, $273,603,000: AAA (sf) Class A-1-B, $40,594,000: AAA (sf) Class A-1, $314,197,000: AAA (sf) Class A-2, $14,614,000: AA- (sf) Class A-3, $47,089,000: A- (sf) Class M-1, $13,193,000: BBB- (sf) Class B-1, $6,495,000: BB (sf) Class B-2, $6,292,000: B (sf) Class B-3, $4,060,127: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $20,298,977: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $405,940,127. NR--Not rated. MOUNTAIN VIEW XVI: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class X-RR, A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR debt from Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC, a CLO managed by Seix Investment Advisors that was originally issued in November 2022 and underwent a refinancing in April 2024. The preliminary ratings are based on information as of November 25, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 04, 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 X, A-1R, A-2R, B-R, C-R, D-R, and E-R debt and assign ratings to the replacement class X-RR, A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR 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 weighted average cost of debt than the existing debt. -- The existing class D debt will be replaced by two new classes of debt, D-1RR and D-2RR, which are sequential in payment. -- The reinvestment period will be extended to Oct. 15, 2030. -- The non-call period will be extended to Oct. 15, 2027. -- The legal final maturity dates for the replacement debt and the subordinated debt will be extended to March 15, 2038. -- No additional assets will be purchased on the Dec. 04, 2025, refinancing date, and the target initial par amount will reduce to $399.10 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 15, 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 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 Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Class X-RR, 3.500 million: AAA (sf) Class A-1RR, $239.450 million: AAA (sf) Class A-2RR, $23.950 million: AAA (sf) Class B-RR, $39.900 million: AA (sf) Class C-RR (deferrable), $23.950 million: A (sf) Class D-1-RR (deferrable), $19.950 million: BBB (sf) Class D-2-RR (deferrable), $7.980 million: BBB- (sf) Class E-RR (deferrable), $10.975 million: BB- (sf) Other Debt Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Subordinated notes, $27.500 million: NR NR--Not rated. MSBAM COMMERCIAL 2012-CKSV: DBRS Confirms B Rating on Cl. CK Certs ------------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2012-CKSV issued by MSBAM Commercial Mortgage Securities Trust 2012-CKSV as follows: -- Class A-2 to BBB (low) (sf) from A (sf) -- Class X-A to BBB (sf) from A (high) (sf) -- Class X-B to CCC (sf) from BBB (sf) -- Class B to CCC (sf) from BBB (low) (sf) -- Class C to C (sf) from B (high) (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit rating: -- Class CK at B (sf) Classes A-2, X-A, and CK have Negative trends. Classes B, C, D, and X-B have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades are supported by a recoverability analysis, discussed further below, which indicates realized losses for Classes B, C, and D with the resolution of the underlying loans are likely. The subject transaction is backed by two separate mortgage loans on two regional mall properties known as Clackamas Town Center (Clackamas) and Sunvalley Shopping Center (Sunvalley). All classes except for Class CK are pooled certificates backed by both loans; Class CK is backed by the subordinate B note debt on the Clackamas property. At the previous credit rating action, Negative trends were placed on all classes to reflect the possibility of further value declines over the remaining term for both collateral malls. Since that time, Morningstar DBRS' liquidated loss expectations have increased for the Sunvalley loan following a significant value decline reported in an updated appraisal for the collateral mall of more than $70.0 million since the previous appraisal in 2022. While Morningstar DBRS expects the Clackamas loan to be fully recovered, loss projections for Sunvalley would erode the full balance of Classes D and C, and approximately 10.3% of the Class B balance. The Negative trends reflect the possibility of further value decline for the Sunvalley property; Morningstar DBRS also notes the Clackamas loan has most recently been in special servicing since September 2024 and did not repay at the extended maturity date in October 2025. While the sponsor appears committed to securing a replacement loan, the uncertainty with regard to timing represents an increased risk for the subject transaction. The Clackamas loan is sponsored by an affiliate of Brookfield Property Partners L.P. (Brookfield; rated BBB (low) with a Stable trend). The loan has been extended several times, most recently through October 2025. The special servicer's commentary in the October 2025 remittance report shows the loan payments are current and discussions remain ongoing with the sponsor to resolve the maturity default. The property has demonstrated a stable performance with the YE2024 net cash flow (NCF) and debt service credit ratio (DSCR) reported at $23.5 million and 2.83 times (x), up from $22.5 million at YE2023, and the highest year-end NCF since the onset of the pandemic. Clackamas is one of two regional malls in Portland and its occupancy rate has consistently been reported at or above 94.0% for the past several years. None of the subject mall's department store anchors, which currently include Macy's, Macy's Home Store, and JCPenney, are collateral in the transaction. In the past year, the former noncollateral Nordstrom space, which had been dark since 2020, was filled by a Dick's Sporting Goods store. The other regional Portland mall, Washington Square, is approximately 20 miles west of Clackamas and is owned and operated by Macerich Real Estate Co. Washington Square is anchored by Nordstrom, JCPenney, and Macy's, and is superior to Clackamas in terms of tenant mix, surrounding area incomes, and overall esthetic. No updated appraisal has been provided since the January 2025 appraisal, which showed an as-is value of $230.0 million, down from the October 2022 appraised value of $342.0 million. The outstanding loan balance as of October 2025 is $186.8 million and, based on the implied equity of slightly more than $40.0 million with the January 2025 appraisal figure, Morningstar DBRS expects the loan will ultimately repay in full. The Sunvalley property is in Concord, California, approximately 20 miles northwest of Oakland, California. Simon Property Group, Inc. (Simon) acquired the loan-sponsor affiliate, Taubman Centers, Inc., in 2020. The sponsor exercised a 12-month extension option to push the maturity to September 2025; however, Simon ultimately indicated to the special servicer that it would be unable to repay the loan. As of the October 2025 servicer commentary, the borrower and servicer are in discussions regarding next steps. The mall is anchored by Sears, Macy's, Macy's Men's/Home, and JCPenney and, despite generally healthy occupancy rates since issuance, the property never fully recovered from the cash flow declines that began during the coronavirus pandemic in 2020. Most recently, the servicer reported a YE2024 NCF of $13.7 million with a DSCR of 1.19x, down from $15.9 million and 1.34x, respectively, at YE2023. In June 2025, an updated appraisal valued the property at $71.9 million for the leasehold and $24.0 million for the land for a total appraised value of $95.9 million, a significant decline from the 2022 appraised value of $170.0 million for the leasehold and land. Morningstar DBRS previously analyzed a liquidation scenario with an as-is value estimate of $121.9 million, based on an 11.0% capitalization (cap) rate and the in-place NCF at YE2024. A primary driver of the difference between Morningstar DBRS' value estimate and the recent appraisal is the higher cap rate assumed by the appraiser. With this credit rating action, the liquidation scenario was updated to reflect the appraised value decline with a 20% haircut to the $95.9 million combined value, resulting in a projected loss of approximately $67.0 million or a 50.2% loss severity. Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU 2019: Fitch Hikes Rating on Class B Notes to 'BBsf' ---------------------------------------------------------- Fitch Ratings has taken the following actions on the Nassau 2019 CFO LLC (Nassau 2019): - $20.0 million undrawn liquidity facility affirmed at 'A+sf'; Outlook Stable; - USD51 million class A notes upgraded to 'BBB+sf' from 'BBBsf'; Outlook Positive; - USD32 million class B notes upgraded to 'BBsf' from 'BB-sf'; Outlook Stable. Transaction Summary Nassau 2019 is a private equity collateralized fund obligation (PE CFO) managed by Nassau Alternative Investments (NAI). The manager is an affiliate of Nassau Financial Group. Nassau 2019 owns interests in a diversified pool of alternative investment funds. The issuance consists of notes backed by the ownership interests in, and cash flows generated by, the funds. The transaction consisted of approximately $126 million net asset value (NAV) of funded commitments and $45 million of unfunded capital commitments across 97 funds as of the July 31, 2025, valuation date. The NAV of the portfolio was based on valuations as of March 31, 2025, and adjusted for subsequent capital calls and distributions. Since Fitch's last review, fund performance has continued to improve, with portfolio distributions of $45 million since Fitch's last review and slight upticks in fund NAV. The class A and B notes' loan-to-value (LTV) ratios have decreased to 40% and 65%, respectively from 50% and 75% at the last review in Dec. 2024. The transaction has entered its turbo amortization period as of Feb. 2025 and all available cash, after calls, fees, expenses, and interest, are directed to the repayments of the class A and B notes, sequentially. However, the transaction's liquidity is somewhat constrained while distributions are low, with primary liquidity sources to meet uncalled capital commitments, service debt and cover expenses limited to the liquidity facility and distributions from underlying funds. Fitch expects portfolio NAV appreciation and distributions to remain somewhat limited, driven by the transaction's exposure to funds focused on the buyout and venture capital sectors, which have been impacted by the weaker exit environment and the recovery timeline remains uncertain. KEY RATING DRIVERS The rating affirmation of the undrawn liquidity facility reflects its senior position in the capital structure and low loan to value (LTV) of approximately 16%, if fully drawn. The Stable Outlook for the undrawn liquidity facility reflects Fitch's expectation that the facility, if drawn, can withstand Fitch's stress scenarios at the current rating category. The upgrade of the class A notes to 'BBB+sf' reflects the positive underlying fund performance and the notes' ability to withstand Fitch's stress scenarios in the fourth-quartile launch year scenario in Fitch's base case modeling. Conversely, the notes continue to exhibit a high degree of sensitivity in Fitch's rating sensitivity analysis testing for valuation and distribution declines. Fitch accounted for this, as well as high relative leverage and weaker past performance, in its qualitative assessment which resulted in a two-notch adjustment to the 'Asf' model-implied rating. The Positive Outlook for the class A notes reflects the expectation for further improvement as the notes are in their turbo amortization phase. The upgrade of the class B notes to 'BBsf' reflects the notes' ability to pass the third-quartile, 'BBBsf' rating level scenarios but with significant sensitivity in rating stresses with any material NAV or distribution reduction, thereby resulting in a qualitative adjustment of three notches from the 'BBBsf' model-implied rating. The class B notes had an LTV ratio of approximately 65% of NAV as of July 31, 2025, a significant drop from 74% at the Dec. 2024 review. The Stable Outlook on the class B notes reflects the likelihood of the LTV continuing to improve as the transaction de-levers, but principal payments to class B notes not occurring until senior notes are fully redeemed. Key structural protections include amortization triggers tied to LTV levels, a liquidity facility to cover class A interest, expenses, and capital calls in the event of liquidity gaps, and long final maturities on the bonds to allow the structure additional time to potentially weather down markets. In the 12 months through July 31, 2025, the transaction's liquidity needs included approximately $2 million in capital calls, $1 million in expenses, and $5 million in class A and class B note interest, totaling $8 million. Over the same period, liquidity sources included $20 million of capacity available on the liquidity facility, and $45 million of cash from distributions. Based on these figures, Fitch calculates the transaction's liquidity coverage ratio for a period of 12 months at 7.9x. An additional potential liquidity source is Nassau 2019's right to require affiliates of Nassau to contribute capital to the issuer to satisfy capital calls when there is a cash shortfall. However, Fitch did not consider this potential capital contribution in its analysis, because Fitch lacks a formal credit view of Nassau or its parent, NAI. A capital contribution by the sponsor would support the transaction. Fitch believes the manager (NAI) has sufficient capabilities and resources required to manage this transaction. NAI's management team has extensive experience, although it is comparably smaller than the managers of other Fitch-rated PE CFOs. The sponsor and noteholders' interests are aligned, as the sponsor and its affiliates hold the equity stake and a portion of the class B notes in Nassau 2019. Fitch has a rating cap at the 'Asf' category for PE CFO transactions, primarily driven by the uncertain nature of alternative investment fund cash flows. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - The liquidity facility could be downgraded if it is drawn, and the transaction's liquidity position is expected to deteriorate materially. However, Fitch does not view this as likely in the near-term given the low-LTV of the liquidity facility (if fully drawn) and resiliency under Fitch's 'Asf' stress scenarios. - The ratings assigned to the notes may be sensitive to actual cash flows coming in lower than model projections, creating an increased risk that the funds will not generate enough overall cash to repay the noteholders, or pay for capital calls, expenses, and interest on time. The class A notes would be fully repaid assuming an additional 5% distribution haircut, with approximately 15% of collateral value remaining in the worst launch year. However, in a 15% distribution haircut scenario, the class A notes could be downgraded to below 'BBsf'. Given the class B notes rating sensitivity in Fitch's all quartile rating scenario, as described above, the notes are more susceptible to a rating downgrade in the event of sustained distribution shortfalls. - The ratings assigned to the notes may be also sensitive to additional declines in NAV that Fitch believes indicate insufficient forthcoming cash distributions to support the notes at the current rating level stress. The class A notes would be fully repaid, at the 'BBBsf' rating level, assuming an additional 20% NAV haircut, with 15% of collateral value remaining in the worst launch year. However, in a 30% NAV haircut scenario, the class A notes could be downgraded to below 'BBsf'. Given the class B notes rating sensitivity in Fitch's all quartile rating scenario, as described above, the notes are more susceptible to a rating downgrade in the event of NAV depreciation. - The ratings assigned to the notes are also sensitive to the financial health of the transaction's counterparties. A rating downgrade of a counterparty may be linked to and materially affect the ratings on the notes, given the reliance of the issuer on counterparties to provide functions, including providers of the liquidity facility and bank accounts. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The class A notes could be upgraded to 'Asf' if they pass Fitch's 'Asf' rating stresses with sufficient cushion to downside scenarios for more than a temporary period. - The class B notes could be upgraded to 'BBBsf' if they pass Fitch's 'BBBsf' rating stresses with sufficient cushion to downside scenarios for more than a temporary period. - Fitch has an 'A' category rating cap for PE CFOs. Therefore, positive rating sensitivities are not applicable for the undrawn liquidity facility. 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 As the timing and size of the cash flows is uncertain, Fitch used historical private equity fund performance data from a well-known third-party data provider, which covers all performance quartiles of the various fund strategies and vintages ranging from 1990 to 2025, to model expected distributions, capital calls and NAVs of the private equity funds. ESG Considerations Fitch does not provide ESG relevance scores for Nassau 2019 CFOLLC. 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. NEUBERGER BERMAN 49: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 49, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 49, Ltd. X-R2 LT NRsf New Rating A-R2 LT NRsf New Rating B-R 64135JAN2 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 64135JAQ5 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating D-R 64135JAS1 LT PIFsf Paid In Full BBB-sf E-R 64135KAE9 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 49, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC. The transaction originally closed on June 2022 and first reset in July 2024. The CLO's secured notes will be refinanced in whole on Nov. 17, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $640 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 23.96 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.73% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.53% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' 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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 49, 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. NEW RESIDENTIAL 2025-NQM6: Fitch Gives B-(EXP) Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings assigns expected ratings to New Residential Mortgage Loan Trust 2025-NQM6 (NRMLT 2025-NQM6). Entity/Debt Rating ----------- ------ NRMLT 2025-NQM6 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by NRMLT 2025-NQM6. The transaction is expected to close on Dec. 3, 2025. The notes are supported by 985 nonprime loans that were primarily originated by NewRez LLC and Champions Funding, LLC, with a total balance of approximately $494.4 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2025-NQM6 has a final probability of default (PD) of 40.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 43.2%. The expected loss in the 'AAAsf' rating stress is 17.6%. Structural Analysis (Positive): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1A, A-1B, A-1F, A-2 and A-3 notes until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1A, A-1B, A-1F, A-1IO, A-2 and A-3). On any payment date in which the aggregate stated principal balance of the of the mortgage loans for such payment date is less than or equal to 20% of the mortgage loans as of the cutoff date, the senior classes pay the lower of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate; the step-up rate for classes A-1/A-F will be the sum of the class A-1/A-F blended rate and 100-bp. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2025-NQM6 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2025-NQM6 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any Rating Caps. 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 37.8% 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 several firms. 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 applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." 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. NLT 2025-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to NLT 2025-NQM1's mortgage-backed notes. The note 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, two- to four-family units, condominiums and two cooperative properties. The pool has 930 residential mortgage loans, including 29 loans that are cross-collateralized loans backed by 145 properties for a total property count of 1,046. The loans are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, or ATR-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided in the transaction; -- The representation and warranty framework; -- The pool's geographic concentration; -- The transaction's associated structural mechanics; and -- The transaction's mortgage loan originators/aggregator. S&P said, "Our U.S. economic outlook, which that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned NLT 2025-NQM1(i) Class A-1, $258,650,000: AAA (sf) Class A-2, $28,820,000: AA (sf) Class A-3, $42,380,000: A (sf) Class M-1, $17,900,000: BBB (sf) Class B-1, $12,620,000: BB (sf) Class B-2, $10,550,000: B (sf) Class B-3, $5,846,248: NR Class XS, notional(ii): NR Class PT, $376,766,248: NR Class A-IO-S, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of 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 $376,766,248. N/A--Not applicable. NR--Not rated. OAKTREE CLO 2025-33: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2025-33 Ltd./Oaktree CLO 2025-33 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree CLO Management. The preliminary ratings are based on information as of Nov. 21, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Oaktree CLO 2025-33 Ltd./Oaktree CLO 2025-33 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB+ (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.50 million: Not rated OBX 2025-NQM22: Fitch Gives 'B-(EXP)sf' Rating on Class B2 Certs ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by OBX 2025-NQM22 Trust (OBX 2025-NQM22). Entity/Debt Rating ----------- ------ OBX 2025-NQM22 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by the OBX 2025-NQM22 Trust as indicated above. The transaction is scheduled to close on Nov. 26, 2025. The notes are supported by 829 loans with an unpaid principal balance (UPB) of approximately $438 million as of the cutoff date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. from various originators and aggregators. The loans will be serviced by Select Portfolio Servicing, Inc. (SPS; RPS1-/Stable) and NewRez LLC (dba Shellpoint Mortgage Servicing; RPS2+/Stable). Computershare Trust Company, National Association (BBB+/Stable) will act as master servicer. Distributions of principal and interest (P&I), as well as loss allocations, are based on a modified sequential-payment structure. The transaction has a stop-advance feature through which the P&I advancing party will cover delinquent P&I for up to 120 days. Of the loans, approximately 42.1% by loan count are designated non-qualified mortgages (non-QM, or NQM), while the remaining 57.9% are either qualified mortgage loans or investment properties not subject to the ability-to-repay (ATR) rule. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. OBX 2025-NQM22 has a Final PD of 34.27% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 40.12%. The expected loss in the 'AAAsf' rating stress is 13.75%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in OBX 2025-NQM22 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1A, A-1B, A-2 and A-3 notes until each class balance is reduced to zero. The structure includes a step-up coupon feature where the fixed interest rate for class A-1A, A-1B, A-2 and A-3 will increase by 150bps, subject to the net WAC, starting on the December 2029 payment date. This reduces the modest excess spread available to repay losses. Starting on the December 2029 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1A, A-1B, A-2 and A-3 as well as class M-1 and B-1 notes if issued on the closing date with a fixed interest rate. Fitch analyses the capital structure to determine the adequacy of the transaction's Credit Enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects OBX 2025-NQM22 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to OBX 2025-NQM22 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. 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 37.6%, at 'AAA'. The analysis indicates 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 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) for SitusAMC, Canopy, Clarifii and Evolve, all assessed as an 'Acceptable' TPR firm by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Third-party due diligence was performed on 100.0% of the loans in the transaction, and all reviewed loans were graded "A" or "B". Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." 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. OBX 2025-R1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OBX 2025-R1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, and condominiums. The pool has 856 loans, mostly composed of non-qualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. The preliminary ratings are based on information as of Nov. 21, 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, Onslow Bay Financial LLC, and the S&P Global Ratings-reviewed mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) OBX 2025-R1 Trust Class A-1A, $274,744,000: AAA (sf) Class A-1B, $40,793,000: AAA (sf) Class A-1(ii), $315,537,000: AAA (sf) Class A-2, $21,621,000: AA (sf) Class A-3, $33,859,000: A (sf) Class M-1, $16,725,000: BBB- (sf) Class B-1, $9,178,000: BB- (sf) Class B-2, $6,323,000: B- (sf) Class B-3, $4,692,187: NR Class A-IO-S, notional(iii): NR Class XS, 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)The class A-1 notes are exchangeable. (iii)The class A-IO-S notes will have a notional amount equal to the aggregate stated principal balance of the SPS-serviced mortgage loans and Shellpoint-serviced mortgage loans as of the first day of the related due period 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 $407,935,188. NR--Not rated. SPS--Select Portfolio Servicing Inc. Shellpoint--NewRez LLC doing business as Shellpoint Mortgage Servicing. OCP CLO 2014-5: S&P Assigns B+ (sf) Rating on Class D-R Notes ------------------------------------------------------------- S&P Global Ratings completed its review of 13 classes from OCP CLO 2014-5 Ltd. and OCP CLO 2019-16 Ltd., which are broadly syndicated U.S. CLO transactions managed by Onex Credit Partners LLC. Of the reviewed ratings, S&P raised four, lowered two, affirmed six, and withdrew one. At the same time, S&P removed two of the ratings from CreditWatch with positive implications and three of the ratings from CreditWatch with negative implications, where they had been placed on Oct. 10, 2025. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions." The transactions have all exited their reinvestment periods and are paying down the debt in the order specified in their respective documents. 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 the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporated other considerations into our decision to raise, lower, or affirm ratings or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its 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 upgrades primarily reflect the classes' increased credit support due to senior debt paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the classes' indicative cash flow results, negative migration in portfolio credit quality, increased concentration risk, and decline in the weighted recovery rate in its respective portfolio. 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 performed the rating actions 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 CUSIP To From OCP CLO 2014-5 Ltd. 2014-5 Class A-1-R 67102SAL8 NR AAA (sf) Rationale: Class has been paid down. OCP CLO 2014-5 Ltd. 2014-5 Class A-2-R 67102SAN4 AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. OCP CLO 2014-5 Ltd. 2014-5 Class B-R 67102SAQ7 AAA (sf) AA- (sf)/Watch Pos Rationale: Upgraded based on senior debt paydowns, improvement in O/C, and passing cash flows at new rating level. OCP CLO 2014-5 Ltd. 2014-5 Class C-R 67102SAS3 A+ (sf) BBB- (sf)/Watch Pos Rationale: Upgraded based on senior debt paydowns, improvement in O/C, and passing cash flows at the new rating level. OCP CLO 2014-5 Ltd. 2014-5 Class D-R 67103SAJ2 B+ (sf) B+ (sf)/Watch Neg Rationale: Though S&P's cash flows pointed to a lower rating, it affirmed the rating after considering the portfolio's exposure to 'CCC'/'CCC-' rated assets, its current O/C--which has improved primarily due to paydowns and is commensurate with a B+ rating of other CLO tranches--and forward looking expectation that continued paydowns are likely to increase its credit support. OCP CLO 2014-5 Ltd. 2014-5 Class E-R 67103SAL7 CCC- (sf) CCC+ (sf)/Watch Neg Rationale: The downgrade is based on failing cash flows and a decline in current credit enhancement. S&P said, "We believe this class aligns with our definition of 'CCC' and depends on favorable business, financial, and economic conditions to meet its financial commitment. At this time, we did not downgrade this class to 'CC (sf)' because we don't consider its default to be virtually certain." OCP CLO 2019-16 Ltd. Class A loans AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. OCP CLO 2019-16 Ltd. Class A-R 67570QAK7 AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. OCP CLO 2019-16 Ltd. Class B loans AA+ (sf) AA (sf) Rationale: Tranche upgraded based on senior debt paydowns, improvement in O/C, and passing cash flows at the new rating level. S&P said, "While our base-case analysis indicated a higher rating, our rating action took into account the current credit enhancement and the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values." OCP CLO 2019-16 Ltd. Class B-R 67570QAM3 AA+ (sf) AA (sf) Rationale: Tranche upgraded based on senior debt paydowns, improvement in O/C, and passing cash flows at the new rating level. S&P said, "While our base-case analysis indicated a higher rating, our rating action took into account the curent credit enhancement and the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values." OCP CLO 2019-16 Ltd. Class C-R 67570QAP6 A (sf) A (sf) Rationale: S&P said, "Though tranche rating indicates potential for a higher rating, we affirmed the rating based on its current credit enhancement and after considering the results of additional sensitivity analyses to test the exposure to 'CCC'/'CCC-' rated assets and to assets trading at low market values. We also noted the slower pace of paydowns due to holdback of some unscheduled principal proceeds (as permitted under the transaction's documents)." OCP CLO 2019-16 Ltd. Class D-R 67570QAR2 BBB- (sf) BBB- (sf) Rationale: S&P said, "Though tranche rating indicates potential for a one notch higher rating, we affirmed the rating based on its current credit enhancement and after considering the results of additional sensitivity analyses to test the exposure to 'CCC'/'CCC-' rated assets and to assets trading at low market values. We also noted the slower pace of paydowns due to holdback of some unscheduled principal proceeds (as permitted under the transaction's documents)." OCP CLO 2019-16 Ltd. Class E-R 67570RAE9 B (sf) BB- (sf)/Watch Neg Rationale: Downgraded following the decline in credit support and failing cash flows at the previous rating level. S&P said, "While our base-case analysis indicated a lower rating, our rating action took into account the lower 'CCC' bucket, its current credit enhancement, and the overall improvement in credit quality of the portfolio." NR--Not rated. O/C--Overcollateralization. OCTANE RECEIVABLES 2025-RVM1: S&P Assigns 'BB+' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Octane Receivables Trust 2025-RVM1's asset-backed notes. The note issuance is an ABS transaction backed by consumer recreational vehicles and marine receivables. The ratings reflect S&P's view of: -- The availability of approximately 49.60%, 39.26%, 30.39%, 21.74%, and 18.11% in credit support, including excess spread, for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 4.00x, 3.20x, 2.55x, 1.85x, and 1.58x coverage of our stressed net loss levels for the class A, B, C, D, and E notes, respectively. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified in section A.4 of the Appendix in "S&P Global Ratings Definitions," published Dec. 2, 2024. -- The collateral characteristics of the amortizing pool, which includes approximately 94.0% recreational vehicles and 6.0% marine receivables (primarily pontoon-hybrids, at 2.5% of the pool). -- The transaction's credit enhancement in the form of subordination, overcollateralization that builds to a target level of 7.25% of the current receivables balance (subject to a floor of 7.25% of the initial receivables balance), a nonamortizing reserve account, and excess spread. -- The transaction's payment and legal structures. Ratings Assigned Octane Receivables Trust 2025-RVM1 Class A, $128.250 million: AAA (sf) Class B, $28.125 million: AA (sf) Class C, $27.000 million: A (sf) Class D, $22.500 million: BBB (sf) Class E, $13.500 million: BB+ (sf) ORION CLO 2023-1: Fitch Assigns BB-sf Final Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Orion CLO 2023-1 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Orion CLO 2023-1 Ltd. 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 Orion CLO 2023-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Antares Liquid Credit Strategies LLC. that originally closed in October 2023. On Nov. 19, 2025, all existing secured notes will be redeemed in full using net proceeds from the issuance of new secured notes. Together with the existing subordinated notes, the transaction will finance a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.25 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 96.07% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'AAAsf' for class A-1-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class 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 'BBB+sf' for class D-2-R and 'BBB-sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Orion CLO 2023-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PRPM 2025-NQM5: DBRS Finalizes B(high) Rating on Class B2 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM5 (the Certificates) issued by PRPM 2025-NQM5 Trust as follows: -- $241.4 million Class A-1A at AAA (sf) -- $39.6 million Class A-1B at AAA (sf) -- $281.0 million Class A-1 at AAA (sf) -- $20.5 million Class A-1F at AAA (sf) -- $20.5 million Class A-1IO at AAA (sf) -- $26.2 million Class A-2 at AA (high) (sf) -- $35.3 million Class A-3 at A (high) (sf) -- $26.4 million Class M-1 at BBB (sf) -- $14.7 million Class B-1 at BB (high) (sf) -- $6.6 million Class B-2 at B (high) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 29.10% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf) and B (high) (sf) credit ratings reflect 22.95%, 14.65%, 8.45%, 5.00%, and 3.45% 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- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 885 mortgage loans with a total principal balance of $425,246,625 as of the Cut-Off Date (September 30, 2025). PRPM 2025-NQM5 represents the 13th securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP VI AIV Holdings, LLC a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Hometown Equity Mortgage, LLC, the Lender d/b/a Hometown Equity (26.9%), OCMBC aka LoanStream (22.6%) and Champions Funding (11.9%) are the largest originators of the mortgage loans. Fay Servicing, LLC (Fay; 57.2%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 35.7%), Selene Finance LP (Selene, 6.9%) and SN Servicing Corporation (SNSC, 0.3%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association will act as Custodian. For 34.1% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Approximately 4.9% of the pool are CDFI No Ratio loans and 8.2% of the pool are investment property loans underwritten using debt-to-income ratios (DTI). Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 52.9% of the pool, the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. Approximately 43.8% of the loans were originated in accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (2.9%), and QM Rebuttable Presumption (0.5%) by unpaid principal balance (UPB). The Sponsor, a majority-owned affiliate of the Sponsor, will retain an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder, such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in November 2028 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). In the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1A then A-1B, sequentially on one hand and concurrently to the Class A-1F and Class A-1IO Certificates on the other hand. This then is followed by a reduction of the Class A-1A then A-1B certificate balances then a reduction of the Class A-1F, and Class A-1IO certificate balances, before an allocation of interest then principal to the Class A-2 (IPIP) followed by a similar allocation of funds to the other classes. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of Certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior Certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A, A-1B, A-2, A-3, M-1, B-1 and B-2. For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in November 2029. On or after November 2029, interest and principal otherwise payable to the Class B-3 may also be used to pay the Class A-1A, A-1B, A-1F, A-1IO, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RCF6: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by PRPM 2025-RCF6, LLC (PRPM 2025-RCF6). Entity/Debt Rating ----------- ------ PRPM 2025-RCF6 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 M-2 LT BB-(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the series 2025-RCF6 residential mortgage-backed notes to be issued by PRPM 2025-RCF6, LLC, as indicated above. The notes are supported by 734 loans with a balance of $247.69 million as of the cutoff date. This will be the tenth PRPM RCF transaction to be rated by Fitch and the fifth RCF transaction of 2025. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only and balloon, performing and re-performing mortgage loans secured by first and second liens on generally single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, manufactured housing, townhouses, multiple properties, and co-operative shares. Based on the transaction documents, 85.01% of the pool loans represent collateral with a defect or exception to guidelines that preclude the loans from a government-sponsored entity (GSE) pool (scratch and dent, (S&D)). The remaining loans are reperforming loans or seasoned Non-QM loans. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 87.21% of the loans and Fay Servicing, rated 'RSS2' by Fitch, will service 12.79%. The vast majority of the loans adhere to QM or are exempt from QM Rules. Fitch did not adjust the QM status in its analysis under the revised "US RMBS Rating Criteria."The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, Classes A and M have a step-up coupon feature that is triggered if the deal is not called in December 2029. Fitch was only asked to rate Class A-1, A-2, A-3, and M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Prime Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 727, and a 41.72% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 81.92%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 82.23%. Of the loans in the pool, 85.0% are loans that are considered S&D, 6.2% are RPL, 8.8%are seasoned NonQM. The majority of the loans are underwritten to full documentation guidelines, but 18% have less than full documentation (bank statement, DSCR, other). PRPM 2025.-RCF6. has a Final PD of 47.62% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 57.81%. The expected loss in the 'AAAsf' rating stress is 27.53%. Structural Analysis (Mixed): Sequential mortgage cash flow an Overcollateralization in PRPM 2025-RCF The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds; in a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in 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 DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the Class A-1 prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (December 2029), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For scratch and dent transactions credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2025-RCF6 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2025-RCF6 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any Rating Caps. 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 37.8%, at 'AAA'. The analysis indicates 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 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) by several TPR firms, all assessed as an 'Acceptable' TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, modification, and title/lien review, as applicable to each TPR's scope of review. ProTitle conducted title/lien reviews on 100 loans, and Infinity on 725 loans. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations to reflect findings such as missing HUD-1s, other state compliance testing failures, ATR risk, high-cost issues, property damage, TILA/RESPA violations, and timeline extensions for missing documents only. Fitch also increased losses for exceptions identified in the S&D loans. In total, losses at the 'AAAsf' rating category were increased by approximately 402 bps to account for both the due diligence findings and the S&D exceptions. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." 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 the third-party review firms to perform the review. Loans reviewed under these engagements were given initial and final compliance grades (100% of the pool). The sponsor also engaged AMC, Infinity and ProTitle to conduct a title review/lien search. U.S Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post close QC performed by the GSEs the Scratch and Dent portion of the pool. The GSE post close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post close QC consistent with rating agency standards. As a result, Fitch used the GSE's post close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions Fitch used in its loss analysis and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review. All of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has several exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans and increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered scratch and dent with material findings. 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 were populated by the due diligence company 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. RATE MORTGAGE 2025-J3: DBRS Finalizes B(low) Rating on Cl. B5 Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-J3 (the Notes) issued by RATE Mortgage Trust 2025-J3 (RATE 2025-J3, or the Trust) as follows: -- $150.4 million Class A-1 at AAA (sf) -- $150.4 million Class A-2 at AAA (sf) -- $150.4 million Class A-3 at AAA (sf) -- $112.8 million Class A-4 at AAA (sf) -- $112.8 million Class A-5 at AAA (sf) -- $112.8 million Class A-6 at AAA (sf) -- $90.2 million Class A-7 at AAA (sf) -- $90.2 million Class A-8 at AAA (sf) -- $90.2 million Class A-9 at AAA (sf) -- $22.6 million Class A-10 at AAA (sf) -- $22.6 million Class A-11 at AAA (sf) -- $22.6 million Class A-12 at AAA (sf) -- $60.2 million Class A-13 at AAA (sf) -- $60.2 million Class A-14 at AAA (sf) -- $60.2 million Class A-15 at AAA (sf) -- $37.6 million Class A-16 at AAA (sf) -- $37.6 million Class A-17 at AAA (sf) -- $37.6 million Class A-18 at AAA (sf) -- $38.1 million Class A-19 at AAA (sf) -- $38.1 million Class A-20 at AAA (sf) -- $38.1 million Class A-21 at AAA (sf) -- $188.5 million Class A-22 at AAA (sf) -- $188.5 million Class A-23 at AAA (sf) -- $188.5 million Class A-24 at AAA (sf) -- $188.5 million Class A-25 at AAA (sf) -- $38.1 million Class A-26 at AAA (sf) -- $150.4 million Class A-27 at AAA (sf) -- $150.4 million Class A-29 at AAA (sf) -- $150.4 million Class A-30 at AAA (sf) -- $338.8 million Class A-X-1 at AAA (sf) -- $150.4 million Class A-X-2 at AAA (sf) -- $150.4 million Class A-X-3 at AAA (sf) -- $150.4 million Class A-X-4 at AAA (sf) -- $112.8 million Class A-X-5 at AAA (sf) -- $112.8 million Class A-X-6 at AAA (sf) -- $112.8 million Class A-X-7 at AAA (sf) -- $90.2 million Class A-X-8 at AAA (sf) -- $90.2 million Class A-X-9 at AAA (sf) -- $90.2 million Class A-X-10 at AAA (sf) -- $22.6 million Class A-X-11 at AAA (sf) -- $22.6 million Class A-X-12 at AAA (sf) -- $22.6 million Class A-X-13 at AAA (sf) -- $60.2 million Class A-X-14 at AAA (sf) -- $60.2 million Class A-X-15 at AAA (sf) -- $60.2 million Class A-X-16 at AAA (sf) -- $37.6 million Class A-X-17 at AAA (sf) -- $37.6 million Class A-X-18 at AAA (sf) -- $37.6 million Class A-X-19 at AAA (sf) -- $38.1 million Class A-X-20 at AAA (sf) -- $38.1 million Class A-X-21 at AAA (sf) -- $38.1 million Class A-X-22 at AAA (sf) -- $188.5 million Class A-X-23 at AAA (sf) -- $188.5 million Class A-X-24 at AAA (sf) -- $188.5 million Class A-X-25 at AAA (sf) -- $338.8 million Class A-X-26 at AAA (sf) -- $150.4 million Class A-X-27 at AAA (sf) -- $38.1 million Class A-X-28 at AAA (sf) -- $150.4 million Class A-X-29 at AAA (sf) -- $150.4 million Class A-X-30 at AAA (sf) -- $3.9 million Class B-1 at AA (sf) -- $3.9 million Class B-1A at AA (sf) -- $3.9 million Class B-X-1 at AA (sf) -- $6.2 million Class B-2 at A (low) (sf) -- $6.2 million Class B-2A at A (low) (sf) -- $6.2 million Class B-X-2 at A (low) (sf) -- $1.9 million Class B-3 at BBB (low) (sf) -- $1.2 million Class B-4 at BB (low) (sf) -- $885.0 thousand Class B-5 at B (low) (sf) 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-26, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, 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-25, A-26, 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-26, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L 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-27, A-1L, A-2L, and A-3L are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, A-21, A-26, A-29, and A-30) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 4.25% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.40%, 0.85%, 0.50%, 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 Trust is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Notes. The Notes are backed by 343 loans with a total principal balance of $353,876,297 as of the Cut-Off Date* (November 1, 2025). *The collateral description and disclosure on the mortgage loans in this report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. Subsequent to the issuance of the related Presale Report, one loan was paid in full and removed from the pool. The Notes are backed by 344 loans with a total principal balance of $354,773,048 in the Presale Report Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. Guaranteed Rate, Inc. (Guaranteed Rate), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the 12th prime jumbo RATE deal. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of two months. All of the mortgage loans were originated by Guaranteed Rate, which is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. In an arrangement similar to those of the prior RATE securitizations, the Servicing Administrator 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 unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor to the issuer instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. RATE MORTGAGE 2025-J3: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 68 classes of residential mortgage-backed securities (RMBS) issued by RATE Mortgage Trust 2025-J3, and sponsored by Guaranteed Rate, Inc. (GRI). The securities are backed by a pool of prime jumbo (100.0% by balance) residential mortgages originated by GRI and serviced by ServiceMac, LLC. The complete rating actions are as follows: Issuer: RATE Mortgage Trust 2025-J3 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-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aa1 (sf) Cl. A-27, Definitive Rating Assigned 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 Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned 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 Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aa1 (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 Aa1 (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. A-X-28*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (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 November 4, 2025, because the Class A-1L, A-2L and A-3L Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.43% 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. RCKT MORTGAGE 2025-CES11: Fitch Assigns 'Bsf' Rating on 6 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES11 (RCKT 2025-CES11). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2025-CES11 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1AR LT AAAsf New Rating A-1B LT AAAsf New Rating AAA(EXP)sf A-1BR LT AAAsf New Rating A-2 LT AAsf New Rating AA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-2R LT Asf New Rating A-3 LT Asf New Rating A(EXP)sf A-3R LT Asf New Rating A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf M-1R LT BBBsf New Rating B-1 LT BBsf New Rating BB(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-1R LT BBsf New Rating B-2 LT Bsf New Rating B(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf B-2R LT Bsf New Rating B-3 LT NRsf New Rating NR(EXP)sf B-3R LT NRsf New Rating XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 5,669 closed-end second-lien (CES) loans with a total balance of approximately $524 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous Class A-1L notes as the loan was not funded at close and is no longer being offered. Following the expected-to-rate publication, the structure added exchangeable Classes A-1AR, A-1BR, A-2R, A-3R, M-1R, B-1R, B-2R, and B-3R, with no impact on ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2025-CES11 has a final probability of default (PD) of 19.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 95.7%. The expected loss in the 'AAAsf' rating stress is 18.8%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2025-CES11 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal first, to repay any current or previously allocated cumulative applied realized losses and then to repay 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. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.3% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2025-CES11 to be fully de-linked and a bankruptcy-remote special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. 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 37.8% 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 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 applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. 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. REGATTA XXIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXIII Funding Ltd. reset transaction. Entity/Debt Rating ----------- ------ Regatta XXIII Funding Ltd. X-R LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB+sf New Rating D-2R LT BBB-sf New Rating D-3R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Regatta XXIII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Napier Park Global Capital (US) LP and originally closed in December 2021. The existing secured notes will be refinanced in whole on Nov. 20, 2025, via the First Supplemental Indenture. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.22, 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 98.15% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.97% 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 that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-2R, 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 'BBB-sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, between less than 'B-sf' and 'BB+sf' for class D-3R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, 'A-sf' for class D-3R, 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 Regatta XXIII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RR 42: Fitch Assigns BB-sf Rating on Cl. D-R Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 42 LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 42 LTD A-1a-R LT NRsf New Rating NR(EXP)sf A-1b-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAsf New Rating AA(EXP)sf B-R LT Asf New Rating A(EXP)sf C-1a-R LT BBBsf New Rating BBB(EXP)sf C-1b-R LT BBB-sf New Rating BBB-(EXP)sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary RR 42 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 Fitch weighted average rating factor (WARF) of the indicative portfolio is 23.48, 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 96.5% first lien senior secured loans. The Fitch weighted average recovery rate (WARR) of the indicative portfolio is 74.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'Bsf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-1a-R, between less than 'B-sf' and 'BB+sf' for class C-1b-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1a-R, 'Asf' for class C-1b-R, 'A-sf' for class C-2-R , and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 12 November 2025 ESG Considerations Fitch does not provide ESG relevance scores for RR 42 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. SCULPTOR CLO XXXVII: Moody's Assigns (P)Ba3 Rating to $12MM E Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of notes to be issued by Sculptor CLO XXXVII, Ltd. (the Issuer or Sculptor CLO XXXVII): US$252,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$40,000,000 Class B Senior Secured Floating Rate Notes due 2039, Assigned (P)Aa2 (sf) US$12,000,000 Class E Secured Deferrable Floating Rate Notes due 2039, Assigned (P)Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Sculptor CLO XXXVII is a managed cash flow CLO. The issued notes will be collateralized primarily by 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 bonds. Moody's expects the portfolio to be approximately 60% ramped as of the closing date. Sculptor CLO Advisors LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2748 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 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 Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. SDART 2025-4: Fitch Assigns 'BBsf' Final Rating on Cl. E Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-4. Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2025-4 A1 ST F1+sf New Rating F1+(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 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 Collateral Performance — Stable Credit Quality: SDART 2025-4 is backed by collateral that is consistent with that of prior SDART series, with a weighted average (WA) Fair Isaac Corporation (FICO) score of 605 and an internal WA loan funded score (LFS) of 534. The WA FICO and WA LFS score remains consistent with that of prior transactions over the past five years. WA seasoning is 5.61 months, an increase from 4.11 months for 2025-3. New vehicles total 26.7% of the pool, down from 29.6% in 2025-3. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 94.2%, and greater-than-72-month term loans total 21.0%, slightly up from 20.2% in 2025-3. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series' rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2025-4, representing through-the-cycle performance. While performance has deteriorated for 2022, 2023, and 2024 originations, the 2025 vintage has shown early signs of slightly improved performance. Fitch's rating case cumulative net loss (CNL) proxy for 2025-4 is 15.00%. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) totals 37.50%, 28.70%, 19.60%, 9.30%, and 4.50% for classes A, B, C, D and E, respectively, all down from 2025-3. This is a continuing trend of the declining hard CE over the past several transactions. Excess spread is expected to be 10.24% per annum. Loss coverage for each note class is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: SC has adequate abilities as the originator and underwriter and SBNA as the servicer, as evidenced by their historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Santander, 'A'/ Stable/'F1'. Fitch deems SC capable of servicing this transaction. 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 13.00% based on Fitch's "Global Economic Outlook — September 2025" report, historical transaction performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce 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. 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 therefore conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by 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. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. 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 the 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 rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 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 plug-in hybrid and electric vehicles, at 0.78% and 3.77% respectively, did not have an impact on Fitch's ratings analysis or conclusion for this transaction and 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. SEQUOIA MORTGAGE 2025-12: Fitch Rates Class B5 Certs 'Bsf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-12 (SEMT 2025-12). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-12 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 A31 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 523 loans with a total balance of approximately $661.30 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and 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. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 773 and 37.0% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 72.9% mark-to-market combined LTV (cLTV). Overall, 93.1% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 100% of the loans were underwritten to full documentation. Following the publication of Fitch's expected ratings, the issuer provided an updated collateral tape that included two loan drops along with an updated structure in which Class A-30 was renamed as Class A-CH4. Fitch re-ran its asset and cashflow analysis and confirmed this had no effect on its expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2025-12 has a final probability of default (PD) of 10.05% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.96%. The final loss in the 'AAAsf' rating stress is 3.61%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2025-12 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. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 97.7% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. SEMT 2025-12 is fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2025-12, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. 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 37.6% 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 applied an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of "A" or "B." 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. SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-COVE, issued by SG Commercial Mortgage Securities Trust 2020-COVE as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) The trends on Classes X, D, E, and F are Negative. All other trends are Stable. The credit rating confirmations, and the Stable trends on Classes A, B, and C, reflect the collateral's improved performance since Morningstar DBRS' last credit rating action in November 2024, as well as the most recent appraised value, which suggests that the top of the capital stack remains well-insulated against loss. The transaction is secured by a 283-unit Class A multifamily property known as The Cove at Tiburon, in the San Francisco area of Marin County, California. Although the collateral benefits from a prime waterfront location, superior amenities, and limited competition within the submarket, the property's occupancy rate has lagged market levels for several years. Despite the occupancy declines, revenues have remained generally healthy, but expense increases have pushed cash flows below issuance expectations. The most recent reporting and updates from the servicer show some leasing progress and expense reductions have been achieved; however, given the collateral's appraised value decline since issuance and the uncertainty with regard to the timing for a return to a stabilized occupancy rate, the Negative trends on Classes X, D, E, and F are supported. The trust debt amounts to $160.0 million and is composed of a $62.3 million pari passu participation interest in the $112.3 million A note and the full amount of the $97.7 million B note. The remaining balance of the A note debt is securitized in the BBCMS Mortgage Trust 2020-C7 transaction, which is also rated by Morningstar DBRS. The loan is currently in special servicing for maturity default; however, the servicer commentary notes an extension is expected as part of a loan modification that was expected to close in October 2025. The servicer has been contacted for an update, and Morningstar DBRS expects the modification to be finalized in the near term. According to the financial reporting for the trailing five-month period ended May 31, 2025, the property generated $11.6 million of net cash flow (NCF) (annualized), reflecting a debt service coverage ratio (DSCR) of 1.46 times (x), an improvement from the YE2024 and Morningstar DBRS figures of $9.6 million (a DSCR of 1.2x) and $10.7 million (a DSCR of 1.31x), respectively. According to the August 2025 rent roll, the property was 83.7% occupied with an average base rental rate of $5,935 per unit compared with September 2024 occupancy rate of 86.6% and average rental rate of $5,890 per unit. As of August 2025, two- and three-bedroom units (which typically command the highest rental rates) contributed to the higher vacancy rate, and, as a result, the sponsor continues to offer concessions of up to two- and one-month(s), respectively. At issuance, Morningstar DBRS Value of $204.3 million was derived, which represented a significant -25.5% variance from the issuance appraised value of $274.1 million. In the updated appraisal obtained by the special servicer in July 2025, the property was valued at $228.0 million, a drop of just over $46.0 million from the issuance value. However the updated appraised value continues to suggest significant cushion against realized losses for the A note debt amount of $112.3 million, which backs the full Class A balance in the subject transaction and a portion of the Class B balance. Morningstar DBRS' analysis for this review maintained the Morningstar DBRS Value derived from the prior credit rating action of $195.1 million, which represents a variance of -14.5% from the July 2025 appraised value noted above. The Morningstar DBRS Value was updated with the previous credit rating action to reflect an increase in the capitalization rate to 5.5% from 5.25% at issuance; the issuance Morningstar DBRS NCF figure of $10.7 million was maintained despite the in-place cash flow declines because of the sponsor's plan to install new management and work to control expenses. The Morningstar DBRS Value implies a loan-to-value ratio (LTV) of 57.6% for the senior debt and an LTV of 107.7% based on the total mortgage debt of $210.0 million. Morningstar DBRS also maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 4.0% to account for generally strong property quality and stable market fundamentals. The credit ratings assigned to Classes A, B, C, D, and E are higher than the results implied by the LTV Sizing Benchmarks by three or more notches. The variances are warranted given the subject property's premium quality and its favorable position within the South Marin submarket, which benefits from a historically low vacancy rate. However, Morningstar DBRS remains concerned about the elevated maturity risk in the short term, therefore supporting the Negative trends. Notes: All figures are in U.S. dollars unless otherwise noted. SILVER POINT 13: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 13, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 13, Ltd. A-1 LT NRsf New Rating A-1-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Silver Point CLO 13, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point CLO Equity Fund II Manager, 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. 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 99.55% first-lien senior secured loans and has a weighted average recovery assumption of 73.38%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for Class A-2, between 'BB+sf' and 'A+sf' for Class B, between 'B+sf' and 'BBB+sf' for Class C, between less than 'B-sf' and 'BB+sf' for Class D-1, and between less than 'B-sf' and 'BB+sf' for Class D-2 and between less than 'B-sf' and 'B+sf' for Class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B, 'AAsf' for Class C, 'Asf' for Class D-1, and 'A-sf' for Class D-2 and 'BBB+sf' for Class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 13, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SIXTH STREET 31: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Sixth Street CLO 31, Ltd. Entity/Debt Rating ----------- ------ Sixth Street CLO 31, 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 Sixth Street CLO 31, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO 31, Ltd. 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 24.29 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 99.3% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.78% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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, 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 'BBBsf' 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 Sixth Street CLO 31, 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. SLM STUDENT 2003-10: Moody's Lowers Rating on Cl. B Certs to B2 --------------------------------------------------------------- Moody's Ratings takes action on 13 bonds issued by 9 securitizations serviced by Navient Solutions, LLC. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. 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: SLC Student Loan Trust 2009-2 Cl. A, Upgraded to A1 (sf); previously on Apr 19, 2024 Downgraded to A3 (sf) Issuer: SLM Student Loan Trust 2003-10 Cl. B, Downgraded to B2 (sf); previously on Jun 20, 2018 Confirmed at Ba3 (sf) Issuer: SLM Student Loan Trust 2004-8 Cl. A-6, Downgraded to A3 (sf); previously on Feb 10, 2025 Downgraded to A2 (sf) Issuer: SLM Student Loan Trust 2005-5 Cl. A-5, Downgraded to Baa1 (sf); previously on Feb 10, 2025 Downgraded to A2 (sf) Cl. B, Downgraded to Baa3 (sf); previously on May 24, 2024 Confirmed at Baa2 (sf) Issuer: SLM Student Loan Trust 2005-7 Cl. A-5, Downgraded to Baa2 (sf); previously on May 24, 2024 Downgraded to A3 (sf) Issuer: SLM Student Loan Trust 2005-9 Cl. A-7a, Downgraded to A2 (sf); previously on Feb 10, 2025 Downgraded to A1 (sf) Cl. A-7b, Downgraded to A2 (sf); previously on Feb 10, 2025 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2006-5 Cl. A-6A, Downgraded to A3 (sf); previously on Apr 4, 2024 Downgraded to A2 (sf) Cl. A-6B, Downgraded to A3 (sf); previously on Apr 4, 2024 Downgraded to A2 (sf) Cl. A-6C, Downgraded to A3 (sf); previously on Apr 4, 2024 Downgraded to A2 (sf) Issuer: SLM Student Loan Trust 2009-3 Cl. A, Upgraded to A3 (sf); previously on Feb 10, 2025 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2013-2 Class A, Downgraded to A1 (sf); previously on Jun 12, 2025 Upgraded to Aa1 (sf) RATINGS RATIONALE The rating actions reflect updated performance of the transactions and updated expected loss on the bonds across Moody's cash flow scenarios. Moody's quantitatives analysis derives the expected loss of the bond using 28 cash flow scenarios with weights accorded to each scenario. The upgrade action on the Floating Rate Class A Notes of SLC Student Loan Trust 2009-2 and SLM Student Loan Trust 2009-3 also reflects Moody's assessments of a change in the collateral data provided by the sponsor. Specifically, the collateral representative loans ("replines") data provided for the Navient administered transactions now includes a revised approach to categorizing the loans' SAP indexes. Certain loans from both these deals were previously indexed to the three-month Treasury Bill rate are now indexed to the 30-day average SOFR rate, resulting in a higher asset yield. The rating downgrades are a result of Moody's analysis indicating that the bonds will not pay off by final maturity date in some of Moody's 28 cash flow scenarios, thus causing the bonds to incur expected losses that are higher than the expected loss benchmarks set in Moody's idealized loss tables for the current ratings. In addition, the downgrade of the Class B note in SLM Student Loan Trust 2003-10 reflects excess spread compression under some of the 28 cash flow scenarios. This transaction has an outstanding auction-rate security, whose coupon rate can increase because of a failed auction. Therefore, under some of Moody's scenarios it could pay more interest than the underlying collateral generates, which would erode the collateral base and cause the transactions to become undercollateralized. 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 "FFELP Student Loan Securitizations" published in June 2025. Factors that would lead to upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the rating of the bonds if Moody's were to downgrade the rating on the United States government. Further, Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the ratings owing to a reduction in credit enhancement. SPLITERO TRUST 2025-1: DBRS Gives Prov. B Rating on B2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Securities, Series 2025-1 (the Notes) to be issued by Splitero Trust 2025-1 as follows: -- $195.5 million Class A-1 Notes at (P) A (low) (sf) -- $48.0 million Class A-2 Notes at (P) BBB (low) (sf) -- $11.5 million Class B-1 Notes at (P) BB (high) (sf) -- $28.3 million Class B-2 Notes at (P) B (sf) The (P) A (low) (sf) credit rating reflects credit enhancement of 31.0% for Class A-1, the (P) BBB (low) (sf) credit rating reflects credit enhancement of 14.1% for Class A-2, the (P) BB (high) (sf) credit rating reflects credit enhancement of 10.0% for Class B-1, and the (P) B (sf) credit rating reflects credit enhancement of 0.0% for Class B-2. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an advance or an investment payment) in exchange for giving an investor (i.e., an originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning greater emphasis is placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the advance and any originator return is driven by the structure of the agreement, the amount of appreciation/ depreciation on the property, the amount of debt that may be senior to the HEA, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $283.3 million in current exercise value from 2,193 nonrecourse HEI agreements secured by first, second, and third liens on single-family residences. All of the contracts in the asset pool were originated between 2024 and 2025. Of the pool, 233 contracts in the transaction are first-lien contracts, representing roughly $28.7 million in current exercise value; 1,901 are second-lien contracts, representing roughly $244.8 million in current exercise value; and 59 are third-lien contracts, representing roughly $9.8 million in current exercise value. Of the pool, 10.2% of the contracts are in first-lien position and have a weighted-average (WA) multiple share rate of 2.00 times (x), 86.2% are second-lien contracts and have a WA multiple share rate of 2.00x, and 3.6% of the pool are third-lien contracts with a WA multiple share rate of 2.00x. This brings the entire transaction's WA multiple share rate to 2.00x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section of the related report. The original unadjusted loan-to-value ratio (LTV) of the pool is 35.66% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA investment amount (option to value; OTV) of 20.38%, and a WA option LTV (i.e., option plus senior lien) of 56.02%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Trigger Event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2 (prior to the occurrence of a Class A-2 Trigger Event), Class B-1 (prior to the occurrence of a Class B-1 Trigger Event), and Class B-2 (prior to the occurrence of a Class B-2 Trigger Event) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to the Class A-2, Class B-1, and Class B-2 notes, payments are then made to the Note Amount until the Note Amounts of the Class A-2, Class B-1, and Class B-2 notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class B-1 or Class B-2 Trigger Event occurs, payments of interest that would go to the Class B-1 and B-2 notes will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 notes until reduced to zero. For cash distributions that are paid after the occurrence of a Trigger Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 notes. In the event that the Class A-1 notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 notes Accrual Amount would be paid first to Class A-1 notes until its paid off and then as Additional Accrued Amounts to Class A-1 notes, until such amounts have been reduced to zero. If the Class A-1 notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 notes. The Class B-1 and B-2 notes are accrual notes and will not be entitled to any payments of principal until Class A-1 and Class A-2 are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to the Class A-1 notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until such amounts are reduced to zero on the Class A-1 notes. The Class A-2 notes are then paid their respective Note Amount until it is paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until it is reduced to zero. The Class B-1 notes are then paid their respective Note Amount until it is paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Lastly, the Class B-2 notes are then paid their respective Note Amount until it is paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. A Trigger Event will occur if (1) the payment date on which the balance on deposit in the Reserve Fund is less than 50% of the Reserve Fund Target Amount or (2) the payment date on which the average of the updated valuations of the outstanding options is less than 90% (in the case of the Class B-1 notes) or 95% (in the case of the Class B-2 notes) of the starting home valuation as of the cut-off date, or (3) if the notes are not redeemed by the expected redemption date (November 2028). Notes: All figures are in U.S. dollars unless otherwise noted. STRUCTURED ASSET 2006-BC5: Moody's Ups Rating on A1 Certs from Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of two bonds from US residential mortgage-backed transaction (RMBS), backed by subprime ARM mortgages issued by Structured Asset Securities Corporation Trust 2006-BC5. 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: Structured Asset Securities Corporation Trust 2006-BC5 Cl. A1, Upgraded to Baa2 (sf); previously on Feb 13, 2025 Upgraded to Ba3 (sf) Cl. A5, Upgraded to A3 (sf); previously on Feb 13, 2025 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Credit enhancement grew by 14% on average for these bonds upgraded over the past 12 months. The upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting 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. THAYER PARK: S&P Affirms B- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR and B-RR notes from Thayer Park CLO Ltd./Thayer Park CLO LLC, a CLO originally issued in 2017 that is managed by Blackstone Liquid Credit Strategies LLC and underwent a refinancing in March 2021. At the same time, S&P withdrew its ratings on the previous class A-1-R and B-R notes following payment in full on the Nov. 21, 2025, refinancing date. S&P also affirmed its ratings on the class X-R, A-2A-R, A-2B-R, C-R, D-R, and E-R notes, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The first payment date following the refinancing is Jan. 20, 2026. -- The non-call period was extended to May 21, 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-R notes (which were not refinanced). However, given the improved cash flow results for class D-R notes 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 a 'BB- (sf)' rating to the class D-R debt and 'B- (sf)' rating to class E-R debt." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-RR, $310.00 million: Three-month CME term SOFR + 1.00000% -- Class B-RR, $30.00 million: Three-month CME term SOFR + 1.95000% Previous debt -- Class X-R, $0.50 million: Three-month CME term SOFR + 1.11161% -- Class A-2A-R, $58.00 million: Three-month CME term SOFR + 1.66160% -- Class A-2B-R, $12.00 million: Three-month CME term SOFR + 2.81000% -- Class C-R, $28.50 million: Three-month CME term SOFR + 3.06161% -- Class D-R, $16.50 million: Three-month CME term SOFR + 6.51161% -- Class E-R, $10.00 million: Three-month CME term SOFR + 9.13161% -- Subordinated notes, $54.60 million S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. 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 Thayer Park CLO Ltd./Thayer Park CLO LLC Class A-1-RR, $310.00 million: AAA (sf) Class B-RR (deferrable), $30.00 million: AA (sf) Ratings Withdrawn Thayer Park CLO Ltd./Thayer Park CLO LLC Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Rating Affirmed Thayer Park CLO Ltd./Thayer Park CLO LLC Class X-R: AAA (sf) Class A-2A-R: AA (sf) Class A-2B-R: AA (sf) Class C-R: BBB- (sf) Class D-R: BB- (sf) Class E-R: B- (sf) Other Debt Thayer Park CLO Ltd./Thayer Park CLO LLC Subordinated notes, $54.60 million: NR NR--Not rated. TRUPS FINANCIALS 2025-3: Moody's Assigns (P)Ba3 Rating to D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of notes to be issued by TruPS Financials Note Securitization 2025-3 (the Issuer or TFNS 2025-3): US$265,500,000 Class A-1 Senior Secured Floating Rate Notes due 2041, Assigned (P)Aaa (sf) US$93,000,000 Class A-2 Senior Secured Floating Rate Notes due 2041, Assigned (P)Aa2 (sf) US$13,000,000 Class B-1 Mezzanine Deferrable Floating Rate Notes due 2041, Assigned (P)A3 (sf) US$10,000,000 Class B-2 Mezzanine Deferrable Fixed Rate Notes due 2041, Assigned (P)A3 (sf) US$16,000,000 Class C-1 Mezzanine Deferrable Floating Rate Notes due 2041, Assigned (P)Baa3 (sf) US$15,000,000 Class C-2 Mezzanine Deferrable Fixed Rate Notes due 2041, Assigned (P)Baa3 (sf) US$22,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2041, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2025-3 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes, and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank subordinated note issued after January 01, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer will issue one classes of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt, surplus notes and senior unsecured notes issued by 58 US community banks and 10 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q2-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $483,034,000 Weighted Average Rating Factor (WARF): 714 Weighted Average Spread (WAS) Float only: 3.10% Weighted Average Coupon (WAC) Fixed only : 6.57% Weighted Average Coupon (WAC) Fixed to float : 6.38% Weighted Average Spread (WAS) Fixed to float : 4.08% Weighted Average Life (WAL): 7.5 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. TRYSAIL CLO 2021-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-JR, B-R, C-1R, C-FR, D-1R, D-JR, and E-R debt from Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC, a CLO managed by Sancus Credit Advisors LP that was originally issued in June 2021. At the same time, S&P withdrew its ratings on the previous class A-1, A-F, B, C, D, and E debt following payment in full on the Nov. 25, 2025, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-JR, B-R, C-1R, D-1R, D-JR, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The non-call period was extended to Oct. 20, 2026. -- The reinvestment period was extended to Oct. 20, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Oct. 20, 2036. -- The target initial par amount increased to $350,000,000. There is a new effective date, and the first payment date following the refinancing is April 20, 2026. -- Additional subordinated notes amounting to $38.75 million were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC Class A-1R, $210.00 million: AAA (sf) Class A-JR, $14.00 million: AAA (sf) Class B-R, $42.00 million: AA (sf) Class C-1R (deferrable), $13.00 million: A (sf) Class C-FR (deferrable), $8.00 million: A (sf) Class D-1R (deferrable), $21.00 million: BBB- (sf) Class D-JR (deferrable), $2.625 million: BBB- (sf) Class E-R (deferrable), $11.375 million: BB- (sf) Ratings Withdrawn Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC Class A-1 to NR from 'AAA (sf)' Class A-F to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC Subordinated notes, $69.05 million: NR NR--Not rated. UBS-BARCLAYS COMMERCIAL 2012-C4: DBRS Confirms C Rating on F Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C4 issued by UBS-Barclays Commercial Mortgage Trust 2012-C4 as follows: -- Class E at CCC (sf) -- Class F at C (sf) There are no trends as CCC (sf) and C (sf) credit ratings categories generally do not carry trends in commercial mortgage-backed securities (CMBS). The credit rating confirmations continue to reflect Morningstar DBRS' recoverability expectations for the two remaining loans in the pool, which are secured by real estate owned (REO) assets. Since Morningstar DBRS' previous review in November 2024, the scheduled dispositions of both loans have been delayed and both assets were reappraised in Q3 2025. For this review, Morningstar DBRS updated the liquidation scenario for both loans based on conservative haircuts to the most recent appraised values and determined that losses are likely to be contained to the lowest-rated Class F certificate. Although Morningstar DBRS' recoverability scenarios suggest that Class E remains insulated from loss, given the low investor appetite for regional mall properties, the possibility of further value volatility, and the increased propensity for interest shortfalls, Morningstar DBRS confirmed the credit rating on Class E at CCC (sf). The Newgate Mall loan (Prospectus ID#6; 80.7% of the pool) is secured by the in-line space and two anchor spaces of a single-level regional mall in Ogden, Utah, and has been REO since April 2021. While the servicer indicated a target sale date in Q4 2024 at the last review, the disposition has now been pushed to Q1 2027 as efforts to lease up the property continue. The property's performance has significantly deteriorated since issuance, with the loan's debt service coverage ratio dropping below breakeven in YE2024 and occupancy remaining stagnant at 79.0%. An updated appraisal, dated July 2025, valued the property at $19.0 million, which represents a 77.1% decline from the issuance value of $83.0 million. For this review, Morningstar DBRS applied a 30.0% haircut to the most recent value, resulting in an implied loss exceeding $45.5 million and a loss severity of approximately 82.5%. The Fashion Square loan (Prospectus ID#23; 19.3% of the pool) is secured by a mixed-use property in St. Louis, Missouri, consisting of 13,000 square feet (sf) of retail space, 75,000 sf of office space, and 72 multifamily units and has been REO since April 2023. Per the most recent financials, the property's occupancy rate dropped to 43.3% as of June 2025 from 87.0% at YE2024 with the departure of several commercial tenants, including U.S. Bank (which fully occupied the office space) at its lease expiration in June 2025. According to the servicer's recent commentary, the property sale has been delayed to Q1 2026, with the borrower shifting its focus to lease up the multifamily units, which were 79.0% occupied as of July 2025. An updated appraisal, dated August 2025, valued the property at $9.0 million, an improvement from the May 2024 value of $7.9 million, but well below the issuance value of $25.0 million. For this review, Morningstar DBRS applied a 40.0% haircut to the August 2025 value, resulting in an implied loss exceeding $8.5 million and a loss severity of approximately 64.0%. Notes: All figures are in U.S. dollars unless otherwise noted. UNLOCK HEA 2025-2: DBRS Finalizes BB Rating on Class C Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2025-2 (the Notes) to be issued by Unlock HEA Trust 2025-2 as follows: -- $167.7 million Class A at A (low) (sf) -- $47.8 million Class B at BBB (low) (sf) -- $39.7 million Class C at BB (sf) The A (low) (sf) credit rating reflects credit enhancement of 47.51% for Class A, the BBB (low) (sf) credit rating reflects credit enhancement of 32.55% for Class B, and the BB (sf) credit rating reflects credit enhancement of 20.13% for Class C. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Payment) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is driven by the structure of the agreement, the amount of appreciation/ depreciation on the property, the amount of debt that may be senior to the HEA, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $319.5 million in current exercise value from 2,276 nonrecourse HEI agreements secured by first, second, third and fourth liens on single-family detached, multifamily (two- to four-family), condominium, and townhouse properties. All of the contracts in the asset pool were originated between 2020 and 2025. Of the pool, 318 contracts in the transaction are first-lien contracts, representing roughly $57.5 million in current exercise value; 1,657 are second-lien contracts, representing roughly $225.4 million in current exercise value, 300 are third-lien contracts, representing roughly $36.6 million in current exercise value, and one contract is a fourth-lien contract, representing roughly $84,700 in current exercise value. Of the pool, 18.1% of the contracts are first lien and have a weighted-average (WA) exchange rate of 1.71 times (x), 70.5% are second-lien contracts and have a WA exchange rate of 1.73x, 11.4% of the pool are third-lien contracts with a WA exchange rate of 1.74x, and the remaining 0.02% of the pool includes one fourth-lien contract with a WA exchange rate of 1.60x. This brings the entire transaction's WA exchange rate to 1.73x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section of the related presale report. The current unadjusted loan-to-value ratio of the pool is 34.46% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA contract-to-value (also known as option-to-value) of 20.89%, and a WA loan plus contract-to-value (also known as loan plus option-to-value, or LOTV) of 55.35%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest payment amount and any interest carryforward amount on Class A-IO, Class A, Class B (as long as a trigger event is not in effect), and Class C Notes (as long as a trigger event is not in effect). Payments are then made to reduce the note principal balance on Class A Notes until such notes are paid off. With respect to the Class B Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. With respect to the Class C Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount and then to reduce the note principal balance until such notes are paid off. The Class D Notes are principal only and will not be entitled to any payments until the Class A, B, and C Notes have been paid down. A Trigger Event will occur if (1) the payment date on which the Reserve Fund is less than 50% of the Reserve Fund Target Amount or (2) the payment date on which the average home price valuation of the outstanding HEA is less than 80% of the starting home valuation as of the cut-off date. During a Trigger Event, the Class B and C Notes shall not receive any interest or principal payments until the Class A Notes are fully paid down. The Class C Notes shall not receive any interest or principal payments until both the Class A and B Notes are fully paid down. Notes: All figures are in U.S. dollars unless otherwise noted. UPG HI 2025-2: Fitch Assigns 'BBsf' Rating on Class C Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings to three classes of asset-backed securities (ABS) issued by UPG HI 2025-2 Issuer Trust (UPG HI 2025-2). The notes are backed by a pool of loan draws (home improvement [HI] loan draws) on unsecured, fixed-rate HI loans originated by Upgrade Inc. via Cross River Bank, the originating partner bank. The underlying pool of HI loan draws are serviced by Upgrade Inc. UPG HI 2025-2 is the second public HI ABS ultimately backed by HI loans originated under the Upgrade HI program. The Rating Outlook for the notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- UPG HI 2025-2 Issuer Trust A LT A-sf New Rating A-(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Consistent Receivable Quality: UPG HI 2025-2 is backed by a pool of HI loan draws on unsecured HI loans originated at the point of sale to U.S. homeowners through a national network of contractors. The loan proceeds made available to the borrowers are designated for the financing of windows and doors, roofing, kitchens and bathrooms, heating, ventilation and air conditioning systems, basements, and various other HI products and services. They typically exclude projects for water filtration systems and solar systems. As the sponsors, LuminArx and two co-contributors are contributing the underlying pool of HI loans for the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest Loan (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is its no interest-bearing equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months, during which no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period. Otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 776. The WA original term of the asset pool is 136 months and the WA loan seasoning is six months. Rating Cap at 'Asf': The Upgrade HI loan origination program began in 2022. Consequently, Fitch was provided about 2.5 years of historical performance data. With a WA original term of about 11.3 years for the asset pool and 20 years being the longest term offered by Upgrade, 2.5 years of historical data only provide limited insights into the lifetime performance of the loans, in Fitch's view. Fitch used available performance data from comparable HI and unsecured consumer loan originators in the U.S. to complement Upgrade-specific historical data. Fitch applies a rating cap at 'Asf' to the transaction due to the limitations in historical data. Asset Pool Assumptions: Fitch's WA base case lifetime default rate assumption is 7.4%, based on the mix of product type and FICO scores for the asset pool. Fitch assumes a rating case default multiple of 3.0x at the 'A-sf' rating level, with a corresponding lifetime default rate of 22.2%. The multiple is assessed at the median-high end of the range of Fitch's applicable rating criteria, primarily reflecting the limited data history for originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans, due to the unsecured nature of the loans and limited historical data available on recoveries. Fitch differentiates prepayment rate assumptions by product type, recognizing prepayment incentives for deferred products, given payment step-up after the promotional period, the extent of which depends on the specific product structure. The assumed base case WA prepayment rate is 15.5% per annum (p.a.) during the promotional period and 11.8% p.a. thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's rating criteria and throughout this report. Transaction Structure: The pool of HI assets is financed via three classes of rated notes (A, B and class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in January 2026. Credit enhancement (CE) is provided by overcollateralization (OC; initially equal to 4.00% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve sized at 0.50% of the initial note balance and excess spread to the extent generated by the asset pool (initially estimated at 5.7% pa). The structure provides for OC build-up to target 4.25% of the outstanding asset pool, with a floor of 0.50% of the initial asset pool. Target OC for the class A notes is 25.00%. Total hard CE at closing (as a percentage of the initial asset pool, including reserve fund and excluding excess spread) is 14.48%, 10.48% and 4.48% for classes A, B and C notes, respectively. Adequate Servicing Capabilities: Upgrade and Systems & Services Technologies, Inc. (SST) will act as servicer and backup servicer, respectively, for the transaction upon closing. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk to be in line with ratings of up to 'A-sf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than the initial base case. Fitch models cash flows with the revised default estimates while holding all other modeling assumptions constant. Rating sensitivity to increased base case defaults rates: - Ratings for class A, B and C notes: 'A-sf'/'BBBsf'/'BBsf'; - Increased base case default by 10%: 'BBB+sf'/'BBBsf'/'BBsf'; - Increased base case default by 25%: 'BBB+sf'/'BBsf'/'Bsf'; - Increased base case default by 50%: 'BBB-sf'/'BB+sf'/'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Due to the limitations in historical data, Fitch applies a rating cap at 'Asf' to the transaction. Rating sensitivity to decreased base case defaults rates: - Ratings for class A, B and C notes: 'A-sf'/'BBBsf'/'BBsf'; - Decreased base case default by 50%: 'AAsf'/'A-sf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLESLEY PARK: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Wellesley Park CLO Ltd./Wellesley Park CLO 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 Blackstone CLO Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Wellesley Park CLO Ltd./Wellesley Park CLO LLC Class A, $116.50 million: NR Class A-L, $203.50 million: NR 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), $4.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $49.65 million: NR NR--Not rated. WFRBS COMMERCIAL 2014-C21: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by WFRBS Commercial Mortgage Trust 2014-C21 as follows: -- Class D to CCC (sf) from B (sf) -- Class E to C (sf) from CCC (sf) -- Class X-B to CCC (sf) from B (high) (sf) -- Class X-C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at A (sf) -- Class C at BBB (sf) -- Class F at C (sf) -- Class PEX at BBB (sf) The trends on Classes B, C, and PEX were changed to Negative from Stable. Classes D, E, F, X-B, and X-C have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect Morningstar DBRS' uncertainty around the recoverability of the maturing pool and the increased propensity for interest shortfalls. As of the October 2025 remittance, only eight loans remain in the pool, six of which, representing 63.7% of the current pool balance, are in special servicing, primarily because they were not repaid at their respective maturity dates. The largest of these, Queens Atrium (Prospectus ID#2, 29.2% of the pool balance) was recently modified, extending the loan's maturity to July 2026. Two nonspecially serviced loans are being monitored on the servicer's watchlist for performance-related concerns. The largest of which Fairview Park Drive (Prospectus ID#1, 33.0% of the pool balance) was recently modified, extending the loan's maturity to July 2026, and the smaller loan has an upcoming maturity date in December 2025. Given the concentration of defaulted loans and distressed properties remaining in the pool, Morningstar DBRS analyzed each of the remaining loans in the pool with a conservative liquidation scenario based on value stresses to the most recent appraised values. Individual property value haircuts range from 20.0% to 40.0%. Morningstar DBRS considered various factors when determining the level of stress, including the property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The analysis resulted in cumulative implied losses of approximately $55.7 million, fully eroding the Class F and the nonrated Class G certificates, as well as approximately half of the balance of the Class E certificate, significantly reducing the credit support provided to Class D, thereby supporting the credit rating downgrades with this review. Moreover, interest shortfalls continue to accrue, most recently reported at $2.7 million as of the October 2025 reporting, compared with $654,000 at the time of the last credit rating action in January 2025. Class D did not receive full interest between June 2025 and October 2025, bringing it to the Morningstar DBRS shortfall tolerance of five to six remittance periods for the BB and B credit rating categories, further supporting the credit rating downgrade for this class. The Negative trends on Classes B,C, and PEX are tied to the potential value deterioration of the specially serviced loans and the challenged refinancing prospects of the two largest loans in the pool that collectively represent 72% of the pool balance--Fairview Park Drive and Queens Atrium--given their upcoming maturity dates in 2026. Should the borrower default at the upcoming maturity dates, the timeline of recoverability on the outstanding bonds could be extended, ultimately increasing the propensity for interest shortfalls and overall trust exposure. This consideration is the primary driver for the Negative trends, thus signaling that further credit rating downgrades to these Classes is warranted. Since the previous credit rating action in January, Morningstar DBRS' loss expectations have increased for several loans, including the largest loan in the pool, Fairview Park Drive, which is secured by a 360,864-square-foot (sf) office building in Falls Church, Virginia. The loan transferred back to the master servicer in February 2025 following a loan modification executed in November 2024. As a part of the terms of the loan modification agreement, the borrower was required to deposit $8.5 million into a general cash reserve account in exchange for a two-year maturity extension followed by a 12-month extension option, with a fully extended maturity date in July 2027. The loan is currently being monitored on the servicer's watchlist for a low debt service coverage ratio of 1.21 times (x) reported per the trailing six-month period ended June 30, 2025. However, Morningstar DBRS expects the decline in net cash flow to be temporary as the largest tenant, who took occupancy in 2020 and was paying rent as of the March 2025 rent roll, is currently benefitting from a free-rent period that is scheduled through December 2025, after which, Morningstar DBRS anticipates cash flow will likely recover. The subject reported an occupancy rate of 85.1% with the June 2025 rent roll with approximately 12.7% of the net rentable area (NRA) scheduled to rollover by the fully extended maturity date, which includes the second largest tenant at the subject. The largest tenants include BAE Systems, Inc. (47.0% of the NRA, lease expiry in June 2031), Booz Allen & Hamilton, Inc. (7.7% of the NRA, lease expiry in July 2026), and Deloitte & Touche LLP (formerly occupied 10.0% of the NRA and recently downsized to 6.3% of the NRA at its October 2025 lease expiry, new lease expires in October 2032). As per Reis, office properties within the Falls Church submarket reported an average vacancy rate of 15.2% in Q3 2025, with an average asking rental rate of $35.51 per sf (psf), compared with the subject's average rental rate of $30.74 psf. An August 2024 appraisal valued the property at $91.1 million, 32.5% less than the Issuance Appraised Value of $135.0 million. Morningstar DBRS analyzed a few competitive assets within close proximity of the subject property that were re-appraised over the past year, the results of which suggest value has likely declined further. While the execution of the modification agreement is a positive development, Morningstar DBRS remains concerned with the recent maturity default and moderate rollover risk prior to the extended maturity date. As such, the loan was analyzed with a liquidation scenario based on a haircut to the latest appraised value, resulting in an implied loss severity of more than 20%. Notes: All figures are in U.S. dollars unless otherwise noted. WHITEBOX CLO I: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the proposed new class X-R3 and replacement A-1-R3, A-2-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt from Whitebox CLO I Ltd./Whitebox CLO I LLC, a CLO managed by Whitebox Capital Management LLC that was originally issued in August 2019 and underwent a second refinancing in June 2024. The preliminary ratings are based on information as of Nov. 24, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 1, 2025, refinancing date, the proceeds from the proposed new and 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 X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt and assign ratings to the proposed new class X-R3 and replacement class A-1-R3, A-2-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 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 replacement debt is expected to be issued at lower spreads than the existing debt. -- The non-call period will be extended to Dec. 1, 2026. -- The reinvestment period will be extended to Jan. 24, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 24, 2037. -- New class X-R3 debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 12 payment dates, beginning with the Jan. 24, 2026, payment date. -- The required minimum overcollateralization 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 Whitebox CLO I Ltd./Whitebox CLO I LLC Class X-R3, $4.30 million: AAA (sf) Class A-1-R3, $254.00 million: AAA (sf) Class A-2-R3, $10.00 million: AAA (sf) Class B-R3, $40.00 million: AA (sf) Class C-R3 (deferrable), $24.00 million: A (sf) Class D-1-R3 (deferrable), $24.00 million: BBB- (sf) Class D-2-R3 (deferrable), $4.00 million: BBB- (sf) Class E-R3 (deferrable), $14.00 million: BB- (sf) Other Debt Whitebox CLO I Ltd./Whitebox CLO I LLC Subordinated notes, $35.45 million: NR NR--Not rated. [] Fitch Takes Rating Actions on 23 FFELP SLABS ----------------------------------------------- Fitch Ratings has affirmed 16 Federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings across 10 transactions at their current levels. The Rating Outlooks on the class A-7 and B notes of SLC Student Loan (SLC) 2004-1 have been revised to Negative from Stable, while the Outlook on the SLC 2009-1 class A-2 notes has been revised to Positive from Stable. The Outlooks are Stable for the other affirmed notes, except SLC 2006-1 class B note and SLC 2009-3 class A note, which are Positive and Negative, respectively. Fitch has also downgraded seven FFELP SLABS ratings from four transactions. The SLC 2005-3 class A-4 notes to 'AAsf' from 'AA+sf' and assigned a Negative Outlook. The SLC 2006-2 class A-6 and B notes to 'BBBsf' from 'Asf', with a Negative Outlook for both classes. The SLC 2007-2 class A-3 notes to 'Bsf' from 'BBsf' and assigned a Stable Outlook. The SLC 2008-1 class A-4A, A-4B and B notes to 'Asf' from 'AAsf' and assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- SLC Student Loan Trust 2004-1 A-7 784423AG0 LT B-sf Affirmed B-sf B 784423AH8 LT B-sf Affirmed B-sf SLC Student Loan Trust 2006-1 A-6 784427AF3 LT AA+sf Affirmed AA+sf B 784427AG1 LT Asf Affirmed Asf SLC Student Loan Trust 2007-2 A-3 784422AC1 LT Bsf Downgrade BBsf B 784422AD9 LT Bsf Affirmed Bsf SLC Student Loan Trust 2008-1 A-4A 78444LAD5 LT Asf Downgrade AAsf A-4B 78444LAF0 LT Asf Downgrade AAsf B 78444LAE3 LT Asf Downgrade AAsf SLC Student Loan Trust 2009-3 A 78444TAA4 LT AA+sf Affirmed AA+sf SLC Student Loan Trust 2005-3 A-4 784420AQ4 LT AAsf Downgrade AA+sf B 784420AR2 LT Asf Affirmed Asf SLC Student Loan Trust 2007-1 A-5 784424AG8 LT AAsf Affirmed AAsf B 784424AE3 LT Asf Affirmed Asf SLC Student Loan Trust 2008-2 A-4 78444NAD1 LT Dsf Affirmed Dsf B 78444NAE9 LT Csf Affirmed Csf SLC Student Loan Trust 2009-1 A-2 78444QAB8 LT AAsf Affirmed AAsf SLC Student Loan Trust 2005-1 A-4 784420AD3 LT AA+sf Affirmed AA+sf B-1 784420AE1 LT AAsf Affirmed AAsf SLC Student Loan Trust 2005-2 A-4 784420AJ0 LT AA+sf Affirmed AA+sf B 784420AK7 LT Asf Affirmed Asf SLC Student Loan Trust 2006-2 A-6 784428AF1 LT BBBsf Downgrade Asf B 784428AG9 LT BBBsf Downgrade Asf Transaction Summary For SLC 2004-1 class A-7 and B notes, the change in Outlooks reflect the expected further pressure as the legal final maturity date for class A-7 is less than two years away. For SLC 2005-3 class A-4 notes, the downgrade to 'AAsf' from 'AA+sf' reflects an increase in maturity and credit risk as cushions continue to tighten. The Negative Outlook reflects Fitch's expectations of tighter cushions in the model for future reviews at the current rating level. For SLC 2006-2 class A-6 and B notes, the downgrade to 'BBBsf' from 'Asf' reflects the persistent performance deterioration since prior review, with lower cushions in lower categories. The Negative Outlook for both notes reflects Fitch's expectations of further deterioration in the model for future reviews at the current rating level. SLC 2007-2 class A-3 notes continue to face increased maturity risk and sensitivity to the remaining term. The notes miss their legal final maturity date under Fitch's credit and maturity scenarios. The notes downgrade to 'Bsf' from 'BBsf' is consistent with Fitch's Federal Family Education Loan Program (FFELP) criteria. The Outlook following the downgrade is Stable to give credit to potential support from the servicer at maturity, still more than 14 years away. For class A-4A and A-4B SLC 2008-1 notes, the downgrade to 'Asf' from 'AAsf' reflects the increased maturity risk observed since previous reviews, as maturity cushion continue to tighten. Credit risk remains low. The class B notes are constrained by the senior notes of the transaction, which is reflected in the downgrade. The Outlook for all notes following the downgrade is Stable. For class A-2 notes of SLC 2009-1, the Positive Outlook reflects the stable performance of the transaction with low credit risk and deceleration in the increase in the remaining term, currently at 193.9 months as of the latest reporting date. For SLC 2008-1, a currency swap provided by Credit Suisse International (CS) supports euro-denominated payments on the class A-4B notes. Fitch affirmed CS, a subsidiary of UBS AG, at 'A+'/'F1' and revised the Outlook to Positive on May 21, 2025. The transaction's swap documents do not clearly envisage collateral posting in line with Fitch counterparty criteria. While Credit Suisse was rated below 'A' by Fitch, Fitch was informed by transaction parties that the swap counterparty would post, at a minimum, the mark-to-market (MTM) of the swap when the swap is out-of-money for the swap counterparty. Additionally, under the swap documents, Credit Suisse International (CS) would need to be replaced as swap counterparty if downgraded below 'BBB+' or 'F2' by Fitch, regardless of collateral posting. Fitch considers the combination of the collateral posting of the MTM of the swap and the replacement trigger in line with Fitch criteria to sufficiently mitigate counterparty risk and support ratings on the senior notes at the current rating level. For SLC Student Loan Trust 2008-2, the affirmation of the class A-4 notes at 'Dsf' reflects the ongoing default on the senior class A-4 notes in the payment of their outstanding principal on their legal final maturity date on June 15, 2021. The class B notes are affirmed at 'Csf', reflecting f the high level of credit risk for the notes, resulting from the occurrence of an event of default in the transaction. Thus far the class B notes have continued to make interest payments; however, pursuant to the trust indenture, the trust could switch to a post-event of default waterfall, directing all payments to the class A-4 notes until the balance is paid in full, which would result in interest payments being diverted away from the class B notes. If this course of action were followed, the class B notes would not pass Fitch's base case cashflow scenarios, as reflected by the current rating on the notes. Fitch continues to monitor the remedies to the occurrence of the event of default implemented by the noteholders or transaction parties, as provided under the trust indenture, and take any additional rating action based on the impact of those remedies, as deemed appropriate. KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cashflow modeling. Fitch is maintaining the sustainable constant default rate (sCDR) assumptions ranging from 2.00% to 5.30% and sustainable constant prepayment rate (sCPR) assumptions ranging from 8.00% to 9.50%. The 'AA+sf' default rates range from approximately 30.75% to 100.00%, and the 'Bsf' default rates range from 10.25% to 45.00%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 1.93% to 5.83%, 7.07% to 17.83%, and 16.60% to 32.76%, respectively, and are the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefits range from 0.02% to 0.25%, based on information provided by the sponsor. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for special allowance payments (SAP) and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 100.00% to 119.2%. Liquidity support is provided by reserve accounts that are at their floors for all transactions, except for SLC 2008-2, which is sized at $0. All transactions are releasing cash as of the latest distribution except for SLC 2004-1, 2008-1 and 2009-1, which have fallen below 10% of their initial pool balances, and SLC 2008-2 also given the event of default in place. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024, which will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. Transaction Parties and Operational Risk: Credit Suisse International, a subsidiary of UBS AG, provides a currency swap for SLC Student Loan Trust 2008-1. Collateral posting excludes liquidity adjustments and volatility cushions linked to Fitch's ratings, in addition to the market-to-market of the swap, which represents a variation from Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum." The transaction's currency swap documentation is a negative factor for the credit profile as the documentation constrains the ratings implicitly lower than the results of Fitch's cashflow modeling for the transaction would otherwise indicate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf' and below, the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase in CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to 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 SLC Student Loan Trust 2008-1 has an ESG Relevance Score of '5' for Transaction Parties & Operational Risk due to due to the transaction's swap documentation, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating than the results of Fitch's cashflow modeling for the transaction would otherwise indicate. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Rating Action on 13 Bonds from 7 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds from seven US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7 Cl. B-3, Upgraded to Caa1 (sf); previously on Sep 24, 2014 Downgraded to C (sf) Cl. B-4, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to C (sf) Issuer: CSFB ABS Trust Series 2001-HE22 Cl. A-1, Upgraded to Aaa (sf); previously on Feb 15, 2024 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Caa2 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-8 Cl. M-4, Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to Aa2 (sf); previously on Jan 17, 2024 Upgraded to Baa1 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-3 Cl. M-6, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-5 Cl. M-4, Upgraded to Aaa (sf); previously on Feb 15, 2024 Upgraded to A3 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3 Cl. M-1, Upgraded to Aaa (sf); previously on Dec 12, 2023 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 1, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6 Cl. M-1, Upgraded to A1 (sf); previously on May 14, 2024 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some 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. 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, 1.05x for these bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. This includes the bond's expected and realized losses remain within appropriate ranges for the rating levels, and Moody's analysis reflecting interest risk from current or potential missed interest that remain unreimbursed and the potential impact of collateral performance volatility on ratings. 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 22 Bonds from 10 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 21 bonds and downgraded the rating of one bond from ten 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: Citicorp Residential Mortgage Trust Series 2007-1 Cl. A-5, Upgraded to Aaa (sf); previously on Nov 20, 2018 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Jan 18, 2017 Reinstated to C (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 29, 2018 Upgraded to Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-9 Cl. M-1, Upgraded to Aaa (sf); previously on Aug 1, 2019 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 26, 2016 Upgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-15 Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-17 Cl. 1-AF-3, Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-AF-5, Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 7, 2019 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-AF-4, Upgraded to Caa2 (sf); previously on Oct 26, 2016 Confirmed at Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Oct 26, 2016 Confirmed at Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. MV-3, Upgraded to Caa2 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-C Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 6, 2018 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Sep 15, 2010 Downgraded to C (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-A Cl. A-4, Upgraded to Ba1 (sf); previously on Nov 22, 2019 Upgraded to B1 (sf) Issuer: MASTR Asset Backed Securities Trust 2006-FRE1 Cl. M-1, Upgraded to Caa3 (sf); previously on Nov 27, 2018 Upgraded to Ca (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-D Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-OPT3 Cl. II-A-4, Upgraded to Aaa (sf); previously on Dec 18, 2019 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 17, 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. In addition, 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 rating downgrade of Class M-1 issued by Citigroup Mortgage Loan Trust 2007-WFHE3 is due to outstanding credit interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The 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, 1.08x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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 10 Bonds from 2 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 10 bonds from two US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by J.P. Morgan Mortgage Trust. 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: J.P. Morgan Mortgage Trust 2019-7 Cl. B-5, Upgraded to A3 (sf); previously on Jan 29, 2025 Upgraded to Baa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-4 Cl. B-1, Upgraded to Aa2 (sf); previously on Apr 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Apr 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Apr 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 6, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Feb 6, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Feb 6, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 6, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 6, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Feb 6, 2025 Upgraded to B1 (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 continues to display strong collateral performance, with minimal cumulative losses for each transaction under 0.15% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, by 2.25x for the tranches upgraded. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 12 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 11 bonds and downgraded the rating of one bond from eight US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4 Cl. A-1B, Upgraded to Aaa (sf); previously on May 11, 2012 Downgraded to Aa2 (sf) Cl. A-2C, Upgraded to Aa2 (sf); previously on May 11, 2012 Downgraded to A1 (sf) Cl. A-2D, Upgraded to Aa2 (sf); previously on Oct 25, 2017 Downgraded to Aa3 (sf) Issuer: American Home Mortgage Investment Trust 2004-4 Cl. VI-M-1, Upgraded to Caa2 (sf); previously on Jun 20, 2013 Downgraded to Ca (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE3 Cl. A5, Upgraded to Aaa (sf); previously on Jul 11, 2018 Upgraded to Aa2 (sf) Cl. M1, Upgraded to Caa3 (sf); previously on Apr 27, 2017 Upgraded to Ca (sf) Issuer: Citicorp Residential Mortgage Trust Series 2006-3 Cl. M-2, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: Citicorp Residential Mortgage Trust Series 2007-2 Cl. M-2, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J13 Cl. B, Upgraded to Ca (sf); previously on Mar 22, 2011 Downgraded to C (sf) Issuer: Freddie Mac Securities REMIC Trust 2005-S001 Cl. 1B1, Upgraded to Ca (sf); previously on Jan 3, 2011 Downgraded to C (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2006-2 Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to B1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade is the result of outstanding credit interest shortfalls that are unlikely to be recouped. This 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. 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. 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), backed by agency-eligible and prime jumbo 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: Citigroup Mortgage Loan Trust 2022-INV1 Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 11, 2025 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on Feb 11, 2025 Upgraded to A1 (sf) Cl. B-2-IOW*, Upgraded to Aa3 (sf); previously on Feb 11, 2025 Upgraded to A1 (sf) Cl. B-2-IOX*, Upgraded to Aa3 (sf); previously on Feb 11, 2025 Upgraded to A1 (sf) Cl. B-2W, Upgraded to Aa3 (sf); previously on Feb 11, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Cl. B-3-IO*, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Cl. B-3-IOW*, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Cl. B-3-IOX*, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Cl. B-3W, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 11, 2025 Upgraded to Ba2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-MTG2 Cl. B1, Upgraded to Aa1 (sf); previously on May 1, 2024 Upgraded to Aa2 (sf) Cl. B1A, Upgraded to Aa1 (sf); previously on May 1, 2024 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B2A, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B5, Upgraded to Ba1 (sf); previously on Feb 12, 2025 Upgraded to Ba2 (sf) Cl. BX1*, Upgraded to Aa1 (sf); previously on May 1, 2024 Upgraded to Aa2 (sf) Cl. BX2*, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2021-INV2 Trust Cl. B-3, Upgraded to A1 (sf); previously on Feb 19, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Feb 19, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 19, 2025 Upgraded to Ba2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2022-2 Trust Cl. A-17, Upgraded to Aaa (sf); previously on Apr 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Apr 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Apr 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on May 13, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 19, 2025 Upgraded to Baa2 (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 continues to display strong collateral performance, with cumulative losses for each transaction under .02% and a small percentage 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, 1.8x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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