251214.mbx

251214.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, December 14, 2025, Vol. 29, No. 347 Headlines 522 FUNDING 2018-3(A): Moody's Affirms Ba3 Rating on Class E Notes ACHD TRUST 2025-DS1: DBRS Assigns Prov. BB Rating on Class B Notes AMMC CLO 33: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ANGEL OAK 2025-HB2: DBRS Finalizes B(low) Rating on Class B2 Notes ARES LIII: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes ARES LVII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ATLANTIC AVENUE 2023-1: S&P Assigns BB- (sf) Rating on E-R Notes BAHA TRUST 2024-MAR: DBRS Confirms BB Rating on Class HRR Certs BALLYROCK CLO 32: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes BAMLL COMMERCIAL 2025-1105W: DBRS Gives (P)BB(low) Rating on E Debt BAMML COMMERCIAL 2025-HYT: Moody's Assigns (P)B3 Rating to F Certs BANK5 2025-5YR18: Fitch Assigns B-sf Final Rating on Two Tranches BANK5 2025-5YR19: DBRS Assigns (P) B(high) Rating on Class G Certs BANK5 2025-5YR19: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BARINGS CLO 2025-VI: Fitch Assigns 'BB-sf' Rating on Class E Notes BDS 2025-FL16: Fitch Assigns 'B-sf' Final Rating on Class G Notes BEAR STEARNS 2007-AC4: Moody's Lowers Rating on 2 Tranches to C BX COMMERCIAL 2024-GPA3: DBRS Confirms BB(high) Rating on HRR Certs CANADIAN COMMERCIAL 2022-5: DBRS Confirms BB Rating on Cl. F Certs CBAMR 2019-11R: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CHASE HOME 2025-13: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Debt CIFC FUNDING 2021-II: Fitch Assigns BB-(EXP)sf Rating on E-R Notes CIFC FUNDING 2025-VII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes CITIGROUP 2017-B1: DBRS Lowers Rating on 3 Tranches to CCCsf CITIGROUP 2025-LTV1: Fitch Assigns B-(EXP) Rating on Cl. B-2 Notes COLT 2025-12: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs COMM 2014-UBS2: DBRS Confirms 'C' Rating on 2 Tranches COMM 2020-CX: DBRS Confirms BB Rating on Class E Certs COMM 2024-CBM: DBRS Confirms B(low) Rating on Class F Certs CRB COMMERCIAL 2025-1: DBRS Finalizes B(high) Rating on F-RR Certs CSAIL 2017-CX9: Fitch Affirms 'B-sf' Rating on Three Tranches FIDIUM LLC 2025-1: Fitch Affirms BB-sf Rating on Class C Debt GALAXY 36 CLO: S&P Assigns BB- (sf) Rating on Class E Notes GALLATIN X 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes GCAT 2025-INV5: Moody's Assigns (P)B3 Rating to Class B-5 Certs GCAT TRUST 2025-NQM7: Moody's Assigns B2 Rating to Cl. B-2 Certs GOLDENTREE LOAN 18: Fitch Assigns 'B-sf' Rating on Class F-R Notes GOLDENTREE LOAN 27: Fitch Assigns 'B-sf' Rating on Class F Notes GREAT LAKES IX: S&P Assigns BB- (sf) Rating on Class E Notes GS MORTGAGE 2014-GC22: DBRS Lowers Rating on 3 Tranches to Csf GS MORTGAGE 2019-GC39: Fitch Affirms 'B-sf' Rating on Class F Certs GS MORTGAGE 2025-PJ11: Fitch Rates Class B5 Notes 'B-(EXP)' GS MORTGAGE 2025-PJ11: Moody's Assigns (P)B3 Rating to B-5 Certs GSJP TRUST 2025-BEDS: Moody's Assigns (P)B2 Rating to Cl. F Certs HALCYON LOAN 2017-1: Moody's Ups Rating on $16MM D Notes to Ba2 HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2025-5 Cl. D Notes HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs JP MORGAN 2021-INV5: Moody's Raises Rating on Cl. B-5 Certs to Ba2 JPMCC COMMERCIAL 2016-JP3: Moody's Cuts Rating on 2 Tranches to Ba1 KATAYMA CLO I: S&P Assigns BB- (sf) Rating on Class E-R Notes KCAP F3C: S&P Affirms B+ (sf) Rating on Class E Notes KINGS PARK: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes KSL COMMERCIAL 2025-MH: Moody's Assigns B2 Rating to Cl. F Certs LENDINGCLUB 2025-P3: Fitch Assigns 'Bsf' Rating on Class F Notes MERCHANTS FLEET 2025-1: DBRS Gives (P)BB Rating on Class E Notes METRONET INFRASTRUCTURE 2025-4: Fitch to Rate Class C Debt 'BB-sf' MF1 2021-FL7: DBRS Hikes Class H Notes Rating to Bsf MFA 2025-NQM5: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes MILOS CLO: Moody's Affirms Ba3 Rating on $22.5MM Cl. E-R Notes MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Class E-RR Notes MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs NEW RESIDENTIAL 2025-NQM7: Fitch Rates Class B2 Notes 'B-(EXP)' NORTHWOODS CAPITAL XVIII: Moody's Cuts Rating on Cl. E Notes to B1 NYC COMMERCIAL 2025-77C: Fitch Rates Class HRR Certs 'B(EXP)' OCEAN TRAILS 8: Fitch Assigns 'BB-sf' Rating on Class E-RR2 Notes OCEAN TRAILS 8: Moody's Assigns B3 Rating to $1.5MM F-RR2 Notes OCP CLO 2025-48: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OCTAGON 66: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes OCTAGON INVESTMENT 36: Moody's Cuts Rating on $10MM F Notes to Caa3 OFSI BSL XI: S&P Assigns BB- (sf) Rating on Class E-RR Notes OFSI BSL XI: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes ONITY LOAN 2025-HB2: DBRS Gives (P) B Rating on Class M6 Notes OWN EQUIPMENT III: DBRS Assigns (P) BB(low) Rating on Class C Notes OZLM VIII: Moody's Upgrades Rating on $11.4MM E-RR Notes to B2 OZLM XX: Moody's Affirms Ba3 Rating on $20.25MM Class D Notes PIKES PEAK 20: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes POST ROAD 2025-1: Fitch Affirms 'BBsf' Rating on Class E Notes PRET 2025-RPL6: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Debt PRKCM 2025-AFC2: DBRS Finalizes B Rating on Class B-2 Notes PROVIDENT BANK 2000-2: Moody's Cuts Rating on Cl. A-2 Certs to Caa3 PROVIDENT FUNDING 2025-6: Moody's Assigns (P)B2 Rating to B-5 Certs PRPM 2025-RPL5: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes RAD CLO 22: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes RED OAK 2025-1: DBRS Assigns (P) BB(low) Rating on Class C Notes ROCKFORD TOWER 2025-2: Fitch Assigns 'BB-sf' Rating on Cl. E Notes SANDSTONE PEAK IV: S&P Assigns Prelim BB- (sf) Rating on E Notes SANTANDER BANK 2025-A: Moody's Assigns (P)B3 Rating to Cl. F Notes SCULPTOR CLO XXXVII: Moody's Assigns Ba3 Rating to $12MM E Notes SILVER POINT 3: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes SIXTH STREET XII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes SUTTONPARK STRUCTURED 2021-A: DBRS Keeps D Notes' Rating on Review SYMPHONY CLO XXVIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes TIKEHAU US IV: S&P Assigns BB- (sf) Rating to Class E-R Notes TOWD POINT 2024-1: Moody's Upgrades Rating on Cl. B2 Certs to B2 TPG CLO 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes TPG CLO 2025-2: Fitch Rates Class E Debt 'BB-sf' UNLOCK HEA 2025-3: DBRS Assigns Prov. BB(low) Rating on C Notes VELOCITY COMMERCIAL 2025-5: DBRS Gives (P) B Rating on 3 Tranches VERUS SECURITIZATION 2025-12: S&P Assigns Prelim B(sf) on B-2 Notes VERUS SECURITIZATION 2025-R2: Fitch Rates Class B2 Notes 'B(EXP)' WELLS FARGO 2016-NXS: DBRS Confirms C Rating on 2 Tranches WELLS FARGO 2025-5C7: DBRS Gives (P) BB Rating on Class F-RR Certs WP GLIMCHER 2015-WPG: DBRS Cuts Rating on Class PR-2 Certs to B [] DBRS Confirms 14 Ratings From 4 Bridgecrest Trust Transactions [] DBRS Confirms 5 Ratings From 5 United Auto Credit Transactions [] DBRS Reviews 736 Classes From 51 US RMBS Transactions [] DBRS Reviews 77 Classes in 9 US RMBS Transactions [] Fitch Cuts 3 Classes From 19 US CMBS Deals From 2013 Vintage [] Moody's Takes Rating Action on 17 Bonds from 12 US RMBS Deals [] Moody's Takes Rating Action on 36 Bonds from 20 US RMBS Deals [] Moody's Upgrades Ratings on 23 Bonds from 7 US RMBS Deals ********* 522 FUNDING 2018-3(A): Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by 522 Funding CLO 2018-3(A), Ltd.: US$30.15M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Jun 12, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$296.7M (Current outstanding amount US$38,933,960) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 30, 2021 Assigned Aaa (sf) US$46.95M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 15, 2024 Upgraded to Aaa (sf) US$23.45M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 12, 2025 Upgraded to Aaa (sf) US$25.87M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 22, 2020 Confirmed at Ba3 (sf) 522 Funding CLO 2018-3(A), Ltd., originally issued in August 2018 and partially 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 MS 522 CLO CM LLC. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in June 2025. The affirmations on the ratings on the Class A-R, B-R, C-R and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD57.02 million (19.22%) since the last rating action in June 2025 and USD257.77 million (86.88%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated November 2025[1], the Class A/B, Class C, Class D and Class E OC ratios are reported at 207.12%, 162.70%, 127.53% and 107.58% compared to May 2025[2] levels of 165.95%, 142.56%, 120.68% and 106.64%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD179.45m Defaulted Securities: USD3.53m Diversity Score: 46 Weighted Average Rating Factor (WARF): 2919 Weighted Average Life (WAL): 3.51 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.90% Weighted Average Coupon (WAC): 15.00% Weighted Average Recovery Rate (WARR): 46.52% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are 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. ACHD TRUST 2025-DS1: DBRS Assigns Prov. BB Rating on Class B Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by ACHD Trust 2025-DS1 (the Issuer or ACHD 2025-DS1): -- $148,610,000 Class A Notes at (P) BBB (sf) -- $37,400,000 Class B 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'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 (P) BBB (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the ACHD 2025-DS1 transaction documents. (2) The origination (enrollment), servicing and administration capabilities of Achieve Debt Relief. (3) The presence of (a) WSFS as master backup servicer and (b) Century Support Services, LLC as Master Backup Servicer Subcontractor. Morningstar DBRS considered the process, timing and mechanics around the replacement of (a) the Servicer and (b) the Provider to the extent such replacement 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 replacement of Servicer or Provider. While such a delay would be reasonably expected to be short, 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) Most of the Issuer Debt Settlement Assets are collected by initiating ACH transfers on a monthly basis from the applicable Customer's bank account to the applicable Servicer Deposit Account. The ability to initiate these ACH transfers is dependent upon the Servicer's agreements and relationship with the bank that maintains the Servicer Deposit Account. If the Master Backup Servicer or other Successor Servicer is not able to continue to initiate these ACH transfers at the time of the servicing transfer, there would be significant disruptions in collections until the Master Backup Servicer or other Successor Servicer is able to restore these capabilities with that bank or at another account bank. As a result, the Issuer Debt Settlement Assets may experience difficulties collecting earned fees, at least for a period of time. The transaction includes a "full turbo" feature where all available cashflows are used to repay Notes. (6) These Debt Settlement Assets are short term in nature, thus limiting the amount of time in which noteholders may be exposed to unexpected economic stress or stress induced from problems with the sponsor. (7) Customer cancellations may adversely affect collections. Customers may cancel their participation in the debt resolution program at any time without penalty. Upon cancellation, funds in the Servicer Deposit Account are refunded, after amounts applied to fees already earned. -- If a Customer withdraws prior to settlement, the related Debt Settlement Asset becomes uncollectible and no further fees may be earned. -- Withdrawals -- Customers may withdraw from the debt resolution program for financial or non-financial reasons. -- Some Customers may be unable to continue making deposits into their Dedicated Accounts due to loss of income, hardship or other financial pressures, or may choose to prioritize other payment obligations such as mortgages or auto loans. -- Others may withdraw as a result of dissatisfaction with the debt settlement process or the level of service received. -- Still other Customers may cancel in order to enroll with a different debt settlement company offering alternative terms or services. (8) A significant portion of the collateral consists of Earned Provider Fees and Unearned Provider Assets arising under the Provider Services Agreement. Thus, any termination, modification, failure, or insolvency of the Provider could adversely affect payments on the Notes. -- The performance of this portion of the Debt Settlement Assets is highly dependent on the Servicer's ability to maintain its contractual and business relationship with the Provider. If the Provider Services Agreement were to be terminated or materially modified, the Issuer could lose the ability to earn compensation associated with these assets. (9) This ABS includes receivables that are in "pre-settlement" (90.90%) and "post-settlement" (9.10%) stages. These two stages present a unique aspect associated with this new asset. Pre-Settlement fees are "future receivables" that can only be turned into collections once Achieve settles with a creditor regarding the Customer's enrolled debt. From a legal standpoint, during this phase, there is not technically a receivable in which the transaction has a security interest. Instead, at this point of "Pre-Settlement", the transaction holds its security interest in the "rights to receive settlement fees". (10) The enrolled debt consists of various tiers designated by Achieve. -- Low numbered credit tiers represent a higher credit quality Customers and, based on the Sponsor's analysis of data available to it on any Customer, a higher likelihood of such Customer continuing to make monthly deposits, agreeing to settlements and generating fees. -- If a Customer incurs additional debt after the date of the Issuer Debt Settlement Asset, the additional debt may impair the ability of that Customer to make monthly deposits into their Dedicated Account and the Issuer's ability to receive the fees that it expects to receive on such Issuer Debt Resolution Agreement. In addition, the additional debt may adversely affect the Customer's creditworthiness generally, and could result in the financial distress, insolvency, or bankruptcy of the Customer. In addition, to the extent that the Customer has or incurs other indebtedness and cannot pay all of his or her indebtedness, the Customer may choose to make payments on other debts, rather than make monthly deposits into such Customer's Escrow Account. (11) The debt resolution industry is well regulated at the federal and state levels. The Federal Trade Commission's Telemarketing Sales Rule (TSR) is the principal federal regulation for the debt resolution industry and the regulation generally requires that Providers may not charge a fee until a debt has been resolved, the Customer has agreed to the settlement and the consumer has made a payment towards that settlement. (12) The provision of debt settlement services requires licensure or registration with state financial regulators in certain states. Failure to hold required licenses could result in the imposition of penalties, an order to cease doing business in a state, or restitution to consumers. (13) The sizing of the reserve account, in the context of the transaction's short tenor, with a profitable Servicer, is deemed to be adequate. (14) The legal structure and expected legal opinions that will address the true sale of the debt settlement assets, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. (15) 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 securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distributable Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. AMMC CLO 33: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AMMC CLO 33 Ltd./AMMC CLO 33 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by American Money Management Corp., a subsidiary of American Financial Group (AFG). The preliminary ratings are based on information as of Dec. 8, 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 AMMC CLO 33 Ltd./AMMC CLO 33 LLC Class A, $244.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $38.42 million: NR NR--Not rated. ANGEL OAK 2025-HB2: DBRS Finalizes B(low) Rating on Class B2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-HB2 (the Notes) issued by Angel Oak Mortgage Trust 2025-HB2 (AOMT 2025-HB2 or the Trust): -- $212.0 million Class A-1 at AAA (sf) -- $15.2 million Class M-1 at AA (low) (sf) -- $13.8 million Class M-2 at A (low) (sf) -- $13.9 million Class M-3 at BBB (low) (sf) -- $12.7 million Class B-1 at BB (low) (sf) -- $6.6 million Class B-2 at B (low) (sf) The AAA (sf) credit ratings on the Notes reflect 24.65% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.25%, 14.35%, 9.40%, 4.90%, and 2.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 2,631 loans with a total unpaid principal balance (UPB) of $281,388,254 and a total current credit limit of $325,858,628 as of the Cut-Off Date (November 1, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from zero to 16 months. All the HELOCs are current and approximately 99.0% have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. AOMT 2025-HB2 represents the second HELOC securitization by the Sponsors, and is their first containing exclusively HELOCs. The transaction includes mostly junior liens and some first-lien HELOCs. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period of five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from 10 to 25 years and are no longer allowed to draw. All HELOCs in this transaction are floating-rate loans with interest-only (IO) payment periods aligned with their draw periods. No loans require a balloon payment. The loans are made mainly to borrowers with near-prime and expanded prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 95.6% after four months of seasoning on average. Transaction and Other Counterparties All the mortgages were originated by HomeBridge Financial Services, Inc. Shellpoint will service all loans within the pool. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. WSFS Bank will also serve as the Custodian along with Wilmington Trust, National Association. Morningstar DBRS has not performed an operational review on HomeBridge for this transaction, however, their collateral has appeared in other HELOC transactions Morningstar DBRS has rated. Morningstar DBRS applied a haircut to their originator score to account for this. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), Goldman Sachs Bank USA (rated A (high) with a Stable trend by Morningstar DBRS), as the VFL Lender, will be required to advance any such Net Draw up to the amount of $25,000,000 (VFL Commitment Amount) until November 2030. The Certificate Principal Balance of the Class G Certificates will increase by any such amount remitted by the VFL Lender or the holder of the Issuer Trust Certificate, as applicable. The Sponsors, as holders of the Issuer Trust Certificate, will have an ultimate responsibility to ensure draws are funded as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or the Sponsors. Rather, the analysis relies on the creditworthiness of the VFL Lender and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. For this transaction, any loan that 180 days delinquent under the Mortgage Bankers Association (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. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described below in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The U.S. Retaining Sponsor will acquire and intends to retain an eligible horizontal interest consisting of 5% of the fair value of the Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, and will be held no longer than the seventh anniversary of the Closing Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 30% of the Cut-Off Date UPB, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LIII: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LIII CLO Ltd.'s 2025 refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Ares LIII CLO Ltd. X-R2 LT NRsf New Rating A-1-R2 LT NRsf New Rating A-2-R 04009GAS6 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-R 04009GAU1 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 04009GAW7 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 04009GAY3 LT PIFsf Paid In Full BBB-sf D-1-R2 LT BBBsf New Rating D-2-R 04009GBA4 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating E-R 04015YAE0 LT PIFsf Paid In Full BB-sf E-R2 LT BBsf New Rating Transaction Summary Ares LIII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 96.69% 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 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 1.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 6 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. KEY PROVISION CHANGES This 2025 refinancing is being implemented via the second supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The existing class X-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R and E-R notes will be refinanced into the class X-R2, A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2 and E-R2 notes. - The class D-2-R fixed rate note was refinanced to floating rate note D-2-R2 and the remaining floating rate notes were refinanced with lower spread. - The non-call period for the refinanced notes is extended to Sept. 9, 2026. - The stated maturity and end of reinvestment period on the refinanced notes remained the same as the original notes. FITCH ANALYSIS The portfolio includes 405 assets from 340 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $550 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 48.2% of the current portfolio par balance; ratings for 51.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.3% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.4%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 2.90%; - Minimum weighted average recovery rate of 73.60%; - Maximum weighted average rating factor of 26.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 6.50%; - The non-call period for the refinanced notes is extended to Sep. 09, 2026. The transaction will exit its reinvestment period on Oct. 24, 2027. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-2-R2: 'AAAsf' / Default 42.0% / Recovery 40.0% / Cushion 10.90% - Class B-R2: 'AAsf' / Default 39.10% / Recovery 49.10% / Cushion 12.70% - Class C-R2: 'Asf' / Default 34.50% / Recovery 58.80% / Cushion 12.7% - Class D-1-R2: 'BBBsf' / Default 29.92% / Recovery 68.2% / Cushion 11.30% - Class D-2-R2: 'BBB-sf' / Default 26.40% / Recovery 68.20% / Cushion 9.10% - Class E-R2: 'BBsf' / Default 23.60% / Recovery 73.70% / Cushion 10.0% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R2: 'AAAsf' / Default 49.80% / Recovery 39.40% / Cushion 3.60% - Class B-R2: 'AAsf' / Default 46.50% / Recovery 47.40% / Cushion 5.30% - Class C-R2: 'Asf' / Default 41.70% / Recovery 56.80% / Cushion 5.10% - Class D-1-R2: 'BBBsf' / Default 36.20% / Recovery 66.0% / Cushion 4.70% - Class D-2-R2: 'BBB-sf' / Default 33.10% / Recovery 66.0% / Cushion 3.30% - Class E-R2: 'BBsf' / Default 29.80% / Recovery 72.0% / Cushion 3.40% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BBB-sf' and 'AAsf' for class B-R2, between 'BB-sf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBBsf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'BB-sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, and '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 Ares LIII 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. ARES LVII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LVII CLO Ltd. Entity/Debt Rating ----------- ------ Ares LVII CLO Ltd. (Reset) A-1R2 LT AAAsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating X-R2 LT AAAsf New Rating Transaction Summary Ares LVII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that initially closed in December 2020 and refinanced in December 2021. This will be the second reset transaction and the existing secured notes will be refinanced in whole on Dec. 4, 2025 from proceeds of the new secured notes. The transaction will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.07, 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 96.99% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.22% 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1R2, between 'BBB+sf' and 'AA+sf' for class A-2R2, 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-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, 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, 'Asf' for class D-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LVII CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ATLANTIC AVENUE 2023-1: S&P Assigns BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Atlantic Avenue 2023-1 Ltd./Atlantic Avenue 2023-1 LLC, a CLO managed by Atlantic Avenue Management RR LLC that was originally issued in October 2023. At the same time, S&P withdrew its ratings on the previous class A, B, C, D-1, D-2, and E debt following payment in full on the Dec. 9, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 9, 2027. -- The reinvestment period was extended to Dec. 9, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 15, 2039. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Atlantic Avenue 2023-1 Ltd./Atlantic Avenue 2023-1 LLC Class A-R $252.00 million: AAA (sf) Class B-R $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $7.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Atlantic Avenue 2023-1 Ltd./Atlantic Avenue 2023-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB- (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Atlantic Avenue 2023-1 Ltd./Atlantic Avenue 2023-1 LLC Subordinated notes, $38.52 million: NR NR--Not rated. BAHA TRUST 2024-MAR: DBRS Confirms BB Rating on Class HRR Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-MAR issued by BAHA Trust 2024-MAR as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its lifecycle, having closed in December 2024. The transaction is secured by the borrower's fee-simple and partial leasehold interest in the Baha Mar Resort, a beachfront luxury resort encompassing 2,323 keys. The AAA Four Diamond resort is located on New Providence, an island of the Bahamas, approximately 185 miles southeast of the coast of Florida. The resort offers three hotel brands: the Grand Hyatt Baha Mar (1,800 keys), SLS Baha Mar (298 keys), and the Rosewood Baha Mar (225 keys). The differentiated upscale hotel brands present various offerings and experiences that attract diverse guests with various price points. The borrower parent for this transaction is Chow Tai Fook Enterprises, a private investment holding company representing the Cheng family of Hong Kong that has an investment portfolio across multiple different sectors such as generation, healthcare, education, media and commercial real estate. The collateral benefits from its prime beachfront location, superior property quality, and significant ongoing capital investments from a strong sponsor. Located along Cable Beach, the collateral offers access to approximately 3,000 square feet (sf) of white-sand beaches. The resort offers an extensive amenity package, including 45 food and beverage outlets; more than 10 pools; the Baha Bay waterpark; a casino; 33,000 sf of high-end retail; two spas; two fitness centers; a racquet club featuring both tennis and pickleball courts; and approximately 300,000 sf of meeting space, including the 200,000-sf Baha Mar convention center. The resort also offers multiple day clubs and nightclubs, a game zone, a kids club, and an art gallery. The property's robust amenities package appeals to leisure, corporate, and group demand, allowing the property to easily shift segmentation. The Baha Mar Resort has collected awards, notably from AAA, Forbes, Condé Nast, and U.S. News, highlighting the resort's luxury offerings and experience. At issuance, the borrower parent had invested approximately $570 million in capital improvements since the property was built in 2017 to enhance the collateral's competitive position in the market with plans to invest an additional nearly $30.0 million for room and entertainment venue renovations. The mortgage loan of $1.50 billion was used to return $1.35 billion of equity, fund an upfront insurance reserve of $120.7 million for windstorm deficiency, cover approximately $23.4 million in closing costs, and fund a deferred maintenance reserve and a political risk premium reserve. The interest-only (IO), fixed-rate loan was structured with a five-year loan term and a final maturity date of November 2029. According to the June 2025 STR reports for each of the three underlying properties, the collateral's weighted-average trailing 12-month (T-12) figures of 73.4%, $549.18, and $399.96 for the occupancy, average daily rate, and revenue per available room, respectively, are relatively in line with the Morningstar DBRS figures at issuance of 74.4%, $550.73, and $409.70, respectively. The net cash flow (NCF) for the T-12 period ended June 30, 2025, was reported at $170.6 million (reflecting a debt service coverage ratio (DSCR) of 1.43 times (x)), compared with the YE2024 NCF figure of $178.5 million (reflecting a DSCR of 1.50x) and the Morningstar DBRS NCF figure of $172.0 million at issuance. With this review, Morningstar DBRS maintained the sizing approach from issuance, which was based on a capitalization rate of 8.61% applied to the Morningstar DBRS NCF of $172.0 million. The resulting value of approximately $2.0 billion represents a variance of -29.1% from the issuance appraised value of $2.8 billion and represents a Morningstar DBRS loan-to-value ratio (LTV) of 75.1%. Morningstar DBRS maintained positive qualitative adjustments of 5.75% to the LTV sizing benchmarks to account for the property's superior quality and strong market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. BALLYROCK CLO 32: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 32 Ltd./Ballyrock CLO 32 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 Fidelity CLO Advisers L.P., an affiliate of Fidelity Management & Research Co. LLC. The preliminary ratings are based on information as of Dec. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Ballyrock CLO 32 Ltd./Ballyrock CLO 32 LLC Class A-1a, $315.0 million: AAA (sf) Class A-1b, $15.0 million: AAA (sf) Class A-2, $50.0 million: AA (sf) Class B (deferrable), $30.0 million: A (sf) Class C-1 (deferrable), $30.0 million: BBB- (sf) Class C-2 (deferrable), $5.0 million: BBB- (sf) Class D (deferrable), $15.0 million: BB- (sf) Subordinated notes, $48.7 million: NR NR--Not rated. BAMLL COMMERCIAL 2025-1105W: DBRS Gives (P)BB(low) Rating on E Debt ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1105W (BAMLL 2025-1105W or the Certificates) to be issued by BAMLL Commercial Mortgage Securities Trust 2025-1105W (the Trust) as follows: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (low) (sf) All trends are Stable. BAMLL 2025-1105W is a single-asset/single-borrower transaction that is collateralized by the borrower's leasehold interest and the fee interest held by the Development Authority of Fulton County (DAFC) in 1105 West Peachtree, a 31-story, 653,525-square-foot (sf) Class A office tower on the northeast corner of West Peachtree Street and 12th Street in midtown Atlanta. The sponsor built the office tower in 2021 as part of a larger, mixed-use development, which spans a full city block and includes a 178-key Marriott Autograph Collection hotel and a 64-unit luxury condominium building. The subject features an on-site parking garage with 1,300 parking spaces, a 6,000-sf hospitality lobby lounge called The Office Bar, a 28,000-sf Sky Terrace on the ninth floor, a conference center, a fitness center, valet services, and bike services. The building is 95.4% leased and is primarily occupied by Google LLC (Google), which represents 499,211 sf or 76.4% of the net rentable area (NRA) and 81.1% of the Morningstar DBRS Gross Rent. The remaining space is occupied by Smith, Gambrell & Russell, LLP (SGR) (120,763 sf of the NRA) and For Five Coffee operated by For Five Atlanta, LLC (3,746 sf of the NRA). There are two vacant office suites totaling 26,935 sf, a vacant retail suite totaling 2,001 sf, and vacant storage totaling 869 sf. The in-place rent roll represents a weighted-average (WA) lease term of 8.5 years. The $245 million loan, along with $10.9 million of equity, will refinance $243.7 million of existing debt, establish $11.2 million of reserves for outstanding tenant improvements and abatements, and cover closing costs. The loan represents a Morningstar DBRS Loan-to-Value Ratio (LTV) of 90.1%. Google is a subsidiary of its parent company, Alphabet Inc. (Alphabet), an investment-grade entity. Google uses the space as its Southeast headquarters, housing multiple business lines and approximately 1,500 employees. Google has occupied its space in multiple phases since 2022; however, Google has not yet fully occupied the space. Google has yet to determine when or if it will occupy the 24.5% of its space that remains in shell condition, but rent will commence in December 2025. Google's lease expires in April 2033; however, it has a termination option in April 2031 with 12 months' notice, which occurs approximately six months prior to fully extended loan maturity. In the event Google terminates its lease, it is subject to a termination fee of approximately $21.8 million, and the loan is structured with a cash flow sweep. The lease for Google has not been fully guaranteed by Alphabet. Similar to Google, SGR has two termination options both on October 1, 2031, with the notice period starting on October 1, 2030. The first option is to give back either 15.3% of its space on the eighth floor, or 21.9% of its space on the 12th floor. The second option is to terminate its entire lease. Both termination options are subject to a termination fee of approximately $9.6 million. The subject benefits from a 10-year property tax abatement administered by the DAFC through a bonds-for-title structure in which the fee-simple title to the property was temporarily transferred to the DAFC, while the sponsor simultaneously entered into a leaseback agreement as the lessee. The 10-year tax abatement started with the first year's abatement being 50% of the property taxes, and the abatement declines by 5% each year thereafter until the retirement of the bond. The abatement began on January 1, 2022, and will expire on January 1, 2032, at which point the title will be transferred back to the owner of the lessee of the ground lease. The sponsor for this transaction is a joint venture (JV) between the State Board of Administration of Florida (SBAF) and Selig Enterprises, Inc. (Selig). The SBAF was created by the Florida Constitution as Florida's independent investment management organization. As the sixth-largest pension plan in the U.S., the SBAF has more than $275.6 billion in assets under management, of which roughly $18.87 billion is allocated to real estate as of 2024. Headquartered in Atlanta, Selig is a family-owned real estate company that has a portfolio of more than 15 million sf of retail, industrial, residential, hotel, office, and mixed-use properties throughout the Southeast. Notes: All figures are in U.S. dollars unless otherwise noted. BAMML COMMERCIAL 2025-HYT: Moody's Assigns (P)B3 Rating to F Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by BAMLL Commercial Mortgage Securities Trust 2025-HYT, Commercial Mortgage Pass-Through Certificates, Series 2025-HYT: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by fee simple and leasehold interests in the Hyatt Regency Salt Lake City (the "Property"), which is a 700-guestroom, full-service hotel located in downtown Salt Lake City, UT. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Property was developed upon a 1.59-acre parcel in 2022 for a total cost of approximately $366.4 million and is the only hotel physically connected to the city's Salt Palace Convention Center. The Property is 27 stories tall and features several guest amenities, including four food & beverage outlets and a fitness center with outdoor swimming pool, and 64,588 SF of meeting and event space inclusive of a 7,400 SF of outdoor event space. Guests have use of valet parking services and self-parking at the adjacent convention center parking garage. 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 1.29X and Moody's first mortgage actual stressed DSCR is 0.97X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $237,500,000 represents a Moody's LTV ratio of 116.5% based on Moody's Value. Moody's did not adjust the property's Moody's Value 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 property's overall quality grade is 2.00. Notable strengths of the transaction include: asset quality, location, competitive position, strong NCF margins, brand affiliation and sponsorship. Notable concerns of the transaction include: a convention center renovation, high F&B share, CPACE financing, cash out, lack of collateral diversification, floating-rate, interest-only loan profile, performance volatility inherent within the hotel sector, and certain credit negative legal 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. BANK5 2025-5YR18: Fitch Assigns B-sf Final Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2025-5YR18, Commercial Mortgage Pass-Through Certificates, Series 2025-5YR18 as follows: - $8,577,000 Class A-1 'AAAsf'; Outlook Stable; - $50,000,000a Class A-2 'AAAsf'; Outlook Stable; - $413,484,000a Class A-3 'AAAsf'; Outlook Stable; - $472,061,000c Class X-A 'AAAsf'; Outlook Stable; - $65,751,000 Class A-S 'AAAsf'; Outlook Stable; - $33,719,000 Class B 'AA-sf'; Outlook Stable; - $99,470,000c Class X-B 'AA-sf'; Outlook Stable; - $26,975,000bd Class C 'A-sf'; Outlook Stable; - $0bd Class C-1 'A-sf'; Outlook Stable; - $0bd Class C-2 'A-sf'; Outlook Stable; - $0bcd Class C-X1 'A-sf'; Outlook Stable; - $0bcd Class C-X2 'A-sf'; Outlook Stable; - $16,859,000bd Class D 'BBBsf'; Outlook Stable; - $0bd Class D-1 'BBBsf'; Outlook Stable; - $0bd Class D-2 'BBBsf'; Outlook Stable; - $0bcd Class D-X1 'BBBsf'; Outlook Stable; - $0bcd Class D-X2 'BBBsf'; Outlook Stable; - $7,587,000bd Class E 'BBB-sf'; Outlook Stable; - $0bd Class E-1 'BBB-sf'; Outlook Stable; - $0bd Class E-2 'BBB-sf'; Outlook Stable; - $0bcd Class E-X1 'BBB-sf'; Outlook Stable; - $0bcd Class E-X2 'BBB-sf'; Outlook Stable; - $7,586,000d Class F 'BBsf'; Outlook Stable; - $7,586,000cd Class X-F 'BBsf'; Outlook Stable; - $6,744,000d Class G 'BB-sf'; Outlook Stable; - $6,744,000cd Class X-G 'BB-sf'; Outlook Stable; - $10,959,000d Class H 'B-sf'; Outlook Stable; - $10,959,000cd Class X-H 'B-sf'; Outlook Stable; The following classes are not rated by Fitch: - $26,131,969d Class J ; - $26,131,969cd Class X-J; - $24,784,403de Class RR; - $10,708,912cde Class RR Interest. (a) Since Fitch published its expected ratings on Nov. 13, 2025, the balances for Classes A-2 and A-3 were finalized. The initial certificate balance of the Class A-2 was expected to be in the range of $0 to $200,000,000, and the initial aggregate certificate balance of the Class A-3 was expected to be in the range of $263,484,000 to $463,484,000. The final class balances for Classes A-2 and A-3 are $50,000,000 and $413,484,000, respectively. (b) The Class C, Class C-1, Class C-2, Class C-X1, Class C-X2, Class D, Class D-1, Class D-2, Class D-X1, Class D-X2, E, Class E-1, Class E-2, Class E-X1, Class E-X2, are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Eligible Vertical-risk retention interest representing approximately 5.0% of the initial certificate balance of each class. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by 72 commercial properties with an aggregate principal balance of $709,866,284 as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. The master servicer is Trimont LLC, and the special servicer is K-Star Asset Management LLC. Computershare Trust Company, National Association is the certificate administrator. Deutsche Bank National Trust Company is the trustee. The operating advisor and asset representations reviewer is Park Bridge Lender Services LLC. These certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 20 loans totaling 92.4% by balance. Fitch's resulting net cash flow (NCF) of $73.5 million represents a 13.4% decline from the issuer's underwritten NCF. Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent U.S. private label multiborrower five-year transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 96.6% is lower than the 2025 YTD five-year multiborrower average of 100.6% but in line with the 2024 five-year multiborrower average of 95.2%. The pool's Fitch NCF debt yield (DY), at 10.4%, is higher than the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.4% of the pool, higher than the 2025 YTD five-year multiborrower and 2024 five-year multiborrower averages of 61.4% and 60.2%, respectively. The pool's effective loan count, at 18.8, is lower the 2025 YTD and 2024 averages of 21.9 and 22.7, respectively. Investment Grade Credit Opinion Loans: Two loans representing 11.3% of the pool received an investment-grade credit opinion. International Plaza (7.0% of the pool) received a standalone credit opinion of 'AAsf*' and Mall at Bay Plaza (4.2%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is lower than the 2025 YTD average of 11.6% and the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 100.4% and 10.2%, respectively, compared with the equivalent five-year multiborrower 2025 YTD averages of 105.2% and 9.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/less than 'CCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche 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. BANK5 2025-5YR19: DBRS Assigns (P) B(high) Rating on Class G Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5YR19 (the Certificates) to be issued by BANK5 2025-5YR19 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-2-1 at (P) AAA (sf) -- Class A-2-2 at (P) AAA (sf) -- Class A-2-X1 at (P) AAA (sf) -- Class A-2-X2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class A-3-1 at (P) AAA (sf) -- Class A-3-2 at (P) AAA (sf) -- Class A-3-X1 at (P) AAA (sf) -- Class A-3-X2 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (high) (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-1 at (P) AAA (sf) -- Class A-S-2 at (P) AAA (sf) -- Class A-S-X1 at (P) AAA (sf) -- Class A-S-X2 at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class B-1 at (P) AAA (sf) -- Class B-2 at (P) AAA (sf) -- Class B-X1 at (P) AAA (sf) -- Class B-X2 at (P) AAA (sf) -- Class C at (P) AA (sf) -- Class C-1 at (P) AA (sf) -- Class C-2 at (P) AA (sf) -- Class C-X1 at (P) AA (sf) -- Class C-X2 at (P) AA (sf) -- Class D at (P) A (low) (sf) -- Class X-D at (P) A (sf) -- Class E at (P) BBB (sf) -- Class X-E at (P) BBB (high) (sf) -- Class F at (P) BB (high) (sf) -- Class X-F at (P) BBB (low) (sf) -- Class G at (P) B (high) (sf) -- Class X-G at (P) BB (low) (sf) All trends are Stable. Classes D, X-D, E, X-E, F, X-F, G, X-G, H, and X-H will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B 1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class D, Class E, Class F, Class G and Class H certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. The collateral for the BANK5 2025-5YR19 transaction consists of 35 loans secured by 85 commercial and multifamily properties with an aggregate cut-off date balance of $949.1 million. Two loans, representing 10.0% of the total pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS Weighted Average Debt Service Coverage Ratio (WA DSCR) of the pool was 1.42 times (x). Excluding the two shadow-rated loans, the Morningstar DBRS Issuance DSCR drops to 1.36x. Of the 35 loans, 14 loans, representing 43.4% of the total pool have a Morningstar DBRS Issuance DSCR of less than 1.25x, which historically had higher default frequencies. The pool's Morningstar DBRS WA Issuance LTV was 60.5% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 60.4% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 63.2% and a Morningstar DBRS WA Balloon LTV of 63.1%. Ten of the 35 loans, representing a total of 23.0% of the total pool, have Morningstar DBRS Issuance LTV ratios above 67.6%, which have historically had higher default frequencies. The transaction has sequential-pay pass-through structure. Two loans, representing 10.0% of the pool, exhibited credit characteristics consistent with investment-grade shadow ratings. The top loan, Mall at Bay Plaza, makes up 7.4% of the pool and exhibited credit characteristics consistent with an investment-grade shadow rating of "A." The second shadow-rated loan, Independence Plaza, makes up 2.6% of the total pool and exhibited credit characteristics consistent with an investment-grade shadow rating of AA (low). Eight loans, representing 27.7% of the total pool, are within a Morningstar DBRS Market Rank 6 or 7, which is indicative of more densely populated urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 10 loans, accounting for 32.3% of the pool are within a Morningstar DBRS Market rank of 5, which benefits from lower default frequencies than less dense suburban, tertiary, and rural markets. Lastly, 11 loans in the pool, representing 37.9% of the total pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. The pool has a total of 18 loans, accounting for 49.4% of the total pool, which are secured by multifamily, MHC, or self-storage properties. These property types are considered to be more stable and have historically seen lower default frequencies. The pool had a total of nine properties with sponsors that were regarded as Weak by Morningstar DBRS and one property that was regarded as Bad/Litigious by Morningstar DBRS totaling 28.9% of the pool. This designation was generally applied to sponsors who had low net worth and liquidity, a recent history of defaults/bankruptcies, outstanding/prior litigations, and/or a lack of CRE experience. There is a total of eight loans (or 26.2% of the total pool) that are regarded with Weak sponsors, and one loan (2.6% of the pool), which is regarded as a Bad (Litigious) sponsor. The pool has a relatively high concentration of loans secured by office and retail properties, at eight loans, representing 33.5% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. The pool has a relatively high concentration of loans secured by hotels with nine loans, representing 17.1% of the pool, which is elevated compared with recent securitizations. Hotels have the highest cash flow volatility of all major property types as their income, which is derived from daily contracts rather than multiyear leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. Furthermore, one of the hotels, representing 16.6% of the hotel concentration (Prospectus ID#14, Cambridge Beaches Resort and Spa, 2.8% of the total pool), is outside the United States in Bermuda, and presents sovereign risk and is subject to the laws of that country. Thirty loans, representing 89.3% of the pool, are being used to refinance existing debt. Additionally, one loan, representing 1.8% of the pool, is a recapitalization. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Thirty-four loans, representing 97.4% of the pool, have IO payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The transaction includes 23 loans, representing 67.1% of the pool, that exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) is less than the current interest rate. On average, the transaction exhibits -0.65% of negative leverage. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. In the longer term, should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance its loans. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2025-5YR19: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Outlooks to BANK5 2025-5YR19 commercial mortgage pass-through certificates, Series 2025-5YR19, as follows: - $ 1,300,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; - $275,000,000c Class A-2 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X2 'AAA (EXP)sf'; Outlook Stable; - $354,829,000c Class A-3 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $631,129,000a Class X-A 'AAA(EXP)sf'; Outlook Stable; - $73,256,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $50,715,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $0e Class B-1 'AA-(EXP)sf'; Outlook Stable; - $0ae Class B-X1 'AA- (EXP)sf'; Outlook Stable; - $0e Class B-2 'AA- (EXP)sf'; Outlook Stable; - $0ae Class B-X2 'AA- (EXP)sf'; Outlook Stable; - $ 39,446,000 Class C 'A-(EXP)sf'; Outlook Stable; - $0e Class C-1 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X1 'A-(EXP)sf'; Outlook Stable; - $0e Class C-2 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X2 'A-(EXP)sf'; Outlook Stable; - $163,417,000a Class X-B 'A-(EXP)sf'; Outlook Stable; - $32,683,000b Class D 'BBB-(EXP)sf'; Outlook Stable; - $32,683,000ab Class X-D 'BBB-(EXP)sf'; Outlook Stable; - $19,160,000b Class E 'BB-(EXP)sf'; Outlook Stable; - $19,160,000b Class X-E 'BB-(EXP)sf'; Outlook Stable; - $11,270,000b Class F 'B-(EXP)sf'; Outlook Stable; - $11,270,000ab Class X-F 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $21,413,000b Class G; - $21,413,000ab Class X-G; - $22,541,063b Class H; - $22,541,063ab Class X-H - $41,053,319bd Class RR; - $6,400,000bd Class RR Interest. a-Notional amount and interest only. b-Privately placed and pursuant to Rule 144a. c-The initial certificate balances of A-2 and A-3 are unknown and expected to be $463,484,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected Class A-2 balance range is $0-$200,000,000 (net of the vertical risk retention interest), and the expected Class A-3 balance range is $263,484,000-$463,484,000 (net of the vertical risk retention interest). Fitch's certificate balances for Classes A-2 and A-3 reflect the midpoint of each respective range. In the event the Class A-3 certificates are issued at $463,484,000, the Class A-2 will not be issued. d-Vertical risk retention. e-Exchangeable Certificates. The Class A-2, Class A-3, Class A-S, Class B and Class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 35 loans secured by 85 commercial properties having an aggregate principal balance of $949,066,383 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC and JPMorgan Chase Bank, National Association. The master servicer is expected to be Trimont LLC and the special servicer is expected to be Torchlight Loan Services, LLC. Pursuant to a primary servicing agreement to be entered into with the master servicer, Berkadia Commercial Mortgage LLC will act as primary servicer with respect to certain mortgage loans totaling 20.2% of the pool (Westyn Village Apartments, Badger Portfolio, Overture Apartments, Westwood Park and Carlsbad MHC). KeyBank National Association, a national banking association, is the special servicer with respect to the Mall at Bay Plaza mortgage loan (7.4%), which is serviced under the WFCM 2025-5C7 pooling and servicing agreement, and the International Plaza mortgage loan (2.6%), which is serviced under the INT 2025-PLAZA pooling and servicing agreement. The trustee is expected to be Deutsche Bank National Trust Company and the certificate administrator is expected to be Computershare Trust Company, National Association. The operating advisor and asset representations reviewer will be Pentalpha Surveillance LLC. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on Dec. 23, 2025. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 27 loans totaling 84.1% of the pool by balance, including all of the largest 20 loans in the pool. Fitch's resulting NCF of $100.6 million represents an 13.9% decline from the issuer's underwritten NCF of $213.0 million. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. private label multiborrower five-year transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 107.4% is above the 2025 YTD five-year multiborrower average of 100.8% and above the 2024 five-year multiborrower average of 95.2%. The pool's Fitch NCF debt yield (DY), at 8.9%, is lower than the 2025 YTD and 2024 averages of 9.7% and 10.2%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 54.2% of the pool, lower than the 2025 YTD five-year multiborrower and 2024 five-year multiborrower averages of 61.3% and 60.2%, respectively. The pool's effective loan count, at 25.9, is higher than the 2025 YTD and 2024 averages of 21.8 and 22.7, respectively. Investment Grade Credit Opinion Loans: Two loans representing 10.0% of the pool received an investment grade credit opinion. Mall at Bay Plaza (7.4%) received a standalone credit opinion of 'BBB-sf*' and International Plaza (2.6% of the pool) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than the 2025 YTD average of 11.6% and the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 100.4% and 10.2%, respectively, compared with the equivalent five-year multiborrower 2025 YTD averages of 105.2% and 9.3%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10- year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/ 'AAAsf'/'AA-sf'/'A-sf'/''BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCC+sf'/'less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/ 'AAAsf'/'AA-sf'/'A-sf'/''BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/ 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS CLO 2025-VI: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2025-VI. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2025-VI A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Barings CLO Ltd. 2025-VI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.93 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.05% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.35% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, 'A-sf' for class D-3, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 25-Nov-2025 ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2025-VI. 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. BDS 2025-FL16: Fitch Assigns 'B-sf' Final Rating on Class G Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the BDS 2025-FL16 LLC notes as follows: Entity/Debt Rating Prior ----------- ------ ----- BDS 2025-FL16 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf B-E LT AA-sf New Rating AA-(EXP)sf B-X LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf C-E LT A-sf New Rating A-(EXP)sf C-X LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf D-E LT BBBsf New Rating BBB(EXP)sf D-X LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf E-E LT BBB-sf New Rating BBB-(EXP)sf E-X LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf Income Notes LT NRsf New Rating NR(EXP)sf - $710,588,000 class A 'AAAsf'; Outlook Stable; - $106,889,000 class A-S 'AAAsf'; Outlook Stable; - $87,318,000a class B 'AA-sf'; Outlook Stable; - $0b class B-E 'AA-sf'; Outlook Stable; - $0c class B-X 'AA-sf'; Outlook Stable; - $70,758,000a class C 'A-sf'; Outlook Stable; - $0b class C-E 'A-sf'; Outlook Stable; - $0c class C-X 'A-sf'; Outlook Stable; - $43,659,000a class D 'BBBsf'; Outlook Stable; - $0b class D-E 'BBBsf'; Outlook Stable; - $0c class D-X 'BBBsf'; Outlook Stable; - $21,077,000a class E 'BBB-sf'; Outlook Stable; - $0b class E-E 'BBB-sf'; Outlook Stable; - $0c class E-X 'BBB-sf'; Outlook Stable; - $40,648,000d class F 'BB-sf'; Outlook Stable; - $28,604,000d class G 'B-sf'; Outlook Stable. The following class will not be rated by Fitch: - $94,845,996de income notes. (a) Exchangeable Notes: The class B, class C, class D and class E notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (b) MASCOT P&I notes. (c) MASCOT interest-only notes. (d) Retained notes. (e) Horizontal risk retention interest, estimated to be 7.88% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,004,386,996 and does not include future funding. Transaction Summary The primary assets of issuer are 20 loans secured by 25 commercial properties having an aggregate principal balance of $1,004,386,996 as of the cutoff date. The pool includes ramp-up collateral interest of $200,000,000. The pool includes one delayed-close loan totaling $110.0 million that is expected to close within the six-month ramp period. The loans will be contributed to the trust by BDS V Loan Seller LLC. Trimont LLC is the master and special servicer. The trustee is Wilmington Trust, National Association and certificate administrator is Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 14 loans totaling 50.2% of the pool by balance, excluding loans for which Fitch conducted an alternate value analysis. Fitch's resulting NCF of $40.6 million represents an 3.8% decline from the issuer's underwritten NCF of $42.2 million, excluding loans for which Fitch conducted an alternate value analysis. Multifamily Concentration: The pool comprises 94.3% multifamily properties, compared with the 2025 YTD and 2024 CRE-CLO averages of 77.1% and 82.3%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac transactions. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 143.3% is higher than the 2025 YTD five-year CRE-CLO transaction average of 140.5% and the 2024 five-year CRE-CLO transaction average of 143.0%. The pool's Fitch NCF debt yield (DY) of 6.0% is lower than the 2025 YTD average of 6.4% and the 2024 average of 6.2%. Higher Pool Concentration: The pool concentration is higher than recently rated Fitch transactions. The top 10 loans make up 75.3%, which is higher than the 2025 YTD five-year CRE-CLO average of 61.2% and the 2024 average of 62.6%. The pool's effective loan count of 14.5 is below the 2025 YTD and 2024 10-year averages of 20.6 and 18.3, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool is 100.0% comprised of IO loans. This is worse than both the 2025 YTD and 2024 CRE-CLO averages of 73.3% and 13.5%, respectively, based on fully extended loan terms. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2025 YTD and 2024 were 0.5% and 1.5%, 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 debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'. 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 that stressed asset default timing distributions and recovery timing assumptions. 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 LLC. 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. BEAR STEARNS 2007-AC4: Moody's Lowers Rating on 2 Tranches to C --------------------------------------------------------------- Moody's Ratings has downgraded the ratings of two bonds issued by Bear Stearns Asset Backed Securities I Trust 2007-AC4. The collateral backing this deal consists of Alt-A mortgages. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AC4 Cl. A-2, Downgraded to C (sf); previously on Jul 28, 2025 Upgraded to Caa2 (sf) Cl. A-5*, Downgraded to C (sf); previously on Jul 28, 2025 Upgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating downgrade of Class A-2 reflects the Trustee's calculation of credit interest shortfalls for this bond, which are unlikely to be reimbursed. The rating action on Class A-2 also reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectation on the underlying pool and Moody's revised loss-given-default expectation for the bond. Moody's prior calculation of the credit portion of the interest shortfall for this deal, which was based on Moody's interpretation of the deal documents, and is commonly used for similar RMBS deals, resulted in a credit interest shortfall of less than 1%. However, Moody's have learned that the Trustee is using a different calculation that results in a credit interest shortfall of approximately 73%. Moody's have therefore downgraded the rating of Class A-2 to the level commensurate with the size of the outstanding credit-related interest shortfall as calculated by the Trustee. The rating downgrade of Class A-5, an interest only bond, reflects the updated performance of the underlying collateral and the A-2 bond. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BX COMMERCIAL 2024-GPA3: DBRS Confirms BB(high) Rating on HRR Certs ------------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2024-GPA3 issued by BX Commercial Mortgage Trust 2024-GPA3 as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the performance of the portfolio, which remains in line with Morningstar DBRS' expectations at issuance. Since the transaction closed in December 2024, there has been $197.3 million of principal paydown following the release of five individual properties. At issuance, the transaction was secured by a diverse portfolio of 32 student housing properties in 11 states. As of November 2025, 27 properties remained in the portfolio, with a consolidated occupancy rate of 81.2% as of June 2025. Proceeds of $1.0 billion refinanced $809.8 million of debt across the portfolio and debt for noncollateral, returned $115.3 million to the sponsor, and covered closing costs. The transaction sponsor, Blackstone Inc., acquired American Campus Communities, Inc. (ACC), the largest student housing owner, operator, and developer in the country, in August 2022. Blackstone and ACC's experience and resources have resulted in rent growth and reduced expenses across the portfolio. The floating-rate interest-only loan is structured with a two-year initial term and three 12-month extension options with a final maturity date in December 2029. The transaction's property release provisions state that individual properties may be conditionally released at a weak release premium of 105.0% of the allocated loan amount (ALA) up to 30.0% of the original principal balance and 110.0% thereafter, subject to certain conditions, which include but are not limited to debt yield tests. The mortgage loan has a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the unpaid principal balance. Proceeds are applied sequentially for the remaining 70.0% of the pool balance. While the June 2025 financials were available, Morningstar DBRS notes that the figures did not reflect the actual in-place cash flow because of the five released properties. As such, Morningstar DBRS adjusted the issuance cash flow to account for the releases in its analysis as described in further detail below. As of the June 30, 2025, rent roll, the weighted-average (WA) collateral occupancy rate was 81.2%, below the issuance figure of 93.6%. The occupancy decline is tied to the Callaway House College Station property in College Station, Texas, which reported a June 2025 occupancy rate of 3.1%. Morningstar DBRS reached out to the servicer for more information and is awaiting a response. Excluding this property from the occupancy calculation, the WA occupancy rate was 92.6% as of June 2025. With this review, Morningstar DBRS updated its Loan-to-Value Ratio (LTV) Sizing Benchmarks to account for the principal paydown resulting from the five property releases. Morningstar DBRS maintained a capitalization rate of 7.25%, which it applied to the adjusted Morningstar DBRS Net Cash Flow of $68.7 million. The resulting Morningstar DBRS Value of $947.4 million reflects a 21.1% decline from the Morningstar DBRS Value of $1.2 billion at issuance and a 25.2% decline from the adjusted issuance portfolio appraised value of $1.3 billion. The Morningstar DBRS Value of $947.4 million represents an all-in LTV of 84.7% compared with the issuance all-in LTV of 83.3% and the updated appraisal LTV of 63.4%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing benchmarks totaling 4.75%, reflecting the geographic diversification, newly built assets, and locations catering to top national universities with a portfolio weighted average distance of 0.3 miles from campus. Notes: All figures are in U.S. dollars unless otherwise noted. CANADIAN COMMERCIAL 2022-5: DBRS Confirms BB Rating on Cl. F Certs ------------------------------------------------------------------ DBRS Limited upgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2022-5 issued by Canadian Commercial Mortgage Origination Trust 5 as follows: -- Class B to AAA (sf) from AA (sf) -- Class C to AA (sf) from A (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class A at AAA (sf) -- Class A-J at AAA (sf) -- Class X at AAA (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating upgrades on Classes B and C reflect the increased credit support to those certificates as a result of continued principal paydown since issuance. As of the November 2025 remittance, scheduled loan repayments and amortization have reduced the outstanding principal balance of the pool to $185.0 million, representing a collateral reduction of 62.6% since issuance. In addition, the remaining loans in the pool continue to perform well with a weighted-average (WA) debt service coverage ratio (DSCR) of 1.49 times (x) and WA loan-to-value ratio (LTV) of 47.6%, based on the most recent year-end financial reporting. In addition, eight loans, representing 36.3% of the current pool balance, have maturity dates in 2026. Morningstar DBRS expects these loans will repay from the trust based on their WA debt yield and DSCR of 11.4% and 1.54x, respectively. This additional paydown will lead to further improvement in credit enhancement levels, most notably for the senior certificates in the transaction. As of the November 2025 remittance, 13 of the original 35 loans remain in the pool. There are no loans in special servicing, while one loan, representing 2.7% of the pool balance, is on the servicer's watchlist. The transaction benefits from a favorable property type concentration, with loans backed by industrial, retail, and multifamily properties representing 65.1%, 21.0%, and 11.1%, of the current pool balance, respectively. Eight loans, representing 31.6% of the current trust balance, are secured by properties in Ontario. The largest loan in the pool, Olymbec Industrial Portfolio (Prospectus ID#1, 37.3% of the pool balance) is secured by a portfolio of four industrial properties: three multitenant buildings and one single-tenant building totaling 887,329 square feet (sf) in Montreal. According to the December 2024 reporting, the portfolio generated $7.0 million of net cash flow (NCF) (a DSCR of 1.54x), below the YE2023 figure of $8.3 million (a DSCR of 1.84x), but above the issuance figure of $6.6 million (a DSCR of 1.46x). The portfolio reported a consolidated occupancy rate of 95.5% per the March 2025 rent roll; however, the largest tenant, Dorel Industries (Dorel; 63.6% of the total net rentable area (NRA)), vacated the property on Albert-Hudon Boulevard upon its lease expiration in October 2025, suggesting the portfolio's implied physical occupancy rate is below 35.0%. Dorel formerly occupied the entirety of the property at an average rental rate of $12.7 per sf (psf) and had been a tenant for approximately 20 years. The servicer confirmed that the borrower is engaged in preliminary discussions with multiple tenants for all, or a portion of, the vacant space. According to Cushman & Wakefield, the Montreal industrial market reported a Q3 2025 vacancy rate of 7.7%, and an overall WA gross rental rate of $19.0 psf, suggesting the borrower could potentially attract new tenants at positive leasing spreads. The overall desirable location of the property, which is well-located near main arterial roads and the large industrial space; high ceilings; and more than 40 loading docks make the property well-suited for small, medium, and large enterprises, typical of the Montréal industrial market. In addition, the loan, which has a low LTV of 50.5% (based on the portfolio's appraised value at issuance and the loan's current balance) is full recourse to a well-capitalized and experienced sponsor. However, for the purposes of this review, Morningstar DBRS considered the elevated credit risk associated with Dorel's departure by applying an increased probability of default penalty in its analysis, resulting in a loan-level expected loss that was approximately double the pool average. Notes: All figures are in Canadian dollars unless otherwise noted. CBAMR 2019-11R: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CBAMR 2019-11R, Ltd.'s reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2019-11R, Ltd. X-R LT AAAsf New Rating AAA(EXP)sf A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary CBAMR 2019-11R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CBAM CLO Management, LLC. The transaction was originally rated by Fitch and closed in November 2019. The transaction was reset in November 2021, which Fitch did not rate. Net proceeds from 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 22.7, 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 71.87% 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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-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. 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 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CHASE HOME 2025-13: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2025-13 (Chase 2025-13). Entity/Debt Rating ----------- ------ Chase 2025-13 A1 LT AAA(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 A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X 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 A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A 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 A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B 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 A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B 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 A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B 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 A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B 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 A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B 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 A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating Transaction Summary The Chase 2025-13 certificates are supported by 480 loans with a scheduled balance of $537.31 million as of the cutoff date The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime 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. The pool is comprised of high quality prime loans with a WA FICO score of 769, a WA CLTV of 75.64%, and a WA DTI of 34.05%. The WA liquid reserves are $639,337.73. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2025-13 has a Final PD of 10.40% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 37.41%. The expected loss in the 'AAAsf' rating stress is 3.89%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2025-13 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 0.80% 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 0.60% 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-B 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 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 (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 54.79% 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 Chase 2025-13 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 Chase 2025-13 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 the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 11.03% at 'B' rating case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The third-party review was conducted on 54.79% of the pool. 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 54.79% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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 2021-II: Fitch Assigns BB-(EXP)sf Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the CIFC Funding 2021-II, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2021-II, Ltd 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 LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2021-II, 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 23.7, 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 95.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.86% 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 11.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, 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, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2021-II, 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-VII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2025-VII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2025-VII, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C-1 LT Asf New Rating A(EXP)sf C-2 LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2025-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. Date of Relevant Committee 19 November 2025 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, 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. CITIGROUP 2017-B1: DBRS Lowers Rating on 3 Tranches to CCCsf ------------------------------------------------------------ DBRS Limited downgraded the credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2017-B1 issued by Citigroup Commercial Mortgage Trust 2017-B1 as follows: -- Class F to CCC (sf) from B (high) (sf) -- Class G to CCC (sf) from B (low) (sf) -- Class X-F to CCC (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) Morningstar DBRS changed the trends on Classes X-D, D, X-E, and E to Negative from Stable, while Classes F, X-F, and G have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) transactions. The trends on all other classes are Stable. Morningstar DBRS removed Classes X-D, D, X-E, E, F, X-F, and G from Under Review with Negative Implications where they were placed on September 2, 2025, because of outstanding interest shortfalls approaching Morningstar DBRS' shortfall tolerance levels with the primary concern at the BBB credit rating category, mainly driven by an interest claw back tied to the 4901 West Irving Park loan (Prospectus ID#30; 1.1% of the pool balance). As anticipated, the interest shortfalls on Class D were fully recouped with the September 2025 reporting, with no further reimbursements of nonrecoverable advances being passed through; however, interest advances stemming from the two specially serviced loans (1.8% of the pool) continues to be passed through as of the November 2025 reporting. Based on scheduled monthly collections, excluding any unexpected fees, Morningstar DBRS expects interest shortfalls on Class E should be recouped with the December 2025 payments. Based on the same scheduled collections, interest shortfalls on Classes F and G are expected to continue to be shorted beyond Morningstar DBRS' shortfall tolerance at the B credit rating category, supporting the credit rating downgrades. The Negative trends on Classes D, E, X-D, and X-E reflect Morningstar DBRS' increased loss expectations for the specially serviced loans, as well as credit concerns across a select number of master serviced loans, most notably 411 East Wisconsin (Prospectus ID#3; 6.2% of the pool) and Wilshire Plaza (Prospectus ID #11; 2.6% of the pool), discussed further below. With this review, Morningstar DBRS considered a liquidation scenario for the 4901 West Irving Park loan based on a conservative haircut to the most recent appraisal that resulted in implied loss of nearly $6.0 million or a loss severity above 65.0%. Morningstar DBRS also identified six loans, representing nearly 13.0% of the pool, primarily secured by office properties, that continue to exhibit credit deterioration with their respective loan maturities approaching in mid-2027 increasing the maturity default risk. In the analysis for this review, Morningstar DBRS applied updated loan-to-value ratio (LTV) stresses and probability of default (POD) penalties to these loans, where applicable, resulting in a weighted-average (WA) expected loss (EL) approximately 3.5 times (x) greater than the pool's average. Based on these stressed scenarios, which consider the sustained performance declines, these loans exhibit value deficiencies, which may challenge the borrowers to secure takeout financing. The credit rating confirmations reflect the otherwise stable performance for the remainder of the loans in the pool as evidenced by the WA debt service coverage ratio (DSCR) of 2.53x. In addition, the $101.0 million combined certificate balance below the Class C certificate provides a significant cushion against realized losses for the most senior classes. According to the November 2025 remittance, 44 of the original 48 loans remain within the transaction with an aggregate trust balance of $819.9 million, reflecting a collateral reduction of 12.9% since issuance as a result of repayment and scheduled loan amortization. The pool is most concentrated by loans secured by mixed-use and retail properties, together representing 49.3% of the pool balance, with a smaller exposure to loans secured by office properties, representing 11.5% of the pool balance. Five loans, representing 5.7% of the pool balance, are on the servicer's watchlist and two loans, 1.8% of the pool balance, are in special servicing. The 411 E. Wisconsin loan is secured by the borrower's fee-simple interest in a 678,839 square foot (sf), 30-story office building, an adjacent eight-story parking garage, and a six-story parking garage across the street from the office building in Milwaukee. The occupancy rate declined to about 75% following the loss of Northwestern Mutual Life Insurance, which vacated in March 2019, and has remained near that level, most recently reporting a rate of 76% as of Q2 2025, with a DSCR of 1.16x, compared with the DSCRs of 1.11x and 1.27x at YE2024 and YE2023, respectively. While the two largest tenants, Quarles & Brady LLP (24.0% of the net rentable area (NRA)) and Von Briesen & Roper, S.C. (13.6% of the NRA), have exercised their lease-extension options, extending their lease expirations through September and May 2028, respectively, the sustained decline in occupancy from issuance reflects the soft market conditions, as evidenced by vacancy rates of approximately 25.0% according to Reis. The performance declines, and the concentration of scheduled rollover during the next two years representing approximately 14.0% of the NRA, suggest increased refinance risk for the July 2027 loan maturity. Given these factors, Morningstar DBRS applied a stressed LTV and increased the loan's POD, resulting in an EL that is more than four times the pool average EL. The Wilshire Plaza loan (Prospectus ID#11; 2.6% of the pool) is secured by the borrower's fee-simple interest in a 349,643-sf, suburban office property built in 1986 in Troy, Michigan. As of July 2025, the property was 76.0% occupied, while the loan reported a DSCR of 1.34x for the trailing six months ended July 31, 2025, both below the issuer's figures of 89.7% and 1.63x, respectively. While scheduled tenant rollover during the next six months is limited to two tenants, representing 9.0% of the NRA, combined scheduled rollover prior to loan maturity in August 2027 is significant as 26 tenants (33.7% of NRA) have scheduled lease expirations. Given the property's vintage and a softening submarket with a high vacancy rate of 32.3% according to Reis, Morningstar DBRS anticipates there will be continued leasing challenges. As a result, Morningstar DBRS applied a stressed LTV and increased the loan's POD, resulting in an expected loss that is almost three times the pool average EL. The transaction benefits from four loans that are shadow-rated investment grade: General Motors Building (Prospectus ID#1; 11.3% of the pool), Lakeside Shopping Center (Prospectus ID#2; 7.2% of the pool), Two Fordham Square (Prospectus ID#5; 6.4% of the pool), and Del Amo Fashion Center (Prospectus ID#18; 2.5% of the pool). With this review, Morningstar DBRS confirms that the performance of these four loans is consistent with the investment-grade shadow ratings. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2025-LTV1: Fitch Assigns B-(EXP) Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-LTV1 (CMLTI 2025-LTV1). Entity/Debt Rating ----------- ------ CMLTI 2025-LTV1 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 X-S LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-LTV1 (CMLTI 2025-LTV1) as indicated above. The transaction is expected to close on Dec. 12, 2025. The certificates are supported by 827 loans with a total balance of about $365.0 million as of the cutoff date of Nov. 1, 2025. The borrowers have a weighted-average (WA) Fitch FICO of 763, as determined by Fitch, and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 82.7%. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a full advance feature for first lien loans where the P&I advancing party will advance delinquent P&I until deemed non-recoverable. 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. CMLTI 2025-LTV1 has a final probability of default (PD) of 22.0% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 50.2%. The expected loss in the 'AAAsf' rating stress is 11.0% (see Highlights and Asset Analysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in CMLTI 2025-LTV1 are based on a modified sequential-payment structure with full advancing, whereby principal is distributed 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. 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 (see Highlights and Cash Flow Analysis sections for more details). 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 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. Fitch expects CMLTI 2025-LTV1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at closing. 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 CMLTI 2025-LTV1. 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 37.7% 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. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. 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. COLT 2025-12: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by COLT 2025-12 Mortgage Loan Trust (COLT 2025-12). Entity/Debt Rating ----------- ------ COLT 2025-12 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1FCFX LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating AIOS LT NR(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 M1 LT BBB(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 614 nonprime loans with a total balance of approximately $333.3 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are currently being serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 735 and 33.4% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 73.1% mark-to-market combined LTV (cLTV). Overall, 47.7% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 100% of the loans are clean and current. 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. COLT 2025-12 has a final probability of default (PD) of 48.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 43.8%. The expected loss in the 'AAAsf' rating stress is 21.0%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2025-12 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/ A-1LCF (sequentially), A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding 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 A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. 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 in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. 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% of the loans in the transaction. Fitch applies a 5bps 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 as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects COLT 2025-12 to be fully de-linked and to serve as 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 COLT 2025-12; as such, 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 MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 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. 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 level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined 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. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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, Clarifii, Clayton, Consolidated Analytics, Maxwell, Digital Risk, Evolve, Opus, and Selene. 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 z-score reduction 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. COMM 2014-UBS2: DBRS Confirms 'C' Rating on 2 Tranches ------------------------------------------------------ DBRS Limited confirmed its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2 issued by COMM 2014-UBS2 Mortgage Trust as follows: -- Class D at C (sf) -- Class X-B at C (sf) In addition, Morningstar DBRS has discontinued and withdrawn its credit rating on Class E, which was downgraded to D (sf) in October 2025 following a loss to the certificate. Classes D and X-B have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations on Classes D and X-B at C (sf) reflect the loss expectations across the two remaining loans in the pool. Since the credit rating action in January 2025, two loans have been disposed of from the trust, Avnet Building (Prospectus ID#20) and Turnpike Square (Prospectus ID#28), with principal recovery of approximately $13.4 million and realized losses of roughly $8.1 million. The results were in line with Morningstar DBRS' expectations. As part of the analysis for this credit rating action, Morningstar DBRS performed a recoverability analysis for the two remaining loans, both of which are specially serviced and secured by retail collateral. The liquidation scenario assumptions are generally based on conservative haircuts to the most recent appraised values for the respective properties, with the trust exposure inclusive of the outstanding principal, accrued servicer advances, and additional projected expenses. Morningstar DBRS projects total liquidated losses of nearly $57.0 million, which would erode the majority of the Class D certificate balance. The overall loss expectations are primarily attributed to the One North State Street loan (82.2% of the pool), which is secured by a 170,507-square foot (sf) retail vertical subdivision of a 713,423-sf mixed-use building in Chicago. The two largest tenants, Burlington Coat Factory (35.2% of net rentable area (NRA)) and TJ Maxx (41.1% of NRA), recently signed lease extensions through March 2029 and January 2027, respectively, resulting in a healthy occupancy rate of 92.5%; however, both leases were relatively short term in nature and were restructured at significant reductions in rent equal to 8.0% and 10.0% of the tenants' gross sales, which has resulted in a below breakeven cashflow. According to the August 2025 appraisal, the property was valued at $6.7 million, a sharp decline from its April 2024 value of $19.9 million and well below the issuance appraised value of $101.0 million. Morningstar DBRS liquidated the loan based on a haircut to the August 2025 value, resulting in a full write down of the loan or implied loss of $47.3 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2020-CX: DBRS Confirms BB Rating on Class E Certs ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by COMM 2020-CX Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has remained consistent since the previous Morningstar DBRS credit rating action in December 2024. The transaction, which is secured by the borrower's fee-simple interest in a nine-story, Class A office property in the Kendall Square submarket of Cambridge, Massachusetts, continues to exhibit healthy performance metrics, with a YE2024 occupancy rate of 97.0% and debt service coverage ratio (DSCR) of 2.65 times (x). The $435.0 million fixed-rate, interest-only (IO) whole loan, matures in November 2034; however, the anticipated repayment date occurs in November 2030. The whole loan includes $295.0 million of senior debt and $140.0 million of subordinate debt. The trust debt is comprised of $270.0 million of the senior debt and the entirety of the subordinate debt. The loan sponsor is a joint venture partnership between DivcoWest, an experienced developer in the Greater Boston Area, and the California State Teachers Retirement System, the nation's second-largest pension fund. According to the June 2025 rent roll, the property was 98.2% occupied, with about 95.0% of the net rentable area (NRA) leased to the two largest tenants, Philips NV (80.0% of the NRA, lease expiry in November 2034) and Cerevel (15.0% of the NRA, lease expiry in February 2030). There is no near-term rollover risk as the earliest tenant lease expiration occurs in November 2029. The property benefits from long-term investment-grade tenancy from Philips NV, which also retains three five-year extension options in its lease. According to the most recently reported full-year servicer financials, the YE2024 net cash flow (NCF) figure was relatively unchanged from the YE2023 figure; however, the YE2024 NCF represents a 5.5% increase over the Morningstar DBRS figure of $30.0 million derived at issuance. Morningstar DBRS notes the annualized trailing six-month (T-6) NCF for the period ended June 30, 2025, of $33.8 million (a DSCR of 2.85x) represents a respective increase of nearly 7.0% and 12.8% over the YE2024 figure and the Morningstar DBRS NCF figure, respectively. The continued NCF improvement is because of scheduled tenant rental rate increases and that rental abatement periods have ended. Morningstar DBRS' analysis for this review maintained the Morningstar DBRS Value of $477.2 million derived during the prior credit rating action, which represents a variance of -34.5% from the issuance appraised value of $729.0 million. The Morningstar DBRS Value was derived from a 2.0% haircut to the YE2023 NCF figure of $32.9 million, and a capitalization rate of 6.75%, implying a loan-to-value ratio (LTV) of 91.2% for the whole loan. Morningstar DBRS maintained aggregate positive qualitative adjustments of 8.5% to its LTV Sizing Benchmarks to reflect the property's cash flow stability, superior property quality, and desirable location. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2024-CBM: DBRS Confirms B(low) Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-CBM (the Certificates) issued by COMM 2024-CBM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-CP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is early in its life cycle, having closed in November 2024. At issuance, the transaction was secured by the borrower's fee-simple and/or leasehold interest in 52 hospitality properties across 25 states, totaling 7,677 keys. The properties benefit from being near local demand drivers, including convention centers, arenas, and universities. Since issuance, three properties have been released, resulting in principal paydown of 4.5%. Individual property releases are permitted, with six assets requiring a premium of 110% of the allocated loan amount (ALA), 43 assets requiring a premium of 120% of the ALA, and three assets having individual release prices. The total weighted average (WA) release premium is 124% of the ALA across the portfolio, which Morningstar DBRS views as credit positive. As of the November 2025 reporting, 49 assets remain in the portfolio, totaling 5,764 keys, with concentrations in California (24.5% of ALA), Florida (8.6% of ALA), and Illinois (5.2% of ALA). The five-year interest-only (IO) floating-rate loan matures in December 2029 with no extension options available. According to the financials for the trailing six-month (T-6) period ended June 30, 2025, the loan reported an annualized net cash flow (NCF) of $61.9 million (excluding released properties), corresponding to a debt service coverage ratio (DSCR) of 1.18 times (x), in comparison with the Issuer's NCF of $68.6 million (DSCR of 1.33x) for the unreleased properties. As a result of the decline in DSCR, the loan was added to the servicer's watchlist. The decline in NCF in the first half of 2025 is mainly attributed to increased expenses. Because of the seasonal nature of hospitality collateral, Morningstar DBRS expects NCF to normalize closer to issuance levels once a full year of financials are reported. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a capitalization rate of 9.5% applied to the Morningstar DBRS NCF of $65.4 million. The resulting value of $678.9 million represents a variance of -38.3% from the issuance appraised value of $1.1 billion and corresponds to a Morningstar DBRS loan-to-value ratio (LTV) of 99.7%. Morningstar DBRS maintained positive qualitative adjustments of 3.5% to the LTV Sizing Benchmarks to account for the portfolio's average property quality, locations near various demand drivers across a variety of markets, and stable historic cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. CRB COMMERCIAL 2025-1: DBRS Finalizes B(high) Rating on F-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series CRB 2025-CRE1 (the Certificates) issued by CRB Commercial Mortgage Trust 2025-1 (the Trust): -- Class A at AAA (sf) -- Class A-S-1 AAA (sf) -- Class A-S-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D-RR at BBB (high) (sf) -- Class E-RR at BB (high) (sf) -- Class F-RR at B (high) (sf) -- Class X-A at AAA (sf) All trends are Stable. Morningstar DBRS discontinued and withdrew its provisional rating on the Class X-B Certificates initially contemplated in the offering documents, as they were removed from the transaction. The collateral of the Trust consists of 59 commercial real estate loans secured by 54 multifamily loans, four commercial real estate loans, and one mixed-use loan with an aggregate cut-off date balance of $288,489,331. The loans were originated between May 2017 and September 2025 by Cross River Bank, an affiliate of the transaction depositor, sponsor, and loan seller. The pool was analyzed to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. The mortgage loans have a weighted-average (WA) seasoning of approximately 36 months as of November 2025, and all loans have a rate reset, with the exception of six loans, which have no remaining rate reset. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flows and their respective constants, the initial Morningstar DBRS WA Debt Service Coverage Ratio (DSCR) of the pool was 1.08 times (x). Of the 59 loans, 31 loans, representing 67.3% of the pool, have a Morningstar DBRS Issuance DSCR below 1.25x, which is associated with historically higher frequencies of default. Furthermore, of the 59 loans, four loans, representing 27.2% of the pool, have a Morningstar DBRS Issuance DSCR below 1.00x. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) was 66.0%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 59.8% at maturity based on the A note balances. Twenty-one of the 59 loans, representing 50.0% of the pool, have Morningstar DBRS Issuance LTVs above 67.6%, which is associated with historically higher frequencies of default. The transaction has a sequential-pay pass-through structure. There are 54 loans secured by multifamily properties in this transaction, representing 91.1% of the total pool balances. There are 19 loans, comprising 48.6% of the pool, that are secured by multifamily loans that contain rent regulated units, with 11 of those loans being 100.0% rent regulated, or 34.8% of the pool. Additionally, multifamily properties have had historically lower default rates compared with other commercial property types, and Morningstar DBRS views the asset class favorably because of the current high cost of homeownership and strong rental market tailwinds. There are 18 loans, representing 27.0% of the pool, in areas with a Morningstar DBRS Market Rank of 7, which are indicative of dense urban areas that benefit from increased liquidity drive by consistently strong investor demand, even during times of economic stress. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. The urban market most represented in this deal is New York. Additionally, 53 loans, representing 91.9% of the pool, are in Metropolitan Statistical Area (MSA) Group 3 - New York-Northern New Jersey-Long Island, which represents the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs. The pool is expected to amortize by 6.2% by final maturity, which results in a Morningstar DBRS WA Balloon LTV of 59.8%. The pool includes 37 loans, representing 35.1% of the pool that have no interest-only (IO) period at all. Amortization is considered credit positive and results in a lower loan-level expected loss as the borrower is required to pay down the principal balance of the loan during the term, resulting in a smaller balloon balance. The 59-loan pool results in a Herfindahl score of 19.4 with the top 10 loans representing 57.3% of the transaction by cut-off date trust balance. The Herfindahl score is in line with other recent multi-borrower conduits Morningstar DBRS has rated in 2025. Recent transactions include WFCM 2025-5C6 (Herfindahl score of 16.4), BBCMS 2025-5C34 (Herfindahl score of 22.5), BANK5 2025-5YR16 (Herfindahl score of 21.6), BMARK 2025-B41 (Herfindahl score of 18.2), and WFCM 2025-5C5 (Herfindahl score of 17.5). Despite 53 loans (91.9% of the pool) being in a Morningstar DBRS MSA Group 3, all of the loans are within New York. While performance history is strong for this MSA and particularly multifamily, the transaction nonetheless exhibits single-market concentration and thus may be subject to heightened volatility if the New York City multifamily market experiences a disruption to performance or if market metrics like vacancy rise compared with historical data. Multifamily performance is based on a number of factors, most notably an affordable housing market and the local employment base. An increase in housing supply for rent or ownership can result in lower prices, which would negatively affect the performance of a multifamily asset; however, the reverse holds true as well: In a market with a small supply of available homes, prices can increase and multifamily performance would be markedly better. The strength of the local employment market and the number of major employers are also crucial to multifamily stability. Markets with a diverse employment base are often able to weather cyclical downturns, whereas markets that rely on one major employer or industry can face volatile periods. Morningstar DBRS received updated appraisals for the top 11 loans and broker opinion of values for the remaining loans in the pool whose origination date was greater than 12 months in relation to this transaction. Forty-three loans, totaling 67.8% of the pool, received updated valuations that were lower than their origination appraised values. The WA devaluation for the pool is -8.6%, and the valuation changes range from -54.4% to 9.8%. Morningstar DBRS received updated property condition assessments (PCAs) in relation to this transaction, which provided updated inflated recommended reserves for the top 14 loans. The majority of the recommended PCA reserves were higher than the Morningstar DBRS minimum of $250/unit, providing evidence that there is a range of deferred maintenance for each loan within the pool. The majority of loans in the pool feature an Adjustment Date when the coupon resets at a higher interest rate for an additional five-year term until the Maturity Date. The reset rate following the Adjustment Date is generally the greater of the in-place coupon or the five-year U.S. Treasury rate + 3.00% to 3.50% across the pool, which may be considerably higher than the loan's pre-adjustment rate based on the U.S. Treasury rate at that time. The increase in interest rates poses an additional risk to loans through higher debt service burdens and lower debt service coverage. There are nine loans (7.2% of the pool) backed by collateral with environmental conditions noted in the Rep Exceptions. There are no mitigants provided in the Rep Exceptions, no opinions of cost, and no remediation plans noted for those loans. Depending on the severity of the condition, these environmental issues can require expensive remediation work, property damage, and overall increases to loss severity in a downside scenario. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2017-CX9: Fitch Affirms 'B-sf' Rating on Three Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of CSAIL 2017-CX9 Commercial Mortgage Trust, commercial mortgage pass-through certificates, Series 2017-CX9. The Rating Outlooks on classes A-S, X-A, V1-A, B, and X-B have been revised to Stable from Negative. The Outlooks on class C, V1-B, D, V1-D, E, X-E, and V1-E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2017-CX9 A-4 12595FAD4 LT AAAsf Affirmed AAAsf A-5 12595FAE2 LT AAAsf Affirmed AAAsf A-S 12595FAJ1 LT AAsf Affirmed AAsf A-SB 12595FAF9 LT AAAsf Affirmed AAAsf B 12595FAK8 LT A-sf Affirmed A-sf C 12595FAL6 LT BBB-sf Affirmed BBB-sf D 12595FAP7 LT BB-sf Affirmed BB-sf E 12595FAR3 LT B-sf Affirmed B-sf F 12595FAT9 LT CCCsf Affirmed CCCsf V1-A 12595FBB7 LT AAsf Affirmed AAsf V1-B 12595FBC5 LT BBB-sf Affirmed BBB-sf V1-D 12595FBD3 LT BB-sf Affirmed BB-sf V1-E 12595FBF8 LT B-sf Affirmed B-sf X-A 12595FAG7 LT AAsf Affirmed AAsf X-B 12595FAH5 LT A-sf Affirmed A-sf X-E 12595FAM4 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable to Improved 'Bsf' Loss Expectations and Performance: Deal-level 'Bsf' rating case loss is 6.9%, down from 8.3% at Fitch's prior rating action. Six loans (38.3%) were flagged as Fitch Loans of Concern (FLOCs), including three loans (24.5%) in special servicing. The affirmations reflect overall stable to improved pool loss expectations since the prior rating action. The Outlook revisions to Stable from Negative on the A-S through B classes reflect the decline in expected pool losses, driven primarily by performance stabilization of the The Manhattan loan (6.7%) since returning to the master servicer in August 2024, as well as continued increases in credit enhancement (CE) from loan amortization and two newly defeased loans (11.5%). The Negative Outlooks reflect the significantly high office concentration in the pool of 70.6%, which includes one mixed-use loan (6.7%) with an office component, and the potential for downgrades in the next two years as the loans approach maturities in 2027 and refinance prospects become more certain. Largest Loss Contributors: The largest contributor to overall pool loss expectations is The Center 78 loan (7.3%), which is secured by a 372,672-sf suburban office building in Warren, NJ. The loan transferred to special servicing in December 2023 due to imminent monetary default. Occupancy remains at 65% per the June 2025 rent roll, down from 87% at YE 2022 primarily due to the second-largest tenant, EMC Corporation (13.6% of NRA), vacating at its 2023 lease expiration. The current largest tenant, Haleon US Holdings LLC (39%; lease expiring February 2027), is expected to vacate as they recently signed a lease to relocate its headquarters to another location. The loan matures in August 2027. Net operating income (NOI) debt service coverage ratio (DSCR) was 1.03x as of YE 2024, down from 1.31x at YE 2022. Per the special servicer, the appointment of a receiver has been approved. The loan's status has fluctuated historically between being 30 days to 90+ days delinquent; the loan was reported as 30 days delinquent as of the November 2025 remittance. No updated appraisal value has been provided by the special servicer. Fitch's 'Bsf' rating case loss of 42.7% (prior to concentration adjustments) reflects a 10% cap rate to the YE 2024 NOI and a value of $85psf. The second largest overall contributor to loss expectations is the 85 Broad Street loan (9.1%), which is secured by a 1,118,512-sf office building in the Financial District, near the New York Stock Exchange in downtown Manhattan. The loan was transferred to special servicing in June 2025 due to imminent monetary default and cash shortfalls affecting the funding of operating expenses. The two largest tenants are Viner Finance (Oppenheimer [24.6% of NRA and 43.9% of rent]) and WeWork (10.5% of NRA and 8.7% of rent). WeWork's lease expires in May 2029 and Viner Finance's (Oppenheimer) expires in February 2028. WeWork has reduced their space from 26.2% of NRA at issuance to 10.5%. The October 2025 occupancy is 61.2%, which declined from 71.5% at YE 2024, 78.7% at YE 2023 and 93% at YE 2020. The most recent drop in occupancy can be attributed to Neilsen (10.5% of NRA) vacating at their lease expiration in March 2025. NOI DSCR on the trust debt has declined but remains strong at 2.40x as of June 2025, 3.16x at YE 2024, and 3.50x at YE 2023. The total debt stack includes approximately $358.6 million that includes $189.6 in subordinate debt. The loan remains current. Fitch's 'Bsf' case loss on the trust debt is 7.4% (prior to a concentration adjustment) and is based on an 9% cap rate and the YE 2024 NOI. Additionally, Fitch's base case analysis on two office properties totaling 6.5% of the pool, Keystone 200 & 300 (Durham, NC) and Apex Fort Washington (Fort Washington, PA), factor in a higher probability of default to address concerns with declining occupancy, significant upcoming rollover risk and uncertain refinance prospects in 2027. Fitch's 'Bsf' rating case loss on Keystone 200 & 300 is 10.1% (prior to a concentration adjustment), reflecting a 11% cap rate and a 30% stress to the YE 2024 NOI. Fitch's 'Bsf' rating case loss on Apex Fort Washington is 13.1% (prior to a concentration adjustment), reflecting a 10% cap rate and 15% stress to the YE 2023 NOI. Increased Credit Enhancement (CE): As of the November 2025 remittance report, the transaction balance has been reduced by 42.6% since issuance. Five loans (11.5%) have been defeased, each since the last rating action. Interest shortfalls of approximately $1.2 million are impacting non-rated class NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to high CE and expected continued amortization and loan repayments and dispositions but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the 'AAsf rated classes could occur if deal-level losses increase significantly from outsized losses on larger office FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These include FLOCs 85 Broad Street, 300 Montgomery, Center 78, Keystone 200 & 300, and Apex Fort Washington. Downgrades to the 'Asf' and 'BBBsf' categories may occur should performance of the aforementioned FLOCs deteriorate further or if more loans than expected default at or prior to maturity. Downgrades to the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Downgrades to distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are currently not expected but possible for classes rated in the 'AAsf' and 'Asf' categories with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. These FLOCs include 85 Broad Street, 300 Montgomery, Center 78, Keystone 200 & 300, and Apex Fort Washington. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' categories would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FIDIUM LLC 2025-1: Fitch Affirms BB-sf Rating on Class C Debt ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Fidium, LLC (f/k/a Consolidated Communications, LLC) Series 2025-4 as follows: - $977,800,000 Series 2025-4, class A-2 'A-sf'/Outlook Stable; - $144,500,000 Series 2025-4, class B 'BBB-sf'/Outlook Stable; - $160,600,000 Series 2025-4, class C 'BB-sf'/Outlook Stable. Fitch has affirmed the ratings on the Consolidated Series 2025-1, 2025-2 and 2025-3 notes as follows: - $50,000,000 Series 2025-1, Class A-1-L 'Asf'/Outlook Stable; - $500,000,000 Series 2025-1, Class A-1-V 'A-sf'/Outlook Stable; - $1,001,000,000 Series 2025-1, Class A-2 'A-sf'/Outlook Stable; - $152,800,000 Series 2025-1, Class B 'BBB-sf'/Outlook Stable. - $189,700,000 Series 2025-1, Class C 'BB-sf'/Outlook Stable; - $69,700,000 Series 2025-2, Class A-2 'A-sf'/Outlook Stable; - $10,300,000 Series 2025-2, Class B 'BBB-sf'/Outlook Stable. - $52,300,000 Series 2025-3, Class A-2 'A-sf'/Outlook Stable; - $7,700,000 Series 2025-3, Class B 'BBB-sf'/Outlook Stable. Entity/Debt Rating Prior ----------- ------ ----- Consolidated Communications, LLC, Secured Fiber Network Revenue Notes, Series 2025-1, Series 2025-2, and Series 2025-3 2025-1 A-1-L LT Asf Affirmed Asf 2025-1 A-1-V LT A-sf Affirmed A-sf 2025-1 A-2 209031AA1 LT A-sf Affirmed A-sf 2025-1 B 209031AB9 LT BBB-sf Affirmed BBB-sf 2025-1 C 209031AC7 LT BB-sf Affirmed BB-sf 2025-2 A-2 LT A-sf Affirmed A-sf 2025-2 B LT BBB-sf Affirmed BBB-sf 2025-3 A-2 LT A-sf Affirmed A-sf 2025-3 B LT BBB-sf Affirmed BBB-sf Fidium LLC, Secured Fiber Network Revenue Notes, Series 2025-4 2025-4 A-2 LT A-sf New Rating A-(EXP)sf 2025-4 B LT BBB-sf New Rating BBB-(EXP)sf 2025-4 C LT BB-sf New Rating BB-(EXP)sf Fidium LLC, Secured Fiber Network Revenue Notes, Series 2025-4 2025-4 A-2 LT A-sf New Rating A-(EXP)sf 2025-4 B LT BBB-sf New Rating BBB-(EXP)sf 2025-4 C LT BB-sf New Rating BB-(EXP)sf Transaction Summary The securitization is managed by Fidium, LLC and Fidium Finance Holdco LLC under the master trust and follows the 2025-1, 2025-2 and 2025-3 issuance in May 2025. The transaction is a securitization of subscription and contract payments derived from an existing enterprise and fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from the operation of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of data (97.0% of monthly recurring revenue [MRR]) and voice (3.0%) services to residential (48.6%), commercial (27.4%) and wireless, wireline carrier (24.1%) customers. The fiber network serves 310,000 residential fiber broadband subscribers, including 1,335,000 households passed across 19 states, primarily located in Maine (26.1% of MRR), New Hampshire (25.4%) and Texas (14.4%). These assets represent about 65.9% of the sponsor's revenue for the month ended August 2025. With the Series 2025-4 issuance, fiber markets in New Hampshire and Texas will be contributed to the master trust. The collateral does not include Fidium, LLC copper assets. The expected ratings reflect Fitch's structured finance analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Condor Holdings LLC. The ratings on the 2025-1, 2025-2 and 2025-3 notes are subject to affirmation concurrent with the transaction close and the assignment of final ratings. The legal name of the issuer has been changed from Consolidated Communications, LLC to Fidium, LLC. In connection with the issuance of Series 2025-4, the Series 2025-1 Variable Funding Note (VFN) draw limit has been amended. The revised structure increases the draw limit to $500 million without requiring rating agency confirmation. Previously, draws exceeding $395.0 million were subject to rating agency confirmation requirements. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's base case net cash flow (NCF) on the pool is $290.6 million, implying a 17.1% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x, versus the debt-to-issuer NCF leverage of 8.3x. Fitch's base-case NCF scenario assumes the most conservative leverage scenario wherein the Series 2025-4 Class C note is upsized to the preapproved maximum amount of $260.6 million from $160.6 million, and the VFN is drawn to the maximum capacity available at closing of $36.5 million. Inclusive of the future cash flow required to draw upon the initial maximum variable funding note (VFN) balance of $500 million, Fitch's NCF would be $347.8 million, implying a 18.4% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt-to-issuer NCF leverage of 7.9x. Based on the Fitch NCF and no additional revenue growth, and following the transaction's ARD, the notes would be repaid 20.1 years from the closing date. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include the high quality of the underlying collateral networks, which are 100% fiber; the low historical churn rates compared to peers; the geographic diversification of the collateral and low customer concentration; strong competitive positioning; seasoned markets with adequate operating history; the capability of the operator; lower penetration as compared to peers, and the transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' for reasons that include the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will render the current transmission of data through fiber optic cables obsolete. That said, data providers continue to invest in and utilize this technology, given that fiber optic cable networks are currently the fastest, highest-capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow due to higher expenses, customer churn, lower market penetration, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. - Fitch's base case NCF was 17.1% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 to 'BBBsf' from 'A-sf'; Class B to 'BBsf' from 'BBB-sf'; Class C to 'B-sf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow from rate increases, additional customers, or contract amendments could lead to upgrades. - A 20% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 to 'Asf' from 'A-sf'; Class B to 'Asf' from 'BBB-sf'; Class C to 'BBB-sf' from 'BB-sf'. - Upgrades are unlikely, given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped at the 'Asf' category. 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 BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. GALLATIN X 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Gallatin CLO X 2023-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Gallatin CLO X 2023-1, Ltd. A-R 36362MAN7 LT NRsf New Rating B-R 36362MAQ0 LT AAsf New Rating C-1-R 36362MAS6 LT Asf New Rating C-F-R LT Asf New Rating D-1-R 36362MAU1 LT BBB+sf New Rating D-2-R 36362MAW7 LT BBB-sf New Rating E-R 36362LAE9 LT BB-sf New Rating Subordinated 36362LAC3 LT NRsf New Rating Transaction Summary Gallatin CLO X 2023-1, Ltd. (the issuer), a reset transaction, is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Aquarian Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.6 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 96.94% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% 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 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-R, between 'Bsf' and 'BBB+sf' for Class C-R, between less than 'B-sf' and 'BBB-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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B-R, 'AA+sf' for Class C-R, 'A+sf' for Class D-1-R, and 'Asf' 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 Gallatin CLO X 2023-1, 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GCAT 2025-INV5: Moody's Assigns (P)B3 Rating to Class B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 71 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2025-INV5 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible (92.2% by balance) and prime jumbo (7.8% by balance) residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac). The complete rating actions are as follows: Issuer: GCAT 2025-INV5 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aa1(sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4 *, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6 *, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aa1 (sf) Cl. A-X-26*, Assigned (P)Aa1 (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. A-X-30*, Assigned (P)Aa1 (sf) Cl. A-X-31*, Assigned (P)Aaa (sf) Cl. A-X-32*, Assigned (P)Aa1 (sf) Cl. A-X-33*, Assigned (P)Aa1 (sf) Cl. A-X-34*, Assigned (P)Aa1 (sf) Cl. A-X-35*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-X-2*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.70%, in a baseline scenario-median is 0.40% and reaches 8.20% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GCAT TRUST 2025-NQM7: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to eight classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned 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 18.60% 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. GOLDENTREE LOAN 18: Fitch Assigns 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 18, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 18, Ltd. X-R LT NRsf New Rating A-R LT NRsf New Rating B 38139LAE7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38139LAG2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38139LAJ6 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 38139JAA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 38139JAC6 LT PIFsf Paid In Full B-sf F-R LT B-sf New Rating Transaction Summary GoldenTree Loan Management US CLO 18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM II, LP. All the secured notes will be refinanced on Dec. 5, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.29, 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 99.41% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.28% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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. Key Provision Changes The refinancing is being implemented via the First Supplemental Indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for Classes X-R, A-R, B-R, C-R, D-R, E-R and F-R notes are 0.78%, 1.13%, 1.50%, 1.70%, 2.55%, 4.75% and 7.50% compared to the spreads of 1.20%, 1.65%, 2.40%, 2.80%, 4.35%, 7.58% and 8.50% for Classes X, A, B, C, D, E and F notes, respectively, before refinancing; - The note balance of Class F-R notes increases to $7 million from $5 million; - Replaced Fitch Test Matrix applicable on the refinancing date; - WAL covenant is extended by half year; - The non-call period for the refinanced notes is extended to Dec. 5, 2026; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis Its analysis is based on the latest portfolio presented to Fitch from the arranger, which includes 301 assets from 223 primarily high-yield obligors. The portfolio balance is approximately $400 million, excluding defaulted assets and including principal cash. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 47.7% of the current portfolio par balance, while 52.1% of the ratings were derived using Fitch's Issuer Default Rate Equivalency Map. Assets unrated by Fitch or without public ratings from other agencies make up 0.3% of the portfolio. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries of 17.5%, 15%, and 12%, respectively; - Assumed WAL: 6.5 years; - Minimum weighted average spread of 3.20%; - Minimum weighted average recovery rate: 67.30%; - Maximum weighted average rating factor: 26.0; - Fixed rate assets: 5.0%; - Minimum weighted average coupon of 5.50%; - The transaction will exit the reinvestment period in January 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below at the example matrix point. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushion indicated. Current Portfolio Model Outputs: - Class B-R: 'AAsf'/Default 41.5%/Recovery 47.2%/Cushion 12.60%; - Class C-R: 'Asf'/Default 37.0%/Recovery 56.8%/Cushion 12.60%; - Class D-R: 'BBB-sf'/Default 28.6%/Recovery 66.1%/Cushion 12.70%; - Class E-R: 'BB-sf'/Default 23.9%/Recovery 72.0%/Cushion 18.10%; - Class F-R: 'B-sf'/Default 19.1%/Recovery 76.4%/Cushion 20.40%. FSP Model Outputs: - Class B-R: 'AAsf'/Default 49.9%/Recovery 41.6%/Cushion 0.00%; - Class C-R: 'Asf'/Default 44.7%/Recovery 51.6%/Cushion 0.50%; - Class D-R: 'BBB-sf'/Default 35.3%/Recovery 60.8%/Cushion 3.40%; - Class E-R: 'BB-sf'/Default 29.8%/Recovery 66.1%/Cushion 7.70%; - Class F-R: 'B-sf'/Default 24.3%/Recovery 70.8%/Cushion 11.70%. 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-R, between 'B+sf' and 'BBB+sf' for Class C-R, between less than 'B-sf' and 'BB+sf' for Class D-R, and between less than 'B-sf' and 'BBsf' for Class E-R and between less than 'B-sf' and 'B+sf' for Class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class B-R, 'AAsf' for Class C-R, 'Asf' for Class D-R, and 'BBB+sf' for Class E-R and 'BB+sf' for Class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 18, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLDENTREE LOAN 27: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 27, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 27, Ltd. X LT NRsf New Rating A LT NRsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT A+sf New Rating C-J LT Asf New Rating D LT BBB-sf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary GoldenTree Loan Management US CLO 27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $750 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.77 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 72.36% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between 'Bsf' and 'BBB+sf' for class C-J, between less than 'B-sf' and 'BB+sf' for class D, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'B+sf' for class E, and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J 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, 'AAsf' for class C-J, 'Asf' for class D, 'A-sf' for class D-J, 'BBB+sf' for class E, and 'BB+sf' for class F. 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 GoldenTree Loan Management US CLO 27, 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. GREAT LAKES IX: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Great Lakes CLO IX Ltd./Great Lakes CLO IX LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BMO Asset Management Corp. 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 Great Lakes CLO IX Ltd./Great Lakes CLO IX LLC Class X, $4.50 million: AAA (sf) Class A-1, $161.00 million: AAA (sf) Class A-1L loans, $100.00 million: AAA (sf) Class A-2, $9.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $27.00 million: BB- (sf) Subordinated notes, $53.50 million: NR NR--Not rated. GS MORTGAGE 2014-GC22: DBRS Lowers Rating on 3 Tranches to Csf -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC22 issued by GS Mortgage Securities Trust 2014-GC22 as follows: -- Class A-S to CCC (sf) from A (sf) -- Class B to C (sf) from BBB (low) (sf) -- Class C to C (sf) from CCC (sf) -- Class X-A to CCC (sf) from A (high) (sf) -- Class X-B to C (sf) from BBB (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-5 at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) -- Class PEZ at CCC (sf) The trend on Class A-5 is Stable. Classes A-S, B, C, D, E, F, X-A, X-B, X-C, and PEZ have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' uncertainty around the disposition timeline of the adverse selection composed primarily of suburban office and retail assets within tertiary markets, which contributes to the increased propensity for interest shortfalls and the ultimate recoverability for the remaining loans in the trust. Interest shortfalls continue to accrue and were most recently reported at $11.3 million as of November 2025 compared with $5.4 million at the time of the last credit rating action in January 2025. Four of the five loans in the pool, representing 66.7% of the remaining pool balance, have been deemed nonrecoverable by the servicer. As of the November 2025 reporting, these loans contributed $822,000 in interest shortfalls every month, which Morningstar DBRS expects will continue until disposition from the trust is finalized. Class A-S did not receive full interest between October 2025 and November 2025, bringing it to the Morningstar DBRS shortfall tolerance of one to two remittance periods for the A (sf) credit rating category, prompting the credit rating downgrade on this class. Class B also did not receive any interest between October 2025 and November 2025. While stabilization and marketing efforts for the distressed assets continue, Morningstar DBRS expects increased interest shortfalls to this class, which would breach the Morningstar DBRS shortfall tolerance threshold of three to four remittance periods for the BBB (sf) credit rating category. The uncertainty surrounding the ultimate disposition timeline for these loans supports Morningstar DBRS' downgrades on Classes A-S and B. As of the November 2025 remittance, only five loans remained in the pool, all of which are specially serviced. Three of these specially serviced loans, the Selig Portfolio (Prospectus ID#2; 31.1% of the current pool balance), EpiCentre (Prospectus ID#3; 27.1% of the current pool balance), and Westwood Plaza (Prospectus ID#22; 3.1% of the current pool balance), are real estate owned. The largest loan in the pool, Maine Mall (Prospectus ID#1; 33.3% of the current pool balance), was recently modified, extending the loan's maturity to April 2028. Given the concentration of defaulted loans and distressed properties remaining in the pool, Morningstar DBRS analyzed each of the remaining loans with a conservative liquidation scenario based on value stresses to the most recent appraised values. Individual property value haircuts range from 10.0% to 30.0%. 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 $150.8 million, fully eroding the balances of Classes C through F and the nonrated Class G certificates. These losses supported the credit rating downgrades to Class C and significantly reduced the credit support provided to Class B, thereby further supporting the downgrade to this class. Morningstar DBRS' loss expectations are primarily driven by the Selig Portfolio, which is secured by seven office buildings totaling 1.1 million square feet (sf) in Seattle. The subject loan of $100.0 million represents a pari passu portion of a $239.0 million whole loan, with the additional senior notes secured in the Citigroup Commercial Mortgage Trust 2014-GC23 (not rated by Morningstar DBRS) and Morgan Stanley Capital I Trust 2017-H1 transactions (rated by Morningstar DBRS). The loan transferred to the special servicer in March 2024 because of imminent maturity default and subsequently did not repay at its May 2024 maturity date. After unsuccessful attempts at a loan modification, a receiver was appointed in March 2025 with a foreclosure sale in August 2025 at which the trust was the winning bidder. Though leasing efforts aim to stabilize the asset for sale, occupancy has been declining in recent years with the servicer most recently reporting an occupancy rate of 56.4% in October 2025, down from 85.4% at issuance. The loan reported a debt service coverage ratio (DSCR) of 0.51 times (x) for the trailing six-month period ended June 30, 2025, compared with the DSCR of 1.33x at YE2024 and the issuer's DSCR of 2.06x. According to Reis, office properties in the Central Seattle submarket reported an average vacancy rate of 23.1% as of Q3 2025, an increase from 20.2% in Q3 2024. A February 2025 appraisal valued the property at $149.8 million, a 20.7% decline from the March 2024 value of $188.9 million and 55.3% below the issuance appraised value of $335.3 million. Given the value deterioration, softening submarket fundamentals, and generally challenged office landscape in Seattle, Morningstar DBRS applied a conservative haircut of 30.0% to the most recent appraised value in its liquidation scenario, resulting in implied losses of $56.6 million, or a loss severity approaching 60%. The largest remaining loan in the pool, Maine Mall, is secured by a 730,444-sf portion of a 1.0 million-sf super-regional mall in Portland, Maine. The $110.0 million loan is pari passu with a note securitized in the Citigroup Commercial Mortgage Trust 2014-GC21 transaction (rated by Morningstar DBRS). The loan transferred to the special servicer in February 2024 upon receiving a notification that the borrower would be unable to repay the loan at the scheduled maturity in April 2024. In August 2025, a modification was finalized whose terms included extending the loan term to April 2028 and a $4.6 million principal paydown. Other modification terms included the establishment of a $10.0 million working capital reserve to be funded with 50.0% of excess cash flow and, once the reserve is fully funded, all excess cash will be applied toward the principal. Property performance improved in 2024 as the occupancy rate increased to 94.0% as of June 2025 with a DSCR of 1.39x, both of which are in line with pre-pandemic figures. An August 2025 appraisal valued the property at $187.0 million, down from the issuance appraised value of $395.0 million. Given the continued decline in value, Morningstar DBRS used a liquidation scenario based on a 10% haircut to the August 2025 appraised value, which implied losses totaling $32.0 million and a loss severity of more than 30.0%. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC39: Fitch Affirms 'B-sf' Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of GS Mortgage Securities Trust 2019-GC39 commercial mortgage pass-through certificates (GSMS 2019-GC39). Fitch revised the Rating Outlooks to Stable from Negative for three of the classes, and the Outlooks remained Negative for six of the classes. Fitch has also affirmed 14 classes of GS Mortgage Securities Trust 2019-GC42 commercial mortgage pass-through certificates (GSMS 2019-GC42). Fitch revised the Outlooks to Stable from Negative for two of the classes, and the Outlooks remain Negative for six of the classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2019-GC42 A-2 36257UAJ6 LT AAAsf Affirmed AAAsf A-3 36257UAK3 LT AAAsf Affirmed AAAsf A-4 36257UAL1 LT AAAsf Affirmed AAAsf A-AB 36257UAM9 LT AAAsf Affirmed AAAsf A-S 36257UAQ0 LT AAAsf Affirmed AAAsf B 36257UAR8 LT AA-sf Affirmed AA-sf C 36257UAS6 LT A-sf Affirmed A-sf D 36257UAA5 LT BB+sf Affirmed BB+sf E 36257UAC1 LT BB-sf Affirmed BB-sf F-RR 36257UAD9 LT CCCsf Affirmed CCCsf G-RR 36257UAE7 LT CCsf Affirmed CCsf X-A 36257UAN7 LT AAAsf Affirmed AAAsf X-B 36257UAP2 LT A-sf Affirmed A-sf X-D 36257UAB3 LT BB-sf Affirmed BB-sf GSMS 2019-GC39 A-3 36260JAC1 LT AAAsf Affirmed AAAsf A-4 36260JAD9 LT AAAsf Affirmed AAAsf A-AB 36260JAE7 LT AAAsf Affirmed AAAsf A-S 36260JAH0 LT AAAsf Affirmed AAAsf B 36260JAJ6 LT AA-sf Affirmed AA-sf C 36260JAK3 LT BBBsf Affirmed BBBsf D 36260JAL1 LT BBB-sf Affirmed BBB-sf E 36260JAQ0 LT BBsf Affirmed BBsf F 36260JAS6 LT B-sf Affirmed B-sf G-RR 36260JAU1 LT CCCsf Affirmed CCCsf X-A 36260JAF4 LT AAAsf Affirmed AAAsf X-B 36260JAG2 LT BBBsf Affirmed BBBsf X-D 36260JAN7 LT BBsf Affirmed BBsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has decreased to 5.5% in GSMS 2019-GC39 and 6.9% in GSMS 2019-GC42 from 5.8% and 7.5%, respectively, at Fitch's prior rating action. The GSMS 2019-GC39 transaction has four Fitch Loans of Concern (FLOCs; 20.8% of the pool), including one loan (2.4%) in special servicing. The GSMS 2019-GC42 transaction has five FLOCs (19.4%), including three loans (10.8%) in special servicing. The affirmations across both transactions reflect the relatively stable performance since the prior rating action. The revision of Outlooks to Stable from Negative on classes A-S, B and X-A in GSMS 2019-GC39 reflect positive leasing updates for the two largest loans: 101 California Street (12.2%; September 2025 occupancy increased to 82% from 71% at YE 2024) and 59 Maiden Lane (11.8%; The New York City Department of Citywide Administrative Services (DCAS) recently renewed for 20 years through August 2046). The ratings and Negative Outlooks in GSMS 2019-GC39 reflect the continued elevated expected loss and risks with loans such as 57 East 11th Street (2.4% of the pool) and Tulsa Office Portfolio (2.6%). In addition, the Negative Outlooks reflect the elevated exposure to office loans, which represents 46.0% of the pool. The revision of Outlooks to Stable from Negative on classes A-S and X-A in GSMS 2019-GC42 also reflect positive leasing updates for the second largest loan (Northpoint Tower; 6.6%) as the largest tenant, Jones Day (39% of NRA) renewed its leased for 10 years through June 2036. At the prior rating action, Fitch noted that downgrades were likely if the appraisal value for Northpoint Tower was less than Fitch's expectations; however, the updated value is higher than Fitch's previous stressed value. The ratings and Negative Outlooks in GSMS 2019-GC42 reflect the continued high expected losses from 222 Kearny Street (2.4%) and its elevated exposure to office loans, which represents 38.8% of the pool. Largest Loss Contributors; FLOCs: The largest increase in loss expectations since the prior rating action in GSMS 2019-GC39 is the Tulsa Office Portfolio loan, secured by a 1,026,650-sf office portfolio consisting of nine older vintage buildings built between 1973 and 1984 located in Tulsa, OK. The loan transferred to special servicing in March 2024 for imminent monetary default. The loan returned to the master servicer in September 2024 after a loan modification that included the $3.2 million sale of the Riverbridge property; proceeds from the sale were applied to pay down a portion of the loan. The loan remains with the master servicer and has been paid within its grace period for the past 12 months. The portfolio has a granular rent roll with over 200 tenants, and no individual tenant accounts for more than 3% of the portfolio NRA. As of Q3 2024, portfolio occupancy was 55%, compared to 53.6% at YE 2023, 67% at YE 2022, 66% at YE 2021, and 77% at issuance. Updated portfolio occupancy has not been provided. The servicer-reported NOI DSCR as of the TTM July 2025 reporting was 1.20x, compared to 1.14x at YE 2024, down from 1.31x at YE 2023, 1.67x at YE 2022, 1.52x at YE 2021 and 1.96x at issuance. Fitch's 'Bsf' rating case loss of 35.6% (prior to concentration add-ons) reflects an 11% cap rate and a 20% stress to the TTM June 2025 NOI for upcoming rollover. The largest contributor to overall loss expectations in GSMS 2019-GC39 is the 57 East 11th Street loan, which is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The loan transferred to special servicing in February 2024 due to payment default. As of the November 2025 remittance reporting, the loan was paid current to September 2025. The loan became REO in October 2025. The property was formerly 100% occupied by WeWork. Per the servicer, WeWork stopped paying rent in October 2023 and is no longer operating at the subject property after its lease was rejected during bankruptcy proceedings. The property remains vacant. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 70.6% considers a recent appraisal value reflecting a stressed value of approximately $254 psf. The third largest contributor to overall loss expectations in GSMS 2019-GC39 is the 101 California Street loan (12.2% of the pool), which is secured by a 1.25 million-sf office property located in San Francisco's Northern Financial District. As of the September 2025 rent roll, the property was 82.3% occupied, compared to 71% at YE 2024, 76% at YE 2023, 76.3% at YE 2022, 76.2% at YE 2021, and 92.1% at issuance. Major tenants at the property include Chime Financial (16.1% of NRA through October 2032), Baker Botts LLP (4.2%; August 2031), and Morgan Stanley (4.1%; March 2030). Larger new tenants include Morrison & Foerster LLP (lease commenced in September 2025 representing 10.2% of the NRA through February 2042) and Citizen's Bank (lease commenced in February 2025; 5.2%; April 2038). Upcoming rollover includes 1.2% of the NRA in 2025 and 7.9% in 2026. Fitch's 'Bsf' rating case loss of 3.3% (prior to concentration adjustments) reflects a 9.25% cap rate and a 10% stress to the YE 2024 NOI. The largest increase in loss expectations since the prior rating action and the largest contributor to overall loss expectations in GSMS 2019-GC42 is the 222 Kearny Street loan, secured by a 148,199-sf office property in San Francisco, CA. The loan transferred to special servicing in July 2023 for imminent monetary default. Per the latest November 2025 special servicer commentary, a July 2025 foreclosure was scheduled but later postponed, and the note is now being marketed for sale. Per the June 2025 rent roll, the property was 34.3% occupied, compared to 28.2% in June 2024, down from 49% at YE 2023 and 79% at YE 2022. In the first half of 2024, four tenants, representing 27.8% of the NRA, vacated at lease expiration. The largest tenants at the property include Ouraring Inc (6.4%; February 2026), BTS USA (5.4%; March 2027), GoForward (4.2%; January 2026), and Montgomery Technologies (3.9%; September 2028). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 78.1% considers a 10% haircut to a recent appraisal value reflecting a stressed value of approximately $111 psf. The second largest contributor to overall loss expectations in GSMS 2019-GC42 is the Northpoint Tower loan, which is secured by an 873,335-sf office property in Cleveland, OH. The loan transferred to special servicing in September 2024 due to the loan failing to repay upon its September 2024 loan maturity. The building serves as the global headquarters for Jones Day, which has been in occupancy since 1987 and has invested over $16 million. According to the most recent November 2025 special servicer commentary, Jones Day has executed a 10-year lease renewal through June 2036. Major tenants at the property include Jones Day (39.3% of NRA through June 2036), GSA - Dept of Health (5.5%; October 2028) and EY (5.1%; November 2030). As of the June 2025 rent roll, the property was 80.3% occupied, compared to 79% as of Q2 2024, 81% at YE 2023, 79% at YE 2022, and 73% at YE 2021. The servicer-reported NOI DSCR was 3.09x Q2 2025, compared to 3.26x at YE 2024, 3.12x at YE 2023, 2.82x at YE 2022, and 2.55x at YE 2021. Upcoming rollover includes 11.6% in 2026. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 25.4% considers a 20% stress to a recent appraisal value reflecting a stressed value of approximately $78 psf. The third largest contributor to overall loss expectations in GSMS 2019-GC42 is the Midland Office Portfolio loan (1.8% of the pool), which is secured by a portfolio of five office properties totaling 699,584-sf located in Midland, TX. The loan transferred to special servicing in September 2023 for imminent monetary default. In early 2024, a receiver was put in place and the asset was listed for sale, but attempts to sell the portfolio out of receivership were unsuccessful. The special servicer is actively working with tenants to renew existing leases and secure new leases across all properties. Per the June 2025 rent roll, portfolio occupancy dropped to 57.4%, compared to 59% at Q1 2024, down from 68% at YE 2023, 74% at YE 2022, 73% at YE 2021 and 90% at YE 2020. The recent occupancy decline was caused by multiple smaller tenants vacating at lease expiration. The largest in-place tenants include Enlink Midstream Operating (8.0% of the NRA through June 2026) and First Capital Bank (4.9%; November 2027). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 25.6% considers a 30% stress to a recent appraisal value reflecting a stressed value of approximately $66 psf. Increased Credit Enhancement (CE): As of the November 2025 distribution date, the pool's aggregate balance in GSMS 2019-GC39 has been paid down by 21.0% to $633.9 million from $802.5 million at issuance. Two loans (3.4% of the pool) are fully defeased. There are 14 loans (65.3%) that are full-term interest-only (IO), and the remaining 16 loans (34.7%) are amortizing. As of the November 2025 distribution date, the pool's aggregate balance in GSMS 2019-GC42 has been paid down by 6.7% to $988.9 million from $1.06 billion at issuance. There are 26 loans (82.5%) that are full-term IO, and the remaining nine loans (17.5%) are amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' 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 the junior 'AAAsf' and classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized losses beyond Fitch's expectations on the FLOCs/specially serviced loans, including 57 East 11th Street, 101 California, and Tulsa Office Portfolio in GSMS 2019-GC39, and Northpoint Tower, 222 Kearny Street and Midland Office Portfolio in GSMS 2019-GC42, and with limited to no improvement in these classes' CE; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are likely 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; - Downgrades to distressed ratings would occur should additional loans transfer to special servicing and/or default, or as losses are realized and/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 stabilized performance on 57 East 11th Street, 101 California, and Tulsa Office Portfolio in GSMS 2019-GC39, and Northpoint Tower, 222 Kearny Street and Midland Office Portfolio in GSMS 2019-GC42; - 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; - Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-PJ11: Fitch Rates Class B5 Notes 'B-(EXP)' ----------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2025-PJ11 (GSMBS 2025-PJ11). Entity/Debt Rating ----------- ------ GSMBS 2025-PJ11 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX29 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating BX1 LT AA-(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating BX2 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 R LT NR(EXP)sf Expected Rating Transaction Summary The classes are supported by 316 prime loans with a total balance of approximately $359.7 million as of the cut-off 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. GSMBS 2025-PJ11 has a Final PD of 10.5% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 34.6%. The expected loss in the 'AAAsf' rating stress is 3.6%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in GSMBS 2025-PJ11 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 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 an approximate 5% PD 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 GSMBS 2025-PJ11 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 GSMBS 2025-PJ11 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 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on 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. GS MORTGAGE 2025-PJ11: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 68 classes of residential mortgage-backed securities (RMBS) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ11, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (83.9% by balance) and GSE-eligible (16.1% by balance)] residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 10.2% by loan balance), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ11 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aaa (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. A-X-30*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1L Loans, Assigned (P)Aaa (sf) Cl. A-2L Loans, Assigned (P)Aaa (sf) Cl. A-3L Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.34%, in a baseline scenario-median is 0.15% and reaches 4.72% 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. GSJP TRUST 2025-BEDS: Moody's Assigns (P)B2 Rating to Cl. F Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of CMBS securities, to be issued by GSJP Trust 2025-BEDS, Commercial Mortgage Pass-Through Certificates, Series 2025-BEDS: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) Cl. HRR, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to a portfolio of five off-campus student housing properties. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The portfolio is comprised of five purpose-built off-campus student housing properties consisting of 2,471 beds and 952 units. The portfolio has a weighted average year built of 2018 and an average distance to campus of 0.33 miles. The portfolio is currently 93.9% occupied as of the September rent roll and 100% of the total beds are associated with schools in the Power 4 conferences (ACC, Big 12, Big Ten, and SEC) that have a weighted average enrollment of over 52,000 students. 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 1.06x and Moody's first mortgage actual stressed DSCR is 0.72x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $271,500,000 represents a Moody's LTV ratio of 121.4% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 118.5% 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 portfolio's weighted average property quality grade is 1.75. Notable strengths of the transaction include: (i) Asset quality, (ii) Proximity to campus, (iii) Multi-property portfolio Notable concerns of the transaction include: (i) High Moodys LTV, (ii) Full term interest only, (iii) Property release provisions Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. 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. HALCYON LOAN 2017-1: Moody's Ups Rating on $16MM D Notes to Ba2 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Halcyon Loan Advisors Funding 2017-1 Ltd.: US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Upgraded to Aaa (sf); previously on July 23, 2025 Upgraded to A2 (sf) US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to Ba2 (sf); previously on May 21, 2024 Downgraded to B1 (sf) Halcyon Loan Advisors Funding 2017-1 Ltd., originally issued in May 2017 and partially refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2025. The Class A-2-R notes have been paid down fully, and the Class B-R notes have been paid down 96.0% or $23.0 million since then. Based on Moody's calculations, the OC ratios for the Class C and Class D notes are currently 199.30% and 121.45%, respectively, versus July 2025 levels of 134.80% and 109.90%, respectively. Moody's calculated OC ratios do not incorporate any haircuts. Nevertheless, the credit quality of the portfolio has deteriorated since July 2025. Based on Moody's calculations, the weighted average rating factor is currently 4712 compared to 3730 in July 2025. No action was taken on the Class B-R notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $49,687,646 Defaulted par: $168,889 Diversity Score: 22 Weighted Average Rating Factor (WARF): 4712 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.97% Weighted Average Recovery Rate (WARR): 45.67% Weighted Average Life (WAL): 2.54 years Par haircut in OC tests and interest diversion test: 12.50% Methodology Used for 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. HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2025-5 Cl. D Notes ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the series 2025-5 and series 2025-6 rental car asset-backed notes 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 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). Moody's also announced that the issuance of the series 2025-5 notes and series 2025-6 notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2025-5 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-5 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A1 (sf) Series 2025-5 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-5 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2025-6 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A1 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive 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 these transactions 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 the 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 is 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 fluctuates based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series are subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. The series 2025-5 and series 2025-6 class A, B, and C notes 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 is 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 series 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 series 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. HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. takes credit rating actions on all classes from three U.S. single-family rental transactions as follows: Home Partners of America 2021-3 Trust Single-Family Rental Pass-Through Certificates -- Class A confirmed at AAA (sf) -- Class B upgraded to AA (high) (sf) from AA (sf) -- Class C upgraded to A (high) (sf) from A (sf) -- Class D upgraded to BBB (high) (sf) from BBB (sf) -- Class E1 confirmed at BBB (sf) -- Class E2 confirmed at BBB (low) (sf) -- Class F confirmed at BB (sf) STAR 2021-SFR2 Trust Single-Family Rental Pass-Through Certificates -- Class E discontinued-repaid -- Class F confirmed at BB (low) (sf) -- Class G confirmed at B (low) (sf) VINE 2023-SFR1 Trust Single-Family Rental Pass-Through Certificates -- Class A confirmed at AAA (sf) -- Class B confirmed at AAA (sf) -- Class C upgraded to AA (sf) from AA (low) (sf) -- Class D upgraded to A (low) (sf) from BBB (high) (sf) -- Class E1 confirmed at BBB (sf) -- Class E2 confirmed at BBB (low) (sf) The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit ratings reflect the full repayment of principal to the bondholders. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2021-INV5: Moody's Raises Rating on Cl. B-5 Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of seven 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(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-INV5 Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Feb 12, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Feb 12, 2025 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-INV8 Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Feb 12, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Feb 12, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 12, 2025 Upgraded to Ba2 (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 pool. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.01% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 21.9% for the tranches upgraded. 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 and credit enhancement. 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 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. JPMCC COMMERCIAL 2016-JP3: Moody's Cuts Rating on 2 Tranches to Ba1 ------------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on four classes in JPMCC Commercial Mortgage Securities Trust 2016-JP3, Commercial Mortgage Pass-Through Certificates, Series 2016-JP3 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Aug 13, 2024 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Aug 13, 2024 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 13, 2024 Affirmed Aaa (sf) Cl. A-S, Downgraded to A3 (sf); previously on Aug 13, 2024 Downgraded to A1 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Aug 13, 2024 Downgraded to Baa1 (sf) Cl. X-A*, Downgraded to Aa3 (sf); previously on Aug 13, 2024 Affirmed Aa1 (sf) Cl. X-B*, Downgraded to Ba1 (sf); previously on Aug 13, 2024 Downgraded to Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes were downgraded due to higher anticipated losses and interest shortfall risk because of the exposure to specially serviced loans and loans with higher Moody's LTV. Four loans, representing 20% of the pool, are in special servicing. The largest two specially serviced loans are Westfield San Francisco Centre (7.2% of the pool) and 1 Kaiser Plaza (7.2% of the pool), which both have had considerable declines in performance and significant declines in value since securitization due to tenant attrition in recent years. Furthermore, three of the four specially serviced loans have been deemed non-recoverable and interest shortfalls have impacted up to Cl. C but may increase if additional loans become delinquent on debt service payments and there are future appraisal reductions. The rating on the interest-only class, Cl. X-A, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The rating on the interest-only class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced class. Moody's rating action reflects a base expected loss of 18.2% of the current pooled balance, compared to 11.8% at Moody's last reviews. Moody's base expected loss plus realized losses is now 14.1% of the original pooled balance, compared to 10.2% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the November 2025 distribution date, the transaction's aggregate certificate balance has decreased by 31.8% to $830.2 million from $1.22 billion at securitization. The certificates are collateralized by 36 mortgage loans ranging in size from less than 1% to 12.0% of the pool, with the top ten loans (excluding defeasance) constituting 64% of the pool. One loan, constituting 12.0% of the pool, has an investment-grade structured credit assessment. Thirteen loans, constituting 21.5% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 15 at Moody's last review. Ten loans, constituting 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $21.2 million (for an average loss severity of 35%). Four loans, constituting 20.1% of the pool, are currently in special servicing. The largest specially serviced loan is the Westfield San Francisco Centre loan ($60.0 million – 7.2% of the pool), which represents a pari-passu portion of a $433 million first-mortgage loan. The total mortgage debt also includes subordinate B-notes with an aggregate balance of $125 million, which is held outside the trust. The loan is secured by a 794,521 square feet (SF) component of a 1,445,449 SF, nine-story super regional mall and office development located in the Union Square district of San Francisco, California. At securitization, the mall was anchored by Bloomingdale's, Nordstrom, and a 9-screen Century Theatre. As of June 2025, the collateral was 13% leased and 7% occupied. All the former anchors have vacated the property and most in-line tenants have exercised co-tenancy lease termination rights. As a result of the lower occupancy, the property's NOI has declined significantly since securitization. Non-collateral anchor tenant, Nordstrom (312,000 SF), closed this location in August 2023 and Century Theaters (52,636 SF) vacated at lease expiration in September 2023. Major lease negotiations to backfill the Nordstrom and Century Theatre were active until non-collateral anchor tenant Bloomingdales (338,928 SF) closed on April 13, 2025. The loan transferred to special servicing in June 2023 due to payment default. The lender filed a foreclosure action in September 2023, and a receiver was appointed in October 2023. In March 2024, the new management team rebranded the property as the Emporium Centre San Francisco. Per servicer commentary, foreclosure was scheduled for November 12, 2025 and upon foreclosure, the lender plans to immediately market the property for disposition. The most recent appraisal from September 2025 valued the property at $195 million, an 84% decline in value since securitization, and the master servicer has deemed the loan non-recoverable. The second largest specially serviced loan is the 1 Kaiser Plaza loan ($60.0 million – 7.2% of the pool), which represents a pari passu portion of a $97.1 million first-mortgage loan. The loan is secured by a 28-story office building located in the CBD of Oakland, California. The property was originally constructed as the corporate headquarters for the largest tenant, Kaiser Foundation Health Plan, Inc, however in 2024 Kaiser exercised an early termination option on one of three leases shrinking their footprint to 45% from 69% of the NRA. The property was 55% leased in June 2025, compared to 93% in 2023 and 95% at securitization. The loan transferred to special servicing in October 2024 for imminent monetary default after the borrower notified the special servicer that Kaiser's downsize would likely result in insufficient cashflow to meet debt service. As of the November 2025 remittance, the loan is current and reported a NCF DSCR of 1.14X. The third largest specially serviced loan is the National Business Park loan ($28.4 million – 3.4% of the pool), which is secured by which is secured by the borrower's leasehold interest in a five-office building portfolio located in Princeton, New Jersey. The ground lease expires in December 2037 and there are two, ten-year extension options. The loan transferred to special servicing in August 2023 due to imminent monetary default. The borrower attempted to sell the portfolio in 2023 however was unsuccessful due to concerns surrounding the occupancy and ground lease expiration. As of June 2025, the portfolio was 26% leased and a receiver has been appointed to manage the properties. The properties have been listed for sale and the master servicer has deemed the loan non-recoverable. The smallest specially serviced loan is the Centrica loan ($18.5 million – 2.2% of the pool), which is secured by the borrower's fee simple interest in a 116,982 SF office building located in Mesa, Arizona. The property was constructed in 1978, and extensively renovated in 2015. At securitization the property was fully leased to Santander through September 2026. However, in August 2023 Santander exercised an early termination option and notified the borrower that they will vacate the building by September 2024. The loan transferred to special servicing in May 2024 due to imminent monetary default. A receiver has been appointed and the property has been listed for sale. The most recent appraisal from December 2024 valued the property at $6.2 million, an 80% decline in value since securitization, and the master servicer has deemed the loan non-recoverable. Moody's have also assumed a high default probability for two poorly performing loans, constituting 5.3% of the pool, and have estimated an aggregate loss of $125.2 million (a 59% expected loss on average) from the specially serviced and troubled loans. The largest troubled loan is the Laguna Design Center loan ($35.4 million – 4.3% of the pool), which is secured by the borrower's fee simple interest in a 236,727 SF mixed use building located in Laguna Nigel, California. Occupancy declined to 72% in June 2025 from 74% in 2024 and 93% at securitization. Property NOI has declined substantially, with the year-end 2024 NOI 24% lower than the year-end 2020 NOI. As of the November 2025 remittance, this loan is current and has amortized by 7.3% since securitization. The other troubled loan is secured by an office property which has experienced a substantial decline in occupancy and has not generated sufficient cash flow to cover the debt service since 2022. As of the November 2025 remittance statement cumulative interest shortfalls were $7.7 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2024 operating results for 100% of the pool, and full or partial year 2025 operating results for 59% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 108%, compared to 117% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 26% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.74X and 1.03X, respectively, compared to 1.67X and 0.97X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25 % stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the 9 West 57th Street loan ($100 million – 12.0% of the pool), which is secured by a 50-story, Class A office building located on West 57th Street in New York City. The building is located directly south of the Plaza Hotel and provides views of Central Park above the 27th floor. There is 1.52 million SF of office space, 71,704 SF of grade and lower-level retail, 25,005 SF of basement storage space and a 60,000 SF subterranean parking garage (285 spaces). The loan represents a pari-passu portion of a $1.01 billion first mortgage loan and the total mortgage loan also includes a $186.3 million subordinate B-Note. As of March 2025, the property was 91% leased compared to 92% in 2024 and 62% at securitization. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.12X, respectively. The top three conduit loans represent 23% of the pool balance. The largest loan is the Opry Mills loan ($80 million – 9.6% of the pool), which represents a pari-passu portion of a $375 million senior mortgage loan. The loan is secured by a 1.2 million SF super-regional mall located in Nashville, Tennessee. Simon Property Group, L.P. is the loan sponsor. The property is part of Opryland, which includes the Grand Ole Opry and the Gaylord Opryland Resort and Convention Center. The mall is anchored by Bass Pro Shops, Regal Cinemas and Dave & Buster's. The collateral was 95% leased as of June 2025 and has maintained strong occupancy since securitization. Furthermore, the property's NOI has generally increased from securitization. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 92% and 1.00X, respectively, the same as at last review. The second largest loan is the Salesforce Tower loan ($60 million – 7.2% of the pool), which represents a pari-passu portion of a $108.0 million mortgage loan, and the total mortgage loan also includes a $24.5 million subordinate B-Note. The loan is secured by the borrower's fee simple interest in two office buildings located in the CBD of Indianapolis, Indiana. In 2023, the largest tenant Salesforce (24% of NRA) vacated 61,700 SF of their space and listed the space for sublease. The second largest tenant JP Morgan Chase reduced their footprint from 202,305 SF (21.1% of NRA) to 107,550 SF (11.2% of NRA) and extended their lease by three years through December 2028. As of June 2025, the property was 72% leased, compared to 74% in 2024 and 86% at securitization. The loan is interest only through the term of the loan. Moody's LTV and stressed DSCR are 123% and 0.92X, respectively, the same as at last review. The third largest loan is the Amazon Buckeye Logistics Center loan ($48.6 million – 5.9% of the pool), which is secured by an approximately 1 million SF warehouse and distribution center located in Phoenix, Arizona. The facility was developed in two phases during 2007 and 2011. The property is fully leased to Amazon through August 2028 on a triple-net basis and has five, 5-year renewal options. Moody's LTV and stressed DSCR are 117% and 0.88X, respectively, the same as at last review. KATAYMA CLO I: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Katayma CLO I Ltd./Katayma CLO I LLC, a CLO managed by Blue Owl Insurance Loan Management LLC that was originally issued in October 2023. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-1-R and D-2-R debt was issued at a floating spread and fixed coupon, respectively, replacing the current floating class D notes. -- The stated maturity and reinvestment period dates were extended by 2.25 years. -- The non-call period was extended to Dec. 4, 2027. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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." Ratings Assigned Katayma CLO I Ltd./Katayma CLO I LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Katayma CLO I Ltd./Katayma CLO I LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Katayma CLO I Ltd./Katayma CLO I LLC Subordinated notes, $38.11 million: NR NR--Not rated. KCAP F3C: S&P Affirms B+ (sf) Rating on Class E Notes ----------------------------------------------------- S&P Global Ratings raised its ratings on the class C and D notes from KCAP F3C Senior Funding LLC. S&P also removed these ratings from CreditWatch, where it had placed them with positive implications on Oct. 10, 2025. At the same time, S&P affirmed its rating on the class E notes. The rating actions follow its review of the transaction's performance using data from the October 2025 trustee report. The transaction has paid down $114.43 million collective paydowns to the class A, B, and C notes since S&P's March 2024 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the February 2024 trustee report, which it used for its previous rating actions: -- The class C O/C ratio improved to 1576.43% from 141.11%. -- The class D O/C ratio improved to 248.94% from 122.41%. -- The class E O/C ratio improved to 136.88% from 108.44%. All O/C ratios experienced a positive movement due to the lower balances of the senior notes, and, consequently, the credit support increased. S&P said, "Even though all O/Cs improved, the collateral portfolio credit quality has decreased since our last rating actions and is now more concentrated. Collateral obligations with ratings in the 'CCC' category have increased as a percentage of aggregate principal balance (including cash), with 64.69% reported as of the October 2025 trustee report compared with 22.21% reported as of the February 2024 trustee report. Over the same period, the par amount of defaulted collateral has also increased as a percentage of aggregate principal balance (including cash) to 17.62% from 9.91%. The total number of obligors declined during this period to 13 from 39. "As a result of continued amortization, the transaction is now highly concentrated with only 13 performing obligors, and given that the CLO is no longer well-diversified, we did not analyze cash flows for these transactions. Instead, our analyses and rating decisions examined other metrics and qualitative factors such as the remaining assets' credit quality, the ratings on the assets backing the notes, and subordination levels. In addition, our rating actions on these classes were also driven by the application of our supplemental tests, which are included as part of our corporate CLO criteria. These tests are intended to address event and model risks that might be present in rated transactions." The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed rating reflects adequate credit support at the current rating levels, although any further deterioration in the credit support available to the notes could change the rating. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as it deems necessary. Ratings Raised and Removed From CreditWatch KCAP F3C Senior Funding LLC Class C to 'AAA (sf)' from 'A+ (sf)'/Watch POS Class D to 'A+ (sf)' from 'BBB-(sf)'/Watch POS Rating Affirmed KCAP F3C Senior Funding LLC Class E: B+ (sf) KINGS PARK: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt from Kings Park CLO Ltd./Kings Park CLO LLC, a CLO managed by Blackstone CLO Management LLC, an affiliate of Blackstone Inc., that was originally issued in December 2021. The preliminary ratings are based on information as of Dec. 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 17, 2025, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B-1, B-2, C, D, and E debt and assign ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement 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 class A-R, B-1-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-2-R debt is expected to be issued at a fixed coupon replacing the current fixed coupon. -- The non-call period will be extended to Jan. 21, 2028. -- The reinvestment period will be extended to Jan. 21, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 21, 2039. -- No additional assets will be purchased on the Dec. 17, 2025, refinancing date, and the target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 21, 2026. -- New class X-R debt will be issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $625,000 beginning on the second payment date. -- An additional $66.5 million in subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 Kings Park CLO Ltd./Kings Park CLO LLC Class X-R, $5.00 million: AAA (sf) Class A-R, $305.00 million: AAA (sf) Class B-1-R, $71.00 million: AA (sf) Class B-2-R, $4.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $2.50 million: BBB- (sf) Class E-R (deferrable), $17.50 million: BB- (sf) Other Debt Kings Park CLO Ltd./Kings Park CLO LLC Subordinated notes, $117.35 million: NR NR--Not rated. KSL COMMERCIAL 2025-MH: Moody's Assigns B2 Rating to Cl. F Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by KSL Commercial Mortgage Trust 2025-MH, Commercial Mortgage Pass-Through Certificates, Series 2025-MH. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE This securitization is collateralized by a first-lien mortgage on the borrowers' fee simple and/or leasehold interests and the operating lessees' leasehold interests, as appliable, in a portfolio of 23 select-service and extended-stay hotels located across 13 states. Together, they offer a total of 3,028 guestrooms. Moody's analysis is based on the quality of the collateral, the amount of subordination supporting each rated class, among other structural characteristics. 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 single loans 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 make 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. Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's first mortgage DSCR is 1.54x, compared to 1.47x in place at Moody's provisional ratings. Moody's first mortgage stressed DSCR at a 9.25% constant is 1.09x. The loan's first mortgage balance of $440,000,000 represents a Moody's LTV ratio of 108.8%. Moody's LTV ratio is based on Moody's value. Moody's did not adjust Moody's value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 2.00. Notable strengths of the transaction include its strong portfolio diversity, asset quality, capital investment, competitive position, multiple-property pooling, brand affiliation, and experienced sponsorship. Notable concerns of the transaction include asset class volatility, mezzanine financing, weak release provisions, floating-rate and interest-only loan profile, and credit negative legal 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. LENDINGCLUB 2025-P3: 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-P3 (LENDR 2025-P3). Entity/Debt Rating ----------- ------ LENDR 2025-P3 Class A LT AAAsf New Rating Class B LT AAsf New Rating Class C LT Asf New Rating Class D LT BBBsf New Rating Class E LT BBsf New Rating Class F LT Bsf New Rating KEY RATING DRIVERS Solid Receivable Quality: The LENDR 2025-P3 pool comprises entirely prime loans assigned the lowest internal risk grades: P1 (75.02%) and P2 (24.98%). P1 represents the highest credit quality/lowest risk, followed by P2. The LENDR 2025-P3 pool has a weighted average (WA) FICO score of 735; 12.36% 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 18.99%. The WA interest rate of the pool is 10.74%, and the pool has a WA remaining term of 51.05 months with close to negligible 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-P3 is 9.23%. 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 42.01%, 29.64%, 17.89%, 9.51%, 5.27% and 1.03% 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 Rating Sensitivity to Increased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase 10%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BBB-sf'/'CCCsf'/'CCCsf' Base case defaults increase 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'/'NRsf' Base case defaults increase 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'/'NRsf' Rating Sensitivity to 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%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'B-sf'/'B-sf' Base case recoveries decrease 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'B-sf'/'Bsf' Rating sensitivities to 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'/'BB+sf'/'BBsf'/'CCCsf' Base case defaults increase 25%/base case recoveries decrease 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/'NRsf' Base case defaults increase 50%/base case recoveries decrease 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating Sensitivity to 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. MERCHANTS FLEET 2025-1: DBRS Gives (P)BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by Merchants Fleet Funding LLC, Series 2025-1: -- $409,200,00 Class A Notes at (P) AAA (sf) -- $19,720,000 Class B Notes at (P) AA (sf) -- $28,950,000 Class C Notes at (P) A (high) (sf) -- $26,330,000 Class D Notes at (P) BBB (sf) -- $15,800,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Notes are based on Morningstar DBRS' review of the following considerations: -- The transaction's capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement levels that are sufficient to support Morningstar DBRS stressed loss assumptions under various scenarios. -- The yield supplement account, which is established to supplement the yield from any lease that does not meet a minimum yield requirement. -- The transaction's ability to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. The credit ratings address the payment of timely interest on a monthly basis and principal by the Legal Final Maturity. -- Merchants Fleet Funding LLC's (Merchants) capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS' view of Merchants as an acceptable originator and servicer of fleet leases. -- The high-credit-quality obligors given the collateral's strong historical performance. -- The leased vehicles being essential-use vehicles for customers; therefore, such leases are likely to be affirmed by an obligor in a bankruptcy proceeding. -- The fact that the leases are hell-or-high water and triple net with no set-off language. The lessee is responsible for paying all taxes, title, and registration charges. -- The transaction assumptions, which 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. Notes: All figures are in U.S. dollars unless otherwise noted. METRONET INFRASTRUCTURE 2025-4: Fitch to Rate Class C Debt 'BB-sf' ------------------------------------------------------------------ Fitch Ratings expects to rate Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-4 as follows: - $538,400,000 Series 2025-4, Class A-2, 'A-sf'; Outlook Stable; - $134,600,000 Series 2025-4, Class B 'BBBsf'; Outlook Stable; - $77,000,000 Series 2025-4, Class C 'BB-sf'; Outlook Stable. Additionally, Fitch Ratings expects to rate the previously issued 2025-1 B Series and C Series and 2025-2 B Series and C Series as follows: - $271,000,000 Series 2025-2 Class B 'BBBsf'; Outlook Stable; - $154,800,000 Series 2025-2 Class C 'BB-sf'; Outlook Stable; - $180,100,000 Series 2025-1 Class B 'BBBsf'; Outlook Stable; - $102,900,000 Series 2025-1 Class C 'BB-sf'; Outlook Stable. Fitch had previously rated the Series 2025-1 Class A-2 notes, Series 2025-2 Class A-2 notes, and Series 2025-3 Class A-1 notes, and maintains the ratings on these notes. Entity/Debt Rating ----------- ------ Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-4 A-2 LT A-(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-1 B 59170JAS7 LT BBB(EXP)sf Expected Rating C 59170JAT5 LT BB-(EXP)sf Expected Rating Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-2 Class B 59170JAZ1 LT BBB(EXP)sf Expected Rating Class C 59170JBB3 LT BB-(EXP)sf Expected Rating Transaction Summary The transaction is a securitization of 100% fiber infrastructure operated by Metronet under a wholesale framework and the associated issuance of $750 million of notes. These notes will represent the fourth issuance under the master trust established with base indenture executed in July 2025. Under this base indenture, the 2025-1 issuance refinanced the existing securitized debt, the 2025-2 issuance refinanced a portion of Metronet's warehouse facility, and the 2025-3 issuance established a variable funding note (VFN). The subject transaction refinances additional assets from the warehouse, and upon closing, the assets in the master trust will represent 58% of Metronet's total passes. As with the other notes issued under the 2025 Base Indenture, the transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity of the asset entities, the wholesale and related agreements with T-Mobile (discussed later), and a shared infrastructure service agreement for common assets. The wholesale fiber network is owned and operated by Metronet, which was acquired in 2025 by a joint venture owned by T-Mobile (BBB+/Stable) and KKR. T-Mobile invested $4.6 billion for a 50% equity stake in the JV. Through the acquisition, T-Mobile acquired 713,000 residential fiber customers from Metronet. Immediately following the acquisition, Metronet entered into a wholesale agreement with T-Mobile covering most of the securitized assets in which T-Mobile acts as the named internet provider (under the T-Fiber brand) and provides internet and phone services to retail customers via the network. Under the terms of this contract, T-Mobile will pay Metronet a portion of the rate paid by the underlying customer base, subject to fixed minimum levels for defined time periods. T-Mobile will serve as the sole retail fiber provider on the network, subject to performance thresholds. The Metronet sales and marketing and customer care teams were re-badged and became employees of T-Mobile, which will provide these services under the terms of the wholesale agreement. The wholesale agreement has an initial term of 15 years with one 15-year renewal option at Metronet's sole discretion, followed by three automatic five-year renewal options subject to T-Mobile's termination rights (180-day notice period). The assets contributed to the Series 2025-4 issuance are in line with the quality and composition of the assets that are in the master trust. Contributed assets will be in existing states and are seasoned with average operating history in the markets of 4.8 years. Weighted average penetration rate will remain unchanged at around 38%. The revenue mix will remain largely unchanged, with residential revenue comprising over two-thirds of total revenue. The contributed assets add an incremental 31% gross revenue to the master trust. With respect to seniority, if there is no event of default, the Class A-1 notes will receive accrued interest prior to the Class A-2 notes. However, in the event of default, the Class A-1 and Class A-2 notes enjoy the same priority as each other with respect to distribution of collateral proceeds. Otherwise, seniority follows alphanumerical designation. Fitch's analysis and rating recommendations are based on an analysis of cash flows and debt encompassing all of the assets that will be in the master trust and related cash flows, debt, and repayment, giving effect to priority of payments and transaction structure. Consequently, the recommendation for the Series 2025-4 Class B and Class C notes is also applicable to Fitch's recommendation on the Series 2025-1 and Series 2025-2 Class B and Class C notes. In September 2025, the issuer established a $400 million variable funding note (VFN or A-1 note). Ninety million dollars is currently outstanding under the VFN, although it will be paid down to $0 at closing of the Series 2025-4 issuance. Any borrowings under the VFN are subject to several draw conditions, and no borrowings are permitted after the ARD. The draw conditions include a maximum 7.00x pro forma Class A Leverage Ratio based on the Annualized Run Rate Revenue ("ARRR") and outstanding senior debt after giving effect to the additional borrowings under the VFN. Class A Leverage Ratio at close is around7.0x and Senior DSCR is approximately 1.98x. Draws are also conditioned upon the pro forma Senior DSCR being greater than or equal to 1.85x. The Senior DSCR formula is also based on ARRR and its calculation will not give credit to any revenue source other than broadband exceeding 15%. Any borrowings under the VFN are also subject to there being no event of default, default, manager termination event, amortization period, cash trap condition or cash-sweep condition. Fitch assessed the VFN with the Series 2025-3 issuance. Given the recency of this issuance and the continued relevance of the analysis related to the VFN structure and impact on the other notes in the master trust, Fitch will not be performing additional analysis or sensitivities in its evaluation of the Series 2025-4 issuance. The notes feature a liquidity reserve sized to six months of interest and other fees and direct costs. Triggers are the same as those of the other series of notes, which Fitch evaluated in the Series 2025-1, Series 2025-2 and Series 2025-3 transactions. Fitch's ratings address the likelihood of timely payment of monthly interest and ultimate payment of principal by the legal final maturity of the notes. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic networks, rather than an assessment of the corporate default risk of Metronet or its beneficial owners. As a condition precedent to the subject issuance, Fitch is issuing a Rating Agency Confirmation Letter, which will state that the subject issuance would not result in a downgrade, qualification or withdrawal of the current credit ratings of the previously issued notes relating to Series 2025-1, Series 2025-2, and Series 2025-3 issuances. KEY RATING DRIVERS Fitch Net Cash Flow and Leverage Multiples: Fitch Net Cash Flow (FNCF) in its central scenario is $280.5 million, representing an approximately 16.2% haircut compared to the issuer's modeled cash flow of $334.7 million. The debt multiples at close, applying FNCF are as follows: 8.35x for the Class A notes (versus 7.00x on issuer net cash flow); 10.44x for the Class B notes (versus 8.75x on issuer net cash flow), and 11.63x on the Class C notes (versus 9.75x on issuer net cash flow.) FNCF in the Series 2025-3 issuances represented an approximately 21% haircut compared to the issuer's modeled net cash flow. In its evaluation of the current transaction, Fitch reviewed updated historical financial data, re-assessed the wholesale framework and associated economics as well as haircuts to revenue. While Fitch's revised assessment resulted in a slight increase in total expenses as a percentage of gross revenue, the overall reduction in haircut was driven by a lower haircut applied to residential broadband revenue based on Fitch's view that the wholesale agreement and partnership with T-Mobile results in a more durable revenue stream than under a retail operating model. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale and diversity of the underlying customer base, strong branding support and reputation of T-Mobile, strong market position and penetration, capability and track record of the operator, increased durability of cash flow as a result of the MFA, and the strength of the transaction structure. In the repayment analysis, the Class A notes are paid in full prior to year 15; the Class B notes are not paid in full by year 15, but the combined outstanding principal balance of Class B and Class C at year 15 is 15% of the balance of all of the notes in the master trust at inception. Fitch considered some of the risk related to non-renewal or termination of the MFA to be mitigated if the notes paid in full prior to this 15-year period, or if there is substantial paydown of principal by this time. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of data through fiber optic cables — will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. T-Mobile Sensitivity: Fitch's assessment of MPL reflects the transaction's exposure to durable cash flows derived from the T-Mobile wholesale agreement. The ratings issued by Fitch, along with the potential for the Class A notes to attain credit ratings above T-Mobile's Long-Term IDR of 'BBB+', is based on a thorough analysis of the underlying collateral network and the transaction's capability to perform independently of the agreement. In addition, the evaluation considers the sufficiency of transaction triggers to mitigate a potential decline in T-Mobile's creditworthiness. In its analysis following T-Mobile's downgrade below investment grade, Fitch conducted stress scenarios to evaluate the adequacy of the 75% cash sweep trigger and to assess the timeliness of Class A-2 deleveraging to a 6.0x debt-to-issuer SNCF leverage ratio and the likelihood of ultimate repayment of the note following the transaction's anticipated repayment date (ARD). Fitch assumed the cash sweep trigger occurs as of the closing date and stressed closing date revenue by 0%, 15% and 20%. The results of these scenarios are as follows: - No Revenue Stress: Class A-2 leverage ratio equals 6.0x in 1.8 years and is repaid in full in 11.0 years following the transaction closing date; Class B and Class C is repaid in full in 12.1 years and 13.5 years respectively. - 15% Revenue Stress: Class A-2 leverage ratio equals 6.0x in 4.8 years and is repaid in full in 11.5 years following the transaction closing date; Class B and Class C is repaid in full in 13.6 years and 15.3 years respectively. - 20% Revenue Stress: Class A-2 leverage ratio does not deleverage to 6.0x by the ARD period and class balance is repaid in full in 13.3 years following the transaction closing date; Class B and Class C is repaid in full in 14.7 years and 16.7 years respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. For the Series 2025-3 issuance, Fitch performed interest rate sensitivities associated with the VFN, which modeled higher SOFR rates. Two such sensitivities were performed for the two scenarios presented above regarding the low and high revenue growth cases. Neither sensitivity resulted in a material deterioration in repayment analysis that would constitute a downgrade. Fitch's base-case NCF was 16.2% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'BBB+sf'; Class B from BBBsf to BBsf; Class C from BB-sf to B+sf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A from 'A-sf' to 'Asf'; Class B from BBBsf to BBB+sf; Class C from BB-sf to BB+sf. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. MF1 2021-FL7: DBRS Hikes Class H Notes Rating to Bsf ---------------------------------------------------- DBRS, Inc. upgraded its credit ratings on six classes of notes issued by MF1 2021-FL7, Ltd. as follows: -- Class B Notes to AA (sf) from AA (low) (sf) -- Class C Notes to A (high) (sf) from A (low) (sf) -- Class D Notes to BBB (high) (sf) from BBB (sf) -- Class E Notes to BBB (sf) from BBB (low) (sf) -- Class G Notes to BB (sf) from BB (low) (sf) -- Class H Notes to B (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class F Notes at BB (high) (sf) Morningstar DBRS changed the trends on the Class B, Class C, and Class D Notes to Positive from Stable. The trends on all remaining classes 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 41.3% since closing, with a 20.6% collateral reduction realized since February 2025. Additionally, the transaction benefits from the loan collateral being secured by multifamily properties (33 loans, representing 93.0% of the current trust balance), which have historically proven better able to retain property value and cash flow compared with other property types. While individual borrowers have had mixed success in implementing the respective business plans to increase property cash flows and asset values, the transaction continues to benefit from significant credit support to the investment-grade-rated bonds, as the non-investment-grade-rated bonds, the Class F, Class G, and Class H Notes, have a cumulative balance of $165.9 million, and the unrated first loss piece also has a balance of $171.6 million. These factors supported the credit rating confirmations for the remainder of the capital stack, as well as the trend changes to Positive from Stable for the Class B, Class C, and Class D Notes. 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 49 floating-rate mortgages secured by 67 transitional multifamily properties and six senior housing properties totaling $1.9 billion (70.6% of the fully funded balance), excluding $159.5 million of remaining future funding commitments and $626.4 million of pari passu debt. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction was structured with a reinvestment period that expired with the September 2023 payment date. As of the November 2025 remittance, the pool comprised 34 loans secured by 63 properties with a cumulative trust balance of $1.3 billion. Of the original 24 loans, 16 loans, representing 78.7% of the current trust balance, remain in the pool. Since the previous Morningstar DBRS credit rating action in May 2025, 13 loans with a former cumulative trust balance of $463.2 million have been repaid in full. Leverage across the pool increased as of the November 2025 reporting when compared with issuance metrics, as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 73.1%, with a current WA stabilized LTV of 65.9%. In comparison, these figures were 70.6% and 65.4%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or earlier and may not fully reflect the effects of increased interest rates and/or widening capitalization rates (cap rates) in the current environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 18 loans, representing 69.1% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the issuance appraisals. The 400 Winchester at Vinings Apartment Homes (Prospectus ID# 25; 2.2% of the current trust balance) represents the transaction's only specially serviced loan. The loan is secured by a 168-unit, garden-style multifamily property in Vinings, Georgia, located about 12 miles northwest of downtown Atlanta. The loan transferred to special servicing in July 2025 for maturity default. According to the Q3 2025 collateral manager update, the property was 81.0% occupied with an average in-place rent of $1,487 per unit. As of the trailing 12-month period ended June 30, 2025, the property generated net cash flow (NCF) of $1.6 million, equating to a debt service coverage ratio (DSCR) of 0.89 times (x) and debt yield of 5.4%. While rental rates remain in line with issuance projections, the collateral manager noted that the property has experienced increased tenant delinquencies in recent months and that they are working to evict the nonpaying tenants. According to the collateral manager update, the borrower and lender are negotiating an extension while the borrower markets the property for sale. The property was appraised for $34.3 million at closing. In its current analysis, Morningstar DBRS applied increased As-Is and As-Stabilized LTV adjustments as well as an increased probability of default penalty to the loan to reflect the increased credit risk. The resulting loan expected loss (EL) was higher than the EL for the pool. There are 25 loans on the servicer's watchlist, representing 87.7% of the current trust balance. The loans have primarily been flagged for below-breakeven DSCRs and upcoming loan maturity. The largest loan on the servicer's watchlist, Riverpoint (Prospectus ID#1; 17.3% of the current trust balance), is secured by a Class A, 480-unit, high-rise apartment property in Washington, D.C. According to the Q3 2025 collateral manager update, as of September 2025, the residential component was 88.3% occupied with an average in-place rental rate of $2,484 per unit. While occupancy was up from the March 2024 occupancy rate of 81.3%, rents have steadily decreased from $2,508 per unit as of March 2024 and $2,841 per unit since issuance. As of the trailing 12-month period ended March 31, 2025, the property generated NCF of $7.1 million, equating to a DSCR of 0.70x and debt yield of 3.0%. The collateral manager attributes the decrease in rental rates to new supply concerns as the property competes with a new development directly across from it. The competitor property, The Stacks, began the initial lease-up phase in June 2025 and totals 1,100 multifamily units along with ground-level retail and coworking spaces. To combat the new supply concerns, the borrower is offering concessions of three months of free rent on select units. In its current analysis, Morningstar DBRS applied increased As-Is and As-Stabilized LTV adjustments as well as an increased probability of default penalty to the loan to reflect the increased credit risk. The resulting loan EL was higher than the EL for the pool. Through September 2025, the lender had advanced cumulative loan future funding of $135.6 million to 26 outstanding individual borrowers. The largest advance, $8.9 million, was made to the borrower of the Redfield Ridge loan (Prospectus ID# 38; 1.7% of the current trust balance), which is secured by a 300-unit, garden-style multifamily property in Reno, Nevada. The borrower used advanced funds to fund its planned capital expenditures including unit renovations, amenity upgrades, and addressing deferred maintenance items. As of September 2025, the borrower had completed 48.9% of the unit renovations with renovated units achieving a monthly rental premium of $625 per unit over rents at closing. The loan matures in May 2026 but can extend for an additional 12 months through May 2027. An additional $47.9 million of loan future funding allocated to 19 of the outstanding individual borrowers remains available. The largest portion of available funding ($5.7 million) is allocated to the borrower of The Dorsey loan (Prospectus ID# 66; 2.3% of the current trust balance), which is secured by a Class A, 2022-vintage multifamily property in Miami. The collateral also includes 73,000 square feet (sf) of office space, 36,000 sf of ground-floor retail space, and a 476-space parking garage. Loan future funding is available to finance commercial leasing costs and operating shortfalls. According to the Q3 2025 collateral manager update, the multifamily component of the property was 94.4% occupied with an average rental rate of $3,172 per unit. The office component was 100.0% occupied by two tenants, and the retail component was 55.0% leased, highlighted by a 12,000-sf lease to a furniture retailer. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2025-NQM5: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to MFA 2025-NQM5 Trust. Entity/Debt Rating ----------- ------ MFA 2025-NQM5 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 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 The notes are supported by 821 nonprime loans with a total balance of around $445.8 million as of the cutoff date. Loans in the pool were originated by multiple originators and are currently serviced by Planet Home Lending, LLC and Citadel Servicing Corporation (Citadel). All Citadel loans are subserviced by ServiceMac, LLC. MFA 2025-NQM5 has a weighted average (WA) Fitch FICO of 742 and a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 69.0%. The pool consists of 53.5% of loans where the borrower maintains a primary residence, while 46.5% constitute a second home or investor property. Of the pool, 84.2% were underwritten to less than full documentation. Within this, 40.2% were underwritten to a 12- or 24-month bank statement program, 30.9% used debt service coverage ratio (DSCR) or DSCR no-ratio product, 15.8% were underwritten to a full documentation program, and 13.2% were underwritten to other products. Of the pool, 55.3% are nonqualified mortgages (non-QM, or NQM). Distributions of principal and interest (P&I) and loss allocations are based on a modified-sequential payment structure with limited advancing. 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. MFA 2025-NQM5 has a final probability of default (PD) of 41.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.2%. The expected loss in the 'AAAsf' rating stress is 16.6%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2025-NQM5 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior notes (A-1A, A-1B, A-1F, A-2, and A-3 classes) 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, first to A-1 notes, and then sequentially, to A-2 and A-3 notes until they are reduced to zero. 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 (see Highlights and Cash Flow Analysis sections for more details). The CE for all ratings was sufficient for the given rating levels. 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 all loans in the transaction. Fitch applies a 5bps 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 as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects MFA 2025-NQM5 to be fully de-linked and to serve as 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 MFA 2025-NQM5. As such, 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's sensitivity analysis provides three levels of rating sensitivities to demonstrate how the ratings would react to steeper MVDs than those assumed at issuance. The various rating sensitivities include defined stresses and defined sensitivities. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction is exposed or are considered during the surveillance process. Furthermore, the sensitivity analyses are calculated based on pool-level WA attributes and may differ from a loan-level re-analysis of the pool at the additional stress levels. The defined stresses show the impact of three defined stress assumptions where the SHP level is 10, 20 and 30 percentage points lower than that derived at transaction issuance. These assumptions result in higher sLTVs and steeper sMVDs, the most significant drivers of PD and loss severity in Fitch's loss model. 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'. 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 Clayton, Consolidated Analytics, Opus, Evolve, Maxwell, Clarifii, Selene, Infinity, AMC, Inglet Blair. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. 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. MILOS CLO: Moody's Affirms Ba3 Rating on $22.5MM Cl. E-R Notes -------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Milos CLO, Ltd.: US$27.5M Class C-R Deferrable Mezzanine Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 11, 2024 Upgraded to Aa1 (sf) US$30M Class D-R Deferrable Mezzanine Secured Floating Rate Notes, Upgraded to Aa3 (sf); previously on Oct 11, 2024 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$325M (Current outstanding amount US$12,904,741) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 21, 2020 Assigned Aaa (sf) US$55M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 9, 2023 Upgraded to Aaa (sf) US$22.5M Class E-R Deferrable Junior Secured Floating Rate Notes, Affirmed Ba3 (sf); previously on Feb 21, 2020 Assigned Ba3 (sf) Milos CLO, Ltd., originally issued in September 2017 and refinanced in February 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Invesco RR Fund L.P. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since November 2024. The affirmations of the ratings on the Class A-R, B-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD154.1 million (47.4%) in the last 12 months and USD312.1 million (96.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class A/B, Class C and Class D OC ratios are reported at 231.9%, 165.1% and 125.6% compared to November 2024[2] levels of 146.2%, 130.1% and 116.1%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published 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: USD160,156,863 Defaulted Securities: USD280,760 Diversity Score: 43 Weighted Average Rating Factor (WARF): 3178 Weighted Average Life (WAL): 2.94 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.03% Weighted Average Recovery Rate (WARR): 47.31% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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. 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. MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-RR, A-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. At the same time, S&P withdrew its ratings on the previous class X, A-1R, A-2R, B-R, C-R, D-R, and E-R debt following payment in full on the Dec. 4, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-RR, A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR debt was issued at a lower weighted average cost of debt than the previous debt. -- The previous class D debt was replaced by two new classes of debt, D-1RR and D-2RR, which are sequential in payment. -- The reinvestment period was extended to Oct. 15, 2030. -- The non-call period was extended to Oct. 15, 2027. -- The legal final maturity dates for the replacement debt and the subordinated debt were extended to March 15, 2038. -- No additional assets were purchased on the Dec. 4, 2025, refinancing date, and the target initial par amount was reduced to $399.10 million. There was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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." 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-1RR (deferrable), $19.950 million: BBB (sf) Class D-2RR (deferrable), $7.980 million: BBB- (sf) Class E-RR (deferrable), $10.975 million: BB- (sf) Ratings Withdrawn Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Class X to NR from 'AAA (sf)' Class A-1R to NR from 'AAA (sf)' Class A-2R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Subordinated notes, $27.500 million: NR NR--Not rated. MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs ------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2011-C3 issued by MSC 2011-C3 Mortgage Trust as follows: -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class X-B at B (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect minimal changes to Morningstar DBRS' outlook for the four remaining loans in the pool. The primary credit ratings driver is the recoverability expectation for the largest loan, Westfield Belden Village (Prospectus ID#2, 93.0% of the pool). The loan is secured by a portion of a Canton, Ohio, regional mall, which was re-appraised in 2021 at a value of $81.6 million, representing a 48.7% decline from the appraised value at issuance of $159.0 million. Morningstar DBRS considered a stressed value of $55.4 million, based on a stressed capitalization rate of 16.0% and the YE2024 net cash flow reported by the servicer. While property performance has remained stable since the 2021 appraisal, Morningstar DBRS notes the property's location within a secondary market would likely negatively impact investor demand should the sponsor elect to divest the property as part of the exit strategy for the 2026 extended maturity date, supporting the stressed value analysis. The $55.4 million value suggests a loss of just more than $31.0 million could be incurred in a liquidation scenario; however, that figure would be contained to the unrated class H certificate, which totaled $42.1 million as of the November 2025 remittance. These factors supported the credit rating confirmations with this review. Westfield Belden Village (now known as Belden Village Mall) is anchored by a collateral Macy's (31.3% of the collateral net rentable area (NRA) and a noncollateral Dillard's. In 2013, Unibail-Rodamco-Westfield sold the property and six other malls to Starwood Capital Group (Starwood). Starwood defaulted on company debt in 2020 and ultimately, Pacific Retail Capital Partners took over the subject and others included in the sale. The loan was added to the servicer's watchlist in November 2025 because of Macy's lease expiration in February 2026 and is currently in a cash sweep, with approximately $491,000 trapped as of November 2025 remittance. However, according to the March 2025 rent roll, which showed an occupancy rate of 95.6%, Macy's has extended its lease to February 2035. The rent roll shows tenants representing 15.3% of NRA are scheduled to roll throughout 2026. According to the financials for the trailing six months ended June 30, 2025, property operations yielded a debt service coverage ratio (DSCR) of 1.39 times (x), a slight increase from the YE2023 DSCR of 1.37x. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2025-NQM7: Fitch Rates Class B2 Notes 'B-(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2025-NQM7 (NRMLT 2025-NQM7). Entity/Debt Rating ----------- ------ NRMLT 2025-NQM7 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust 2025-NQM7 Mortgage Trust (NRMLT 2025-NQM7) as indicated above. The transaction is expected to close on Dec. 18, 2025. The notes are supported by 915 nonprime loans that were primarily originated by NewRez LLC and Champions Funding, LLC, with a total balance of approximately $493.71 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-NQM7 has a final probability of default (PD) of 37.5% 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 16.2%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2025-NQM7 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out 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-1 classes, Class A-2, and Class A-3 certificates until they are reduced to zero. The Class A-1 classes will receive principal payments among themselves either pro-rata or sequentially depending on which combination of Class A-1 classes is outstanding. 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 the 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-NQM76 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: 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-NQM76 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. NORTHWOODS CAPITAL XVIII: Moody's Cuts Rating on Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes of Northwoods Capital XVIII, Limited: US$48.5M Class B-R Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Nov 22, 2021 Assigned Aa1 (sf) US$20M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Nov 22, 2021 Assigned A1 (sf) US$26M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Sep 24, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$292.5M (Current outstanding balance US$197,784,861) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 22, 2021 Assigned Aaa (sf) US$27M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa2 (sf); previously on Nov 22, 2021 Assigned Baa2 (sf) Northwoods Capital XVIII, Limited, originally issued in May 2019 and later refinanced in November 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Angelo, Gordon & Co., L.P.. The transaction's reinvestment period ended in May 2024. RATINGS RATIONALE The upgrades on the ratings on the Class B-R and C-R notes are primarily a result of the deleveraging of the Class A-R senior notes following amortisation of the underlying portfolio since the payment date in November 2024. The Class A-R notes have paid down by approximately USD83.3 million (28.5% of notional amount) in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class A/B, Class C and Class D OC ratios are reported at 133.83%, 124.56% and, 113.91% compared to December 2024[2] levels of 128.99%, 121.61% and, 112.89%, respectively. Moody's notes that the November 2025 principal payments are not reflected in the reported OC ratios. The downgrades to the ratings on the Class E notes is due to the deterioration of the key credit metrics of the underlying pool since the payment date in November 2024. As a result of defaults and credit risks sales, the Class E OC level has continued to deteriorate over the last twelve months, reported at 105.24% in November 2025 compared to 105.60% in December 2024. In addition, the weighted average spread (WAS) of the portfolio has further declined to 3.13% from 3.47% over the same period. The affirmations on the ratings on the Class A-R and D-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published 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: USD337.1m Defaulted Securities: USD3.1m Diversity Score: 57 Weighted Average Rating Factor (WARF): 2736 Weighted Average Life (WAL): 3.43 years Weighted Average Spread (WAS): 3.07% Weighted Average Recovery Rate (WARR): 46.88% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NYC COMMERCIAL 2025-77C: Fitch Rates Class HRR Certs 'B(EXP)' ------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to NYC Commercial Mortgage Trust 2025-77C, commercial mortgage pass-through certificates, series 2025-77C. - $219,000,000 class A 'AAA(EXP)sf'; Outlook Stable; - $35,600,000 class B 'AA-(EXP)sf'; Outlook Stable; - $27,900,000 class C 'A-(EXP)sf'; Outlook Stable; - $39,400,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $60,300,000 class E 'BB-(EXP)sf'; Outlook Stable; - $22,800,000 class HRR 'B(EXP)sf'; Outlook Stable; a. Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The NYC Commercial Mortgage Trust 2025-77C commercial mortgage pass-through certificates, series 2025-77C (NYC Commercial Mortgage Trust 2025-77C), represent the beneficial interest in a $405 million, five-year, fixed-rate IO commercial mortgage loan. The mortgage loan will be secured by the borrowers' fee simple and leasehold interests in 77 Commercial Street, a 766-unit, newly built, class A high-rise apartment property in Brooklyn, NY with 10,175 sf of ground floor retail space and 283 onsite parking spaces. Loan proceeds, along with $45.0 million of mezzanine debt, will be used to refinance the prior $430.0 million mortgage, pay closing costs of $3.75 million, fund a $1.8 million unfunded obligations reserve (free rent, partial rent credit and outstanding tenant improvement and leasing costs [TI/LC] in connection with the Goddard School lease) and return $16.2 million of cash equity to the sponsor, Clipper Equity LLC and its affiliates. The loan is being co-originated by J.P. Morgan and Citi Real Estate Funding Inc. KeyBank National Association will act as master servicer, with Situs Holdings, LLC as special servicer. Deutsche Bank National Trust will serve as trustee and Computershare Trust Company, National Association will serve as certificate administrator. Pentalpha Surveillance LLC is expected to serve as operating advisor. The certificates are expected to follow a sequential-pay structure. The transaction is scheduled to close on Dec. 23, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings' net cash flow (NCF) for the property is estimated at $28.5 million. This is 7.2% lower than the issuer's underwritten NCF and 13.3% higher than TTM October 2025 NCF. The property began leasing in September 2022, received its final temporary certificate of occupancy (TCO) in May 2023 and reached stabilization in 2024. The property was 93.0% leased as of the Nov. 19, 2025, rent roll. Fitch applied a 7.5% cap rate to derive a Fitch value of $380.9 million for the property. High Fitch Leverage: The $405.0 million trust loan equates to debt of approximately $528,721 per unit, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and debt yield (DY) of 0.83x, 106.3%, and 7.1%, respectively. Strong Property Quality: 77 Commercial Street was constructed and completed in 2023. It comprises the North Tower (40 stories/293 units), the South Tower (30 stories/233 units), the Podium (seven stories/240 units), approximately 40,000 sf of indoor and outdoor amenities, 10,175 sf of commercial space and a 283-space parking garage that is currently leased to a third-party operator, Icon Parking. The property offers a variety of indoor and outdoor amenities, including an indoor swimming pool, a fitness center, a sauna, a tennis court, a half basketball court, a game room, a large rooftop patio with an outdoor kitchen and barbecue area, and a children's playroom. Fitch inspected the property and assigned a property quality grade of 'A-'. Experienced Sponsorship: Clipper Equity, a full-service development firm, specializes in residential condominiums and multifamily rental buildings throughout New York's Brooklyn and Manhattan metro areas. The firm manages an active portfolio of more than 60 properties totaling approximately 3.3 million sf. 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'/'BB-sf'/ 'Bsf'; - 10% NCF Decline: 'AAsf'/ 'BBB+sf'/ 'BBB-sf'/ 'BBsf'/'Bsf'/ 'CCC+sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The 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'/'BB-sf'/ 'Bsf'; - 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 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. OCEAN TRAILS 8: Fitch Assigns 'BB-sf' Rating on Class E-RR2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Ocean Trails CLO 8 reset transaction. Entity/Debt Rating ----------- ------ Ocean Trails CLO 8_ Reset 2025 X LT NRsf New Rating A-1-RR2 LT NRsf New Rating A-2-RR2 LT AAAsf New Rating B-RR2 LT AAsf New Rating C-1-RR2 LT A+sf New Rating C-2-RR2 LT A+sf New Rating D-1-RR2 LT BBB+sf New Rating D-2-RR2 LT BBB-sf New Rating E-RR2 LT BB-sf New Rating F-RR2 LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Ocean Trails CLO 8 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Five Arrows Managers North America LLC. The transaction was originally rated by Fitch and closed in July 2020 and was reset in July 2021 and August 2024, which Fitch did not rate. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $370 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.04% first-lien senior secured loans and has a weighted average recovery assumption of 72.3%. 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 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 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-RR2, between 'BB+sf' and 'A+sf' for class B-RR2, between 'Bsf' and 'BBB+sf' for class C-RR2, between less than 'B-sf' and 'BBB-sf' for class D-1-RR2, and between less than 'B-sf' and 'BB+sf' for class D-2-RR2 and between less than 'B-sf' and 'B+sf' for class E-RR2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR2 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-RR2, 'AA+sf' for class C-RR2, 'A+sf' for class D-1-RR2, and 'A-sf' for class D-2-RR2 and 'BBB+sf' for class E-RR2. 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 Ocean Trails CLO 8. 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. OCEAN TRAILS 8: Moody's Assigns B3 Rating to $1.5MM F-RR2 Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of refinancing notes (the Refinancing Notes) issued by Ocean Trails CLO 8 (the Issuer): US$5,300,000 Class X-RR2 Floating Rate Notes due 2038, Assigned Aaa (sf) US$222,000,000 Class A-1-RR2 Floating Rate Notes due 2038, Assigned Aaa (sf) US$1,500,000 Class F-RR2 Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Five Arrows Managers North America LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $370,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2794 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 45.0% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. OCP CLO 2025-48: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to OCP CLO 2025-48 Ltd./OCP CLO 2025-48 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC, a subsidiary of Onex Corp. The preliminary ratings are based on information as of Dec. 8, 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 OCP CLO 2025-48 Ltd./OCP CLO 2025-48 LLC Class A, $287.5 million: AAA (sf) Class A-L, $32.5 million: AAA (sf) Class B-1, $50.0 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $30.0 million: BBB- (sf) Class D-2 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $48.0 million: NR NR--Not rated. OCTAGON 66: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 66, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Octagon 66, Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R 67577WAQ4 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-R 67577WAR2 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-1-R 67577WAS0 LT PIFsf Paid In Full A+sf C-2-R 67577WAT8 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 67577WAU5 LT PIFsf Paid In Full BBB-sf E-R 67577XAG4 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating Transaction Summary Octagon 66, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Credit Investors, LLC, that originally closed on July 2022 and first refinanced in November 2023. This is the second refinancing which will refinance the existing secured notes in whole on December 9th, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leverage 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 23.84, 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 95.77% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.43% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.2-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 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 notes, between 'A-sf' and 'AA+sf' for class A-1-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-2-R2 notes, between 'BB+sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'BBB+sf' for class C-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-1- R2 notes, between less than 'B-sf' and 'BB+sf' for class D-2-R2 notes and between less than 'B-sf' and 'B+sf' for class E-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 notes, class A-1-R2 notes and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, 'AAsf' for class C-R2 notes, 'A+sf' for class D-1-R2 notes, 'Asf' for class D-2-R2 notes and 'BBB+sf' for class E-R2 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 Octagon 66, 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. OCTAGON INVESTMENT 36: Moody's Cuts Rating on $10MM F Notes to Caa3 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Octagon Investment Partners 36, Ltd.: US$43.75M Class C Secured Deferrable Mezzanine Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 18, 2025 Upgraded to Aa1 (sf) US$30M Class D Secured Deferrable Mezzanine Floating Rate Notes, Upgraded to Baa2 (sf); previously on Aug 3, 2020 Confirmed at Baa3 (sf) Moody's has downgraded the rating on the following notes issued by Octagon Investment Partners 36, Ltd.: US$10M Class F Secured Deferrable Junior Floating Rate Notes, Downgraded to Caa3 (sf); previously on Feb 9, 2024 Downgraded to Caa1 (sf) Moody's have also affirmed the ratings on the following notes: US$297.5M (Current outstanding balance US$50,259,312) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 5, 2018 Assigned Aaa (sf) US$37.5M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 5, 2018 Assigned Aaa (sf) US$31.25M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 22, 2023 Upgraded to Aaa (sf) US$20M Class E Secured Deferrable Junior Floating Rate Notes, Affirmed B1 (sf); previously on Apr 18, 2025 Downgraded to B1 (sf) Octagon Investment Partners 36, Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Octagon Credit Investors, LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C and D notes are primarily a result of the deleveraging of the Class A-1 notes following amortisation of the underlying portfolio since the last rating action in April 2025. The downgrade to the rating on the Class F notes is due to the deterioration in the credit quality of the underlying collateral pool since the last rating action in April 2025. The affirmations on the ratings on the Class A-1, A-2, B and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have paid down by approximately USD57.2 million (19.2%) since the last rating action in April 2025 and USD247.2 million (83.1%) since closing. As a result of the deleveraging, over-collateralisation (OC) for the senior notes has increased. According to the trustee report dated November 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 187.92%, 137.41%, 116.02% and 105.12% compared to April 2025[2] levels of 151.94%, 125.92%, 112.69% and 105.32% respectively. Whilst the transaction does not have a Class F OC test, Moody's indicative calculations show that the overcollateralisation (ignoring haircuts) for the Class F deteriorated to 102.80% in November 2025 from 103.01% in April 2025. Meanwhile the credit quality of the portfolio has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated November 2025[1], the Trustee-calculated WARF was 3114 compared with 3033 as of April 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 14% of the underlying portfolio, versus 9.33% in April 2025. 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: USD228.96 million Defaulted Securities: USD0.44 million Diversity Score: 59 Weighted Average Rating Factor (WARF): 3135 Weighted Average Life (WAL): 3.2 years Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 46.42% Par haircut in OC tests and interest diversion test: 2.49% 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. -- 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. OFSI BSL XI: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the new class X-RR and replacement class A-1-RR, A-J-RR, B-RR, C-1-RR, C-2-RR, D-1-RR, D-2-RR, and E-RR debt from OFSI BSL CLO XI LTD./OFSI BSL CLO XI LLC, a CLO managed by OFS CLO Management LLC that was originally issued in June 2022 and underwent a partial refinancing in September 2023. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-J-R, B-R, C-R, D-R, and E-R debt following payment in full on the Dec. 5, 2025, refinancing date. The replacement and proposed new debt was issued supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-RR, A-J-RR, B-RR, and E-RR debt was issued at a lower spread over three-month SOFR than the existing debt. -- The class C-R debt was split into the class C-1-RR and C-2-RR debt; the class D-R debt was split into the class D-1-RR and D-2-RR debt. -- The stated maturity was extended by 2.5 years, and the reinvestment and non-call periods were extended by three years and two years, respectively. -- New class X debt was issued on the refinancing date, and it is expected to be paid down using interest proceeds during the payment dates, starting from the second payment date, in equal installments of $350,000. 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." Ratings Assigned OFSI BSL CLO XI LTD./OFSI BSL CLO XI LLC Class X-RR, $3.50 million: AAA (sf) Class A-1-RR, $180.00 million: AAA (sf) Class A-J-RR, $6.00 million: AAA (sf) Class B-RR, $42.00 million: AA (sf) Class C-1-RR (deferrable), $12.00 million: A (sf) Class C-2-RR (deferrable), $6.00 million: A (sf) Class D-1-RR (deferrable), $15.00 million: BBB (sf) Class D-2-RR (deferrable), $5.25 million: BBB- (sf) Class E-RR (deferrable), $8.25: million BB- (sf) Ratings Withdrawn OFSI BSL CLO XI LTD./OFSI BSL CLO XI LLC Class A-1-R to NR from 'AAA (sf)' Class A-J-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt OFSI BSL CLO XI LTD./OFSI BSL CLO XI LLC Subordinated notes, $55.50 million: NR NR--Not rated OFSI BSL XI: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the proposed new class X and replacement A-1-RR, A-J-RR, B-RR, C-1-RR, C-2-RR, D-1-RR, D-2-RR and E-RR debt from OFSI BSL CLO XI Ltd./OFSI BSL CLO XI LLC, a CLO managed by OFS CLO Management LLC that was originally issued in June 2022 and underwent a partial refinancing in September 2023. The preliminary ratings are based on information as of Dec. 2, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 5, 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 A-1-R, A-J-R, B-R, C-R, D-R and E-R debt and assign ratings to the proposed new class X and replacement class A-1-RR, A-J-RR, B-RR, C-1-RR, C-2-RR, D-1-RR, D-2-RR 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 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 class A-1-RR, A-J-RR, B-RR, and E-RR debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The class C-R debt will be split into class C-1-RR and C-2-RR debt, and the class D-R debt will be split into class D-1-RR and D-2-RR debt. -- The stated maturity will be extended by 2.5 years, and the reinvestment and non-call periods will be extended by three and two years, respectively. -- New class X debt will be issued on the refinancing date, and it is expected to be paid down using interest proceeds during the payment dates from starting from second payment date in equal installments of $350,000. 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 OFSI BSL CLO XI Ltd./OFSI BSL CLO XI LLC Class X, $3.50 million: AAA (sf) Class A-1-RR, $180.00 million: AAA (sf) Class A-J-RR, $6.00 million: AAA (sf) Class B-RR, $42.00 million: AA (sf) Class C-1-RR (deferrable), $12.00 million: A (sf) Class C-2-RR (deferrable), $6.00 million: A (sf) Class D-1-RR (deferrable), $15.00 million: BBB (sf) Class D-2-RR (deferrable), $5.25 million: BBB- (sf) Class E-RR (deferrable), $8.25 million: BB- (sf) Other Debt OFSI BSL CLO XI Ltd./OFSI BSL CLO XI LLC Subordinated notes, $55.50 million: NR NR--Not rated. ONITY LOAN 2025-HB2: DBRS Gives (P) B Rating on Class M6 Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes (the Notes), Series 2025-HB2 to be issued by Onity Loan Investment Trust 2025-HB2 as follows: -- $263.4 million Class A at (P) AAA (sf) -- $48.5 million Class M1 at (P) AA (low) (sf) -- $34.5 million Class M2 at (P) A (low) (sf) -- $30.6 million Class M3 at (P) BBB (low) (sf) -- $30.7 million Class M4 at (P) BB (low) (sf) -- $5.6 million Class M5 at (P) B (high) (sf) -- $13.6 million Class M6 at (P) B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The (P) AAA (sf) credit rating reflects 36.3% of credit enhancement (CE). The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 24.5%, 16.2%, 8.8%, 1.4%, 0.0%, and -3.3% of CE, respectively. 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 homeowner's association (HOA) dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't 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 has approximately $413.34 million in unpaid principal balance (UPB) from 1,348 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate owned (REO) assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 2002 and 2021. Of the total assets, 349 have a fixed interest rate (31.95% of the balance), with a 5.28% weighted-average (WA) interest rate. The remaining 999 assets have floating-rate interest (68.05% of the balance) with a 6.73% WA interest rate, bringing the entire collateral pool to a 6.27% interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) 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. Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; therefore, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (November 2028) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the Notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the Notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4, Class M5, and Class M6 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. OWN EQUIPMENT III: DBRS Assigns (P) BB(low) Rating on Class C Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by OWN Equipment Fund III LLC (the Issuer): -- $251,600,000 Class A Notes at (P) A (sf) -- $13,450,000 Class B Notes at (P) BBB (low) (sf) -- $14,790,000 Class C Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The issuance of the Notes represents the fourth asset-backed security (ABS) issuance of equipment managed by EquipmentShare.com Inc (EQS). The credit ratings address the timely payment of interest and the ultimate payment of principal by the Legal Final Maturity Date. -- The transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. (1) The Notes benefit from credit enhancement consisting of overcollateralization, subordination, and a reserve account. A cash reserve account established for the transaction and sized at four months of interest plus fees and expenses is meant to ensure that an appropriate amount of senior expense and interest can be covered during the assumed liquidation period. (2) The transaction also has the benefit of an Expense Account that will be funded at closing with $740,000. The Expense Account will be used to make payments of property taxes and insurance premiums relating to the equipment when due. Amounts periodically deposited into the Expense Account will be revised on a quarterly and annual basis based on estimated property taxes and insurance premium amounts, respectively. Amounts periodically deposited into the Expense Account will be revised (A) quarterly, with respect to property taxes; and (B) annually, with respect to insurance premium amounts, based on changes in estimates. -- The collateral quality and historical value volatility performance. -- Morningstar DBRS conducted an operational risk review of EQS and, as a result, considers the company to be an acceptable Equipment Manager and Servicer, with a backup servicer that is acceptable to Morningstar DBRS. Vervent Inc. will serve as Backup Servicer on the transaction. -- Borrowing base test: The aggregate portfolio value (APV) will be the lower of the equipment's aggregate net orderly liquidation value and its aggregate net book value, calculated on a monthly basis. If the APV is less than the aggregate Note balance divided by 84.00%, then one or more cures would need to be applied to keep the borrowing base in compliance. -- Consideration of increased depreciation rate (versus historical experience) in the transaction that provides for accelerated paydown of Notes in the context of the relationship between decreasing note balances and APV. -- Consideration of the relatively young age of the equipment. Generally, younger equipment would be expected to produce somewhat higher sales proceeds, a credit positive with respect to the subject portfolio. -- Consideration of monthly dynamic adjustment provisions, specifically (1) inclusion of updated disposition expense estimates in monthly appraisals, (2) inclusion of updated expense estimates in calculation of the expense account requirement, and (3) inclusion of updated equipment values vis-à-vis book value. -- 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. -- Specific proceeds haircuts on equipment built by non-investment-grade manufacturers were not applied since (1) the historical data used covered the industry as a whole, and (2) construction equipment brands are fairly well known and values are less driven by credit quality of the manufacturer. Notwithstanding the foregoing, a large proportion of the portfolio was built by investment-grade manufacturers. -- Morningstar DBRS materially deviated from its principal methodology when determining the credit ratings assigned to the Notes by adjusting certain cash flow assumptions to better align them with the rental equipment assets being securitized. These adjustments and the resulting material deviation are warranted given the unique aspects of the transaction, the adequacy and analysis of historical data from reliable sources specific to the industry, similarity of the equipment rental space vis-à-vis the car rental space, and comparable transaction legal structure. -- The legal structure and its consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, a true sale, the nonconsolidation of the special-purpose vehicles with the Co-Sponsor and Equity Sponsor, and that the Issuer has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the Class A Notes, Class B Notes, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are interest on the associated note balance of each of the Class A Notes, Class B Notes, and Class C Notes, and the note balance of the Class A Notes, Class B Notes, and Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. OZLM VIII: Moody's Upgrades Rating on $11.4MM E-RR Notes to B2 -------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by OZLM VIII, LTD.: US$11,400,000 Class E-RR Secured Deferrable Floating Rate Notes due 2029 (the "Class E-RR Notes") (current outstanding balance $208,420.13), Upgraded to B2 (sf); previously on June 9, 2023 Downgraded to Caa2 (sf) OZLM VIII, LTD., originally issued in September 2014, partially refinanced in May 2017, refinanced in November 2018 and partially refinanced in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation. The upgrade action on Class E-RR notes considers all principal payments made to Class E-RR notes since inception. As of latest payment date in October 2025, around 98.2% original principal balance of Class E-RR notes is returned to the noteholders. Moody's expectations of loss-given-default assesses losses experienced by, and expected future losses on the notes, as a percent of the original notes balance. Methodology Used for the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. OZLM XX: Moody's Affirms Ba3 Rating on $20.25MM Class D Notes ------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by OZLM XX, Ltd.: US$31.95M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Mar 21, 2025 Upgraded to A3 (sf) Moody's have also affirmed the ratings on the following notes: US$49.05M (Current outstanding balance US$34,829,173) Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 14, 2024 Upgraded to Aaa (sf) US$24.75M Class B Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 21, 2025 Upgraded to Aaa (sf) US$20.25M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 13, 2020 Confirmed at Ba3 (sf) US$6.98M Class E Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Mar 21, 2025 Downgraded to Caa3 (sf) OZLM XX, Ltd., issued in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in 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, Class B, Class D and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have fully repaid and the Class A-2 notes have been paid down by approximately USD14.2 million (29.0%) since the last rating action in March 2025. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2025[1] the Class D OC ratio is reported at 106.1% compared to March 2025[2] level of 105.4%. 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: USD125.5m Defaulted Securities: USD1.2m Diversity Score: 44 Weighted Average Rating Factor (WARF): 3522 Weighted Average Life (WAL): 2.9 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.09% Weighted Average Recovery Rate (WARR): 45.01% Par haircut in OC tests and interest diversion test: 6.17% 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. PIKES PEAK 20: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 20. Entity/Debt Rating ----------- ------ Pikes Peak CLO 20 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 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 20 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group CLO Advisers LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.67 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.21% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.02% 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 'A-sf' for class C-1, between 'Bsf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 20. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. POST ROAD 2025-1: Fitch Affirms 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has affirmed the Post Road Equipment Finance (PREF) 2024-1, LLC class A2 notes and upgraded the class B, C, D and E notes. Fitch has also assigned a Stable Rating Outlook to class B notes and Positive Outlooks to classes C, D and E. The Outlook for class A2 remains Stable. Fitch has affirmed the PREF 2025-1 class A2 and class E notes and upgraded the class B, C and D notes. Fitch has assigned a Stable Outlook to class B and Positive Outlooks to classes C, D and E. The Outlook for class A2 remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Post Road Equipment Finance 2024-1 A2 737473AB4 LT AAAsf Affirmed AAAsf B 737473AC2 LT AAAsf Upgrade AAsf C 737473AD0 LT AAsf Upgrade Asf D 737473AE8 LT Asf Upgrade BBBsf E 737473AF5 LT BBBsf Upgrade BBsf Post Road Equipment Finance 2025-1 A2 73747LAA6 LT AAAsf Affirmed AAAsf B 73747LAC2 LT AAAsf Upgrade AAsf C 73747LAD0 LT AAsf Upgrade Asf D 73747LAE8 LT Asf Upgrade BBBsf E 73747LAF5 LT BBsf Affirmed BBsf KEY RATING DRIVERS The rating actions and Outlook assignments reflect the strong performance of the underlying loan and lease receivables, as evidenced by minimal delinquencies, minimal losses, and increasing credit enhancement (CE) levels. As anticipated, obligor and equipment type concentrations have increased since closing as a result of normal amortization and the weighted average rating of the obligors underlying the transactions are below investment-grade category. However, there has been adequate build in CE to support the increased concentrations. For the most recent 2025-1 transaction, forward-looking risk associated with the subordinate notes, limited seasoning, and the potential risk of unforeseen increases in obligor concentrations, warrant affirming the class E notes at their current rating, despite growth in coverage. Fitch's analysis incorporates the derivation of net loss expectations utilizing its proprietary Portfolio Credit Model (PCM) as the collateral pool contains high obligor concentrations and limited loss experience on PREF's managed portfolio and securitization portfolio, the results of which continue to support the current ratings. In connection with this review, the 2024-1 weighted average (WA) recovery rates of the pool were revised to 49%, 56%, 63% and 68% from 44%, 50%, 56% and 60% for the AAA, AA, A and BBB rating categories at close. For 2025-1, the WA recovery rates of the pool were revised to 48%, 54%, 61%, 65% and 70% from 44%, 50%, 56%, 60% and 65% for the AAA, AA, A, BBB and BB rating categories at close. Fitch assumed a 'CCC' Issuer Default Rating for unrated obligors with concentration greater than 5% and 'B' Issuer Default Rating for unrated obligors less than 5%. While the current review resulted in upgrades, Fitch also considered the potential downside tail risks associated with the subordinate position of the notes, limited seasoning and potential risk of unforeseen increases in obligor concentrations. The Outlook assignments reflect the potential for future upgrades. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce loss levels higher than the rating case and affect available loss coverage and multiple levels for the transactions. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the transactions ratings were found to have an impact of up to one rating category, by the potential increase in default rates, if each obligor were to be downgraded by one-notch from the assumed ratings in Fitch's rating case scenario. Additionally, recoveries were stressed by applying haircuts of 25% and 50% to base recovery rates on each contract. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. To date, the transactions have exhibited strong performance within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset collateral to potentially have a negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance driven by low delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. As of the initial rating exercise, the expected subordinate note ratings were considered to be potentially upgraded by up to one category, if total loss expectation were to be 20% less than projected. 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. PRET 2025-RPL6: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRET 2025-RPL6 Trust. Entity/Debt Rating ----------- ------ PRET 2025-RPL6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 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 B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating RISKRETE LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 2,967 seasoned performing loans and reperforming loans (RPLs) that had a balance of $461.08 million, including deferred balances, as of the cut-off date. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial IO period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, land and multifamily homes/commercial properties. All of the loans are SPLs or RPLs. In the pool, 100% of the loans are seasoned performing loans and RPLs. Based on Fitch's analysis of the pool, Fitch considered majority of the loans exempt from the qualified mortgage (QM) rule as they are investment properties or were originated prior to the Ability to Repay (ATR) rule taking effect in January 2014. Selene Finance LP will service 100.0% of the loans in the pool. Fitch rates Selene 'RSS2-'. The majority of the loans in the collateral pool comprise fixed-rate mortgages, although 5.5% of the pool comprises step-rate loans or loans with an adjustable rate. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming Mortgage Assets (Mixed): 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 668, and a 41.7% Fitch-determined debt-to-income ratio (DTI). The borrowers also have relatively low leverage, consistent with seasoned transactions: an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 80.57% and a current mark to market LTV of 47.75%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 54.12%. Of the loans, 90. 8% have been modified. The vast majority of the loans are performing, with 95.4% being current and 4.65% being 30 days delinquent as of the cut-off date. In all, 93.4% of the loans have not been 90 days or more delinquent in the past 12 months and 76, 5% have not experienced a delinquency in 12 months or more. Based on the transaction documents, 41.3% have not had a delinquency in the past 24+ months. PRET 2025.-RPL6 has a final PD of 41.47% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 27.82%. The expected loss in the 'AAAsf' rating stress is 11.54%. Structural Analysis (Mixed): Sequential Mortgage Cash Flow in PRET 2025-RPL6 with No DQ P and I Advancing The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to but excluding the payment date in December 2029, and for the related accrual period, will be a per annum rate equal to the lower of (i) the fixed rate for such class (as set forth in the table on page 1 of the presale), (ii) the net WA coupon (WAC) rate for such payment date, and (iii) the applicable note available funds cap for such interest accrual period and payment date. Beginning on the payment date in December 2029 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lower of (a) the net WAC rate for such payment date and (b) the sum of (i) the fixed rate set forth in the table on page 1 of the presale for such class of notes, (ii) 1.000% (with such increased note rate referred to as the step-up note rate), and (iii) the applicable note available funds cap for such interest accrual period and payment date. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the (i) the net WAC rate and (ii) the applicable note available funds cap for such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses. The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. 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 RPL 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRET 2025-RPL6 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 PRET 2025-RPL6 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. Fitch ran the cash flow analysis assuming a servicing fee of 0.35% and it was determined that all rated classes had sufficient CE to pass the rating stresses that they are currently assigned. The servicing fee assumption is based on using the average of the highest cost to service the loans based on Fitch's criteria. Fitch ran additional analysis assuming the servicing fee was 0.60% — the highest cost to service — and the rated classes would need roughly 10 bps more CE to pass their assigned rating stress in the most conservative scenario — the backloaded benchmark — with the model implied rating being one tick lower for each rated class. The committee decided that the difference in CE was not material especially since it occurred in the most conservative scenario that is not likely to occur, and per Fitch's criteria a class does not have to pass all of Fitch's scenarios in order to be assigned that rating. Fitch was comfortable that the transaction has sufficient CE for the assigned rating stresses. 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 38.3%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A portion of the loans received 'C' or 'D' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues, potential high-cost issues, or ATR Risk/Fail issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses. A ProTitle search found outstanding liens that predate the mortgage. It was confirmed that a majority of these liens are retired and nothing is owed. There were 115 loans with a clean title search for which potentially superior post-origination liens/judgments were found totaling $436,757.77. In addition, 211 mortgage loans indicated potentially superior post-origination liens/judgments totaling $1,293,727.32. The trust will be responsible for these amounts. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicer for this amount. The amount of the adjustment was not material and had no impact on the expected losses. The ProTitle search noted less than 10 loans not in a first lien position. Fitch received confirmation from the servicer that these loans are in a first lien position. The servicer is monitoring for liens that could take priority over the first lien status of the mortgages in the pool and will advance, per standard servicing practices, to maintain the first lien position of the mortgages in the pool. As a result, Fitch considered 100% of the loans in the pool to be in the first lien position. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. Due to this, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans; please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations 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. PRKCM 2025-AFC2: DBRS Finalizes B Rating on Class B-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-AFC2 (the Notes) to be issued by PRKCM 2025-AFC2 Trust (the Trust) as follows: -- $58.0 million Class A-1FCF at AAA (sf) -- $19.3 million Class A-1LCF at AAA (sf) -- $152.1 million Class A-1A at AAA (sf) -- $23.6 million Class A-1B at AAA (sf) -- $175.6 million Class A-1 at AAA (sf) -- $37.0 million Class A-2 at AA (high) (sf) -- $21.7 million Class A-3 at A (high) (sf) -- $12.1 million Class M-1 at BBB (high) (sf) -- $7.3 million Class B-1 at BB (sf) -- $5.4 million Class B-2 at B (sf) Morningstar DBRS discontinued and withdrew its provisional credit ratings on Class A-1FCX, A-1F, and A-1IO as they were not issued at closing. Class A-1 are exchangeable notes while Classes A-1A and A-1B are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit rating on the Classes A-1FCF, A-1LCF, A-1, A-1A, and A-1B certificates reflects 25.50% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 14.60%, 8.20%, 4.65%, 2.50%, and 0.90% 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, primarily first-lien (95.6% by balance) residential mortgages funded by the issuance of Notes. The Notes are backed by 849 mortgage loans with a total principal balance of $339,563,229 as of the Cut-Off Date (November 1, 2025). This is the eleventh securitization by the Sponsor, Park Capital Management Sponsor LLC, an affiliate of AmWest Funding Corp. (AmWest). AmWest is the Seller, Originator, and Servicer of the mortgage loans. The pool is about one month seasoned on a weighted-average (WA) basis although seasoning spans from zero to three months. All loans in the pool are current as of the Cut-Off Date. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, 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 QM/ATR rules, approximately 51.6% of the loans are designated as non-QM. Approximately 6.1% of the loans are designated as QM Safe Harbor and approximately 0.3% are designated as QM Rebuttable Presumption. Approximately 42.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on the property-level cash flows for approximately 30.9% of the loans, primarily the asset value for 1.3% of the loans, and the mortgagor's credit profile and debt-to-income ratio, property value, and the available assets, where applicable, for approximately 9.8% of the loans. The loans made to investors for business purposes are exempt from the CFPB ATR rules and the Truth in Lending Act and the Real Estate Settlement Procedures Act) Integrated Disclosure rule. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 90 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails in its obligation to make P&I advances, the Master Servicer (Nationstar Mortgage LLC) will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as the Paying Agent, will be obligated to fund such advances. The Master Servicer and Paying Agent are only responsible for P&I Advances; the Servicer is responsible for P&I Advances and Servicing Advances. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest collectively representing at least 5% of the fair value of the Notes, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date on or after the earlier of (1) the payment date occurring in November 2028 or (2) on or after the payment date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 30% of the Cut-Off Date balance, the Sponsor may terminate the Issuer (Optional Termination) by purchasing the loans, any real estate owned properties, and any other property remaining in the Issuer at the Optional Termination price, specified in the transaction documents. After such a purchase, the Sponsor will have to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Controlling Holder in the transaction is a majority holder (or majority holders if there is no single majority holder) of the outstanding Class XS Notes, initially, the Seller. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Banker Association 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. The transaction's cash flow structure is generally similar to that of other recent 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). The Class A-1A and Class A-1B Notes, and separately the Class A-1FCF and Class A-1LCF Notes, have specific principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost Notes before being applied sequentially to amortize the balances of the more subordinated notes. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior Notes. Of note, the Senior Notes coupon rates step up by 100 basis points on and after the payment date in December 2029. Interest and principal otherwise available to pay the Class B-3 Notes may be used to pay the Class A coupons' Cap Carryover Amounts on and after the Payment Date in December 2029. Notes: All figures are in U.S. dollars unless otherwise noted. PROVIDENT BANK 2000-2: Moody's Cuts Rating on Cl. A-2 Certs to Caa3 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating of Class A-2 issued by Provident Bank Home Equity Loan Trust 2000-2. The collateral backing this deal consists of subprime mortgages. 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: Provident Bank Home Equity Loan Trust 2000-2 Cl. A-2, Downgraded to Caa3 (sf); previously on Mar 18, 2025 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating action is driven by the fact the collateral pool backing Class A-2 has decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's do not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, Cl. A-2 has the benefit of support provided by a certificate guarantee. For structured finance securities with third party support, the rating applied is the higher of the support provider's rating and the rating without any consideration of the third party support. The rating downgrade for Cl. A-2 reflects the rating of the support provider, MBIA Insurance Corporation. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, 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. PROVIDENT FUNDING 2025-6: Moody's Assigns (P)B2 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) to be issued by Provident Funding Mortgage Trust 2025-6, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2025-6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.14% and reaches 4.49% 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. PRPM 2025-RPL5: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRPM 2025-RPL5, LLC. Entity/Debt Rating ----------- ------ PRPM 2025-RPL5 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating M1A LT BBB(EXP)sf Expected Rating M1B LT BBB-(EXP)sf Expected Rating M2 LT BB-(EXP)sf Expected Rating B1 LT NR(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by PRPM 2025-RPL5, LLC Mortgage-Backed Notes, Series 2025-RPL5 (PRPM 2025-RPL5), as indicated above. The transaction is expected to close on Dec. 12, 2025. The notes are supported by 3,116 seasoned performing loans (SPLs), non-performing loans (NPL), and reperforming loans (RPLs) with a total balance of about $615.85 million, including $35.6 million, or 5.8%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. The borrowers have a weighted-average (WA) FICO of 712, as determined by Fitch, and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 52.9%. Of the pool, 89.7% of the loans are seasoned at least 24 months, with an updated property valuation;66.7% of the loans have had a clean payment history over the past 12 months; and 11.2% are currently delinquent. Distributions of principal and interest (P&I) and loss allocations are based on a sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. 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. PRPM 2025-RPL5 has a final probability of default (PD) of 41.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 27.2%. The expected loss in the 'AAAsf' rating stress is 11.3%. Structural Analysis: The mortgage cash flow and loss allocation in PRPM 2025-RPL5 are based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. 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 impacted junior classes. This feature allows for a faster paydown of the senior classes. 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 from available funds, at the expense of principal payments that otherwise would support the more senior bonds, while a more traditional structure would have seen them written down and accruing a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds on and after the credit event date. The coupons on the notes are based on the lower of the AFC or 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 the amount that should have been paid based on the stated coupon. If the transaction is not called, the coupons step up 100bps. The Class B-2 and the membership certificate class will be issued as principal only (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. 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. 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 by loan count. Fitch expects SPL/RPL/NPL pools to have full diligence completed. Specifically, for loans that have an application date on or after Jan. 10, 2014, Fitch expects a full due diligence scope that includes a review of credit, regulatory compliance and property valuation. For loans with an application date prior to Jan. 10, 2014, Fitch primarily receives a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. 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. Fitch expects PRPM 2025-RPL5 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at closing. 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 PRPM 2025-RPL5, 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 MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.5%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 Infinity, AMC, and ProTitle. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: A 5% credit at the loan level for each loan where satisfactory due diligence was completed. 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 Infinity, AMC, and ProTitle to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. None of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do materially affect the overall credit risk of the loans; please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations 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. RAD CLO 22: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned the expected ratings and Rating Outlooks to RAD CLO 22, Ltd Reset: Entity/Debt Rating ----------- ------ Rad CLO 22 Ltd. A-1a-L1-R LT NR(EXP)sf Expected Rating A-1a-L2-R LT NR(EXP)sf Expected Rating A-1a-N-R LT NR(EXP)sf Expected Rating A-1b-R LT AAA(EXP)sf Expected Rating A-2-R LT AA(EXP)sf Expected Rating B-R LT A(EXP)sf Expected Rating C-1-R LT BBB-(EXP)sf Expected Rating C-2a-R LT BBB-(EXP)sf Expected Rating C-2b-R LT BBB-(EXP)sf Expected Rating D-R LT BB-(EXP)sf Expected Rating Transaction Summary RAD CLO 22, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.35 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 97.04% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'B+sf' and 'BBB+sf' for Class B-R, between less than 'B-sf' and 'BB+sf' for Class C-1-R, and between less than 'B-sf' and 'BB+sf' for Class C-2-R and between less than 'B-sf' and 'B+sf' for Class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class A-1b-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class A-2-R, 'AA+sf' for Class B-R, 'A+sf' for Class C-1-R, and 'A-sf' for Class C-2-R and 'BBB+sf' for Class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2023-4, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RED OAK 2025-1: DBRS Assigns (P) BB(low) Rating on Class C Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following class of notes to be issued by Red Oak Funding Master Trust, Series 2025-1 (ROAK 2025-1 or the Issuer): -- $154,800,000 Class A Notes at (P) A (sf) -- $12,750,000 Clas B Notes at (P) BBB (sf) -- $9,590,000 Class C Notes at (P) BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following considerations: -- This is the first ROAK transaction Morningstar DBRS will be rating. The series includes three tranches with credit rating levels for this series of Class A at (P) A (sf), Class B at (P) BBB (sf), and Class C at (P) BB (low) (sf). -- The Notes will be supported by credit enhancement in the form of overcollateralization, subordination, a reserve account, and available excess spread. -- The transaction parties' capabilities with regard to originations, underwriting and the servicing strength of the sponsor/servicer, Red Oak Inventory Finance, LLC. -- Red Oak is a newer company with a management team that has significant experience in this niche market and has various technology and processes to manage its portfolio. Red Oak's management cofounded Northpoint Commercial Finance (NCF), another experienced lender in this space. Morningstar DBRS originally rated wholesale notes for NCF in 2014 and 2016. NCF was then sold to Laurentian Bank of Canada in 2017. -- Morningstar DBRS performed an operational review of Red Oak and considers the entity an acceptable originator and servicer of wholesale receivables. -- The quality and sufficiency of provided historical performance data for the wholesale portfolio. -- Red Oak opted to use the services of a backup servicer, Vervent, Inc. (Vervent). -- Morningstar DBRS reviewed Vervent and believes it is an acceptable backup servicer for this transaction. -- Dealers are generally thinly capitalized dealerships. These dealers rely on revenue and profits from sales of new and used collateral in addition to storage and parts/services. -- These loans are classified as "pay-as-sold" loans. The loans are mainly short term: typically, they are paid within one year with some collateral standing on the dealers' lot for up to two years. -- The Company provides financing to dealers with advances up to 100% of the purchase price for new collateral, less a discount, if applicable. Used or trade-in financing is funded as a percentage of the National Automobile Dealers Association (NADA) valuation, generally 65%-85%. These funded amounts depend on, among other things, inventory age. The purchase price is a wholesale price; and the dealers sell the collateral to retail customers at retail prices. The difference is approximately 15%-20% in many cases. -- The floorplan receivables are typically secured by the products being financed and are supported by personal guarantees for most dealers. -- Seasonality--The inventory finance industry has existed for decades and is an integral part of the distribution channel and sales cycle between manufacturers, dealers, and their end customers. RV and marine industries are highly seasonal; dealers ramp up inventory in Q4/Q1 in preparation for the spring and summer selling seasons (Q2/Q3). -- Proxy Analysis -- Red Oak began lending in June 2022. As such, there is insufficient history to determine adequate base-case assumptions, so Morningstar DBRS determined those levels by using proxy analysis. -- Morningstar DBRS analyzed the performance of proxy issuers in the ABS market and the available performance of Red Oak's managed portfolio to determine a base-case expectation for the ABS pool. -- The monthly payment rate (MPR) was 20.98% as of June 2025. The MPR is seasonal and, as the managed portfolio has grown, the payment rate has become more consistent. Each product segment has a different payment rate, but these segment types are generally considered discretionary since the performance rates may be more volatile than other asset classes as these purchases may be more sensitive to disposable income, meaning obligors may opt to avoid future purchases of or payments on these collateral segments. Morningstar DBRS' expected principal payment rate equals 7.50%. -- The transaction structure includes two levels of triggers: an incremental credit enhancement trigger that will cause an increase in credit enhancement if the three-month payment rate declines seasonal thresholds as detailed in the Transaction Triggers section or the three-month average default rate exceeds 2.25% of the Series 2025-1 Collateral Amount. If performance continues to deteriorate, an early amortization event will occur if the three-month payment rate declines below 7.50%, the three-month average net spread declines below 0.75%, or the three-month average default rate exceeds 3.50% of the Series 2025-1 Collateral Amount. -- Participations and Syndications--Red Oak has financed dealerships with large exposures to its managed portfolio. The exposure to the trust is in accordance with the concentrations listed below. The managed portfolio as of September 30, 2025, is $395.8 million. As of the Closing Date, 19 of the Accounts designated to the Trust will be subject to an undivided interest allocated to the Seller pursuant to a Participation Agreement (Participation Interests). As of the Reporting Date, 71% of the managed portfolio is in the form of participations, of which $101.6mm is in the Trust. -- Concentration Limits--As of September 30, 2025, there are 174 dealers in the managed portfolio with approximately 350 locations. There are a variety of concentration limits within the structure to protect Noteholders from a material shift in the dealer mix. -- Product Line Concentrations--The managed portfolio consists of assets to finance collateral from segments in three industries: RVs, marine, and trailers. The concentration limits addressing these segment types are 65% for RVs, marine 25%, trailers 20%, and 0.0% for all other product lines. Although these segments are somewhat concentrated, collateral is from a diverse mix of manufacturers for each segment. The recreational vehicles industry is somewhat more consolidated among manufacturers but there is still good diversification among that segment in addition to the marine and trailer segments. -- Manufacturer Concentrations--The managed portfolio consists of multiple manufacturers in three industries. These manufacturers each have concentration limits in the trust: The largest manufacturer is 40%, followed by the second-largest at 25%, the third-largest at 15%, followed by the fourth-largest at 8.0%, 5.0% each for the next three-largest, and 2.25% for all other manufacturers. -- Dealer Concentrations--The structure includes a provision for the largest dealer that is limited to 8.0%, while the second-largest dealer concentration is limited to 5.0%, the next two-largest dealers are each limited to 4.5%, the fifth-largest is limited to 4.0%, the next three-largest dealers are each limited to 2.5%, and the ninth-largest is limited to 2.0% of the aggregate principal balance (a total of 35.5%) of the aggregate principal balance. Thereafter, all other dealers are limited to 1.5%. -- Used Concentrations--New versus used segment types are financed by Red Oak in the managed portfolio. The exposure to this trust is limited to 10.0% for used collateral. -- The managed portfolio includes accounts that could possibly be characterized as Sold and Unpaid (SAU) Receivables. SAUs may ultimately become defaulted receivables and those defaulted receivables, after collection efforts and recoveries, if any, are deemed charge-offs. As of June 2025, the annualized charge-off rate was 0.02% and the SAU rate was 0.84%. Morningstar DBRS determines its expected loss rate based on dealer concentration analysis and liquidation analysis. Morningstar DBRS' expected loss rate is 8.00%. -- Gross yield on the managed portfolio was 9.28% as of June 2025. Morningstar DBRS' expected yield is 7.95%. -- 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. -- The legal structure and expected presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Red Oak, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. ROCKFORD TOWER 2025-2: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ This is a correction of a release published on Aug. 21, 2025. It updates the name of the entity to Rockford Tower CLO 2025-2, Ltd. Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ Rockford Tower CLO 2025-2, Ltd. A-1 77342RAA3 LT NRsf New Rating A-2 77342RAC9 LT AAAsf New Rating B 77342RAE5 LT AAsf New Rating C 77342RAG0 LT Asf New Rating D-1 77342RAJ4 LT BBB-sf New Rating D-2 77342RAL9 LT BBB-sf New Rating E 77342QAA5 LT BB-sf New Rating Subordinated 77342QAC1 LT NRsf New Rating Transaction Summary Rockford Tower CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Rockford Tower Capital Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.12 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.48% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Rockford Tower CLO 2025-2, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SANDSTONE PEAK IV: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sandstone Peak IV Ltd./Sandstone Peak IV LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Beach Point CLO Management LLC. The preliminary ratings are based on information as of Dec. 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Sandstone Peak IV Ltd./Sandstone Peak IV LLC Class A-1, $217.00 million: AAA (sf) Class A-L loans, $25.00 million: AAA (sf) Class A-2, $18.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C-1 (deferrable), $20.00 million: A (sf) Class C-2 (deferrable), $4.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2a (deferrable), $4.00 million: BBB- (sf) Class D-2b (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.50 million: NR NR--Not rated. SANTANDER BANK 2025-A: Moody's Assigns (P)B3 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the Santander Bank Auto Credit-Linked Notes, Series 2025-A (SBCLN 2025-A) notes to be issued by Santander Bank, N.A. (SBNA). SBCLN 2025-A is the first credit linked notes transaction issued by SBNA in 2025 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank Auto Credit-Linked Notes, Series 2025-A Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (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 Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or P-1 by us. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit 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 Santander Bank, N.A. (Baa1). 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, 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 and expertise of Santander Bank, N.A. as the servicer. Moody's median cumulative net loss expectation for the 2025-A reference pool is 3.00% and a loss at a Aaa stress of 12.50%. The median cumulative net loss at 3.00% and the loss at a Aaa stress at 12.50% for 2025-A is same as that assigned for 2024-B, the last transaction Moody's rated. Moody's based Moody's cumulative 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 Santander Bank, N.A. and Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 12.95%, 11.50%, 9.50%, 7.75%, 6.50%, and 4.25% 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. SCULPTOR CLO XXXVII: Moody's Assigns Ba3 Rating to $12MM E Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of notes 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, Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$12,000,000 Class E Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned 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 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. The portfolio is approximately 96% 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 issued 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. SILVER POINT 3: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Silver Point CLO 3, Ltd. (the Issuer): US$283,500,000 Class A-1-R Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F-R Secured Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. Silver Point RR Manager, L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.0 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SIXTH STREET XII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO XII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Sixth Street CLO XII, Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Sixth Street CLO XII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Sixth Street CLO XII Management, LLC (fka TICP CLO XII Management, LLC) that originally closed in December 2018 and was fully refinanced in August 2021 for the first time. This is the second refinancing where the existing secured notes will be refinanced in whole. Net proceeds from the issuance of the secured notes and additional subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.61 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 97.52% first-lien senior secured loans. The 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 47.25% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-1-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-2-R2 notes, between 'BB+sf' and 'A+sf' for class B-R2 notes, between 'B-sf' and 'BBB+sf' for class C-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-1-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-2-R2 notes, and between less than 'B-sf' and 'B+sf' for class E-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, 'AA+sf' for class C-R2 notes, 'A+sf' for class D-1-R2 notes, 'Asf' for class D-2-R2 notes, and 'BBB+sf' for class E-R2 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 Sixth Street CLO XII, 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. SUTTONPARK STRUCTURED 2021-A: DBRS Keeps D Notes' Rating on Review ------------------------------------------------------------------ DBRS, Inc. maintained its Under Review with Negative Implications (URN) on nine credit ratings from four SuttonPark Structured Settlement transactions. SPSS 2021-A LLC Class A Notes AAA (sf) UR-Neg. Class B Notes A (sf) UR-Neg. Class C Notes BBB (sf) UR-Neg. Class D Notes BB (sf) UR-Neg. CREDIT RATING RATIONALE Credit rating rationale includes the key analytical considerations. -- The maintaining of the Under Review with Negative Implications (URN) designation is primarily due to the ongoing servicing transfer to Vervent which is expected to be finalized over the next several months. SuttonPark, Vervent, and the relevant investors have been in negotiations with respect to the servicing transfer to Vervent. The servicing transfer has been staggered with each transaction being completed separately. SuttonPark is engaged as sub-servicer to ensure a more seamless transition and is not expected to act as sub-servicer following the completion of the servicer transfer. Morningstar DBRS will assess the transactions' performance following the completion of the servicer transfer to ensure performance is within expectations and not negatively impacted due to the change in servicer. -- Additionally, the 2012-1, 2017-1 and 2021-A transactions have experienced asset deterioration with increased delinquencies and unresolved aged defaulted payments. SuttonPark has been in the process of resolving these open receivables, and as of the November distribution date, these transactions are experiencing a decrease in delinquent and/or defaulted receivables which is a positive for the transactions. Morningstar DBRS will continue to monitor the servicing transfer and evaluate collateral performance and collections available to each transaction to resolve the URN designation. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008-09. -- The transactions' 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. SYMPHONY CLO XXVIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Symphony CLO XXVIII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Symphony CLO XXVIII, Ltd. X-R LT AAAsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBBsf New Rating E-R LT BB-sf New Rating Subordinate Notes LT NRsf New Rating Transaction Summary Symphony CLO XXVIII, LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC. The original CLO, which closed in September 2021, was not rated by Fitch. On December 5, the CLO's existing secured notes will be redeemed in full from refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $496 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 23.5, 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 96.09% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.83% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% 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 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'A-sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-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-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, and 'Asf' for class D-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 Symphony CLO XXVIII, 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. TIKEHAU US IV: S&P Assigns BB- (sf) Rating to Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-R, and E-R debt from Tikehau US CLO IV, Ltd./Tikehau US CLO IV LLC, a CLO managed by Tikehau Structured Credit Management LLC, that was originally issued in June 2023. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D-1, D-2, and E debt following payment in full. 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 Oct. 15, 2027. -- The reinvestment period was extended to Oct. 15, 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to March 15, 2038. -- No additional assets were purchased on the Dec. 5, 2025, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is January 15, 2026. -- An additional $19.05 million subordinated notes was issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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." Ratings Assigned Tikehau US CLO IV Ltd. / Tikehau US CLO IV LLC Class A-1-R, $300.00 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-R, $70.00 million: AA (sf) Class C-1-R (deferrable), $20.00 million: A (sf) Class C-2-R (deferrable), $10.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $16.75 million: BB- (sf) Ratings Withdrawn Tikehau US CLO IV Ltd. / Tikehau US CLO IV LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Tikehau US CLO IV Ltd. / Tikehau US CLO IV LLC Subordinated notes, $69.60 million: NR NR--Not rated. TOWD POINT 2024-1: Moody's Upgrades Rating on Cl. B2 Certs to B2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds issued by Towd Point Mortgage Trust 2024-1. The collateral backing this deal consists of seasoned fixed and hybrid adjustable-rate qualified (QM) and non-qualified mortgages. 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: Towd Point Mortgage Trust 2024-1 Cl. A2, Upgraded to Aa2 (sf); previously on Apr 15, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B1, Upgraded to Ba2 (sf); previously on Apr 15, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B2, Upgraded to B2 (sf); previously on Apr 15, 2024 Definitive Rating Assigned B3 (sf) Cl. M1, Upgraded to A1 (sf); previously on Apr 15, 2024 Definitive Rating Assigned A3 (sf) Cl. M2, Upgraded to Baa1 (sf); previously on Apr 15, 2024 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, and Moody's updated loss expectations on the underlying pool. The transaction continues to display strong collateral performance, with no cumulative losses and a small percentage of loans in delinquencies. In addition, the credit enhancement level for the tranches has grown 1.4x since closing, as the pool amortizes relatively quickly. 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 action was taken on the remaining rated class in this deal as that class is already at the highest achievable level within Moody's rating scale. 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 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. TPG CLO 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TPG CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ TPG CLO 2025-2, Ltd A-L LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary TPG CLO 2025-2, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TPG Angelo Gordon. 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 22.84, 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 74.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B-1, between 'BB+sf' and 'A+sf' for class B-2, 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 '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-1, 'AAAsf' for class B-2, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 TPG CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TPG CLO 2025-2: Fitch Rates Class E Debt 'BB-sf' ------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to TPG CLO 2025-2, Ltd. Entity/Debt Rating ----------- ------ TPG CLO 2025-2, Ltd A-L LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary TPG CLO 2025-2, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TPG Angelo Gordon. 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 22.84, 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 74.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B-1, between 'BB+sf' and 'A+sf' for class B-2, 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 '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-1, 'AAAsf' for class B-2, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 TPG CLO 2025-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. UNLOCK HEA 2025-3: DBRS Assigns Prov. BB(low) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2025-3 (the Notes) to be issued by Unlock HEA Trust 2025-3 as follows: -- $252.5 million Class A at (P) A (low) (sf) -- $63.3 million Class B at (P) BBB (low) (sf) -- $72.6 million Class C at (P) BB (low) (sf) The (P) A (low) (sf) credit rating reflects credit enhancement of 35.00% for Class A, the (P) BBB (low) (sf) credit rating reflects credit enhancement of 18.77% for Class B, and the (P) BB (low) (sf) credit rating reflects credit enhancement of 0.00% 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 home equity agreements (HEA), and the cap on investor return. As of the cut-off date, the collateral consists of approximately $388.4 million in current exercise value from 3,825 nonrecourse HEI agreements secured by first, second, and third 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 2024 and 2025. Of the pool, 496 contracts in the transaction are first-lien contracts, representing roughly $65.8 million in current exercise value; 2,790 are second-lien contracts, representing roughly $275.6 million in current exercise value; and 539 are third-lien contracts, representing roughly $46.9 million in current exercise value. Of the pool, 17.2% of the contracts are first lien and have a weighted-average (WA) exchange rate of 1.78 times (x), 70.9 % are second-lien contracts and have a WA exchange rate of 1.89x, and the remaining 12.0% of the pool are third-lien contracts with a WA exchange rate of 1.95x. This brings the entire transaction's WA exchange rate to 1.88x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section. The current unadjusted loan-to-value ratio (LTV) of the pool is 35.51% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA contract-to-value (CTV, 3 also known as option-to-value, or OTV) of 20.91%, and a WA loan plus contract-to-value (LCTV, also known as loan plus option-to-value, or LOTV) of 56.42%. 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, 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 interest-bearing but will not be entitled to any payments until the Class A, B, and C Notes have been paid down. All interest owed and payable to the Class D Notes is subordinated to both the interest and principal owed to the Class A, B, and C Notes. The Class A-IO Notes are interest-only and notional to the Unpaid Principal Balance of the Loan. Interest owed to the Class A-IO Notes is paid senior to interest owed to the Class A, B, C, and D Notes. A Trigger Event will occur on (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 82% of the starting home valuation as of the cut-off date. During a Trigger Event, the Class B and Class 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 Class B Notes are fully paid down. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2025-5: DBRS Gives (P) B Rating on 3 Tranches ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2025-5 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2025-5 (VCC 2025-5 or the Issuer) as follows: -- $314.7 million Class A at (P) AAA (sf) -- $314.7 million Class A-S at (P) AAA (sf) -- $314.7 million Class A-IO at (P) AAA (sf) -- $22.8 million Class M-1 at (P) AA (low) (sf) -- $22.8 million Class M1-A at (P) AA (low) (sf) -- $22.8 million Class M1-IO at (P) AA (low) (sf) -- $21.0 million Class M-2 at (P) A (low) (sf) -- $21.0 million Class M2-A at (P) A (low) (sf) -- $21.0 million Class M2-IO at (P) A (low) (sf) -- $41.0 million Class M-3 at (P) BBB (low) (sf) -- $41.0 million Class M3-A at (P) BBB (low) (sf) -- $41.0 million Class M3-IO at (P) BBB (low) (sf) -- $28.2 million Class M-4 at (P) BB (sf) -- $28.2 million Class M4-A at (P) BB (sf) -- $28.2 million Class M4-IO at (P) BB (sf) -- $11.7 million Class M-5 at (P) B (high) (sf) -- $11.7 million Class M5-A at (P) B (high) (sf) -- $11.7 million Class M5-IO at (P) B (high) (sf) -- $5.6 million Class M-6 at (P) B (sf) -- $5.6 million Class M6-A at (P) B (sf) -- $5.6 million Class M6-IO at (P) B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 30.15% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 25.10%, 20.45%, 11.35%, 5.10%, 2.50%, and 1.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-5 is securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. 12 of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2025-5 (the Certificates). The Certificates are backed by 1,181 mortgage loans with a total principal balance of $450,558,095 as of the Cut-Off Date (November 1, 2025). Approximately 44.8% of the pool comprises residential investor loans, about 50.9% of traditional SBC loans, and about 4.3% are the SBA 504 loans mentioned above. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). 40 loans (11.2%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the 12 SBA 504 loans which, according to SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows, but the loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 40 New Day originated loans (including the 12 SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent P&I until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association, will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed principal and interest (P&I) and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real-estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the Small Balance Commercial portion of the pool consists of 408 individual loans secured by 408 commercial and multifamily properties with an average cut-off date loan balance of $561,817. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted average (WA) fixed interest rate of 10.9%. This is approximately 10 basis points (bps) lower than the VCC 2025-4 transaction, 10 bps higher than the VCC 2025-3 transaction, in line with the VCC 2025-2 transaction, and 30 bps lower than the VCC 2025-1 transaction. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 14 loans, which represent 5.7% of the SBC pool, have an initial interest only (IO) period of 60 months or 120 months. All the SBC loans were originated between August 2025 and October 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.4 months. The SBC pool has a WA original term length of approximately 360 months, or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.0%. However, Morningstar DBRS made LTV adjustments to 40 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 63.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one-quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with VCC transactions in 2022 and 2023. Consequently, approximately 52.9% of the deal (206 SBC loans) has an Issuer net operating income DSCR less than 1.0 time (x), which is slightly below the previous 2025 and 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 712 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. Morningstar DBRS also applied an additional 2.5% penalty to the fully adjusted cumulative default assumptions to account for the anticipated delinquencies based on performance from the prior VCC transactions in 2025. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $561,817, a concentration profile equivalent to that of a transaction with 208 equal-size loans, and a top 10 loan concentration of 13.1%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains three loans where an Income Approach to value was not contemplated in the appraisal, and an Issuer net cash flow (NCF) was not provided. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. The SBC pool includes eight loans originated via New Day's Lite Doc Investor Loan Program, which does not require tax returns to be reviewed. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (30.1% of the SBC pool) and office (18.9% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 49.0% of the SBC pool balance. Morningstar DBRS applied a -25.7% reduction to the NCF for retail properties and a -36.6% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, one was Average + (0.5% of sample), 17 were Average quality (17.6%), 40 were Average - quality (53.8%), 21 were Below Average quality (23.8%), and one loan was Poor (4.2%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, Property Condition Reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 20 SBC loans in the pool, which represent 20.7% of the SBC pool balance. These appraisals were issued between July 2025 and October 2025. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.9%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through October 31, 2025. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans in the SBC pool. SBA 504 LOANS The transaction includes 12 SBA 504 loans, totaling approximately $19.38 million or 4.30% of the aggregate 2025-5 collateral pool. These are predominantly owner-occupied first-lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program (SBA 504) in conjunction with community development companies (CDC), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between May 5, 2025, and October 17, 2025, via New Day, which will also act as subservicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $19,382,136, with an average balance of $1,615,178. The weighted average interest rate of the 504 loan subpool is 9.456%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2%, and 1% respectively in the first five years from origination. These loans are for properties that are owner-occupied by the small business borrower. Weighted average loan to value is 53.56%. Weighted average debt service coverage ratio is approximately 1.32x, and the weighted average FICO of this sub-pool is 751. For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan-to-value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 761 mortgage loans with a total balance of approximately $202 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2025 Update," published on September 30, 2025. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2025-12: S&P Assigns Prelim B(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-12's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers with original terms to maturity up to 40-years. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,208 loans with 1,217 properties, and comprises qualified mortgage (QM)/non-higher-priced-mortgage (safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay-exempt loans. The preliminary ratings are based on information as of Dec. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. Its outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned Verus Securitization Trust 2025-12(i) Class A-1, $176,969,000: AAA (sf) Class A-1A, $152,131,000: AAA (sf) Class A-1B, $24,838,000: AAA (sf) Class A-1FCF, $132,727,000: AAA (sf) Class A-1FCX, $132,727,000(iii): AAA (sf) Class A-1LCF, $44,242,000: AAA (sf) Class A-1F, $88,484,000: AAA (sf) Class A-1IO1, $88,484,000(ii): AAA (sf) Class A-1IO2, $88,484,000(ii): AAA (sf) Class A-1IO, $88,484,000(ii): AAA (sf) Class A-2, $42,845,000: AA (sf) Class A-3, $62,715,000: A (sf) Class M-1, $27,942,000: BBB (sf) Class B-1, $15,834,000: BB (sf) Class B-2, $16,766,000: B (sf) Class B-3, $12,419,293: NR Class A-IO-S, Notional(iv): NR Class XS, Notional(iv): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated Dec. 5, 2025. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1IO1, A-1IO2, and A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes and will not be entitled to payments of principal. (iii) The class A-1FCX will have a notional amount equal to the note amount of the class A-1FCF notes 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. NR--Not rated. N/A—Not applicable. VERUS SECURITIZATION 2025-R2: Fitch Rates Class B2 Notes 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2025-R2 (Verus 2025-R2). Entity/Debt Rating ----------- ------ VERUS 2025-R2 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating DA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2025-R2 notes are supported by 1,101 loans with a balance of $440.8 million as of Dec. 1, 2025 (the cutoff date). The transaction is scheduled to close on Dec. 17, 2025. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans where the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Primary residence loans comprise 30.4% of the Verus 2025-R2 transaction pool, followed by second home and investor loans at 69.6%. In terms of documentation type, the transaction mainly consists of DSCR loans at 61.7% and 16.2% were originated to a bank statement program. The remaining 22.1% of the population were underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment (WVOE) product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. VERUS 2025-R2 has a final probability of default (PD) of 41.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.5%. The expected loss in the 'AAAsf' rating stress is 13.7%. Structural Analysis: VERUS 2025-R2 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed 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. 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. 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 all loans in the transaction. 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. Fitch expects VERUS 2025-R2 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: 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 VERUS 2025-R2, 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 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 37.3% 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 'AAAsf' ratings. 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 multiple TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2016-NXS: DBRS Confirms C Rating on 2 Tranches ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-NXS5 issued by Wells Fargo Commercial Mortgage Trust 2016-NXS5 as follows: -- Class X-B to A (low) (sf) from A (high) (sf) -- Class B to BBB (high) (sf) from A (sf) -- Class C to CCC (sf) from BB (high) (sf) -- Class D to C (sf) from B (low) (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-6 at AAA (sf) -- Class A-6FL at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS discontinued the credit ratings on Classes A-5 and A-SB as those classes were repaid with the November 2025 remittance. Morningstar DBRS also changed the trends on Classes X-A, A-S, X-B, and B to Negative from Stable. The trends on Classes A-6 and A-6FL are Stable. The remaining Classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on Classes C, D, and E reflect Morningstar DBRS' increased loss projections for the transaction, primarily attributed to the largest loan in the pool, 10 South LaSalle Street (Prospectus ID# 2; 17.9% of the pool balance). In its analysis, Morningstar DBRS considered liquidation scenarios for four of the five loans in special servicing and one additional loan of concern, 4400 Jenifer Street (Prospectus ID# 8, 5.9% of the pool), resulting in a cumulative projected loss amount of $100.0 million, approximately $64.5 million of which is tied to the 10 South LaSalle Street loan. Those losses would erode the entirety of Class H (nonrated), and the balances of Classes G, F, and E, in addition to more than 85.0% of the Class D balance, supporting the credit rating downgrades to C (sf) for those classes. In addition, Morningstar DBRS' projected liquidated losses would significantly reduce the credit support for the lowest-rated principal bonds in the transaction, most notably the Class C certificate, which was a consideration for the credit rating downgrade to CCC (sf). In addition to the increased liquidated loss projections, interest shortfalls have continued to accrue. As of the November 2025 remittance, cumulative unpaid interest totaled $8.5 million, up from $6.7 million at the last credit rating action (March 24, 2025). The Class C certificate (which has not received full interest since the October 2025 remittance) has been shorted by approximately $60,000. Morningstar DBRS' tolerance for unpaid interest is limited to six remittance periods at the BB or B credit rating categories. Morningstar DBRS expects that shortfalls will continue to accrue given the high concentration of loans in special servicing (30.4% of the current pool balance), three of which (representing 6.8% of the current pool balance) have been deemed nonrecoverable. In addition, the underlying collateral backing the fourth-largest loan in the pool, 4400 Jenifer Street, has experienced a sustained decline in operating performance, which could result in the loan's transfer to the special servicer upon maturity in February 2026. Although the Class A-S and B certificates continue to receive full interest due, the transaction has an increased propensity for interest shortfalls. Should the 4400 Jenifer Street loan transfer to the special servicer in the near future, the workout periods for the loans currently in special servicing continue to extend, and/or the as-is values for the underlying collateral backing the remaining loans of concern 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. These factors form Morningstar DBRS' primary rationale for the credit rating downgrade on the Class B certificate and the Negative trend on the Class A-S certificate. As of the November 2025 remittance, 33 of the original 64 loans remain in the pool, with a trust balance of $418.2 million, representing a collateral reduction of 52.2% since issuance. To date, the trust has incurred a total loss of $16.9 million, which has been contained to the nonrated Class H certificate. Twenty-four loans, representing 61.1% of the pool balance, are on the servicer's watchlist; the majority of which are being monitored for upcoming loan maturities. Five loans are in special servicing and four loans, representing 8.5% of the pool balance, are fully defeased. The 10 South Lasalle Street loan is secured by a Class B office property in the Central Loop submarket of Chicago. The loan's maturity date is in January 2026, and is pari passu with a loan piece held in the Morningstar DBRS-rated Wells Fargo Commercial Mortgage Trust 2016-C32 transaction. The loan transferred to the special servicer in August 2022 for monetary default and has remained delinquent since June 2025 with active cash management provisions in place. According to the servicer, a receiver has been appointed to control the property as of October 2025. Per the July 2025 rent roll, the property was 49.3% occupied, following the departure of the former largest tenant, Chicago Title Insurance, in March 2025. Declining revenue and increasing expenses have placed downward pressure on cash flow with the loan's debt service coverage ratio (DSCR) remaining below breakeven since 2022. The most recent appraisal provided in July 2025 valued the property at $30.1 million, 82.0% below the issuance appraised value of $166.5 million. Given the sustained decline in cash flow, extended time in special servicing, and considerable reduction in the property's value, Morningstar DBRS analyzed the loan under a liquidation scenario based on a conservative haircut to the most recent appraised value, resulting in an implied loss of $64.5 million and loss severity of more than 85.0%. The 1006 Madison Avenue (Prospectus ID#16; 4.1% of the pool) loan is secured by a 3,917-square-foot (sf) single-tenant retail property in Manhattan, New York. The loan transferred to the special servicer in October 2018 for imminent monetary default, following the departure of the property's sole tenant in 2018, ahead of its lease expiration in 2025. In 2022, a new tenant, Dr. Barbara Sturm, took over the space and signed a lease extension until 2028. The asset has been real estate owned since July 2022. An updated appraisal received in June 2025 valued the property at $8.1 million, above the November 2024 appraised value of $7.6 million, but significantly below the issuance appraised value of $24.0 million, respectively. When considering cumulative appraisal subordination entitlement reductions and nonrecoverable interest, the loan's total exposure exceeded $21.0 million as of November 2025. Morningstar DBRS liquidated the loan in its analysis by applying a haircut to the most recent appraised value, which resulted in an implied loss of $14.5 million and a loss severity of 85.0%. The 4400 Jenifer Street loan is secured by a three-story, 83,777-sf Class B office property in the Friendship Heights neighborhood of Washington, D.C. The loan is currently on the servicer's watchlist for a low DSCR and low occupancy rate, in addition to an upcoming maturity date in February 2026. While the property was 78.6% occupied according to the September 2025 rent roll, its cash flow has remained subdued for an extended period of time, in large part because new leases have been signed at lower rental rates with concurrent increases in operating expenses. The loan's DSCR has remained below breakeven since 2021 with the YE2024 net cash flow more than 60.0% below the issuance figure. Given the sustained decline in operating performance and an upcoming loan maturity, Morningstar DBRS evaluated this loan under a liquidation scenario by applying a conservative haircut to the issuance appraised value of $37.1 million. This resulted in an implied loss of $14.1 million and a loss severity approaching 60.0%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C7: DBRS Gives (P) BB Rating on Class F-RR Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C7 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2025-5C7 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (high) (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AAA (sf) -- Class C at (P) AA (sf) -- Class X-D at (P) A (high) (sf) -- Class D at (P) A (sf) -- Class E-RR at (P) BBB (sf) -- Class F-RR at (P) BB (sf) -- Class MBP-C at (P) A (low) (sf) -- Class MBP-X at (P) A (low) (sf) -- Class MBP-D at (P) BBB (low) (sf) -- Class MBP-E at (P) BB (low) (sf) -- Class MBP-F at (P) B (low) (sf) -- Class CG-A at (P) BB (low) (sf) -- Class CG-B at (P) B (low) (sf) All trends are Stable. The collateral for the Wells Fargo Commercial Mortgage Trust 2025-5C7 transaction consists of 25 loans secured by 265 commercial and multifamily properties with an aggregate cut-off date balance of approximately $771.9 million. Two loans, representing 15.5% of the pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow (NCF) and their respective constants, the initial Morningstar DBRS weighted-average (WA) debt service coverage ratio (DSCR) of the pool was 1.53 times (x). Excluding the two shadow-rated loans, the Morningstar DBRS Issuance DSCR drops to 1.41x. Of the 25 loans, eight loans, representing 32.4% of the pool, have a Morningstar DBRS Issuance DSCR of less than 1.25x, typical of loans that have historically had higher default frequencies. The Morningstar DBRS WA Issuance loan-to-value ratio (LTV) of the pool was 57.4% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 57.1% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a moderate Morningstar DBRS WA Issuance LTV of 61.8% and a Morningstar DBRS WA Balloon LTV of 61.4%. Seven of the 25 loans, representing 24.3% of the pool, have Morningstar DBRS Issuance LTVs above 67.6%, typical of loans that have historically had higher default frequencies. The transaction has a sequential-pay pass-through structure. Morningstar DBRS also provided credit ratings on the rake bonds for Mall at Bay Plaza (Prospectus ID#1; 9.1% of the pool) and Crossgates Mall (Prospectus ID#9; 4.5% of the pool) in tandem with the Wells Fargo Commercial Mortgage Trust 2025-5C7 transaction. Morningstar DBRS considered the credit characteristics of each loan consistent with the "North American Single-Asset/Single-Borrower Ratings Methodology," and assigned credit ratings based on the identified subordinate debt. More information on both of these loans can be found in the Presale Report. Notes: All figures are in U.S. dollars unless otherwise noted. WP GLIMCHER 2015-WPG: DBRS Cuts Rating on Class PR-2 Certs to B --------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-WPG issued by WP Glimcher Mall Trust 2015-WPG (the Issuer) as follows: -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BBB (low) (sf) from A (low) (sf) -- Class X to BBB (low) (sf) from A (sf) -- Class PR-1 to BB (low) (sf) from BBB (low) (sf) -- Class PR-2 to B (sf) from BB (sf) Additionally, Morningstar DBRS placed all classes Under Review with Negative Implications as an updated appraised value has not been reported since issuance. In the event that an updated appraisal shows a value decline beyond Morningstar DBRS' expectations, additional credit rating downgrades may be warranted. The credit rating downgrades reflect Morningstar DBRS' updated value estimate for the sole remaining loan, Pearlridge Center (Prospectus ID#1), which transferred to special servicing in May 2025 for maturity default. In April 2025, the loan's sponsor, Washington Prime Group (WPG), announced its plans to wind down its operations and sell off the rest of its U.S. retail portfolio. Given the subject's declining performance and the sponsor's desire to liquidate its portfolio, Morningstar DBRS updated the loan's value in the analysis for this review, the results of which suggest that the loan's loan-to-value ratio (LTV) has increased beyond 100.0%, supporting the credit rating downgrades. This transaction was originally backed by portions of the senior debt and all of the subordinate debt secured by Scottsdale Quarter (Prospectus ID#2), a 541,386-square-foot (sf) mixed-use retail center in Scottsdale, Arizona; and Pearlridge Center, a 1.14 million-sf super-regional mall in Aiea, Hawaii, which is the state's largest enclosed shopping center. Both properties were managed by WPG and are not cross-collateralized or cross-defaulted. As of the November 2025 remittance, the trust balance totaled $105.0 million, which represents a 47.5% collateral reduction since issuance following the repayment of the Scottsdale Quarter loan in July 2025. Pearlridge Center is an enclosed center that was originally built in 1972 and is located just north of Pearl Harbor. The mall is anchored by Macy's (18.4% of net rentable area (NRA)), which has a lease expiration in February 2027. As of June 2025, the property was 80% occupied; this remains in line with the YE2024 figure but is well below the YE2023 figure of 91%. Occupancy fell in 2024 following the closures of Bed Bath & Beyond (previously 7.3% of NRA) and several other tenants. The loan reported a trailing 12-month (T-12) net cash flow (NCF) of $17.9 million (a debt service coverage ratio (DSCR) of 2.22 times (x)) for the period ended June 30, 2025, which represents a decline from the YE2024 NCF of $19.8 million (DSCR of 2.45x) and the YE2023 NCF of $22.8 million (DSCR of 2.83x). In the analysis for this review, Morningstar DBRS derived an updated value for the Pearlridge Center loan using the NCF for the T-12 period ended June 30, 2025, with a 2% haircut applied. Morningstar DBRS increased the capitalization rate to 8.00% from 7.25% to reflect the loan's increased credit risk following its transfer to special servicing, resulting in an updated Morningstar DBRS value of $219.3 million, which represents a variance of -48.7% from the Issuer's appraised value of $427.5 million. Morningstar DBRS maintained a positive qualitative adjustment to the LTV Sizing Benchmarks totaling 4.00% to reflect the property's quality and strong market fundamentals, as the property benefits from its location and strong competitive position. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Confirms 14 Ratings From 4 Bridgecrest Trust Transactions ----------------------------------------------------------------- DBRS, Inc. upgraded seven credit ratings and confirmed fourteen credit ratings from four Bridgecrest Lending Auto Securitization Trust Transactions. The Affected Ratings are available at https://tinyurl.com/3rv95kth The Issuers are: Bridgecrest Lending Auto Securitization Trust 2023-1 Bridgecrest Lending Auto Securitization Trust 2024-4 Bridgecrest Lending Auto Securitization Trust 2024-2 Bridgecrest Lending Auto Securitization Trust 2025-2 Credit rating rationale includes the key analytical considerations. -- For Bridgecrest Lending Auto Securitization Trust 2023-1, Bridgecrest Lending Auto Securitization Trust 2024-2, Bridgecrest Lending Auto Securitization Trust 2024-4, and Bridgecrest Lending Auto Securitization Trust 2025-2, although current losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current level of hard credit enhancement (CE) and estimated excess spread is sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- Current CE levels have increased in each transaction compared to initial levels. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have been stable in recent months. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, 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. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). [] DBRS Confirms 5 Ratings From 5 United Auto Credit Transactions ----------------------------------------------------------------- DBRS, Inc. upgraded eight credit ratings and confirmed five credit ratings from Five United Auto Credit Securitization Trust Transactions as detailed in the summary chart below. The Affected Ratings are available at https://tinyurl.com/2cyun54b The Issuers are: United Auto Credit Securitization Trust 2024-1 United Auto Credit Securitization Trust 2022-1 United Auto Credit Securitization Trust 2023-1 United Auto Credit Securitization Trust 2025-1 United Auto Credit Securitization Trust 2022-2 Credit rating rationale includes the key analytical considerations: -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the November 2025 payment date. -- For United Auto Credit Securitization Trust 2022-1, United Auto Credit Securitization Trust 2023-1, United Auto Credit Securitization Trust 2024-1, and United Auto Credit Securitization Trust 2025-1, although losses are tracking above the Morningstar DBRS initial base-case Cumulative Net Loss (CNL) expectations, the current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- United Auto Credit Securitization Trust 2022-2 has amortized to a pool factor of 12.00% and has a current CNL to date of 33.84%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 19.90%. Consequently, the revised base-case loss expectation was increased to 36.00%. As of the June 2024 payment date, the overcollateralization (OC) amount has been 0.00% relative to the target of 10.50% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.50% of the initial aggregate pool balance. As of the September 2024 payment date, the RA amount has been fully depleted. The current level of hard CE and estimated excess spread are insufficient to support the current credit rating on the Class E Notes. Given the insufficient level of CE for the Class E Notes to support the full repayment of interest and principal, the credit rating was downgraded to `CCC' (sf) on October 10, 2024. In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. While CNL is tracking above the initial expectation, the Class D Note has benefited from deleveraging and has sufficient CE commensurate with the current credit rating. -- As a percentage of the current collateral balances, total delinquencies have been trending higher over the last six months. -- The transaction parties' capabilities with regard to originating, 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. [] DBRS Reviews 736 Classes From 51 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 736 classes from 51 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as legacy RMBS, reperforming mortgages and prime transactions. Of the 736 classes reviewed, Morningstar DBRS upgraded its credit ratings on 42 classes, confirmed its credit ratings on 693 classes, and discontinued its credit rating on one class. The Affected Ratings are available at https://tinyurl.com/6upr2xjp The Issuers are: Meritage Mortgage Loan Trust 2005-2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE1 Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust C-BASS 2004-CB5 Trust C-BASS 2004-CB6 Trust C-BASS 2004-CB8 Trust C-BASS 2006-RP1 Trust C-BASS 2007-MX1 Trust C-BASS 2005-CB7 Trust C-BASS 2006-CB8 Trust C-BASS 2006-CB1 Trust C-BASS 2006-CB6 Trust C-BASS 2006-CB2 TRUST C-BASS 2005-CB5 Trust C-BASS 2007-SL1 Trust Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-6 BNC Mortgage Loan Trust 2007-4 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5 New Century Home Equity Loan Trust 2004-3 New Century Home Equity Loan Trust 2004-4 C-BASS 2006-CB3 Trust C-BASS 2005-CB8 Trust Park Place Securities Inc., Series 2005-WCH1 Park Place Securities Inc., Series 2004-WHQ2 CIM Trust 2019-INV1 PMT Loan Trust 2013-J1 Citigroup Mortgage Loan Trust 2014-A CIM Trust 2020-J2 CIM Trust 2018-J1 Towd Point Mortgage Trust 2020-2 CIM Trust 2018-INV1 Towd Point Mortgage Trust 2021-SJ2 TIAA Bank Mortgage Loan Trust 2018-3 TIAA Bank Mortgage Loan Trust 2018-2 MetLife Securitization Trust 2020-INV1 GSAMP Trust 2005-HE3 Fremont Home Loan Trust 2005-D BNC Mortgage Loan Trust 2007-1 J.P. Morgan Mortgage Trust 2005-A2 Morgan Stanley Capital I Inc. Trust 2006-NC2 Galton Funding Mortgage Trust 2018-2 Citigroup Mortgage Loan Trust 2006-WFHE3 First Franklin Mortgage Loan Trust 2005-FFH3 Securitized Asset Backed Receivables LLC Trust 2005-OP2 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6 Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3 CWABS Asset-Backed Certificates Trust 2004-AB2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit rating reflects the full repayment of principal to the bondholders. 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 (https://dbrs.morningstar.com/research/463860/).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 US Dollars unless otherwise noted. [] DBRS Reviews 77 Classes in 9 US RMBS Transactions ---------------------------------------------------- DBRS, Inc. reviewed 77 classes in nine U.S. residential mortgage-backed securities (RMBS) transactions. Of the nine transactions reviewed, six are classified as reperforming mortgages and three as home equity lines of credit. Of the 77 classes reviewed, Morningstar DBRS upgraded its credit ratings on 33 classes and confirmed its credit ratings on the remaining 44 classes. The Affected Ratings are available at https://tinyurl.com/5dxw9xs7 The Issuers are: NLT 2023-1 Trust FIGRE Trust 2024-HE6 NYMT Loan Trust 2022-CP1 Towd Point Mortgage Trust 2024-2 Towd Point Mortgage Trust 2023-1 Citigroup Mortgage Loan Trust 2024-RP4 GS Mortgage-Backed Securities Trust 2024-RPL1 PRMI Securitization Trust 2022-CMG1 Saluda Grade Alternative Mortgage Trust 2023-FIG4 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2025 Update" published on September 30, 2025 (https://dbrs.morningstar.com/research/463860). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Cuts 3 Classes From 19 US CMBS Deals From 2013 Vintage --------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 94 classes from 19 U.S. CMBS multi-borrower transactions from the 2013 vintage. All transactions are concentrated by the remaining number of loans/assets. The Rating Outlooks were revised to Stable from Negative for seven classes across four transactions. Two classes were assigned a Negative Outlook after their downgrade. Entity/Debt Rating Prior ----------- ------ ----- COMM 2013-CCRE11 D 12626LAY8 LT BBB-sf Affirmed BBB-sf E 12626LBA9 LT BBsf Affirmed BBsf F 12626LBC5 LT CCCsf Affirmed CCCsf COMM 2013-CCRE9 E 12625UAL7 LT CCsf Affirmed CCsf F 12625UAN3 LT Csf Affirmed Csf MSBAM 2013-C10 B 61762MBZ3 LT Asf Affirmed Asf C 61762MCB5 LT BBBsf Affirmed BBBsf D 61762MBC4 LT CCCsf Affirmed CCCsf E 61762MBE0 LT CCsf Affirmed CCsf F 61762MBG5 LT Csf Affirmed Csf G 61762MBJ9 LT Csf Affirmed Csf H 61762MBL4 LT Csf Affirmed Csf PST 61762MCA7 LT BBBsf Affirmed BBBsf Citigroup Commercial Mortgage Trust 2013-GC15 E 17321JAR5 LT B-sf Affirmed B-sf F 17321JAT1 LT CCsf Affirmed CCsf X-C 17321JAM6 LT B-sf Affirmed B-sf WFRBS 2013-C14 A-S 92890PAG9 LT AAAsf Affirmed AAAsf B 92890PAH7 LT BBBsf Affirmed BBBsf C 92890PAJ3 LT BBsf Affirmed BBsf D 92890PBG8 LT CCsf Affirmed CCsf E 92890PBJ2 LT Csf Affirmed Csf F 92890PBL7 LT Csf Affirmed Csf PEX 92890PAK0 LT BBsf Affirmed BBsf X-A 92890PAL8 LT AAAsf Affirmed AAAsf X-B 92890PAM6 LT BBBsf Affirmed BBBsf COMM 2013-CCRE12 A-M 12591KAG0 LT B-sf Downgrade BBsf B 12591KAH8 LT CCsf Affirmed CCsf C 12591KAK1 LT Csf Affirmed Csf D 12624SAE9 LT Dsf Affirmed Dsf E 12624SAG4 LT Dsf Affirmed Dsf F 12624SAJ8 LT Dsf Affirmed Dsf PEZ 12591KAJ4 LT Csf Affirmed Csf X-A 12591KAF2 LT B-sf Downgrade BBsf X-B 12624SAA7 LT CCsf Affirmed CCsf JPMCC 2013-C10 C 46639JAK6 LT BBB-sf Affirmed BBB-sf D 46639JAL4 LT BBsf Affirmed BBsf E 46639JAP5 LT CCCsf Affirmed CCCsf F 46639JAR1 LT CCsf Affirmed CCsf WFRBS 2013-C11 B 92937EAG9 LT Asf Affirmed Asf C 92937EAH7 LT BBBsf Affirmed BBBsf D 92937EAJ3 LT BBsf Affirmed BBsf E 92937EAL8 LT Bsf Affirmed Bsf F 92937EAN4 LT CCsf Affirmed CCsf X-B 92937EAU8 LT BBBsf Affirmed BBBsf WFRBS 2013-C15 B 92938CAH0 LT BBsf Affirmed BBsf C 92938CAJ6 LT CCsf Affirmed CCsf D 92938CAL1 LT Dsf Affirmed Dsf E 92938CAN7 LT Dsf Affirmed Dsf F 92938CAQ0 LT Dsf Affirmed Dsf PEX 92938CAK3 LT CCsf Affirmed CCsf MSBAM 2013-C12 C 61762XAZ0 LT A-sf Affirmed A-sf D 61762XAC1 LT BBsf Affirmed BBsf E 61762XAE7 LT CCCsf Affirmed CCCsf F 61762XAG2 LT CCsf Affirmed CCsf G 61762XAJ6 LT Csf Affirmed Csf PST 61762XAY3 LT A-sf Affirmed A-sf JPMBB 2013-C15 D 46640NAP3 LT CCCsf Downgrade B-sf E 46640NAR9 LT CCsf Affirmed CCsf F 46640NAT5 LT Csf Affirmed Csf WFCM 2013-LC12 B 94988QAQ4 LT Bsf Affirmed Bsf C 94988QAS0 LT CCsf Affirmed CCsf D 94988QAU5 LT Csf Affirmed Csf E 94988QAW1 LT Csf Affirmed Csf F 94988QAY7 LT Dsf Affirmed Dsf PEX 94988QBJ9 LT CCsf Affirmed CCsf WFRBS 2013-C13 D 92937UAJ7 LT BBsf Affirmed BBsf E 92937UAL2 LT Bsf Affirmed Bsf F 92937UAN8 LT CCCsf Affirmed CCCsf JPMBB 2013-C14 C 46640LAK8 LT BBsf Affirmed BBsf D 46640LAN2 LT CCsf Affirmed CCsf E 46640LAQ5 LT Csf Affirmed Csf F 46640LAS1 LT Csf Affirmed Csf G 46640LAU6 LT Csf Affirmed Csf COMM 2013-CCRE13 C 12630BBF4 LT PIFsf Paid In Full BBsf D 12630BAE8 LT CCCsf Affirmed CCCsf E 12630BAG3 LT Csf Affirmed Csf F 12630BAJ7 LT Csf Affirmed Csf PEZ 12630BBE7 LT PIFsf Paid In Full BBsf GS Mortgage Securities Trust 2013-GC13 A-S 36198EAP0 LT AA-sf Affirmed AA-sf B 36198EAS4 LT A-sf Affirmed A-sf C 36198EAY1 LT Bsf Affirmed Bsf D 36198EBB0 LT CCsf Affirmed CCsf E 36198EBE4 LT Csf Affirmed Csf F 36198EBH7 LT Csf Affirmed Csf PEZ 36198EAV7 LT Bsf Affirmed Bsf X-B 36198EAH8 LT Csf Affirmed Csf UBS-BB 2013-C5 B 90270YAG4 LT Asf Affirmed Asf C 90270YAL3 LT BBsf Affirmed BBsf D 90270YAN9 LT CCsf Affirmed CCsf E 90270YAQ2 LT Csf Affirmed Csf EC 90270YAJ8 LT BBsf Affirmed BBsf F 90270YAS8 LT Csf Affirmed Csf XB 90270YAE9 LT Asf Affirmed Asf UBS-BB 2013-C6 D 90349GAS4 LT Csf Affirmed Csf E 90349GAU9 LT Csf Affirmed Csf F 90349GAW5 LT Csf Affirmed Csf WFRBS 2013-C16 D 92938EBR3 LT BBsf Affirmed BBsf E 92938EBU6 LT CCCsf Affirmed CCCsf F 92938EBX0 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration; Adverse Selection: These transactions are concentrated with fewer than five loans/assets, with many of the loans being specially serviced loans and Fitch Loans of Concerns (FLOCs). Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). The downgrades reflect loan loss expectations, driven by defaulted assets and FLOCs, secured mostly by retail and office properties where performance has either not stabilized or has deteriorated further, and specially serviced loans/assets in the transactions. The affirmations reflect transactions in which Fitch's loan level loss expectations generally remain in line with its prior rating action. Updated valuations reported by the respective servicers were used for distressed loans where applicable. The Outlooks for seven class across four transactions (MSBAM 2013-C12, MSBAM 2013-C10, WFRBS 2013-C11 and WFCM 2013-LC12) were revised to Stable from Negative due to the respective classes' higher credit enhancement, and anticipated amortization and/or paydown compared to loan loss expectations. Below Investment-Grade Downgrades: In COMM 2013-CCRE12, the downgrades primarily reflected higher loss expectations since the last rating action on the 175 West Jackson loan (62% of the pool), which is secured by a 22-story 1.45 million-sf office building located in downtown Chicago, IL. Recent valuations indicate a value decline of approximately 80% from issuance. Occupancy remains challenged, with reported occupancy of 53% as of June 2025, which is slightly down from 58% at year-end 2024 and 55% at year-end 2023. The servicer-reported NCF DSCR is negative as of June 2025, compared with 1.12x as of YE 2024 and 1.34x as of YE 2023. Per recent servicer commentary, discussions are underway with the borrower about a potential cooperative marketing/sale of the property; a buyer has been identified and a sales contract is being negotiated. The master servicer has deemed outstanding advances on the loan as non-recoverable. Additionally, there is no certainty the sale will close. This contributes to the Negative Outlooks on the downgraded classes. The JPMBB 2013-C15 downgrade primarily reflects higher loss expectations since the last rating action on the only loan remaining, 1615 L Street, which is secured by a 417,383-sf office property located in downtown Washington, D.C. constructed in 1984 and renovated in 2009. The reported property was 32% occupied as of October 2025, compared to 69% occupied as of June 2024. The drop in occupancy is due to a two-floor tenant vacating in January 2025, a full-floor tenant vacating in April 2025, and another full-floor tenant vacating in August 2025. The latest appraisal reflects a significant value decline since issuance of approximately 69%. The Negative Outlooks on and/or distressed ratings for classes in each transaction reflect a high concentration of FLOCs, including specially serviced loans, and the classes' reliance on FLOCs to repay. The FLOCs in these transactions include: - COMM 2013-CCRE11: Oglethorpe Mall; Parkview Tower; Hartford Gardens Portfolio; 380 Lafayette Street; - COMM 2013-CCRE12: 175 West Jackson; Oglethorpe Mall; The Mave Hotel; The Crossings; Walgreens Marketplace Bel Air; - COMM 2013-CCRE13: 175 West Jackson; Park Plaza; 525 West 22nd Street; - GSMS 2013-GC13: Mall St. Matthews; Crossroads Center; Plaza America Towers III & IV; Holiday Inn-6th Avenue; - JPMBB 2013-C15: 1615 L Street; - MSBAM 2013-C12: 15 MetroTech Center; Westfield Countryside; 385 Fifth Avenue; Hermitage Crossing; - JPMCC 2013-C10: Gateway Center; West County Center; - MSBAM 2013-C10: Westfield Citrus Park; Milford Plaza Fee; 262-270 East Fordham Road; - WFRBS 2013-C11: Republic Plaza; 515 Madison Avenue; - CGCMT 2013-GC15: 735 Sixth Avenue; Spectrum Office Building; Rivers Business Commons; Cayuga Professional Center; - COMM 2013-CCRE9: Valley Hills Mall; Lunds at Cobalt; - JPMBB 2013-C14: Meadows Mall; Southridge Mall; 10 South Broadway; - USBB 2013-C5: Valencia Town Center; The Heights; 240 Park Avenue South; - USBB 2013-C6: Broward Mall; Harborplace - A note; Harborplace - B note; - WFCM 2013-LC12: Carolina Place; White Marsh Mall; Hotel Vetiver; - WFRBS 2013-C13: 301 South College Street; Johnson City Town Center; - WFRBS 2013-C14: Midtown I & II; White Marsh Mall; 301 South College Street; Mobile Festival Centre; 808 Broadway; - WFRBS 2013-C15: Augusta Mall; Carolina Place; - WFRBS 2013-C16: Augusta Mall; West Mall Office Park. Office Concentration and Regional Mall Exposure: As of the October 2025 reporting, 14 of the transactions feature loans secured by office assets, and 14 of the transactions feature loans secured by regional malls that have not paid off at their initial maturity dates and have been extended and/or remain specially serviced. Changes in Credit Enhancement: As of the October 2025 reporting, the aggregate pool balance of these 19 transactions from the 2013 vintage decreased by an average of approximately 88% (ranging from 77% to 96%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades stemming from issues with potential further declines in performance that could result in higher-than-expected losses on the FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better-than-expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Rating Action on 17 Bonds from 12 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 16 bonds and downgraded the rating of one bond from 12 US residential mortgage-backed transactions (RMBS), backed by prime jumbo, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2001-AQ1 Asset Backed Pass-Through Certificates Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 18, 2015 Downgraded to B1 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2002-D Cl. M-1, Upgraded to Caa2 (sf); previously on Mar 29, 2011 Downgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2003-ABF1 Cl. A, Upgraded to Aa2 (sf); previously on Feb 8, 2019 Upgraded to Aa3 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3 Cl. I-M-1, Upgraded to Caa1 (sf); previously on Oct 25, 2018 Upgraded to Caa2 (sf) Cl. I-M-2, Upgraded to Ca (sf); previously on Mar 3, 2011 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FFH4 Cl. M-8, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Long Beach Mortgage Loan Trust 2003-3 Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 15, 2019 Upgraded to Caa3 (sf) Issuer: MortgageIT Trust 2004-1 Cl. A-2, Upgraded to A1 (sf); previously on Jan 31, 2020 Upgraded to A3 (sf) Issuer: MortgageIT Trust 2004-2 Cl. A-1, Upgraded to Aa1 (sf); previously on Oct 1, 2018 Upgraded to Aa3 (sf) Cl. A-2, Upgraded to Aa2 (sf); previously on Oct 1, 2018 Upgraded to A2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP2 Cl. A-5, Upgraded to Caa1 (sf); previously on Jun 26, 2012 Downgraded to Caa2 (sf) Issuer: RASC Series 2004-KS11 Trust Cl. M-2, Upgraded to Caa2 (sf); previously on May 31, 2019 Upgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4 Cl. A-5, Upgraded to A3 (sf); previously on Dec 28, 2018 Upgraded to Baa1 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA3 Cl. 1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. 2A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. 2A-1A, Upgraded to B1 (sf); previously on Jan 12, 2016 Upgraded to B3 (sf) Cl. 2A-1B, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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 rating downgrade of Class M-2 issued by ACE Securities Corp. Home Equity Loan Trust, Series 2001-AQ1 Asset Backed Pass-Through Certificates 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. 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 Takes Rating Action on 36 Bonds from 20 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 35 bonds and downgraded the rating of one bond from 20 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2005-4 Cl. M3, Upgraded to Ca (sf); previously on Sep 19, 2012 Downgraded to C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust Series MO 2006-HE6 Cl. M1, Upgraded to Caa3 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series RFC 2007-HE1 Cl. A4, Upgraded to Aa1 (sf); previously on Nov 6, 2024 Upgraded to Baa1 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Nov 6, 2024 Upgraded to Ba1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5 Cl. I-A-4, Upgraded to Aaa (sf); previously on Feb 2, 2024 Upgraded to Aa1 (sf) Cl. II-A, Upgraded to Aaa (sf); previously on Feb 2, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 2, 2024 Upgraded to Caa3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7 Cl. M-1, Upgraded to Ca (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR5 Cl. I-A-2, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: BNC Mortgage Loan Trust 2007-3 Cl. A1, Upgraded to Caa1 (sf); previously on Aug 21, 2015 Upgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AMC4 Cl. M-1, Upgraded to Caa1 (sf); previously on Dec 28, 2017 Upgraded to Caa2 (sf) Issuer: CSAB Mortgage Backed Trust 2006-4 Cl. A-2-A, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-2-B, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-4, Underlying Rating: Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc (Affirmed at A1, Outlook stable on Jul, 2024) Cl. A-5, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. A-6-A, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1 Cl. A-4, Upgraded to Aaa (sf); previously on Feb 1, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa2 (sf); previously on Mar 7, 2018 Upgraded to Ca (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-NC2 Cl. A-2d, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Oct 30, 2019 Upgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2005-2AR Cl. A, Upgraded to A3 (sf); previously on Sep 21, 2018 Upgraded to Baa1 (sf) Issuer: Morgan Stanley Structured Trust I 2007-1 Cl. A-4, Upgraded to Baa1 (sf); previously on Oct 31, 2024 Upgraded to Ba1 (sf) Issuer: Nationstar Home Equity Loan Trust 2006-B Cl. M-4, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: Nationstar Home Equity Loan Trust 2007-A Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Nationstar Home Equity Loan Trust 2007-B Cl. M-2, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-A Cl. M-1, Downgraded to B1 (sf); previously on May 28, 2024 Downgraded to Ba2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-WF1 Cl. II-A-4, Upgraded to Aaa (sf); previously on Nov 14, 2024 Upgraded to Aa1 (sf) Cl. II-A-5, Upgraded to Aaa (sf); previously on Nov 14, 2024 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust 2007-2 Cl. A-2C, Upgraded to A1 (sf); previously on Nov 12, 2024 Upgraded to Baa1 (sf) Cl. A-2D, Upgraded to A1 (sf); previously on Nov 12, 2024 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-4 Cl. M-3, Upgraded to Ca (sf); previously on Jul 14, 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 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, 1.10x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating downgrade is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The downgraded 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. 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. 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 23 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 23 bonds from seven US residential mortgage-backed transactions (RMBS). Rate Mortgage Trust 2021-HB1 is backed by agency eligible high balance mortgage loans. Bayview Opportunity Master Fund VI Trust 2021-INV6, Bayview MSR Opportunity Master Fund Trust 2022-INV2, Bayview Opportunity Master Fund VIa Trust 2022-INV3, OBX 2021-INV3 Trust, Oceanview Mortgage Trust 2022-INV1, and PMT Loan Trust 2021-INV2 are backed by agency eligible investor (INV) mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview MSR Opportunity Master Fund Trust 2022-INV2 Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 10, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Feb 11, 2025 Upgraded to A3 (sf) Issuer: Bayview Opportunity Master Fund VI Trust 2021-INV6 Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 10, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Feb 12, 2025 Upgraded to A3 (sf) Issuer: Bayview Opportunity Master Fund VIa Trust 2022-INV3 Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 11, 2025 Upgraded to Aa2 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Feb 11, 2025 Upgraded to Baa1 (sf) Issuer: OBX 2021-INV3 Trust Cl. B-2, Upgraded to Aa2 (sf); previously on Apr 10, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Apr 10, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Feb 12, 2025 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Feb 12, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Apr 10, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 12, 2025 Upgraded to Ba2 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Apr 10, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Feb 12, 2025 Upgraded to A2 (sf) Issuer: Oceanview Mortgage Trust 2022-INV1 Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Feb 12, 2025 Upgraded to Baa1 (sf) Issuer: PMT Loan Trust 2021-INV2 Cl. B-1, Upgraded to Aa1 (sf); previously on May 31, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Feb 27, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on May 31, 2024 Upgraded to Baa3 (sf) Issuer: Rate Mortgage Trust 2021-HB1 Cl. B-1, Upgraded to Aaa (sf); previously on Apr 22, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Apr 22, 2024 Upgraded to Aa2 (sf) Cl. B-X-1*, Upgraded to Aaa (sf); previously on Apr 22, 2024 Upgraded to Aa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .15% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.2x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. 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