251228.mbx

251228.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 28, 2025, Vol. 29, No. 361 Headlines 522 FUNDING 2019-5: S&P Lowers Class D-R Notes Rating to 'BB+(sf)' ABRY LIQUID: Fitch Assigns BB-sf Rating to Class E Debt ACHD TRUST 2025-DS1: DBRS Finalizes BB Rating on Class B Notes AMMC CLO 33: S&P Assigns BB- (sf) Rating on Class E Notes ANCHORAGE CAPITAL 34: Moody's Assigns (P)B3 Rating to Cl. F Notes ANCHORAGE CREDIT 12: Moody's Ups Rating on $18MM E Notes from Ba3 APIDOS CLO LV: Moody's Assigns B3 Rating to $550,000 Class F Notes APIDOS CLO XXXIV: Fitch Affirms BB+(EXP) Rating on Class E-R2 Debt APIDOS CLO XXXIV: Moody's Assigns B3 Rating to $500,000 F-R2 Notes APIDOS CLO XXXVI: Fitch Gives BB+(EXP) Rating on Class E-R Debt APIDOS CLO XXXVI: Moody's Assigns B3 Rating to $500,000 F-R Notes ATLAS SENIOR VIII: S&P Lowers Class F Notes Rating to 'CCC- (sf)' BAIN CAPITAL 2025-3: S&P Assigns B- (sf) Rating on Class F Notes BAMLL 2025-1105W: DBRS Finalizes B(low) Rating on HRR Certs BAMLL COMMERCIAL 2025-HYT: Moody's Assigns B3 Rating to F Certs BARCLAYS MORTGAGE 2025-NQM7: S&P Assigns B(sf) Rating on B-2 Notes BATTALION CLO X: S&P Affirms B+ (sf) Rating on Class D-R2 Notes BATTALION CLO XXX: Fitch Rates Class D-2 Notes to BB-sf BAYSWATER PARK: S&P Assigns Prelim BB- (sf) Rating on E-R Notes BCC MIDDLE 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes BENCHMARK 2021-B25: Fitch Cuts Rating on 2 Tranches to CCCsf BENEFIT STREET 44: S&P Assigns BB- (sf) Rating on Class E Notes BMO 2025-5C13: Fitch Gives 'BB+(EXP)' Rating on Class E-RR Certs BX TRUST 2025-DELC: DBRS Finalizes B(high) Rating on HRR Certs CD 2016-CD1: DBRS Confirms C Rating on 3 Tranches CFCRE 2016-C3: Fitch Affirms CCsf Rating on 2 Tranches CHI COMMERCIAL: Fitch Assigns BB-sf Rating to Class HRR Certs CHURCHILL SLF 2025-1: S&P Assigns B- (sf) Rating on Class E Notes CIFC FUNDING 2021-II: Fitch Assigns BB- Rating on Class E-R Debt CITIGROUP 2014-GC25: DBRS Confirms C Rating on 6 Tranches CITIGROUP MORTGAGE 2025-LTV1: Fitch Rates Class B-2 Notes 'B-sf' COMM 2014-CCRE18: DBRS Confirms C Rating on Class F Certs COMM MORTGAGE 2004-LNB2: Fitch Withdraws D Ratings on 4 Classes CSAIL 2015-C4: DBRS Confirms B Rating on Class XG Certs DIAMETER CAPITAL 13: S&P Assigns Prelim BB- (sf) Rating on E Notes DRYDEN 54 SENIOR: Moody's Affirms B1 Rating on $20MM Class E Notes DRYDEN 72 CLO: S&P Lowers Class E-R Notes Rating to B (sf) EFMT 2025NQM6: Fitch Assigns B-(EXP) Rating to Class B2 Debt ELDRIDGE MMPC 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes ELMWOOD CLO 46: Fitch Assigns BB-sf Rating on Class E Notes FIGRE TRUST 2025-FL2: DBRS Finalizes B Rating on B2 Notes FIGRE TRUST 2025-FL2: Moody's Assigns B2 Rating to Cl. B-2 Certs FMBT TRUST 2024-FBLU: DBRS Confirms B(low) Rating on G Certs FREDDIE MAC 2022-HQA2: Moody's Ups Rating on 6 Tranches from Ba1 GARNET CLO 4: Moody's Assigns B3 Rating to $200,000 Class F Notes GCAT TRUST 2025-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs GREYWOLF CLO III: S&P Affirms B- (sf) Rating on Class E-R Notes GS MORTGAGE 2015-GC28: DBRS Confirms CCC Rating on 2 Classes GSJP TRUST 2025-BEDS: Moody's Assigns B3 Rating to Cl. HRR Certs HILTON GRAND 2025-3XT: Fitch Rates Class D Notes 'BB-sf' ISLAND FINANCE 2025-1: DBRS Confirms BB(high) Rating on C Notes JP MORGAN 2025-NQM5: DBRS Gives Prov. B(low) Rating on B2 Certs JPMBB 2015-C29: DBRS Confirms C Rating on Class D Certs JPMBB 2015-C33: DBRS Confirms B(low) Rating on Class D1 Certs JPMBB COMMERCIAL 2014-C24: Moody's Affirms B2 Rating on C Certs KEYCORP STUDENT 2006-A: Fitch Affirms CCsf Rating on II-C Debt KINGS PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes KKR CLO 38: Moody's Assigns B3 Rating to $250,000 Cl. F-1-R Notes LCM XVII: S&P Raises Class E-R Notes Rating to B+ (sf) MADISON PARK LXXV: Moody's Assigns B3 Rating to $250,000 F Notes MADISON PARK XLVIII: Moody's Gives B3 Rating to $250,000 F-R Notes MAGNETITE LII LTD: Moody's Gives (P)Ba3 Rating to $20.15MM E Notes MAGNETITE LII: Moody's Assigns Ba3 Rating to $20.15MM Class E Notes MERCHANTS FLEET 2025-1: DBRS Finalizes BB Rating on E Notes MIDOCEAN CREDIT XX: Fitch Gives BB-(EXP) Rating on Class E Debt MJX VENTURE II: Moody's Cuts Rating on Series D/Class E Notes to B3 MKT 2020-525M: DBRS Confirms B Rating on Class E Certs NASSAU 2018-II LTD: Moody's Cuts Rating on $30.3MM E Notes to Ca OBRA CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes OCP AEGIS 2025-47: Fitch Assigns BB-sf Rating to Class E Debt OCP CLO 2023-30: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OCP CLO 2025-48: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT XXI: Moody's Affirms Ba3 Rating to D-R3 Notes OHA CREDIT 24: Fitch Gives BB-(EXP) Rating to Class E Debt OWN EQUIPMENT III: DBRS Finalizes BB(low) Rating on C Notes PMT LOAN 2025-J5: DBRS Gives Prov. B(low) Rating on B5 Notes POLEN CAPITAL 2025-2: Fitch Gives BB-sf Rating to Class E Debt POLUS US III: S&P Assigns Prelim BB- (sf) Rating on Class E Notes PREFERRED TERM XXVII: Moody's Ups Rating on $24MM C-1 Notes to B2 PRMI SECURITIZATION 2025-CMG1: Fitch Rates Cl. B1 Notes 'BB+(EXP)' PROVIDENT FUNDING 2025-6: Moody's Assigns B2 Rating to B-5 Certs PRPM 2025-NQM6: DBRS Gives Prov. B(high) Rating on B2 Certs PRPM 2025-NQM6: Fitch Gives B(EXP) Rating to Class B2 Certs PRPM 2025-RCF6: Fitch Assigns BB-sf Rating to Class M-2 Notes PRPM 2025-RPL5: Fitch Rates Class M-2 Notes 'BBsf' RAD CLO 22: Fitch Rates Class D-R Debt 'BB-sf' RED OAK 2025-1: DBRS Finalizes BB(low) Rating on C Notes RIN 10 LLC: Moody's Assigns (P)Ba3 Rating to $8MM Class E Notes RIN 10 LLC: Moody's Assigns Ba3 Rating to $8MM Class E Notes RISERVA CLO: S&P Affirms CCC+ (sf) Rating on Class F-RR Notes RR 8 LTD: Fitch Assigns BB-sf Rating on Class D-R2 Debt SALUDA GRADE 2025-FIG6: DBRS Finalizes B(low) Rating on C Notes SANDSTONE PEAK IV: S&P Assigns BB- (sf) Rating on Class E Notes SANTANDER BANK 2025-A: Moody's Assigns B3 Rating to Class F Notes SG RESIDENTIAL 2025-1: S&P Assigns 'B-' Rating on Class B-2 Certs SILVER POINT 14: Moody's Assigns B3 Rating to $300,000 Cl. F Notes SILVER POINT CLO 3: Fitch Assigns BBsf Rating on Class E-R Debt STAR POINT 2025-1: DBRS Finalizes BB Rating on Class C Notes STAR POINT 2025-1: DBRS Gives Prov. B(low) Rating on D Notes TCW CLO 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes TRAINER WORTHAM V: S&P Affirms 'CC (sf)' Rating on Class A-2 Notes TRIMARAN CAVU 2025-3: S&P Assigns BB- (sf) Rating on Class E Notes TRINITAS CLO XXXVII: Moody's Assigns B3 Rating to $1.2MM F Notes UBS COMMERCIAL 2018-C11: Fitch Affirms CCCsf Rating on F-RR Certs UNLOCK HEA 2025-3: DBRS Finalizes BB(low) Rating on C Notes VENTURE 34 CLO: Moody's Cuts Rating on $25MM Class E Notes to B1 VENTURE XXIX CLO: Moody's Cuts Rating on $26MM Cl. E Notes to Caa3 VERUS SECURITIZATION 2025-12: S&P Assigns 'B' Rating on B-2 Notes VERUS SECURITIZATION: Fitch Assigns Bsf Rating on Class B2 Notes VOYA CLO 2023-1: Fitch Gives BB-sf Rating to Class E-R Debt WELLS FARGO 2016-C34: DBRS Confirms C Rating on 3 Tranches WELLS FARGO 2025-5C7: DBRS Finalizes B(low) Rating on CG-B Certs WFRBS 2014-C23: DBRS Confirms C Rating on 6 Tranches WHETSTONE PARK: S&P Affirms BB- (sf) Rating on Class E Notes WHITNEY FUNDING: DBRS Hikes Class E Loan Rating to B(low) WOODMONT 2025-13: S&P Assigns BB- (sf) Rating on Class E Notes Z CAPITAL 2019-1: Moody's Cuts Rating on $25MM Class E Notes to B3 ZETA CHARTER SCHOOLS: S&P Lowers ICR to 'BB' On Increased Leverage [] DBRS Reviews 379 Classes From 20 US RMBS Transactions [] Fitch Affirms Ratings on 12 Tranches of CIFC Funding [] Moody's Takes Rating Action on 12 Bonds from 4 US RMBS Deals [] Moody's Takes Rating Action on 20 Bonds From 6 US RMBS Deals [] Moody's Takes Rating Action on 35 Bonds From 13 US RMBS Deals [] Moody's Upgrades Ratings on 22 Bonds from 12 US RMBS Deals [] Moody's Upgrades Ratings on 27 Bonds From 16 US RMBS Deals [] Moody's Upgrades Ratings on 46 Bonds from 18 US RMBS Deals [] Moody's Upgrades Ratings on 7 Bonds From 5 US MILN Deals [] S&P Discontinues Ratings on 15 Classes From 4 U.S. CMBS Deals [] S&P Takes Various Actions on 121 Classes from 15 US RMBS Deal ********* 522 FUNDING 2019-5: S&P Lowers Class D-R Notes Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class D-R, E-R, and F debt from 522 Funding CLO 2019-5 Ltd. At the same time, S&P affirmed its ratings on the class A-R, B-R, and C-R debt. S&P also removed its rating on the class E-R debt from CreditWatch, where S&P placed it with negative implications on Oct. 10, 2025. The transaction is a U.S. BSL CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans and is managed by Morgan Stanley Eaton Vance CLO Manager LLC. The transaction was originally issued in December 2019 and underwent a refinancing in February 2022, and it will exit its reinvestment period in April 2027. The rating actions follow S&P's review of the transaction's performance using data from the Nov. 4, 2025, trustee report and the recently released December monthly report. On Oct. 10, 2025, S&P placed its rating on the class E-R debt on CreditWatch negative primarily due to the declining credit support for the class, the portfolio's sizeable par loss since closing, and indicative cash flow results. When compared to the April 2022 initial post-refinancing trustee report, the reported November 2025 overcollateralization (O/C) ratios have changed as follows: -- The class A/B O/C ratio declined to 126.87% from 131.69%; -- The class C O/C ratio declined to 117.58% from 122.05%; -- The class D O/C ratio declined to 109.57% from 113.73%; and -- The class E O/C ratio declined to 105.38% from 109.38%. The material decline in the O/C ratios is driven mainly by par loss and default haircuts since February 2022. Relative to the $450.38 million total par balance reported in the initial post-refinancing trustee report, the portfolio par has decreased by approximately 2.78%. S&P calculates this percentage change using the difference between the combined aggregate principal balance and the principal proceeds in the collection account. The O/C ratios continued to deteriorate modestly as of Dec. 3, 2025, trustee report, even though all O/C ratios are currently passing. In addition to par erosion, the portfolio credit metrics have weakened over time. The S&P Global Ratings' weighted average recovery rate (WARR) on the 'AAA'-rated debt has decreased to 38.4% as of the November 2025 reporting from 40.70% as of the April 2022 reporting, while the weighted average spread (WAS) decreased to 3.06% from 3.70% during the same time. S&P notes that these metrics continued to decline modestly as of the Dec. 3, 2025, monthly report. Collateral obligations in the 'CCC' rating category also increased to $18.15 million from $7.89 million during that time, while defaults have increased to $4.65 million from zero. Although the key metrics have declined, the portfolio's credit quality, as reflected by the S&P Global Ratings' weighted average rating factor (SPWARF), is relatively lower than that of peers. The par losses incurred since the refinancing, coupled with sharp declines in both the portfolio's WAS and WARR, have weakened cash flow results at the mezzanine and junior levels of the capital structure. As a result, the class C-R, D-R, E-R, and F debt were no longer passing cash flows at the initial ratings. S&P said, "Following the decline in the credit support and indicative cash flow results, we lowered our ratings on the class D-R, E-R, and F debt to 'BB+ (sf)', 'B (sf)', and 'CCC+ (sf)', respectively. Although the cash flow results pointed to a lower rating for the class F debt, we limited the downgrade to one notch, based on the class's current O/C level and low exposure to 'CCC'/'CCC-' rated assets." On a standalone basis, the results of our cash flow analysis also indicated a lower rating on the class C-R debt than the rating action reflects. However, S&P affirmed the rating after considering the margin of failure, level of SPWARF, passing O/C, and the low exposure to defaults and 'CCC'/'CCC-' rated assets. Any deterioration and/or increase in defaults or par losses could lead to negative rating actions. The affirmations on the class A-R and B-R debt reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to these classes could results in further rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch 522 Funding CLO 2019-5 Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Lowered 522 Funding CLO 2019-5 Ltd. Class D-R to 'BB+ (sf)' from 'BBB- (sf)' Class F to 'CCC+ (sf)' from 'B- (sf)' Ratings Affirmed 522 Funding CLO 2019-5 Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) ABRY LIQUID: Fitch Assigns BB-sf Rating to Class E Debt ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Abry Liquid Credit CLO 2025-2, Ltd. Abry Liquid Credit CLO 2025-2, Ltd. A-1L LT AAAsf New Rating A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Abry Liquid Credit CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Abry Liquid Credit CLO Management, 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.34 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, 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, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB+sf' for class E. ACHD TRUST 2025-DS1: DBRS Finalizes BB Rating on Class B Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the following classes of notes issued by ACHD Trust 2025-DS1 (the Issuer or ACHD 2025-DS1): -- $148,610,000 Class A Notes at BBB (sf) -- $37,400,000 Class B Notes at BB(sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, amounts held in the reserve account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under the BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the ACHD Trust 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" (91.13%) and "post-settlement" (8.87%) stages (as of the Statistical Cutoff Date). 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 assigned rating of BBB (sf) for the Class A Notes is supported by the following considerations: -- Reserve Account that is equal to 1.00% of the total note balance as of the Closing Date, which covers two months of interest payments on the Notes. -- The experience and length of operating history of the Sponsor with respect to the debt settlement industry. -- Consistent historical performance data of debt settlement related assets and the concentration of debt settlement assets related to Tier 1 originations. (15) The legal structure and legal opinions that 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. (16) 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 BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its 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 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 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-2F (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $38.42 million: NR NR--Not rated. ANCHORAGE CAPITAL 34: Moody's Assigns (P)B3 Rating to Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Anchorage Capital CLO 34, Ltd. (the Issuer or Anchorage 34): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on recent methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Anchorage 34 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Anchorage Collateral Management, L.L.C. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: 65 Weighted Average Rating Factor (WARF): 3120 Weighted Average Spread (WAS): 3.20% 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. ANCHORAGE CREDIT 12: Moody's Ups Rating on $18MM E Notes from Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 12, Ltd.: US$41.25M Class B Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Nov 19, 2024 Upgraded to Aa2 (sf) US$15M Class C Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Nov 19, 2024 Upgraded to A2 (sf) US$15M Class D Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to A1 (sf); previously on Oct 15, 2020 Definitive Rating Assigned Baa3 (sf) US$18M Class E Junior Secured Deferrable Fixed Rate Notes, Upgraded to Baa2 (sf); previously on Oct 15, 2020 Definitive Rating Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$114.75M Class A-1 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Oct 15, 2020 Definitive Rating Assigned Aaa (sf) US$30M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 19, 2024 Assigned Aaa (sf) Anchorage Credit Funding 12, Ltd., issued in October 2020 and partially refinanced in November 2024, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The portfolio is managed by Anchorage Collateral Management, L.L.C. The transaction's reinvestment period ended in October 2025. RATINGS RATIONALE The rating upgrades on the Class B, Class C, Class D and Class E notes are primarily a result of the transaction having reached the end of the reinvestment period in October 2025. The affirmations on the ratings on the Class A-1 and Class A-2-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 CBO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. 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: USD290.2m Defaulted Securities: USD5.3m Diversity Score: 65 Weighted Average Rating Factor (WARF): 2866 Weighted Average Life (WAL): 5.6 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.87% Weighted Average Coupon (WAC): 5.76% Weighted Average Recovery Rate (WARR): 36.82% 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 CBO 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. APIDOS CLO LV: Moody's Assigns B3 Rating to $550,000 Class F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes to by Apidos CLO LV (the Issuer or Apidos LV): US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$550,000 Class F Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos LV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets, collectively. The portfolio is approximately 95% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued eight 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: $550,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2904 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.1 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. APIDOS CLO XXXIV: Fitch Affirms BB+(EXP) Rating on Class E-R2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XXXIV reset transaction. RATING ACTIONS Apidos CLO XXXIV X-R2 LT NR(EXP)sf Expected Rating A-1-R2 LT NR(EXP)sf Expected Rating A-2-R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA(EXP)sf Expected Rating C-R2 LT A(EXP)sf Expected Rating D-1-R2 LT BBB-(EXP)sf Expected Rating D-2-R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB+(EXP)sf Expected Rating F-R2 LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XXXIV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC. that originally closed in November 2020 and refinanced in December 2021. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.5% first-lien senior secured loans and has a weighted average recovery assumption of 73.18%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' 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. APIDOS CLO XXXIV: Moody's Assigns B3 Rating to $500,000 F-R2 Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXXIV (the Issuer): US$4,000,000 Class X-R2 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US250,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$500,000 Class F-R2 Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3007 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a 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. APIDOS CLO XXXVI: Fitch Gives BB+(EXP) Rating on Class E-R Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XXXVI reset transaction. Apidos CLO XXXVI X-R LT NR(EXP)sf Expected Rating A-1-R LT AAA(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 F-R LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XXXVI (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC. It originally closed in September 2021 and is scheduled for its first refinancing on Dec. 23, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.53% first lien senior secured loans and has a weighted average recovery assumption of 73.38%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. APIDOS CLO XXXVI: Moody's Assigns B3 Rating to $500,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXXVI (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$300,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$500,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating 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 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2962 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.50% 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. ATLAS SENIOR VIII: S&P Lowers Class F Notes Rating to 'CCC- (sf)' ----------------------------------------------------------------- S&P Global Ratings raised its rating on class D from Atlas Senior Secured Loan Fund VIII Ltd. At the same time, S&P lowered its rating on class F and affirmed our ratings on class C and E from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Nov. 5, 2025, trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced increase in defaults and decline in credit quality (which decreased the junior credit support). The transaction has paid down $51.55 million in collective paydowns to the class B and C debt since our May 9, 2025, rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the March 6, 2025, trustee report, which S&P used for its previous rating actions: -- The class C O/C ratio improved to 385.19% from 171.58%. -- The class D O/C ratio improved to 169.11% from 131.88%. -- The class E O/C ratio improved to 113.56% from 109.74%. All O/C ratios experienced a positive movement due to the lower balances of the senior notes; consequently, the credit support increased. S&P said, "Collateral obligations with ratings in the 'CCC' category are at $18.27 million as of the Nov 6, 2025, trustee report, compared with $22.36 million reported as of the March 2025 data that we used when the CLO was last reviewed. Though the dollar value of the 'CCC' exposure has declined, the CLO's portfolio has amortized significantly since our last rating action. Consequently, the percentage exposure of the 'CCC' balance increased to 27.12% from 18.75% of aggregate principal balance (including cash) and is now more than the maximum allowed by the CLO documents." As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess. Additionally, the amount of defaults has also increased from $0.57 million to $1.38 million across the same period. Despite the haircut and increase in defaults, the class D O/C ratio slightly increased since our May 2025 rating action. The upgraded rating reflects the improved credit support available to the notes at the prior rating levels and senior note paydowns. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. The lowered rating reflects deteriorated credit quality of the underlying portfolio and that the class F note is now deferring a portion of its required interest. On a standalone basis, the results of the cash flow analysis indicated a higher rating on class E. However, because the transaction currently has higher-than-average exposures to 'CCC' rated collateral obligations and the portfolio also has some obligors with low market values, our rating actions considered the results of additional sensitivity runs that S&P ran to factor these exposures. Though the cash flow analysis for class F indicated that it did not pass the 'CCC' category, the downgrade was limited to the 'CCC-' rating level. Although the cash flows fail and the class is currently deferring a portion of its interest, the class does still have an O/C ratio above 100% and so there is not yet a certainty of default in our opinion. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Raised Atlas Senior Secured Loan Fund VIII Ltd. Class D to 'AAA (sf)' from 'A+ (sf) ' Rating Lowered Atlas Senior Secured Loan Fund VIII Ltd. Class F to 'CCC- (sf)' from 'CCC+ (sf) ' Ratings Affirmed Atlas Senior Secured Loan Fund VIII Ltd. Class C: AAA (sf) Class E: BB-(sf) BAIN CAPITAL 2025-3: S&P Assigns B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Bain Capital Euro CLO 2025-3 DAC's class A, B, C, D, E, and F notes. At closing, the issuer also issued unrated subordinated notes. The transaction has a 1.5 year noncall period and the portfolio's reinvestment period ends 4.57 years after closing. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payment. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,646.77 Default rate dispersion 569.34 Weighted-average life (years) 4.78 Obligor diversity measure 164.96 Industry diversity measure 22.13 Regional diversity measure 1.26 Transaction key metrics Total par amount (mil. EUR) 400 Defaulted assets (mil. EUR) 0 CCC rated assets ('CCC+','CCC', and 'CCC-') (%) 0.33 Number of performing obligors 185 Portfolio weighted-average rating derived from S&P's CDO evaluator B Target 'AAA' weighted-average recovery (%) 36.96 Actual weighted-average coupon (%) 5.90 Actual weighted-average spread (net of floors, %) 3.66 S&P said, "The portfolio is well diversified at closing, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations. "In our cash flow analysis, we modeled the EUR400 million target par amount, the covenanted weighted-average spread of 3.65%, the covenanted weighted-average coupon of 5.50%, and the target weighted-average recovery rates for all rated notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on July 17, 2030, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk is limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "The operational risk associated with key transaction parties (such as the collateral manager) that provide an essential service to the issuer is in line with our operational risk criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for the class A to F notes. Our credit and cash flow analysis indicates that the class B to E notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will have a reinvestment period, during which the transaction's credit risk profile could deteriorate, we have capped our assigned ratings on these notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A to E notes in four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain activities. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Bain Capital Euro CLO 2025-3 DAC is a European cash flow CLO securitization of a revolving pool, comprising primarily euro-denominated senior secured loans and bonds. Bain Capital Credit CLO Management III (DE), LP. manages the transaction. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A AAA (sf) 248.00 38.00 3mE +1.30% B AA (sf) 44.00 27.00 3mE + 2.00% C A (sf) 24.00 21.00 3mE +2.20% D BBB- (sf) 29.00 13.75 3mE +3.05% E BB- (sf) 18.00 9.25 3mE +5.75% F B- (sf) 11.00 6.50 3mE +7.84% M NR 28.00 N/A N/A Sub NR 30.00 N/A N/A *The ratings assigned to the class A and B notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month Euro Interbank Offered Rate (EURIBOR) when a frequency switch event occurs. NR--Not rated. Subordinated--Subordinated notes. N/A--Not applicable. 3mE--Three-month EURIBOR. BAMLL 2025-1105W: DBRS Finalizes B(low) Rating on HRR Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1105W (BAMLL 2025-1105W or the Certificates) issued by BAMLL Commercial Mortgage Securities Trust 2025-1105W (the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at 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. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts of the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. BAMLL COMMERCIAL 2025-HYT: Moody's Assigns B3 Rating to F Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BAMLL Commercial Mortgage Securities Trust 2025-HYT, Commercial Mortgage Pass-Through Certificates, Series 2025-HYT: 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 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. BARCLAYS MORTGAGE 2025-NQM7: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2025-NQM7's mortgage-backed securities. The note issuance is an RMBS transaction backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and a five- to 10-unit multifamily property. The pool consists of 651 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loans (HPML) (average prime offer rate; APOR), QM/HPML (APOR), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Barclays Mortgage Loan Trust 2025-NQM7 Class A-1, $237,590,000: AAA (sf) Class A-2, $13,343,000: AA (sf) Class A-3, $41,473,000: A (sf) Class M-1, $13,825,000: BBB- (sf) Class B-1, $5,787,000: BB (sf) Class B-2, $5,948,000: B (sf) Class B-3, $3,536,937: NR Class SA, $105,863: NR Class XS-1, notional(ii): NR Class XS-2, notional(ii): NR Class PT-1, $321,608,800: NR Class PT-2, $273,367,479: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS-1 and XS-2 notes will have a notional amount equal to approximately 10.5% and 89.5%, respectively, of the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. NR--Not rated. N/A--Not applicable. BATTALION CLO X: S&P Affirms B+ (sf) Rating on Class D-R2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement A-1-R3, A-2-R3, and B-R3 debt from Battalion CLO X Ltd./ Battalion CLO X LLC, a CLO managed by Brigade Capital Management, LP, that was originally issued in 2016 and reset in 2021. At the same time, S&P withdrew its ratings on the previous class A-1-R2, A-2-R2, and B-R2 debt following payment in full on the Dec. 18, 2025, refinancing date. S&P also affirmed its ratings on the class C-R2 and D-R2 debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Sept. 18, 2026. -- Relative to the balances of refinanced A-1-R2 and A-2-R2 debt, the balance of class A-1-R3 debt was lower by $4.56 million, while the balance of class A-2-R3 debt was higher by the same amount, respectively. -- No additional assets were purchased on the Dec. 18, 2025, refinancing date, and the target initial par amount remains the same. There is no additional effective date or ramp-up period. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R3, $251.85 million: Three-month CME term SOFR + 1.14% -- Class A-2-R3, $57.47 million: Three-month CME term SOFR + 1.75% -- Class B-R3 (deferrable), $24.42 million: Three-month CME term SOFR + 2.05% Previous debt -- Class A-1-R2, $256.41 million: Three-month CME term SOFR + 1.43161% -- Class A-2-R2, $52.91 million: Three-month CME term SOFR + 1.81161% -- Class B-R2 (deferrable), $24.42 million: Three-month CME term SOFR + 2.31161% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the existing class C-R2 debt. Given the overall credit quality of the portfolio, the passing coverage tests along with the benefit from a reduction in spreads from this refinancing, we affirmed our 'BBB (sf)' rating on the class C-R2 debt. We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Battalion CLO X Ltd./Battalion CLO X LLC Class A-1-R3, $251.85 million: AAA (sf) Class A-2-R3, $57.47 million: AA (sf) Class B-R3 (deferrable), $24.42 million: A (sf) Ratings Withdrawn Battalion CLO X Ltd./Battalion CLO X LLC Class A-1-R2 to NR from 'AAA (sf)' Class A-2-R2 to NR from 'AA (sf)' Class B-R2 (deferrable) to NR from 'A (sf)' Ratings Affirmed Battalion CLO X Ltd./Battalion CLO X LLC Class C-R2 (deferrable): BBB (sf) Class D-R2 (deferrable): B+ (sf) Other Debt Battalion CLO X Ltd./Battalion CLO X LLC Subordinated notes, $36.10 million: NR NR--Not rated. BATTALION CLO XXX: Fitch Rates Class D-2 Notes to BB-sf ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO XXX Ltd. RATING ACTIONS Battalion CLO XXX Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Equity LT NRsf New Rating Transaction Summary Battalion CLO XXX Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.12 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.45% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 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 'BBB-sf' and 'A+sf' for class B, between 'BBsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBB-sf' for class E. BAYSWATER PARK: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-R, and E-R debt and proposed new class X debt from Bayswater Park CLO Ltd./Bayswater Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in December 2023. The preliminary ratings are based on information as of Dec. 23, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 30, 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 B, C, D, and E debt and assign ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-R, and E-R debt and proposed new class X debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-1-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class B-1-R and B-2-R debt is expected to be issued at a floating spread and fixed coupon, respectively, replacing the existing floating-rate class B debt. -- New class X debt will be issued in connection with this refinancing and is expected to be paid down using interest proceeds during the first 12 payment dates, beginning with the first payment date. -- The non-call period will be extended to December 2027. -- The reinvestment period will be extended to January 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to January 2039. -- The target initial par amount will remain at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2026. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Bayswater Park CLO Ltd./Bayswater Park CLO LLC Class X, $4.25 million: AAA (sf) Class A-R, $312.50 million: AAA (sf) Class B-1-R, $60.00 million: AA (sf) Class B-2-R, $7.50 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $18.50 million: BB- (sf) Other Debt Bayswater Park CLO Ltd./Bayswater Park CLO LLC Subordinated notes, $45.60 million: NR NR--Not rated. BCC MIDDLE 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from BCC MIDDLE MARKET CLO 2023-2, LLC, a CLO managed by Bain Capital Credit LP that was originally issued in November 2023. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D, and E debt following payment in full on the Dec. 22, 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 concentration limit for the Deferrable Obligations has increased to 7.5% from 2.5%. -- The concentration limit for the CCC Collateral Obligations has increased to 20.0% from 17.5% -- The non-call period was extended to Dec. 22, 2025. -- No additional assets were purchased on the Dec. 22, 2025 refinancing date, and the target initial par amount remains at $425.00 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 16, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $244.375 million: Three-month CME term SOFR + 1.35% -- Class A-2-R, $19.125 million: Three-month CME term SOFR + 1.65% -- Class B-R, $25.50 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $34.00 million: Three-month CME term SOFR + 2.50% -- Class D-R (deferrable), $25.50 million: Three-month CME term SOFR + 3.50% -- Class E-R (deferrable), $25.50 million: Three-month CME term SOFR + 7.00% Previous debt -- Class A-1, $244.375 million: Three-month CME term SOFR + 2.50% -- Class A-2, $19.125 million: Three-month CME term SOFR + 3.10% -- Class B, $25.50 million: Three-month CME term SOFR + 3.30% -- Class C (deferrable), $34.00 million: Three-month CME term SOFR + 4.35% -- Class D (deferrable), $25.50 million: Three-month CME term SOFR + 6.50% -- Class E (deferrable), $25.50 million: Three-month CME term SOFR + 8.85% -- Subordinated notes, $49.51 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned BCC Middle Market CLO 2023-2, LLC Class A-1-R, $244.375 million: AAA (sf) Class A-2-R, $19.125 million: AAA (sf) Class B-R, $25.50 million: AA (sf) Class C-R (deferrable), $34.00 million: A (sf) Class D-R (deferrable), $25.50.00 million: BBB- (sf) Class E-R (deferrable), $25.50.00 million: BB- (sf) Ratings Withdrawn BCC Middle Market CLO 2023-2, 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 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt BCC Middle Market CLO 2023-2, LLC Subordinated notes, $49.51 million: NR NR--Not rated. BENCHMARK 2021-B25: Fitch Cuts Rating on 2 Tranches to CCCsf ------------------------------------------------------------ Fitch Ratings has downgraded six classes and affirmed 12 classes within Benchmark 2021-B25 Mortgage Trust commercial mortgage pass-through certificates series 2021-B25 (BMARK 2021-B25). The Rating Outlooks on six classes haven been revised to Negative from Stable, and following their downgrades, four classes have been assigned Negative Outlooks. Fitch has also affirmed 18 classes of Benchmark 2021-B28 Mortgage Trust commercial mortgage pass-through certificates, series B28 (BMARK 2021-B28). Fitch has revised the Rating Outlooks for two classes to Stable from Negative. The Outlooks on four classes remain Negative. RATING ACTIONS Rating Prior BMARK 2021-B25 A-1 08163DAA5 LT AAAsf Affirmed AAAsf A-2 08163DAB3 LT AAAsf Affirmed AAAsf A-3 08163DAC1 LT AAAsf Affirmed AAAsf A-4 08163DAD9 LT AAAsf Affirmed AAAsf A-5 08163DAE7 LT AAAsf Affirmed AAAsf A-S 08163DAJ6 LT AAAsf Affirmed AAAsf A-SB 08163DAF4 LT AAAsf Affirmed AAAsf B 08163DAK3 LT AA-sf Affirmed AA-sf C 08163DAL1 LT A-sf Affirmed A-sf D 08163DAV9 LT BBBsf Affirmed BBBsf E 08163DAX5 LT BB-sf Downgrade BBB-sf F 08163DAZ0 LT B-sf Downgrade BB-sf G 08163DBB2 LT CCCsf Downgrade B-sf X-A 08163DAG2 LT AAAsf Affirmed AAAsf X-B 08163DAH0 LT A-sf Affirmed A-sf X-D 08163DAM9 LT BB-sf Downgrade BBB-sf X-F 08163DAP2 LT B-sf Downgrade BB-sf X-G 08163DAR8 LT CCCsf Downgrade B-sf BMARK 2021-B28 A-2 08163GAR1 LT AAAsf Affirmed AAAsf A-3 08163GAS9 LT AAAsf Affirmed AAAsf A-4 08163GAT7 LT AAAsf Affirmed AAAsf A-4A1 08163GAA8 LT AAAsf Affirmed AAAsf A-5 08163GAU4 LT AAAsf Affirmed AAAsf A-S 08163GAW0 LT AAAsf Affirmed AAAsf A-SB 08163GAV2 LT AAAsf Affirmed AAAsf B 08163GAX8 LT AA-sf Affirmed AA-sf C 08163GAY6 LT A-sf Affirmed A-sf D 08163GAB6 LT BBBsf Affirmed BBBsf E 08163GAC4 LT BBB-sf Affirmed BBB-sf F 08163GAD2 LT BB-sf Affirmed BB-sf G 08163GAE0 LT B-sf Affirmed B-sf X-A 08163GAZ3 LT AAAsf Affirmed AAAsf X-B 08163GBA7 LT A-sf Affirmed A-sf X-D 08163GAG5 LT BBB-sf Affirmed BBB-sf X-F 08163GAH3 LT BB-sf Affirmed BB-sf X-G 08163GAJ9 LT B-sf Affirmed B-sf KEY RATING DRIVERS 'Bsf' Loss Expectations: The downgrades in BMARK 2021-B25 reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by specially serviced loans and the 141 Livingston loan (1.0% of the pool). Deal-level 'Bsf' rating case loss is 5.1% in BMARK 2021-B25 compared to 4.2% at the prior rating action. The affirmations and Outlook revisions in BMARK 2021-B28 reflect an overall stable pool 'Bsf' rating case loss of 4.6% compared to 4.3% at the prior rating action. The BMARK 2021-B25 transaction has 10 Fitch Loans of Concern (FLOCs; 21.0% of the pool), including four loans (4.6%) in special servicing. The BMARK 2021-B28 transaction has ten FLOCs (14.0%), including two loans (2.0%) in special servicing. The Negative Outlooks in BMARK 2021-B25 reflect the high office concentration in the pool of 61%, particularly with performance concerns for SOMA Teleco Office (8.6%) and specially serviced 141 Livingston (1.0%) loans. Additionally, the Negative Outlooks consider elevated risks with specially serviced loans, particularly 7828 Georgia Avenue NW (1.1%) and Birmingham Mixed Use Portfolio (0.7%). The Outlook revisions to Stable from Negative for classes E and X-D in BMARK 2021-B28 reflect stable to improved pool losses and limited concerns with loans maturing in 2026 (4201 Tonnelle Ave, Amazon Prime Wynwood, Courtyard Lubbock, 4001 Dell Ave, and Cityline Port Charlottee loans; 2.8%). However, the Negative Outlooks reflect the pool's office concentration of 34%, and performance deterioration or elevated losses on the FLOCs, particularly Koppers Building (2.3%) and Pennsauken Logistics Center (1.3%). The largest contributor to overall loss expectations in BMARK 2021-B25 is the SOMA Teleco Office loan, secured by a 110,717-sf mixed-use property with a data center and office component, located in San Francisco, CA. The property is centrally located at a primary junction point of underground fiber cables, which provides Verizon (46% of NRA; March 2040) with connectivity to the fiber cable network and as a result, serves as a link between the telecommunications network and the smaller subnetworks. The second largest tenant, Adyen Inc. (38.1%; January 2026), has confirmed its intention to vacate upon lease expiration. According to a recent property inspection, Adyen's space on the 5th and 6th floors has remained unoccupied since February 2025. A cash trap was triggered in January 2025 following the tenant's failure to provide the required 12-month lease renewal notice. The borrower is actively marketing the vacant space, with the property currently approximately 55% occupied as of June 2025. The servicer-reported NOI DSCR was 0.70x at 2Q25, compared to 2.06x at YE 2024, 2.17x at YE 2023, 2.02x at YE 2022, and 1.94x at YE 2021. Per the servicer, the 2Q25 NOI DSCR was negatively impacted by legal fees related to ongoing litigation stemming from a landlord/tenant dispute. Fitch's 'Bsf' rating case loss of 13.9% (prior to a concentration adjustment) is based on an 8.75% cap rate and a 30% haircut to the 2024 NOI due to Adyen vacating its space. The largest increase in loss since the prior rating action is the 141 Livingston loan, which transferred to special servicing in October 2024. The loan is secured by a 213,745-sf office building located in Brooklyn, NY and originally constructed in 1959. The property functions as a mission-critical location for Brooklyn's civil court systems with The City of New York Department of Citywide Administrative Services (NYC DCAS) occupying 96% of the total NRA. NYC DCAS's lease is scheduled to expire in December 2025. The loan was transferred to special servicing after NYC DCAS did not renew its lease for a five-year term 18 months prior to the original lease expiration date, triggering monthly reserve obligations that the borrower has not fulfilled. Due to the borrower's non-compliance with the monthly reserve obligations, the master servicer stopped applying debt service payments, which continue to be sufficient to cover debt service, resulting in the loan being in default. Per the servicer, the borrower presented an updated lease from NYC DCAS, which included a five-year renewal, but with a termination option in year two; this did not satisfy the loan agreement requirements to remove the replacement reserve and was rejected. Legal counsel has been engaged, foreclosure has been filed, and the court granted a receiver contingent on future events and agreements between parties. Negotiations regarding lease renewal terms with NYC DCAS continue, as well as the collection of required reserve amounts and a cash management request. The property has been 100% occupied since issuance and the TTM June 2025 NOI DSCR was reported to be 2.09x. Fitch anticipates the loan will remain in special servicing while negotiations continue with the borrower and tenant. If the loan returns to performing, a future default is possible due to the potential termination of the NYC DCAS lease in two years. Fitch's 'Bsf' rating-case loss of 40.0% (prior to a concentration adjustment) considers the older vintage property and reflects a recovery value of $220 psf. Expected losses at the prior rating action were 19.3%. The second largest contributor to overall loss expectations is 7828 Georgia Avenue NW, secured by a 48,199-sf retail property located in Washington DC. The loan was transferred to special servicing in June 2025 following a monetary default caused by the borrower's recurring failure to make timely debt service payments. While payment delinquencies began in November 2024, the Borrower maintained payments through March 2025 before defaulting in April 2025. The lender is preparing to file for foreclosure and pursuing receiver appointment. Fitch's 'Bsf' rating case loss of 28.9% (prior to a concentration adjustment) is based on an increased PD and a 20% haircut to YE 2024 NOI reflecting a recovery of $178 psf. The largest contributor to overall loss expectations in BMARK 2021-B28 is Pennsauken Logistics Center, which is secured by a 326,255-sf warehouse/distribution center located in Pennsauken, NJ. The anchor tenant, Utopia Fulfillment Inc., occupied 278,275-sf (85% NRA) under a lease expiring in December 2025. However, the borrower has confirmed Utopia's intent to vacate, and a September 2025 property inspection confirmed the tenant has already vacated. A cash trap was triggered when Utopia failed to renew their lease 12 months prior to expiration, and the November 2025 reserve balance was reported at approximately $470,000. The borrower is actively marketing the space and conducting preliminary discussions with prospects tenants. Fitch's 'Bsf' rating case loss of 35.3% (prior to a concentration adjustment) is based on a 9% cap rate and a 30% stress to YE 2024 NOI, which accounts for the decline in occupancy. The second largest contributor to overall loss expectations is the Koppers Building loan, secured by a 347,133-sf office located in Pittsburgh, PA. The property was built in 1929 and most recently renovated in 2017. The sponsor has invested over $17.4 million in capital improvements, TIs, and LCs since acquiring the property in 2013. Major tenants at the property include Koppers Inc (23.6%; December 2028) and Allegheny County Bar Association (7.4%; December 2030). Koppers had an option in their lease to give back space as of December 2023, which they exercised, downsizing by roughly 4% of the total NRA. A termination fee of $85,000 was paid and put into a tenant improvement reserve. Eight tenants representing 8.88% of NRA have expired or will expire within the next 12 months, including Allegheny County Economic (3.8% NRA), one of the property's largest tenants. The property was 80% occupied as of the June 2025 rent roll, up from 73% at YE 2024, and 78% at YE 2023. The servicer-reported NOI DSCR was 1.09x at YE 2024, compared to 1.85x at YE 2023, 2.06x at YE 2022, and 1.95x at YE 2021. Fitch's 'Bsf' rating case loss of 17.2% (prior to a concentration adjustment) is based on a 10% cap rate and a 10% stress to YE 2024 NOI to account for upcoming lease rollover. Minimal Changes to Credit Enhancement (CE): As of the December 2024 distribution date, the pool's aggregate balance in BMARK 2021-B25 has been paid down by 1.6% to $1.35 billion from $1.38 billion at issuance. As of the November 2025 distribution date, the pool's aggregate balance in BMARK 2021-B28 has been paid down by 2.9% to $1.34 billion from $1.38 billion at issuance. 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 classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized loss expectations on the FLOCs and/or specially serviced loans, including SOMA Teleco Office, 141 Livingston, 7828 Georgia Avenue NW, and Birmingham Mixed Use Portfolio in BMARK 2021-B25, increase beyond current expectations, and with limited to no improvement in these classes' CE. --Downgrades to 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 be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade --Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on specially service and FLOCs. --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 and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. BENEFIT STREET 44: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO 44 Ltd./Benefit Street Partners CLO 44 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BSP CLO Management LLC, a subsidiary of Franklin Resources Inc. (operating as Franklin Templeton Investments). The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Benefit Street Partners CLO 44 Ltd./ Benefit Street Partners CLO 44 LLC Class A-1, $378.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $54.20 million: NR NR--Not rated. BMO 2025-5C13: Fitch Gives 'BB+(EXP)' Rating on Class E-RR Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2025-5C13 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2025-5C13 as follows: -- $7,400,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; -- $175,000,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; -- $203,869,000a Class A-3 'AAA(EXP)sf'; Outlook Stable; -- $386,269,000b Class X-A 'AAA(EXP)sf'; Outlook Stable; -- $47,594,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; -- $28,281,000 Class B 'AA-(EXP)sf'; Outlook Stable; -- $22,762,000 Class C 'A-(EXP)sf'; Outlook Stable; -- $98,637,000b Class X-B 'A-(EXP)sf'; Outlook Stable; -- $15,423,000c Class D 'BBB-(EXP)sf'; Outlook Stable; -- $15,423,000bc Class X-D 'BBB-(EXP)sf'; Outlook Stable; -- $10,788,000cd Class E-RR 'BB+(EXP)sf'; Outlook Stable; -- $8,277,000cd Class F-RR 'BB-(EXP)sf'; Outlook Stable; -- $9,657,000cd Class G-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: -- $22,763,059cd Class J-RR. Notes: (a) The exact initial certificate balances of the Class A-2 and Class A-3 certificates are unknown but will be $378,869,000 in aggregate, subject to a variance of plus or minus 5%. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected Class A-2 balance range is $0-$175,000,000, and the expected Class A-3 balance range is $203,869,000-$378,869,000. The balance for Class A-2 reflects the top point of its range, and the balance for Class A-3 reflects the bottom point of its range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 30 loans secured by 36 commercial properties with an aggregate principal balance of $551,814,060 as of the cutoff date. The loans were contributed to the trust by 3650 Capital SCF LOE I(A), LLC, Bank of Montreal, Zions Bancorporation N.A., BSPRT CMBS Finance, LLC, Greystone Commercial Mortgage Capital LLC, Citi Real Estate Funding Inc., Natixis Real Estate Capital LLC, and Societe Generale Financial Corporation. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, the special servicer is expected to be 3650 REIT Loan Servicing LLC, and the operating advisor is expected to be BellOak, LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 87.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $62.6 million represents a 13.8% decline from the issuer's aggregate underwritten NCF of $72.5 million. Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.2% is lower than the 2025 YTD five-year multiborrower transaction average of 100.8% but higher than the 2024 five-year multiborrower transaction average of 95.2%. The pool's Fitch NCF debt yield (DY) of 11.4% is higher than the 2025 YTD and 2024 five-year multiborrower transaction averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than in other recent Fitch-rated transactions. The top 10 loans represent 64.2% of the pool, which is more concentrated than both the 2025 YTD and 2024 five-year multiborrower averages of 61.3% and 60.2%, respectively. The pool's effective loan count is 17.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 98.7% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is attributed mainly to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: One loan representing 7.3% of the pool by balance received investment-grade credit opinions. CityCenter (Aria & Vdara) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2025 YTD and 2024 five-year multiborrower transaction averages 11.5% and 12.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 100.8% and 10.8%, respectively, compared with the equivalent five-year multiborrower 2025 YTD LTV and DY averages of 105.4% and 9.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BB-sf' / 'Bsf' / 'NR'. 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' / 'BB-sf' / 'B-sf'; -- 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' /'Bsf'. BX TRUST 2025-DELC: DBRS Finalizes B(high) Rating on HRR Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-DELC (the Certificates) issued by BX Trust 2025-DELC: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The transaction is collateralized by the borrower's fee-simple and leasehold interests in a portion of Hotel Del Coronado, a 938-key, full-service luxury property and is a designated National Historic Landmark in Coronado, California, across the bay from downtown San Diego. Of the 938 keys, 718 keys are guest rooms and 220 are condominiums across five distinct neighborhoods, including Shore House and Beach Village (both condominiums) as well as The Views, The Cabanas, and The Victorian Building (all hotels). Hotel Del Coronado was built in 1887 and is known for its historical charm, wood-frame construction, and vibrant decor reminiscent of the 19th century. This makes Hotel Del Coronado one of the most recognizable historic hotels in the U.S. USA Today and Smart Meetings rated Hotel Del Coronado as the best waterfront resort in 2025. Coronado's unique blend of exclusivity, scenic beaches, year-round appeal, and, most importantly, lack of waterfront land make it a premier market for luxury oceanfront resorts. The hotel comprises a collection of buildings across an approximately 30-acre site. The resort's original structure, the three-story Victorian Building, contains approximately half of the guest room inventory and serves as the architectural and operational centerpiece of the property. The 220 condominiums are third-party-owned units, but all participate in the revenue-sharing program operated by the hotel. The 718 hotel rooms are branded under Curio Collection by Hilton, while the third-party-owned units within the Beach Village and Shore House neighborhoods are operated under Hilton's LXR brand. The hotel offers high-end resort amenities in line with a luxurious beachside resort, including upscale dining outlets, a three-meal restaurant, a seafood restaurant, a lounge, a poolside restaurant, two pool bars, a pizza shop, a taco shack, a grab-and-go marketplace, and a dessert shop. Additionally, the hotel offers 98,000 square feet (sf) of indoor meeting and event space and approximately 146,500 sf of outdoor event space, including historic ballrooms and a private beach. Recreational amenities consist of three outdoor pools, a history museum, a full-service spa with 18 treatment rooms, a fitness center, and direct access to a private beach. The transaction sponsor is an affiliate of Blackstone Inc., the world's largest alternative asset manager with approximately $1.2 trillion in assets under management as of September 2025 and more than 12,500 real estate assets. Since 2015, the sponsor has invested $569.0 million ($606,568 per key) into the asset. The renovation was focused on revitalizing Hotel Del Coronado to its former glory as the most distinguished hotel in Coronado while increasing the room count and adding food and beverage outlets. The renovation ended in August 2025 with the $159.0 million renovation of the historic Victorian Building. This renovation focused on restoring the vintage-inspired chandelier, oak reception desk, historic stained-glass windows in the front porch, etc. Importantly, all guest rooms in the Victorian Building were revamped with the latest technology, floral wall coverings, woven vinyl raffia headboards, and blue Chinoiserie lamps. The hotel also added the Nobu and Veranda restaurants to its robust oceanfront dining area in early summer 2025. The loan is a two-year, floating-rate interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the weighted-average mortgage loan component spread of 2.604%. The borrower will enter into an interest rate agreement with an assumed SOFR cap of 4.250% during the initial term. The subject was previously securitized in the Morningstar DBRS-rated BX 2023-DELC transaction, from which $950.0 million of debt was refinanced as a result of this transaction. The transaction will represent cash-neutral financing, with the sponsor retaining approximately $630.0 million of equity remaining in the property. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. CD 2016-CD1: DBRS Confirms C Rating on 3 Tranches ------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-CD1 issued by CD 2016-CD1 Mortgage Trust as follows: -- Class X-A to BBB (high) (sf) from AA (sf) -- Class A-M to BBB (sf) from AA (low) (sf) -- Class B to CCC (sf) from A (low) (sf) -- Class D to C (sf) from CCC (sf) -- Class X-C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class C at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-B at CCC (sf) -- Class X-D at C (sf) Morningstar DBRS changed the trends on Classes A-M and X-A to Negative from Stable. Classes B, C, D, E, F, X-B, X-C, and X-D no longer carry a trend given the CCC (sf) or lower credit rating. The trends on all remaining classes are Stable. The credit rating downgrades and Negative trends reflect Morningstar DBRS' ultimate recoverability expectations for the pool, as well as concerns around ongoing interest shortfalls that are approaching Morningstar DBRS' tolerance for timely interest at the respective credit rating categories. In the analysis for this review, Morningstar DBRS' liquidated each of the five specially serviced loans (20.2% of the pool) based on haircuts to the most recent appraisal values, resulting in projected cumulative losses of $65.6 million, an increase of about 50.0% from the last credit rating action in April 2025. The projected liquidated loss amount would fully erode Classes E, F, and the nonrated Class G certificate balance and would partially erode the Class D certificate balance, supporting the credit rating downgrade to C (sf) for Class D. As of the November 2025 remittance, cumulative interest shortfalls totaled about $5.4 million, up from $3.4 million at the time of the last credit rating action. Class B has been accruing interest since August 2025 and will likely reach the Morningstar DBRS shortfall tolerance ceiling of six months for the BB and B credit rating categories in the next few reporting periods, supporting the credit rating downgrade with this review. Further, the classes senior to Class B in the waterfall have been determined to have a higher propensity for future interest shortfalls, a primary driver for the Negative trend for Class A-M with this credit rating action. While Morningstar DBRS expects the majority of the remaining loans in the pool will repay at their respective maturity dates, Morningstar DBRS notes the deteriorated outlook for the pool's specially serviced loans, as well as a handful of loans (representing 16.7% of the pool) exhibiting an increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and/or unfavorable lending conditions for certain property types. Class A-M and Class B are reliant on proceeds from those loans determined to have elevated refinance risk, further supporting the credit rating downgrades for Classes A-M and B and the Negative trend for Class A-M. The transaction is currently in wind down with the majority of the remaining loans maturing by August 2026. As of the November 2025 remittance, 29 of the original 32 loans remain in the pool, representing a collateral reduction of nearly 20.0%. The credit rating confirmations for the two most senior certificates reflect the healthy performance of most of the loans in the pool, as evidenced by the pool's weighted-average debt service coverage ratio of 1.92 times (x). The pool also benefits from eight loans (7.8% of the pool), which are secured by defeased collateral. The largest loan in special servicing is Westfield San Francisco Centre (Prospectus ID#3, 10.6% of the pool), collateralized by approximately 553,000 square feet (sf) of retail space and 241,000 sf of office space in a regional mall in San Francisco. The loan transferred to special servicing in June 2023, and foreclosure was filed in September 2023, with a receiver appointed in October 2023. The mall was briefly rebranded as Emporium Centre San Francisco, with Jones Lang LaSalle in place as the property manager and reportedly working to stabilize the subject; the name was reverted back to San Francisco Center after just eight months. The property has seen an exodus of tenants in the past several years and, according to the most recent servicer reported financial figures, the occupancy rate declined to 13.0% as of June 2025. According to the servicer, it's possible the property's physical occupancy rate is now closer to 7.0% as a noncollateral Bloomingdales closed in April 2025, triggering co-tenancy clauses that were executed for many of the remaining tenants. The collateral was recently re-appraised in July 2025 for $195.0 million, a sharp decline from the December 2023 appraisal value estimate of $290.0 million. In the analysis for this review, the loan was liquidated from the trust based on a 10.0% haircut to the most recent appraised value, resulting in a trust loss of about $40.3 million and a loss severity of nearly 67.1%. Given the very low in-place occupancy rate, its location in San Francisco, and generally poor prospects for stabilization at the current use, Morningstar DBRS expects low investor appetite and a prolonged resolution period. At issuance, Morningstar DBRS shadow-rated 10 Hudson Yards (Prospectus ID#1, 11.5% of the trust balance) and Vertex Pharmaceuticals HQ (Prospectus ID#9, 5.3% of the trust balance) investment grade, because of investment-grade tenancy, strong sponsorship, and favorable property quality given the high-quality finishes. With this review, Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CFCRE 2016-C3: Fitch Affirms CCsf Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has affirmed 13 classes of CFCRE 2016-C3 Mortgage Trust. The Rating Outlooks for class B, C and X-B were revised to Stable from Negative. The Rating Outlooks for class D, E, X-D and X-E remain Negative. Fitch has also affirmed 13 classes of CFCRE 2016-C4 Mortgage Trust. The Rating Outlooks for class E, F, X-E and X-F remain Negative. RATING ACTIONS Rating Prior ------ ----- CFCRE 2016-C4 A-4 12531YAN8 LT AAAsf Affirmed AAAsf A-HR 12531YAP3 LT AAAsf Affirmed AAAsf A-M 12531YAU2 LT AAAsf Affirmed AAAsf B 12531YAV0 LT AA+sf Affirmed AA+sf C 12531YAW8 LT A+sf Affirmed A+sf D 12531YAE8 LT BBB-sf Affirmed BBB-sf E 12531YAF5 LT BBsf Affirmed BBsf F 12531YAG3 LT Bsf Affirmed Bsf X-A 12531YAQ1 LT AAAsf Affirmed AAAsf X-B 12531YAS7 LT AA+sf Affirmed AA+sf X-E 12531YAB4 LT BBsf Affirmed BBsf X-F 12531YAC2 LT Bsf Affirmed Bsf X-HR 12531YAR9 LT AAAsf Affirmed AAAsf CFCRE 2016-C3 AM 12531WBF8 LT AAAsf Affirmed AAAsf B 12531WBG6 LT AAsf Affirmed AAsf C 12531WBH4 LT A-sf Affirmed A-sf D 12531WAL6 LT BBsf Affirmed BBsf E 12531WAN2 LT B-sf Affirmed B-sf F 12531WAQ5 LT CCCsf Affirmed CCCsf G 12531WAS1 LT CCsf Affirmed CCsf X-A 12531WBC5 LT AAAsf Affirmed AAAsf X-B 12531WBD3 LT AAsf Affirmed AAsf X-D 12531WAA0 LT BBsf Affirmed BBsf X-E 12531WAC6 LT B-sf Affirmed B-sf X-F 12531WAE2 LT CCCsf Affirmed CCCsf X-G 12531WAG7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss for the CFCRE 2016-C3 and CFCRE 2016-C4 transactions is 13.7% and 5.9%, respectively. Affirmations in both transactions reflect generally stable pool performance since Fitch's prior rating action. Fitch Loans of Concern (FLOCs) include seven loans (76.4% of the pool) in CFCRE 2016-C3, with two loans (37.8%) in special servicing, and 11 loans (39.8%) in CFCRE 2016-C4, with two loans (14.0%) in special servicing. Due to concentration of upcoming loan maturities in both transactions, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their collateral quality and current status, then ranked them by their perceived likelihood of repayment and, or loss expectations. Loan maturities are concentrated in December 2025 (41.7%) and January 2026 (58.4%) for CFCRE 2016-C3, and the first half of 2026 (89.6%) for CFCRE 2016-C4. The Outlook revisions to Stable from Negative for classes B, C and X-B in CFCRE 2016-C3 reflect increased credit enhancement (CE) and better-than-expected recoveries from loan payoffs and dispositions since the prior rating action. Since the last rating action, 17 loans have paid in full, two of which had higher Fitch expected losses: Element LA (9.4% of the pool at the last rating action) and Empire Mall (7.6%). The Negative Outlooks in CFCRE 2016-C3 on classes D, E, X-D and X-E reflect these classes' reliance on FLOCs and specially serviced loans to repay, particularly Springfield Mall (14.9%), One Commerce Plaza (19.1%), and Glenridge Medical Center I (13.7%), which have experienced continued performance declines, anticipated refinancing challenges, or are in special servicing (Springfield Mall). The Negative Outlooks in CFCRE 2016-C4 on classes E, F, X-E and X-F reflect these classes' reliance on FLOCs to repay, including the specially serviced 5353 West Bell Road as well as office FLOCs, One Commerce Plaza (6.0%), Traveler's Office Tower II (3.5%), 3 Executive Campus (3.0%), Banderas Corporate Center (1.0%) and Hurley Way (0.85); downgrades are possible with continued performance declines or default at or prior to maturity of these FLOCs. Since the last rating action, 10 loans have paid in full, each with minimal to no expected losses at the last rating action. Largest Contributors to Loss: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in CFCRE 2016-C3 is the Springfield Mall loan (14.9% of the pool), which is secured by a 611,079-sf regional mall located in Springfield Township, PA approximately 20 miles west of Philadelphia and anchored by non-collateral tenants including Macys and Target. The loan transferred to special servicing in October 2025 for maturity default. Performance has continued to decline with the June 2025 occupancy falling to 89% from 93% at YE 2024. NOI DSCR has declined to 1.18x for the YTD June 2025 reporting period from 1.33x at YE 2024. Fitch's 'Bsf' rating case loss of 37.9% (prior to concentration adjustments) reflects a 20% cap rate and a 15% stress to the YE 2024 NOI and factors in the maturity default and performance decline The second largest contributor to overall loss expectations in the CFCRE 2016-C3 transaction and the largest contributor to overall loss in CFCRE 2016-C4 is the One Commerce Plaza loan (19.1% of CFCRE 2016-C3 and 6.0% in CFCRE 2016-C4), secured by a 737,528-sf office property located in Albany, NY. The property is mainly occupied by New York State Agencies (totaling 70% of the NRA), including the Departments of State, Department of Health, Department of Higher Education, Department of Financial Institutions and Department of Temporary Disability. While overall occupancy has remained stable since issuance, the DSCR has trended downward due to an increase in operating expenses. The servicer-reported NOI DSCR was 1.27x as of 3Q 2024 compared to 1.34x and 1.42x as of YE 2022 and YE 2021, respectively. Per the servicer's watchlist comment, the borrower is in the process of refinancing; the maturity date is Jan. 6, 2026. Fitch's 'Bsf' rating case loss of 22.1% (prior to concentration adjustments) reflects a 10% cap rate, 10% stress to the YE 2022 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The second largest contributor to loss expectations in the CFCRE 2016-C4 transaction is the 5353 West Bell Road loan (4.3%), which is secured by a 206,155-sf office building located in Glendale, AZ. The property is fully leased to the CSAA Insurance Group, who extended their lease through May 2026, and the loan matures in January 2026. The loan transferred to special servicing in November 2025 due to imminent maturity default. According to CoStar and broker materials, the entire space is listed as available for sublease. Fitch's 'Bsf' rating case loss of 22.6% (prior to concentration adjustments) reflects a 10% cap rate and a 40% stress to the YE 2024 NOI which considers an updated performance assumption given anticipated vacancy and weakened submarket conditions. The expected loss also factors an increased probability of default given the specially serviced status. The third largest contributor to loss expectations in the CFCRE 2016-C4 transaction is the Traveler's Office Tower II loan (3.5%), which is secured by a 349,149-sf office property located in Southfield, MI, approximately 15 miles northwest of Detroit. The loan was identified as a FLOC due to performance declines, impending lease rollover, weakened submarket conditions and upcoming maturity in January 2026. Occupancy declined to 70% as of September 2025 from 86% at YE 2021 and remains below pre-pandemic occupancy of 98% at YE 2019. Due to the occupancy declines, the loan's NOI DSCR has declined to 3.6x for the YTD September 2025 reporting period, down from 4.6x as of YE 2019 and 4.0x at YE 2018.Additionally, there is significant upcoming rollover, the largest tenant R1 RCM, Inc (35.7% of NRA) which expires in April 2026. According to CoStar, approximately 88.9% of the NRA is listed as available for sublease. Fitch requested leasing updates on the available space, but did not receive a response. The property is located in the Southfield submarket of the Detroit MSA, which reported a vacancy rate of 23.2% and a higher availability rate of 26.6%. Fitch's 'Bsf' rating case loss of 19.5% (prior to concentration adjustments) reflects a 10.5% cap rate and a 25% stress to the YE 2024 NOI as well as an increased probability of default to account for the loan's heightened maturity default risk. Increased Credit Enhancement (CE): As of the November 2025 distribution statement, the aggregate balances of the CFCRE 2016-C3 and CFCRE 2016-C4 transactions have been reduced by 70.2% and 27.5%, respectively. There are 8 loans (15.0%) in CFCRE 2016-C4 that are defeased; no remaining loans in CFCRE 2016-C3 are defeased. Interest shortfalls of $126,666 are impacting the non-rated class G in CFCRE 2016-C3 and $96,782 are impacting the non-rated class G in CFCRE 2016-C4. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to their senior position in the capital structure, continued expected amortization/paydown and defeasance of loans in CFCRE 2016-C4, but may occur should interest shortfalls impact these classes, expected to impact these classes or there are substantial increases in deal-level losses. Downgrades to 'AAsf' and 'Asf' rated classes in the CFCRE 2016-C3 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, namely One Commerce Plaza, Springfield Mall, and Glenridge Medical Center I. In the CFCRE 2016-C4 transaction, downgrades to these classes could occur if performance of the FLOCs and loans in special servicing, including One Commerce Plaza, 5353 West Bell Road, 3 Executive Campus and Travelers Office Tower II, deteriorate further or fail to stabilize. Downgrades to 'BBBsf' and 'BBsf'-rated are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to 'Bsf'-rated classes would occur should the aforementioned FLOCs and loans in special servicing fail to stabilize and/or expected losses increase from further performance declines of these loans Downgrades to distressed classes are should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes One Commerce Plaza, Springfield Mall, and Glenridge Medical Center I in CFCRE 2016-C3 and Hyatt Regency St. Louis at The Arch, One Commerce Plaza, 5353 West Bell Road, 3 Executive Campus and Travelers Office Tower II in CFCRE 2016-C4. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. CHI COMMERCIAL: Fitch Assigns BB-sf Rating to Class HRR Certs ------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to CHI Commercial Mortgage Trust 2025-110W, Commercial Mortgage Pass Through Certificates, Series 2025-110W: -- $408,400,000 class A 'AAAsf '; Outlook Stable; -- $68,700,000 class B 'AA-sf'; Outlook Stable; -- $54,000,000 class C 'A-sf'; Outlook Stable. -- $76,000,000 class D 'BBB-sf'; Outlook Stable. -- $57,900,000 class E 'BBsf'; Outlook Stable. -- $35,000,000a class HRR 'BB-sf' ; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes in aggregate. Transaction Summary The certificates represent the beneficial ownership interest in a trust, which holds a $700.0 million, five-year, fixed-rate, interest-only commercial mortgage whole loan. The mortgage loan will be secured by the borrower's fee simple interest in a 57-story, Class A, 1.5 million-sf, LEED Gold office tower—110 North Wacker—located in the West loop, in Chicago, Illinois. Loan proceeds will be used to refinance $556.1 million of existing debt; repay $129.8 million of preferred equity; pay $11.4 million of closing costs; and fund $2.7 million of upfront reserves. The loan sponsors are a joint venture of Oak Hill Advisors, Callahan Capital Partners, and Affinius Capital LLC. The property is managed by Callahan Property Management LLC and by CBRE as sub-manager (with respect to both property management and leasing). The loan is co-originated by JPMorgan Chase Bank, National Association, Bank of America, N.A., Wells Fargo Bank, National Association, Goldman Sachs Bank USA, and Bank of Montreal. The mortgage loan sellers are JPMorgan Chase Bank, National Association, Bank of America, N.A., Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company (which will acquire Goldman Sachs Bank USA's interest in the mortgage loan on or prior to the closing date), and Bank of Montreal. Trimont LLC, will serve as the servicer, and Situs Holdings, LLC will serve as the special servicer. Deutsche Bank National Trust Company, a national banking association will act as the Trustee and Computershare Trust Company, National Association will act as certificate administrator. Pentalpha Surveillance LLC is to serve as the operating advisor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the property is estimated at $57.0 million. This is 15.9% lower than the issuer's NCF and 11.3% lower than the year-end 2024 (YE 2024) NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $735.9 million. High Fitch Leverage: The $700.0 million trust loan equates to debt of $459.70 psf, with a Fitch debt service coverage ratio (DSCR) of 0.93x, loan-to-value ratio (LTV) of 95.1% and debt yield of 8.1%. The loan represents about 69.5% of the appraiser concluded property value of $1.007 billion. Trophy Quality Asset: The loan is secured by 110 North Wacker, a 57-story, Class A office tower located at 110 North Wacker Drive in Chicago, Illinois. Delivered in 2020 and designed by Goettsch Partners, the property comprises approximately 1,522,732 sf of NRA, with typical floorplates ranging from 28,000 to 31,000 sf. Situated within Chicago's West Loop submarket, the asset benefits from immediate access to major transportation hubs including Ogilvie Station, Union Station, and multiple CTA "L" lines, as well as riverfront positioning that provides enhanced connectivity to the central business district and surrounding suburbs. 110 North Wacker is distinguished by its LEED Gold certification and additional industry accolades, including WELL Platinum, Energy Star, Wired Score Platinum, and Smart-Score Platinum certifications. The building features energy-efficient infrastructure such as 100% LED lighting, advanced HVAC systems with variable frequency drives, a 15,000 sf green roof, biophilic design elements, and was constructed with recycled and regionally sourced materials. Notable amenities include a state-of-the-art fitness and wellness center, multiple dining options including Bar Mar and Bazaar Meat, and a privately maintained riverfront promenade and public park spanning approximately half an acre. Fitch inspected the property and assigned the property a quality grade of "A". Strong Tenant Profile; Limited Rollover: 110 North Wacker is currently 97.8% leased to 38 distinct tenants, including firms specializing in professional and legal services, financial institutions, and multinational corporations. The property benefits from a higher proportion of investment-grade or creditworthy tenants compared to other multitenant office buildings rated by Fitch, with 34.6% of Fitch base rent and 36.8% of NRA attributable to creditworthy tenants such as Bank of America and Brookfield. Near-term rollover risk is limited, with only 7.7% of Fitch base rent and 8.3% of NRA scheduled to expire prior to the loan's maturity in December 2030. Several tenants have demonstrated a strong commitment to the asset by investing amounts in excess of their contractual tenant improvement allowances, including Thoma Bravo ($7.9 million), Linden ($6.8 million), Headlands ($6.1 million), Jones Day ($20.3 million), and Bank of America ($118.7 million). Institutional Sponsorship: The sponsorship for 110 North Wacker is provided by a joint venture between Callahan Capital Partners (CCP), Oak Hill Advisors (OHA), and Affinius Capital LLC (Affinius). CCP is responsible for day-to-day management and leasing and brings property-type and market-specific expertise. CCP has experience building and repositioning large platforms in the real estate industry. Since acquiring the property in 2022, the Loan Sponsor has increased occupancy from approximately 78.0% at the time of acquisition to 97.8% as of October 2025 and invested approximately $64.4 million to upgrade leasable area. The Loan Sponsor is to retain approximately $395.6 million in remaining cash equity. The joint venture combines CCP's operational expertise with the institutional investment and capital markets experience of OHA and Affinius, offering broad experience in asset management and office sector investment across major U.S. markets. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AA-sf' / 'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; -- 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf'/ 'BBsf'/ 'B+sf'/ 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AA-sf' / 'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; -- 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf'/ 'BBBsf'/ 'BBB-sf'/ 'BB+sf'. CHURCHILL SLF 2025-1: S&P Assigns B- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Churchill SLF 2025-1 LLC's floating-rate loans. The loan issuance is a corporate loan warehouse facility that is backed primarily by middle-market, speculative-grade (rated 'BB-' or lower), senior secured loans and governed by collateral quality tests. The transaction is issued through a loan agreement and is managed by Churchill Asset Management LLC. The reinvestment period ends on Jan. 18, 2031, and the stated maturity ends on Jan. 18, 2038. All loans are delayed-drawdown loans, including the subordinated loans (not rated). The current balance of all rated loans is $230.625 million with a maximum balance of $461.250 million. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through excess spread and overcollateralization; -- The experience of the manager's team, which can affect the performance of the rated loans through portfolio identification and ongoing management; -- The transaction's legal structure, which is expected to be bankruptcy remote; and -- S&P's 'A-1'/'A-' rating requirement for the delayed-drawdown lender and the cash-collateralization requirement if a lender's rating falls below 'A-1'/'A-'. Transaction Overview On the Dec. 23, 2025, closing date, Churchill SLF 2025-1 LLC issued up to $461.25 million of secured debt in the form of delayed-drawdown loans. Currently, the rated delayed-drawdown loans are 50% funded, equating to a total of $230.625 million. The remaining undrawn amount of each delayed-drawdown loan can be borrowed during the reinvestment period subject to passing all advance rate tests. The transaction's credit support is in the form of subordination, overcollateralization, excess spread, and a corresponding maximum advance rate for each class of loans. Each rated loan class is coupled with the below respective maximum advance rates assuming an obligor diversity of at least 50 unique obligors. In addition, if the portfolio has less than 45 obligors, the loans are subject to much lower advance rates depending on the concentration of the top obligors in the pool. Last, in order for any borrowing on any class to occur, each advance rate for each class of loans must be satisfied. -- Maximum of 65.00% for class A loans; -- Maximum of 77.00% for class B loans; -- Maximum of 82.00% for class C loans; -- Maximum of 88.00% for class D loans; and -- Maximum of 92.75% for class E loans; The warehouse facility is structured in a similar manner to a CLO and contains provisions that mirror those of a typical CLO. These provisions include: -- The transaction has an interest coverage tests and overcollateralization tests. The overcollateralization threshold values differ as per advance rates and obligor diversity. -- Reinvestment is governed by the usual provisions regarding par maintenance, and the satisfaction or maintenance of coverage tests and collateral quality tests; -- Standard & Poor's CDO Monitor will be run during the reinvestment period; and -- No reinvestment is permitted after the end of the reinvestment period. The transaction features and rating factors that differ from a typical CLO include the following: The maximum advance rate, which represents the level of credit support available for the debt, must be maintained at the levels specified above throughout the transaction's life. The transaction is subject to lower advance rates if the unique obligor count is below 45, which result in further credit enhancement, if applicable. The borrower will source funds for the delayed-drawdown loans through one or more lenders. These lenders are required to maintain an S&P Global Ratings' short-term issuer credit rating of at least 'A-1'/'A-'. If the rating falls below this level at any time, the borrower can replace the lender and require the lender to fully fund its share of the unfunded amounts associated with any revolving and delayed-drawdown assets. This is consistent with S&P Global Ratings' CLO and counterparty criteria. Quantitative Analysis S&P Global Ratings conducted a quantitative review consisting of a portfolio analysis and a cash flow analysis. The following are modeling considerations specific to this transaction: -- The assets and liabilities can fluctuate, depending on the level of funding for the delayed-drawdown loans. To account for this variability, S&P modeled multiple scenarios to assess the difference in results under the various levels of funding. -- The results under these stresses indicate that the loans have sufficient credit enhancement to withstand S&P's projected default levels in all scenarios. Surveillance S&P Global Ratings will maintain active surveillance on the rated loans until the loans mature or are retired, or until its ratings on the transaction have been withdrawn. The purpose of surveillance is to assess whether the rated loans are performing within the initial parameters and assumptions applied to each rating category. The issuer is required under the terms of the transaction documents to supply periodic reports and notices to S&P Global Ratings to maintain continuous surveillance on the rated loans. Ratings Assigned Churchill SLF 2025-1 LLC Class A loans, $250.00 million: AA (sf) Class B loans (deferrable), $125.00 million: A (sf) Class C loans (deferrable), $32.50 million: BBB- (sf) Class D loans (deferrable), $30.00 million: BB- (sf) Class E loans (deferrable), $23.75 million: B- (sf) Subordinated note, 38.75 million: NR NR--Not rated. CIFC FUNDING 2021-II: Fitch Assigns BB- Rating on Class E-R Debt ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2021-II, Ltd. CIFC Funding 2021-II, Ltd Rating Prior ------ ----- 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 LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2021-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC. The original CLO, which closed in April 2021, was not rated by Fitch. On Dec. 12, 2025, 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 $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-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. CITIGROUP 2014-GC25: DBRS Confirms C Rating on 6 Tranches --------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC25 issued by Citigroup Commercial Mortgage Trust 2014-GC25 as follows: -- Class B to CCC (sf) from BBB (low) (sf) -- Class X-B to CCC (sf) from BBB (sf) -- Class C to C (sf) from CCC (sf) -- Class PEZ to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-D at C (sf) -- Class X-E at C (sf) -- Class X-F at C (sf) All of the remaining classes no longer carry a trend given the CCC (sf) or lower credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool as well as the ongoing interest shortfalls, as further described below. Morningstar DBRS generally based its liquidation scenarios on significant haircuts to the most recent appraised values while accounting for expected servicer expenses. Across the four specially serviced loans, Morningstar DBRS projects total liquidated losses of $115.6 million, up from $110.7 million at the December 2024 review, largely driven by loss projections associated with the largest specially serviced loan, Bank of America Plaza (Prospectus ID#1; 63.8% of the pool), which transferred in July 2024 for maturity default. Projected losses from these liquidation scenarios would erode the entirety of the Class D, E, F, and G certificate balances and approximately 10.0% of the Class C certificate balance, supporting the credit rating downgrades. In addition to the increased loss projections, Morningstar DBRS downgraded its credit rating on Class B because of ongoing interest shortfalls. As of the November 2025 reporting, Class B was shorted approximately 15.0% of the interest owed to that class, marking the third consecutive month of unpaid interest and approaching the Morningstar DBRS threshold for unpaid interest in the BBB credit rating category. Morningstar DBRS expects shortfalls to continue to accrue as all four loans have defaulted and cumulatively contribute $475,000 to total shortfalls each month. Since the prior credit rating action, cumulative unpaid interest increased to $4.8 million from $1.3 million; Morningstar DBRS expects shortfalls to continue as the loans are secured by office properties showing significant value deterioration as of the most recent appraised values. As of the November 2025 remittance, four loans remained in the pool, representing a collateral reduction of 79.5% since issuance. As previously noted, all four remaining loans are specially serviced and flagged as nonperforming. To date, the trust has incurred a total loss of $2.0 million contained to the nonrated Class G certificate. The Bank of America Plaza loan is the largest contributor to Morningstar DBRS' projected losses for this transaction. The loan is secured by a 1.4 million-square-foot (sf) Class A office complex in Los Angeles' central business district (CBD). The trust loan represents a pari passu portion of the whole loan, with pieces in the subject transaction and two additional deals rated by Morningstar DBRS: WFRBS Commercial Mortgage Trust 2014-C23 and GS Mortgage Securities Trust 2014-GC26. The loan transferred to special servicing in July 2024 and the property was reappraised at a value of $212.5 million in December 2024, up from the appraised value of $188.9 million in July 2024 but still 64.9% below the appraised value at issuance. The value decline is generally attributable to the deteriorating market conditions that have led to the decline in occupancy, with the servicer reporting the property as 66.7% occupied as of August 2025, down from 78.9% at YE2024 and 90.0% at issuance. The most recent cash flow as of the trailing six-month period ended June 30, 2025 (T-6), showed an annualized net cash flow (NCF) of $23.4 million, down 30.2% from the figure at YE2024 and 31.2% the Issuer's NCF of $34.3 million. Given the low investor appetite for this property type in Los Angeles and the deterioration in performance over the past year, Morningstar DBRS analyzed the loan with a liquidation scenario by applying a conservative 30.0% haircut to the most recent appraised value, resulting in an implied loss of $82.2 million and a loss severity of 70.0%. The Pinnacle at Bishop's Woods loan (Prospectus ID#12; 16.1% of the pool) is secured by a portfolio of three adjacent Class B office buildings in Brookfield, a western suburb of Milwaukee, Wisconsin. The loan, which matured in July 2024, has been in special servicing since 2022 and was last paid in May 2023. Performance across the portfolio has continued to deteriorate since the onset of the coronavirus pandemic with the September 30, 2025, rent roll reflecting a consolidated occupancy rate of 51.6%, a slight decline from 52.2% in June 2025 and a significant decline from 94.9% at issuance. By comparison, the Brookfield/New Berlin submarket reported a Q3 2025 average vacancy rate of 28.0% according to Reis. Likewise, NCF has trended downward with T-6 annualized NCF of $1.2 million and a debt service coverage ratio (DSCR) of 0.65 times (x), which is considerably below the issuance NCF of $2.8 million and a DSCR of 1.52x. Near-term lease rollover is also elevated as tenant leases, representing approximately 30.0% of the net rentable area (NRA), are scheduled to expire before YE2026 according to the most recent September 30, 2025, rent roll. The collateral was most recently appraised in December 2024 at a value of $19.5 million, less than half of the appraised value of $45.3 million at issuance and below the current trust balance of $27.8 million. Morningstar DBRS liquidated the loan in its analysis based on a 30.0% haircut to the most recent appraised value, resulting in an implied loss of $16.6 million and a loss severity of 60.0%. The Stamford Plaza Portfolio (Prospectus ID#13; 15.6% of the pool) is secured by four Class A office properties totaling 982,483 sf in the CBD of Stamford, Connecticut. The trust debt of $26.9 million is a pari passu portion of the $241.8 million whole loan. The loan transferred to special servicing in September 2024 for maturity default and was last paid in May 2025. The portfolio was 66.0% occupied as of June 2025, down from 88.0% at issuance. The loan has consistently reported depressed cash flows, with the DSCR well below breakeven since 2020. Per the June 2025 financial reporting, the DSCR was just 0.60x. Rollover risk is moderate, with leases representing approximately 9.0% of the NRA rolling prior to YE2026. According to Reis, the Stamford CBD submarket reported a Q3 2025 vacancy rate of 26.4% while properties with similar vintages had an average vacancy rate of 33.2% for the same period. The collateral was appraised at a value of $150.7 million in October 2024, a 64.7% decline from the value of $427.2 million at issuance, implying a loan-to-value ratio of 160.5% on the whole-loan balance of $241.8 million. As a result of the sustained performance declines, significant value reduction from issuance, and soft submarket fundamentals for office properties, Morningstar DBRS applied a 30.0% haircut to the most recent appraised value in the analysis, resulting in an implied loss of $16.2 million and a loss severity of 60.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2025-LTV1: Fitch Rates Class B-2 Notes 'B-sf' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2025-LTV1 (CMLTI 2025-LTV1). CMLTI 2025-LTV1 Debt Rating Prior ---- ------ ----- A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to 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. There were no changes to the collateral since the presale. The structure was updated post-pricing and the coupons for A-1A, A-1B, A-1, A-2, A-3, M-1 and B-1 classes decreased approximately between 5bps-10bps, which increased the weighted average excess spread to 191bps, a 20bps increase from the previous WA excess spread of 181bps. Fitch re-ran its cash flow analysis and confirmed no changes from its expected rating. 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'. COMM 2014-CCRE18: DBRS Confirms C Rating on Class F Certs --------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE18 issued by COMM 2014-CCRE18 Mortgage Trust as follows: -- Class E at B (low) (sf) -- Class F at C (sf) The trend on Class E is Stable. Class F has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' recoverability expectations for the only loan remaining in the pool, Southfield Town Center (Prospectus ID#4), which has been in special servicing since February 2024 because the borrower failed to repay upon the loan's scheduled maturity date in May 2024. Since Morningstar DBRS' last credit rating action in December 2024, the only other loan in the pool at the time of last review, Bristol Village (Prospectus ID#33; formerly 12.5% of the pool), repaid from the trust. As of the November 2025 remittance, the trust balance of $49.9 million represented a 95.0% collateral reduction since issuance and a 19.1% collateral reduction since the last credit rating action. Morningstar DBRS' analysis considered a conservative liquidation scenario based on a stress to the most recent appraised value to determine the recoverability of the outstanding bonds, the results of which suggest that Class E remains insulated from losses. The Southfield Town Center loan value would have to decline by more than 55% from the appraised value of $137.0 million at September 2025 before Class E would incur its first dollar of loss, which Morningstar DBRS does not consider a likely scenario. Conversely, Morningstar DBRS' projected losses fully erode the nonrated Class G balance and partially erode the Class F balance, supporting the credit rating confirmation for that class. In addition, the Class F certificate has been shorted interest since February 2024, exceeding Morningstar DBRS' tolerance levels, and the timing for recoverability will likely be extended, exposing the trust to expenses and interest shortfalls and further supporting the credit rating confirmation on Class F at C (sf). Southfield Town Center transferred to special servicing for imminent maturity default in February 2024. According to the servicer's commentary, the borrower signed a forbearance through January 6, 2026, with an extension option through December 6, 2026, and the loan has been performing under the forbearance. The loan is secured by a 2.15 million-square-foot, five-building suburban office property in the Detroit suburb of Southfield, Michigan. For the trailing 12-month period ended June 30, 2025, the property reported a net cash flow (NCF) of $13.7 million (with a debt service coverage ratio (DSCR) of 1.54 times (x)), which remains in line with the YE2024 NCF of $13.3 million, but well below the YE2023 NCF of $18.4 million. Occupancy has remained relatively flat since issuance, with the property reporting an occupancy rate of 73.1% as of June 2025, which is in line with the YE2024 and YE2023 occupancy rates of 74.0% and 77.0%, respectively, but higher than the occupancy rate of 67.0% at issuance. The North Southfield submarket remains soft as the submarket reported a Q3 2025 vacancy rate of 29.2%, according to Reis. As previously mentioned, the property was reappraised at a value of $137 million in September 2025, which represents a decline in value of approximately 36.8% from the appraised value of $216.9 million in May 2024. Notes: All figures are in U.S. dollars unless otherwise noted. COMM MORTGAGE 2004-LNB2: Fitch Withdraws D Ratings on 4 Classes --------------------------------------------------------------- Fitch Ratings has withdrawn four classes of COMM Mortgage Trust 2004-LNB2 (COMM 2004-LNB2). COMM Mortgage Trust 2004-LNB2 Debt Rating Prior ---- ------ ----- L 20047BAH1 LT WDsf Withdrawn Dsf M 20047BAJ7 LT WDsf Withdrawn Dsf N 20047BAK4 LT WDsf Withdrawn Dsf O 20047BAL2 LT WDsf Withdrawn Dsf Fitch has withdrawn the ratings for COMM 2004-LNB2 as they are no longer considered relevant to the agency's coverage. Class L has incurred principal losses of $3.1 million and the remaining balance is de minimis. The balances of classes M, N and O have been reduced to $0 from incurred losses. KEY RATING DRIVERS Fitch has withdrawn the ratings for following classes: -- Class L due to a realized loss of $3.1 million and de minimis remaining balance; -- Class M due to a realized loss of $4.8 million and $0 remaining balance; -- Class N due to a realized loss of $2.4 million and $0 remaining balance; -- Class O due to a realized loss of $1.2 million and $0 remaining balance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative rating sensitivities are not applicable as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Positive rating sensitivities are not applicable as the ratings have been withdrawn. CSAIL 2015-C4: DBRS Confirms B Rating on Class XG Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C4 issued by CSAIL 2015-C4 Commercial Mortgage Trust as follows: -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class X-F at BB (sf) -- Class X-G at B (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' overall outlook and loss expectations for the transaction. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis for the remaining loans, the results of which suggest that, even in a conservative scenario, realized losses would be contained to the unrated Class NR certificate, supporting the credit rating confirmations and Stable trends with this review. Since the previous credit rating action in May 2025, 76 loans have repaid from the pool, resulting in a total collateral reduction of 93.1% since issuance. Based on November 2025 reporting, six loans remain in the pool, one of which is in special servicing (Walgreens-Riverview (Prospectus ID#69, 5.0% of the pool)), with the remaining five being monitored on the servicer's watchlist for upcoming loan maturities. The remaining pool comprises solely multifamily and retail properties, representing 53.9% and 46.1% of the pool, respectively, with no office exposure. The sole loan in special servicing, Walgreens-Riverview, is secured by a 13,905-square-foot retail property in Riverview, Michigan. The loan transferred to special servicing in September 2025 because of maturity default. The property is 100% occupied by Walgreens on a long-term lease that extends until October 2068. Based on the most recent financial reporting, the collateral continues to demonstrate stable performance, most recently reporting a debt service coverage ratio of 1.27 times (x), unchanged since YE2023 and an improvement over the issuer's underwritten figure of 1.23x. Despite the property's continuing stable performance, Morningstar DBRS maintains a cautious outlook on the loan, as Walgreens' financial struggles are likely to complicate the loan's refinancing prospects. For the purposes of this credit rating action, Morningstar DBRS analyzed this loan with a liquidation scenario, based on a 50% haircut to the issuance appraised value of $5.0 million, which resulted in an implied loss of approximately $1.2 million (36% loss severity). Aside from the loan in special servicing, Morningstar DBRS expects most of the remaining loans to pay out in full and has a generally favorable outlook on the pool. Morningstar DBRS expects the remaining rated classes to remain fully insulated from losses because of the substantial cushion provided by the unrated Class NR, which has a current balance of $36.1 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. DIAMETER CAPITAL 13: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 13 Ltd./Diameter Capital CLO 13 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 Diameter CLO Advisors LLC. The preliminary ratings are based on information as of Dec. 19, 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 Diameter Capital CLO 13 Ltd./Diameter Capital CLO 13 LLC Class A-1, $246.00 million: AAA (sf) Class A-2, $14.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $2.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $37.90 million: NR NR--Not rated. DRYDEN 54 SENIOR: Moody's Affirms B1 Rating on $20MM Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 54 Senior Loan Fund: US$30M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 31, 2025 Upgraded to Aa1 (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Jul 31, 2025 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$276M (Current outstanding balance US$47,596,344) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 31, 2025 Affirmed Aaa (sf) US$60M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 31, 2025 Affirmed Aaa (sf) US$20M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jul 31, 2025 Downgraded to B1 (sf) Dryden 54 Senior Loan Fund, originally issued in October 2017 and partially refinanced in March 2024, 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 PGIM, Inc. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class C and D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2025. The affirmations on the ratings on the Class A-R, B-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 USD85.1 million (16%) since the last rating action in July 2025 and USD272.4 million (85.1%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated October 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 181.46%, 141.90%, 116.50% and 104.08% compared to June 2025[2] levels of 148.24%, 127.97%, 112.57% and 104.21%, 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: USD197,363,425 Defaulted Securities: USD1,290,710 Diversity Score: 58 Weighted Average Rating Factor (WARF): 2988 Weighted Average Life (WAL): 2.92 years Weighted Average Spread (WAS): 3.01% Weighted Average Recovery Rate (WARR): 47.59% 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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. DRYDEN 72 CLO: S&P Lowers Class E-R Notes Rating to B (sf) ---------------------------------------------------------- S&P Global Ratings completed its review of 11 classes of debt from Dryden XXVI Senior Loan Fund and Dryden 72 CLO Ltd., which are broadly syndicated U.S. CLO transactions. Of the reviewed ratings, S&P raised its ratings on five classes, lowered its ratings on three classes, and affirmed S&P's ratings on the remaining three classes, At the same time, three of the ratings from CreditWatch with positive implications, as well as removed three from CreditWatch with negative implications, where they were placed on Oc. 10,2025. The rating actions follow S&P's review of each transaction's performance using data from their respective trustee reports. In its view, S&P analyzed each transaction's performance and cash flows and applied its global corporate CLO criteria. The transactions have exited their respective reinvestment period and are paying down the notes in the order specified in their respective documents. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporate other considerations into its decision to raise, affirm, or limit rating movements. These considerations typically include: -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the respective class's indicative cash flow results and decreased credit support as a result of a combination of principal losses, reduced recoveries, and a decline in the weighted average spread in their respective portfolios. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. S&P said, "Although our cash flow analysis indicated a different rating for some classes of debt, we affirmed or took the rating action, as listed below, after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings list Rating Issuer Class CUSIP To From Dryden XXVI Senior Loan Fund A-R 26250UAQ8 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Dryden XXVI Senior Loan Fund B-R 26250UAS4 AAA (sf) AA (sf)/ Watch POS Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. Dryden XXVI Senior Loan Fund C-R 26250UAU9 AA+ (sf) A (sf)/ Watch POS Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. While S&P's base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, which aligns with the upgraded rating, as well as additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets, and to assets trading at low market values. Dryden XXVI Senior Loan Fund D-R 26250UAW5 A (sf) BBB- (sf)/ Watch POS Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. While S&P's base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, which aligns with the upgraded rating, as well as additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets, and to assets trading at low market values. Dryden XXVI Senior Loan Fund E-R 26250UAY1 B+ (sf) BB- (sf)/ Watch NEG Main rationale: Cash flow fails at the current rating level. Decreased credit support due to prinicipal losses, reduced recoveries, and decline in weighted average spread. Dryden XXVI Senior Loan Fund F-R 26250UBA2 CCC (sf) CCC+ (sf)/ Watch NEG Main rationale: Cash flow fails at the current rating level. Although S&P's base-case cash flows indicated a lower rating, our rating decision took into account the class's credit enhancement, exposure to 'CCC'/'CCC-' rated assets, and the existing level of credit enhancement, which in our opinion aligns with the current rating. Dryden 72 CLO Ltd. A-RR 26252NAW9 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Dryden 72 CLO Ltd. B-RR 26252NAY5 AA+ (sf) AA (sf) Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. Dryden 72 CLO Ltd. C-RR 26252NBA6 A+ (sf) A (sf) Main rationale: Senior note paydowns, improvement in O/C, and passing cash flows. While S&P's base-case analysis indicated a higher rating, the rating action took into account the class's credit enhancement, which aligns with the upgraded rating, as well as additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets, and to assets trading at low market values. Dryden 72 CLO Ltd. D-R 26252NAU3 BBB- (sf) BBB- (sf) Main rationale: Cash flow passes at the current rating level. Dryden 72 CLO Ltd. E-R 26252MAE1 B (sf) BB- (sf)/ Watch NEG Main rationale: Cash flow fails at the current rating level. Failing trustee O/Cs. Decreased credit support due to prinicipal losses, reduced recoveries, and a decline in weighted average spread. O/C--Overcollateralization. EFMT 2025NQM6: Fitch Assigns B-(EXP) Rating to Class B2 Debt ------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2025-NQM6. RATING ACTIONS EFMT 2025-NQM6 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 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 M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B1A LT BB-(EXP)sf Expected Rating B1X LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates to be issued by EFMT 2025-NQM6, Mortgage Pass-Through Certificates, Series 2025-NQM6 (EFMT 2025-NQM6), as indicated above. The certificates are supported by 895 loans with a balance of $501.14 million as of the cutoff date. This will be the 15.th EFMT transaction rated by Fitch and the sixth non-QM EFMT transaction in 2025. The certificates are secured mainly by nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule) and include investment properties and other loans that are not subject to ATR. The loans were originated by the following entities: 22.99% of the loans were originated by The Loan Store, Inc. ("Loan Store"); 22.11% of the loans were aggregated by Oceanview Life and Annuity Company or one of its affiliates (the "OVLAC Aggregator"); 12.36% of the loans were originated by LendSure Mortgage Corp. ("LendSure"); and the remaining 42.55% of the loans by various third-party originators. Cornerstone Home Lending, Inc. and Nationstar Mortgage LLC d/b/a Rushmore will service the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 1. 04% of the pool comprises loans with an adjustable rate. All ARM loans are based on the 30-day secured overnight financing rate (SOFR). Classes A-1A and A-1B, A-2, and A-3 are fixed rate with a step-up coupon on or after the January 2030 and capped at the net weighted average coupon (WAC). Class A-1F will be a floating-rate class with a per annum rate equal to the least of (i) the related benchmark plus 1.200%, (ii) 7.000%, and (iii) the class A-1F net WAC cap for such distribution date prior to January 2030. Class A-1IO will be an inverse floating-rate class with a per annum rate equal to the excess, if any, of (i) the lesser of (a) 7.000% and (b) the product of (x) the net WAC rate for such distribution date divided by the Class A-1 senior blended rate and (y) 7.000% over (ii) the pass-through rate on the Class A-1F certificates for such distribution date. Class A-1F will have a step-up coupon on and after January 2030 Classes M-1 and B-1 are fixed rated and capped at the net WAC. Classes B-2, B-3A and B-3B will have an interest rate equal to the net WAC. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (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 pool consists of 895 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs],) condos/condotels, townhouses, multifamily two- to four-unit properties, five- to 10-unit multifamily properties, mixed-use properties) totaling $ 501.14 million. The loans are exempt from QM or are NQM loans, with the majority of the loans being underwritten to 12-24 month bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 749, indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 73.94%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.60%. This transaction has a final PD of 40.87% at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 41.59%. The expected loss at the 'AAAsf' rating stress is 17.0%. Structural Analysis (Mixed): EFMT 2025-NQM6 has a modified sequential structure with limited advancing of delinquent P&I. The structure distributes collected principal pro rata among the Class A notes while excluding subordinate bonds from principal until Classes A-1A, A-1B, A-1F, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially first to Classes A-1A, A-1B and A-1F and then A-2 and A-3 until they are reduced to zero. The Class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in January 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from Class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1F, A-1IO, A-2 and A-3 classes on and after January 2030. Specifically, on any distribution date occurring on or after the distribution date in January 2030 on which the aggregate unpaid cap carryover amount for Class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to Class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the Class A-1A, A-1B and A-1F certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and Classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after January 2030, since Classes A-1A, A-1B, A-1F, A-1IO, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is there is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. 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 arrive at a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the TPR firm and that have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to 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 EFMT 2025-NQM6 to be fully de-linked and have a bankruptcy remote SPV transaction structure. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to EFMT 2026-NQM6 and therefore Fitch is comfortable rating the transaction at the highest possible rating of 'AAAsf' without any rating caps. The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. 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 environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. CRITERIA VARIATION The pool contains 15.56% cross-collateralized loans. Under the U.S. RMBS Rating Criteria, Fitch allows up to 10% cross-collateralized loans in a pool. Fitch permitted an exception to the 10% threshold because the vast majority of the loans were all originated by a single lender that specializes in cross-collateralized loans, all loans underwent due diligence with no material findings, and the loans' collateral attributes are strong. Historical performance indicates that cross-collateralized loans perform well because the borrower can use income from other properties to service the mortgage if needed, compared with DSCR borrowers who rely on a single income-generating property. There was no effect on the rating impact from this variation. ELDRIDGE MMPC 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Eldridge MMPC CLO 2025-2 Ltd./Eldridge MMPC CLO 2025-2 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 Eldridge Credit Advisers LLC, a subsidiary of Elridge Industries. 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 Eldridge MMPC CLO 2025-2 Ltd./Eldridge MMPC CLO 2025-2 LLC Class A-1, $288 million: AAA (sf) Class A-1-L loans, $60 million: AAA (sf) Class A-2, $24 million: AAA (sf) Class B, $36 million: AA (sf) Class C (deferrable), $48 million: A (sf) Class D-1 (deferrable), $36 million: BBB (sf) Class D-2 (deferrable), $12 million: BBB- (sf) Class E (deferrable), $24 million: BB- (sf) Subordinated notes, $72 million: Not rated ELMWOOD CLO 46: Fitch Assigns BB-sf Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO 46 Ltd. Elmwood CLO 46 Ltd. A-1 LT AAAsf New Rating A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Elmwood CLO 46 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset 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 21.24, 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 96.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 debt and the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. FIGRE TRUST 2025-FL2: DBRS Finalizes B Rating on B2 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-FL2 (the Notes) issued by FIGRE Trust 2025-FL2 (FIGRE 2025-FL2 or the Trust): -- $197.5 million Class A-1 at AAA (sf) -- $21.2 million Class A-2 at AA (high) (sf) -- $10.9 million Class A-3 at AA (low) (sf) -- $6.7 million Class M-1 at BBB (low) (sf) -- $2.4 million Class B-1 at BB (sf) -- $1.8 million Class B-2 at B (sf) The AAA (sf) credit rating on the Notes reflects 18.50% of credit enhancement provided by subordinate notes. The AA (high) (sf), AA (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 9.75%, 5.25%, 2.50%, 1.50%, and 0.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by recently originated first-lien home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,951 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $242,341,393 and a total current credit limit of $263,630,115 as of the Cut-Off Date (November 30, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from two to 11 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure or the Company) is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the Company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 31, 2024, Figure originated, funded, and serviced more than 124,000 HELOCs totaling approximately $8.5 billion Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2025-FL2 is the 22nd rated securitization of HELOCs by Figure. However, FIGRE 2025-FL2 is the second rated securitization of HELOCs by Figure to contain primarily first-lien HELOCs. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all but one loans (99.8%) are open HELOCs that have a draw period of two, three, four, or 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. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only (IO) payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 96.7% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure generally uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were generally treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations and generally stepped up expected losses from the model to account for this and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A-1 A-2, A-3, M-1, B-1, B-2, B-3, and XS note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will be required to hold the required credit risk 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, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Retaining Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged-off and will instead continue to be serviced. 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 FR Certificates. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike prior FIGRE securitizations, the Reserve Account will not be funded at closing. Instead, the Class FR Certificate holders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Class FR Certificates will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount funded by the Class FR Certificate holders. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on 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. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to 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. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (December 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes--Class M-1, Class B-1, and Class B-2--that receive their principal payments after the pro rata classes (Class A-1, Class A-2, and Class A-3) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly 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 or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). The Depositor may, at its option, on or after the earlier of (1) the payment date in December 2028, and (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (NPLs) (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible NPLs) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2025-FL2: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 6 classes of residential mortgage-backed securities (RMBS) issued by FIGRE Trust 2025-FL2, and sponsored by Figure Lending LLC. The securities are backed by a pool of predominantly first-lien, performing, simple interest, fixed rate, fully amortizing and predominantly open-ended Home Equity Lines of Credit (HELOCs), originated by Figure Lending LLC and various other originators and serviced by Figure Lending LLC. The complete rating actions are as follows: Issuer: FIGRE Trust 2025-FL2 Cl. A-1, 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 HELOCs, 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 1.53%, in a baseline scenario-median is 1.05% and reaches 14.24% 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. FMBT TRUST 2024-FBLU: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2024-FBLU (the Certificates) issued by FMBT Trust 2024-FBLU as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since closing in December 2024. The transaction is secured by the fee-simple and leasehold interests of five special-purpose entities (collectively, the Borrowers) in, among other things, a portion of the Fontainebleau Miami Beach Resort. It is a four-diamond, 1,594-key luxury resort along 15.5 acres of oceanfront property. Of the total keys, 846 are hotel rooms in the Chateau and Versailles towers and serve as collateral for this transaction. The remaining 748 keys are condo units in the Trésor and Sorrento towers and do not serve as collateral for the transaction; however, the resort operates a condo-hotel program whereby the units of participating condo owners can be used as visitor hotel rooms. Condo participation has historically averaged 85% since 2011. The subject boasts an impressive amenity package, including 12 food and beverage outlets, 11 pools, a 40,000-square-foot (sf) spa, a 5,800-sf fitness center, and a 23-slip deep water marina along the intracoastal side of the resort. Since 2005, there has been approximately $1.1 billion in capital improvements invested in the property. More recently, capital improvements totaling $232 million have been completed at the property since 2019, including the construction of the $132 million 182,208-sf Coastal Convention Center, which opened in December 2024. The collateral now boosts the most convention space in its competitive set and the second most in all of Miami and will seek to further improve the group bookings at the hotel. As per several news articles from August 2025, the subject will undergo a transformation of its iconic pool deck, with construction planned to commence in early 2026. The planned offerings include five new pools, two hot tubs, a kids' zone, 11 new slides (including one that will feature one of the largest drops in the U.S.), cabanas equipped with TVs and lockers, and upgrades to La Côte Restaurant and three signature bars. The redevelopment aims to provide new family-friendly offerings and enhance poolside entertainment. However, Morningstar DBRS notes news articles have stated that this transformation proposal faced stiff opposition from neighboring residents and city activists at a Miami Beach Historic Preservation Board (the Board) meeting held in November 2025. The Board's vote has reportedly been delayed until the middle of January 2026. The borrower sponsor of this transaction is Jeffrey Soffer, who runs Fontainebleau Development, with more than 25 years of experience, five other luxury hotels, and numerous other residential, commercial, and other projects. The portfolio of hospitality assets includes the JW Turnberry Marriott, Hilton Nashville Downtown, and Fontainebleau Las Vegas. The total respective loan amounts of $1.2 billion, $975 million, and $210 million of mezzanine debt, along with an equity cash contribution of $94.4 million, were used to refinance the existing debt of $1.2 billion, retire the Costal Convention Center debt facility of $64.4 million, and cover $40 million of closing costs. The floating-rate loan has a two-year term with up to three one year extension options. According to the financial reporting for the trailing 12 months ended June 30, 2025, the collateral generated a net cash flow (NCF) of $78.3 million, which remains in line with the Morningstar DBRS NCF figure derived at closing of $77.6 million. During the same period, the collateral reported occupancy, average daily rate (ADR), and revenue per available room figures of 67.5%, $410.81, and $277.14, respectively, with ADR performing slightly below Morningstar DBRS figures derived at issuance of 67.4%, $424.06, and $273.37, respectively. With this review, Morningstar DBRS maintained the sizing approach from issuance, which was based on a capitalization rate of 7.96% applied to the Morningstar DBRS NCF of $77.6 million. The resulting Morningstar DBRS Value of $975.6 million represents a variance of -43.3% from the appraiser's concluded as-is value of $1.72 billion and represents a Morningstar DBRS loan-to-value ratio (LTV) of 100.0%. Morningstar DBRS maintained positive qualitative adjustments of 6.75% to the LTV Sizing Benchmarks to account for collateral's strong historical performance, superior property quality, and experienced and dedicated sponsor. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2022-HQA2: Moody's Ups Rating on 6 Tranches from Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 43 bonds from three Freddie Mac STACR deals, which are credit risk transfer (CRT) RMBS issued by Freddie Mac to share the credit risk on reference pools of mortgages with the capital markets. 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: Freddie Mac STACR REMIC Trust 2020-HQA2 Cl. M-2, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2B, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2BI*, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2BR, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2BS, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2BT, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2BU, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2I*, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2R, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2RB, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2S, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2SB, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2T, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2TB, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2U, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Cl. M-2UB, Upgraded to Aa2 (sf); previously on Mar 3, 2025 Upgraded to Aa3 (sf) Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA2 Cl. B-1, Upgraded to Baa3 (sf); previously on Mar 21, 2025 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2A, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2AI*, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2AR, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2AS, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2AT, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2AU, Upgraded to A1 (sf); previously on Mar 21, 2025 Upgraded to A2 (sf) Cl. M-2I*, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2R, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2S, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2T, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2U, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Issuer: Freddie Mac STACR REMIC Trust 2022-HQA2 Cl. M-1A, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-1B, Upgraded to A3 (sf); previously on Mar 21, 2025 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2A, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2AI*, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2AR, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2AS, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2AT, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2AU, Upgraded to Baa2 (sf); previously on Mar 21, 2025 Upgraded to Baa3 (sf) Cl. M-2I*, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2R, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2S, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2T, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2U, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .01% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, 1.9x 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. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GARNET CLO 4: Moody's Assigns B3 Rating to $200,000 Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Garnet CLO 4, Ltd. (the Issuer or Garnet CLO 4): US$155,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$165,000,000 Class A-1L Loans maturing 2039, Assigned Aaa (sf) US$200,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. 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. Garnet CLO 4 is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans or permitted non-loan assets. The portfolio is approximately 100% ramped as of the closing date. Garnet Credit Management 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 Debts, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt 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: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2971 Weighted Average Spread (WAS): 2.70% Weighted Average Recovery Rate (WARR): 46.50% 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 Rated Debts is subject to uncertainty. The performance of the Rated Debts 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 Debts. GCAT TRUST 2025-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 70 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1(sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-31*, Definitive Rating Assigned Aaa (sf) Cl. A-X-32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-33*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-34*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-35*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on December 08, 2025, because the issuer will not be issuing this class. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.70%, 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. GREYWOLF CLO III: S&P Affirms B- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on 16 classes of debt from two broadly syndicated U.S. CLO transactions: Greywolf CLO II Ltd. and Greywolf CLO III Ltd. (Re-issue). At the same time, four of these ratings were removed from CreditWatch where they had been placed with negative implications on Oct. 10, 2025, based on the classes' performance and changes in metrics. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporates other considerations into its decision to raise, lower, or affirm ratings, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its debt; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated different ratings for some classes of debt, we took the rating actions after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings list Rating Issuer Class CUSIP To From Greywolf CLO II Ltd. X 398079AU7 AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. A-1S 398079AW3 AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. A-2J 398079AY9 AAA (sf) AAA (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. A2-a 398079BA0 AA (sf) AA (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. A2-b 398079BC6 AA (sf) AA (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. B-1 398079BE2 A (sf) A (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. B-2 398079BG7 A (sf) A (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. C-1 398079BJ1 BBB+ (sf) BBB+ (sf) Rationale: Cash flow passes at the current rating level. Greywolf CLO II Ltd. C-2 398079BL6 BBB- (sf) BBB- (sf)/Watch Neg Rationale: Though our cash flows pointed to a lower rating, S&P affirmed the BBB- rating after considering the portfolio's reduced exposure to assets rated in the 'CCC' rating category, its current O/C--which is still in line with the current rating level. The transaction will also soon exit the reinvestment period and this class should benefit from expected future paydowns. Greywolf CLO II Ltd. D 39808GAN6 BB- (sf) BB- (sf)/Watch Neg Rationale: Though our cash flows pointed to a lower rating, S&P affirmed the BB- rating after considering the portfolio's reduced exposure to assets rated in the 'CCC' rating category, its current O/C--which is still in line with the current rating level. The transaction will also soon exit the reinvestment period and this class should benefit from expected future paydowns. Greywolf CLO III Ltd. A-1-R2 39809CAY0 AAA (sf) AAA (sf) (Re-issue) Rationale: Cash flow passes at the current rating level. Greywolf CLO III Ltd. A-2-R2 39809CBA1 AA (sf) AA (sf) (Re-issue) Rationale: Although our base-case analysis indicated a higher rating, S&P affirmed the AA rating after considering sensitivity test results on the exposure to assets rated in the 'CCC' rating category and assets with distressed market prices, and also our consideration of its current credit enhancement level, which in our opinion is commensurate with the affirmed rating. Greywolf CLO III Ltd. B-R2 39809CBC7 A (sf) A (sf) (Re-issue) Rationale: Although our base-case analysis indicated a higher rating, S&P affirmed the A rating after considering sensitivity test results on the exposure to assets rated in the 'CCC' rating category and assets with distressed market prices, and also our consideration of its current credit enhancement level, which in its opinion is commensurate with the affirmed rating. Greywolf CLO III Ltd. C-R2 39809CBE3 BBB- (sf) BBB- (sf) (Re-issue) Rationale: Cash flow passes at the current rating level. Greywolf CLO III Ltd. D-R 39809JAA7 BB- (sf) BB- (sf)/ (Re-issue) Watch Neg Rationale: S&P said, "Though our cash flows pointed to a lower rating, we affirmed the rating after considering the portfolio's exposure to assets rated in the 'CCC' rating category, its current O/C--which has improved primarily due to paydowns and is commensurate with a BB- rating of other CLO tranches--and forward looking expectation that continued paydowns are likely to increase its credit support." Greywolf CLO III Ltd. E-R 39809JAC3 B- (sf) B- (sf)/ (Re-issue) Watch Neg Rationale: S&P said, "Although our base-case analysis indicated a lower rating, we affirmed the B- rating as we feel that this class does not fit our 'CCC' definition yet based on its low exposure to assets rated in the 'CCC' rating category and its current credit enhancement level, which in opinion can withstand a steady-state scenario without being dependent on favorable conditions to meet its financial commitments. Continued paydowns are also likely to increase its credit support." O/C--Overcollateralization. GS MORTGAGE 2015-GC28: DBRS Confirms CCC Rating on 2 Classes ------------------------------------------------------------ DBRS, Inc. downgraded credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC28 issued by GS Mortgage Securities Trust 2015-GC28 as follows: -- Class D to CCC (sf) from BB (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class E at CCC (sf) -- Class X-C at CCC (sf) Classes D, E, F, and X-C have credit ratings that typically do not carry trends in commercial mortgage-backed securities. The credit rating downgrade for Class D reflects ongoing interest shortfalls that have reached Morningstar DBRS' tolerance for timely interest at the BB credit rating category. As of the November 2025 remittance, cumulative unpaid interest totaled approximately $3.0 million, almost double from the last credit rating action in May 2025 at $1.6 million. All outstanding classes in this transaction, which is in wind-down, are currently being shorted with Classes E, F, and G shorted for 12 or more remittance periods, while Class D has not received full interest for six months. Since Morningstar DBRS' previous credit rating action, one loan has been repaid. Four loans remain in the pool, all of which are in special servicing for maturity default. Two of these specially serviced loans, The Avenue at Lubbock (Prospectus ID#4; 49.2% of the current pool balance) and Iron Horse Hotel (Prospectus ID#11; 21.7% of the current pool), are real estate owned. With this review, updated 2025 appraisals were provided for the 411 Seventh Avenue (Prospectus ID# 8; 24.9% of the current pool balance), Iron Horse Hotel, and Denim Lofts (Prospectus ID#66; 4.2% of the current pool balance) loans. 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 appraised value haircuts ranged from 10.0% to 20.0% in Morningstar DBRS' liquidation scenarios and the analysis resulted in cumulative implied losses of approximately $17.9 million, fully eroding the balances of the nonrated Class G and partially eroding the Class F balance. These projected liquidated losses, as well as concerns around the possibility of further value degradation for the collateral properties, support the credit rating downgrades for Class F, as well as the credit rating confirmations for Classes E and X-C. The largest specially serviced loan and the primary driver of losses is The Avenue at Lubbock loan, which is secured by a 788-unit student housing property in Lubbock, Texas. The loan transferred to special servicing in November 2024 for imminent monetary default. According to the November 2025 commentary, the special servicer has initiated the foreclosure process and provided counsel the materials for a sale date. The property reported an occupancy rate of 73.2% as of June 2025, in line with YE2024 occupancy of 72.6%, but a drastic decline from the YE2023 occupancy of 93.5%. With this decrease in occupancy, cash flow has also declined with the trailing six-month period ended June 30, 2025, reporting an annualized net cash flow (NCF) of $2.1 million down from the YE2024 NCF of $2.4 million by 12.5%. The property was re-appraised in March 2025 for an appraised value of $29.5 million, which reflects a 43.6% decrease when compared with the issuance appraisal of $52.3 million. Given the depressed value along with the special servicer's decision to initiate foreclosure, Morningstar DBRS liquidated the loan, applying a 10.0% haircut to the most recent appraised value, resulting in losses of $11.3 million or a loss severity of 32.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. GSJP TRUST 2025-BEDS: Moody's Assigns B3 Rating to Cl. HRR Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by GSJP Trust 2025-BEDS, Commercial Mortgage Pass-Through Certificates, Series 2025-BEDS: 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 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 1.08x (as compared to 1.06x in place at Moody's provisional ratings) 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 119.1% as compared to 118.5% in place at Moody's provisional ratings, 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 views 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. HILTON GRAND 2025-3XT: Fitch Rates Class D Notes 'BB-sf' -------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2025-3EXT (HGVT 2025-3EXT). RATING ACTIONS Hilton Grand Vacations Trust 2025-3EXT A LT AAAsf New Rating AAA(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf Transaction Summary The notes are backed by a pool of fixed-rate timeshare loans originated by Hilton Resorts Corporation (HRC), Diamond Resorts Corporation (Diamond) and Bluegreen Vacations Corporation (Bluegreen). Hilton Grand Vacations, Inc. (HGV) completed its acquisition of Diamond and Bluegreen in August 2021 and January 2024, respectively. As a result of the acquisitions, Diamond and Bluegreen are now wholly owned indirect subsidiaries of HGV. KEY RATING DRIVERS Borrower Risk—Weaker Collateral: The 2025-3EXT pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 727, down from 742 in 2025-2 and 745 in 2025-1. Loans with original balances greater than $100,000 have increased to 31.5% from 20.3% in 2025-2, which is considered a credit negative, as larger-balance loans have led to higher cumulative gross defaults (CGDs) in prior HGVT transactions. Additionally, the pool includes approximately 1.6% of loans made to foreign obligors, slightly up from a 1.1% concentration in 2025-2. The WA original term of 160 months is up significantly from 123 in 2025-2, and seasoning of 13 months is down from 15 months in 2025-2. The share of upgraded loans from the existing owners, at 83.9%, is higher than 72.3% in 2025-2. 2025-3EXT is HGV's fourth transaction to include HRC, Diamond and Bluegreen loans, which represent 11.9%, 49.3% and 38.8% of the collateral pool, respectively. On a like-for-like FICO basis, the HRC loans perform better than the Diamond and Bluegreen loans. Forward-Looking Approach on Rating Case CGD Proxy—Weakening Performance: HRC's managed portfolio delinquency and default performance showed notable increases in CGDs in the 2007-2010 vintages. Subsequent performance improvement was observed from 2010-2015, but the 2016-2024 vintages have demonstrated elevated CGDs that are outpacing those of the recessionary vintages for HRC, Diamond and Bluegreen. Similarly, recent securitized transactions are performing weaker than earlier transactions. Fitch's rating case CGD proxy is 24.50% for 2025-3EXT. Payment Structure—Adequate CE: Initial hard credit enhancement (CE) is 71.50%, 36.20%, 16.60% and 9.20% for Class A, B, C, and D notes, respectively. CE is higher for all classes relative to 2025-2; a D note was not issued for 2025-2. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread of 8.14% per annum. Available CE is sufficient to support stressed 'AAAsf', 'A-sf', 'BBB-sf', and 'BB-sf' multiples of Fitch's CGD proxy of 24.50%. Originator/Seller/Servicer—Adequate Origination/Servicing: Fitch considers HRC to have demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the managed portfolio and prior securitizations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch therefore conducts sensitivity analysis by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even default coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the Class A note at a stronger rating multiple. For the Class B, C, and D notes, the multiples would increase, resulting in the potential upgrades of four, two, and four notches, respectively. ISLAND FINANCE 2025-1: DBRS Confirms BB(high) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. confirmed three credit ratings from Island Finance Trust 2025-1. Rating Action ------ ------ Class A Notes A (sf) Confirmed Class B Notes BBB (sf) Confirmed Class C Notes BB (high)(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transaction is currently revolving. -- Current credit enhancement (CE) is in line with initial levels. -- Charge-offs are currently in line with the initial expectation. -- As a percentage of the initial collateral balance, total delinquencies have been stable in recent months. -- The level of hard CE is in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transaction. Hard CE and estimated excess spread are sufficient to support Morningstar DBRS' current credit rating levels. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2025 Update," published on September 30, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). JP MORGAN 2025-NQM5: DBRS Gives Prov. B(low) Rating on B2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-NQM5 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-NQM5 (the Issuer) as follows: -- $100.0 million Class A-1FCF at (P) AAA (sf) -- $33.3 million Class A-1LCF at (P) AAA (sf) -- $252.0 million Class A-1A at (P) AAA (sf) -- $40.4 million Class A-1B at (P) AAA (sf) -- $292.4 million Class A-1 at (P) AAA (sf) -- $51.1 million Class A-2 at (P) AA (high) (sf) -- $52.3 million Class A-3 at (P) A (sf) -- $21.7 million Class M-1A at (P) BBB (sf) -- $7.3 million Class M-1B at (P) BBB (low) (sf) -- $14.1 million Class B-1 at (P) BB (low) (sf) -- $11.5 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while Classes A-1A and A-1B are the depositable certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 27.55% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.85%, 9.95%, 6.25%, 5.00%, 2.60% and 0.65% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,611 loans with a total principal balance of approximately $587,614,410 as of the Cut-Off Date (December 1, 2025). The pool is, on average, three months seasoned with loan ages ranging from one to seventeen months. Approximately 23.6% of the Mortgage Loans by balance were originated by from United Wholesale Mortgage, LLC (UWM), The Mortgage Loan Seller acquired approximately 25.7% from MAXEX Clearing LLC ("MAXEX"). All the other originators individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 92.9% of the loans and Selene Finance LP will service 7% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 44.5% of the loans by balance are designated as non-QM. Approximately 50.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 5.1% of the pool are designated as QM Safe Harbor, and 0.4% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible horizontal residual interest in the transaction in the required amount of no less than 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates 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 following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in January 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB 2015-C29: DBRS Confirms C Rating on Class D Certs ------------------------------------------------------- DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C29 issued by JPMBB Commercial Mortgage Securities Trust 2015-C29 as follows: -- Class C to B (low) (sf) from BB (low) (sf) -- Class X-C to B (sf) from BB (sf) -- Class EC to B (low) (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AA (low) (sf) -- Class X-B at AA (sf) -- Class D at C (sf) Morningstar DBRS changed the trends on Classes C, X-C, and EC to Negative from Stable. The trends on Classes B and X-B remain Stable. Class D no longer carries a trend, given the CCC (sf) or lower credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades reflect the recoverability expectations for the remaining loans in the pool. Across the three specially serviced loans, Morningstar DBRS projects total liquidated losses of $49.9 million, largely driven by loss projections from the largest specially serviced loan, 2025 M Street (Prospectus ID#1; 41.7% of the pool), which transferred to special servicing in July 2024 for payment default. Projected losses from these liquidation scenarios would erode the entire Class E certificate balance and approximately 80.0% of the Class D certificate balance, significantly reducing credit support for Class C, which supports the credit rating downgrades for Classes C, X-C, and EC. The Negative trends reflect the increased propensity for interest shortfalls over the remainder of the deal life as the remaining loans are repaid or liquidated. As of the November 2025 remittance, Class D was shorted approximately $9,200 of the $173,100 of interest owed to that class and Class E was shorted the full interest due. Although cumulative shortfalls amount to $4.6 million (unchanged from the January 2025 credit rating action), monthly shortfalls were previously limited to servicing fees of approximately $22,000 per month. The monthly shortfall amount increased with the November 2025 remittance because of interest on advances for all three specially serviced loans and the Aspen Heights - Texas A&M University Corpus Christi loan (Prospectus ID#11; 17.5% of the pool), which was previously specially serviced in 2024. As a result, shortfalls doubled to approximately $44,000, causing the shorted interest for Class D. In the analysis for this review, Morningstar DBRS considered conservative advancing assumptions for distressed loans, the results of which suggested that ongoing interest shortfalls could ultimately affect the Class C certificate, supporting the credit rating actions with this review. The credit rating confirmations with Stable trends for Classes B and X-B reflect Morningstar DBRS' expectation that proceeds from the performing loans in the pool will be sufficient to repay the principal balance of Class B in full. In addition, there is further cushion against loss for that class within the principal proceeds of $52.4 million implied by the conservative liquidation scenarios that Morningstar DBRS considered for the specially serviced loans. As of the November 2025 remittance, five loans remained in the pool with an aggregate principal balance of $130.7 million, representing an 86.7% collateral reduction from issuance. Three of the remaining loans, representing 78.3% of the pool, are in special servicing. The Aspen Heights - Texas A&M University Corpus Christi loan is on the servicer's watchlist for an upcoming maturity date in January 2026 while The Heights loan (Prospectus ID#24; 4.3% of the pool) continues to perform as expected. To date, the trust has incurred a loss of $69.2 million, primarily tied to the liquidation of the One City Centre loan (Prospectus ID#2; previously 11.6% of the pool), which was liquidated in March 2025 with a loss of $49.9 million to the trust, slightly below the Morningstar DBRS projected loss of $56.4 million at the January 2025 credit rating action. The largest contributor to Morningstar DBRS' liquidated loss projections is the 2025 M Street loan, secured by a 191,248-sf office property in the Washington, D.C. central business district. The loan transferred to special servicing in July 2024 for imminent payment default, but reported current as of the November 2025 reporting. The property's occupancy rate was most recently reported at 58.8% as of June 2025 and the debt service coverage ratio (DSCR) has been below breakeven since 2021. News reports have indicated that the property's largest remaining tenant, Radio Free Asia (46.6% of the net rentable area), has lost grant funding from the U.S. government and has announced plans to pause operations. Morningstar DBRS received an updated appraisal in April 2025 valuing the collateral at $16.2 million, an 83.8% decline from the issuance value of $110.0 million, and well below the $54.5 million trust balance. Given the challenged occupancy rate and uncertainty around the largest remaining tenant, Morningstar DBRS considered a 30.0% haircut to the April 2025 appraised value, which resulted in a total loss of $47.8 million and a loss severity of 88.0%. The other two specially serviced loans are 400 Poydras (Prospectus ID#3; 34.0% of the pool) and Walgreens - Brunswick (Prospectus ID#56; 2.6% of the pool). The 400 Poydras loan is secured by an office tower in New Orleans and the borrower defaulted at the scheduled maturity date in April 2025. Negotiations are ongoing to repay the loan in full while the servicer works to obtain counsel to proceed with foreclosure. The September 30, 2025, rent roll reported an occupancy rate of 84.5% compared with 85.0% at issuance, with a DSCR of 1.49 times as of June 2025. The collateral was reappraised in July 2025 for $59.1 million, down 22.9% from the issuance appraised value of $76.7 million but comfortably above the $44.4 million trust balance. The Walgreens - Brunswick loan is secured by a Walgreens retail store in Brunswick, Georgia. The loan transferred to special servicing in June 2025 after the borrower could not repay the loan in full at maturity. Receivership is underway and a sale of the asset is set to commence once the court has executed the order. Although the property is fully occupied by Walgreens Boots Alliance and continues to perform, the long-term plans for the company are uncertain after private equity firm, Sycamore Partners, acquired the company in August 2025. The property was appraised at $4.3 million in August 2025, down from $6.5 million at issuance. Morningstar DBRS analyzed both loans with conservative haircuts to the most recent appraised values, resulting in a combined projected loss of $2.2 million and loss severities under 20.0%. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB 2015-C33: DBRS Confirms B(low) Rating on Class D1 Certs ------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C33 issued by JPMBB Commercial Mortgage Securities Trust 2015-C33 as follows: -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class X-C at BBB (high) (sf) -- Class C at BBB (sf) -- Class D-1 at B (low) (sf) -- Class X-D at C (sf) -- Class D-2 at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) All trends are stable. Classes D-2, E, F, G, X-D, and D have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' overall outlook and loss expectations for the remaining loans in the pool. Since the previous credit rating action in May 2025, 52 loans have been repaid from the pool, representing a collateral reduction of 75.6% since issuance. Of the five remaining loans, two loans, representing 75.6% of the current pool balance, are in special servicing. Given that the pool is in wind down, Morningstar DBRS looked to a recoverability analysis for the remaining loans, the results of which suggest that, even in a conservative scenario, realized losses would be contained to the Class D2 certificate. Morningstar DBRS concluded that the senior classes continue to be well insulated from losses, supporting the credit rating confirmations with Stable trends. Given the concentration of defaulted loans remaining, Morningstar DBRS' analysis considered conservative liquidation scenarios for all remaining loans based on stresses to the most recent appraised values to determine the recoverability of the outstanding bonds. The analysis resulted in projected losses of approximately $68.4 million, which would wipe out Classes NR, G, F, and E and erode $1.8 million into Class D2, which has a current balance of $20.0 million. Classes D2 and below carry credit ratings that are indicative of expected losses. The largest loan in the pool, 32 Avenue of the Americas (Prospectus ID#1; 67.3% of the current pool balance), is secured by a 1.2 million-square-foot (sf) dual office and data center property in Manhattan's Tribeca district. The loan is one of five pari passu pieces of a $425.0 million whole loan, with other senior portions securitized in the JPMCC 2015-JP1 and COMM 2016-CCRE28 transactions, which are also rated by Morningstar DBRS. The loan transferred to special servicing for imminent monetary default ahead of its November 2025 maturity; however, according to the servicer, it has recently been granted a two-year extension through November 2027. Collateral occupancy has continuously declined to nearly 54.0% as of September 2025, well below the near-100% occupancy rate at issuance. Financial performance has faced similar challenges, with the most recent annualized net cash flow (NCF) figure the trailing 12 months ended September 30, 2025, of $23.1 million (a debt service coverage ratio (DSCR) of 1.11 times (x)), cut nearly in half from the issuance figure of $39.2 million. Given the sustained performance declines over the past several years and the general challenges for the office market, Morningstar DBRS liquidated the loan based on a 20% haircut to the September 2025 appraised value of $340.0 million, implying a capitalization rate of 7.8% based on the most recent financials. This results in implied losses of $55.1 million or a loss severity approaching 45.0%. The other loan in special servicing, New Center One Building (Prospectus ID#9; 8.3% of the current pool balance), is secured by a 507,966-sf Class A office building in Detroit. The loan transferred to special servicing for maturity default after failing to pay off at the September 2025 maturity date. The borrower's refinancing efforts have been hindered by upcoming rollover concerns related to the property's largest tenant, Henry Ford Health Center (29.2% of the net rentable area (NRA)), which has a lease expiry in December 2027. According to the servicer, the borrower is finalizing a lease renewal with the tenant, which will significantly improve the property's ability to secure takeout financing. As of the March 2025 rent roll, the property was 75.7% occupied, compared with 78.0% at both YE2024 and YE2023. Leases for approximately 7.4% of the NRA are scheduled to expire within the next 12 months. The March 2025 rent roll also noted several new smaller leases beginning mid-2025 representing 2.4% of the NRA. According to the Q3 2025 Reis report, the Detroit central business district submarket reported a vacancy rate of 29.4% with an effective rent of $15.79 per square foot (psf), compared with the subject's average rental rate of $13.95 psf. Annualizing the September 2025 financials yields an NCF of $5.1 million, compared with $4.7 million at YE2024 and YE2023. Morningstar DBRS liquidated the loan based on a 50% haircut to the issuance appraised value of $56.2 million, resulting in implied losses of $3.4 million or a loss severity above 20.0%. Outside of the loans in special servicing, the remaining three loans in the pool are all being monitored on the servicer's watchlist for maturity risk concerns after the respective borrowers failed to pay off the loans prior to their November 2025 maturity dates. According to the servicer, the Propst Promenade loan (Prospectus ID#3; 19.3% of the current pool balance) was unable to secure financing to cover the outstanding debt and is in the process of being transferred to special servicing. The Abigail loan (Prospectus ID#35; 3.3% of the current pool balance) is currently in the process of selling the property and has been granted a 30-day forbearance period with an option to extend for an additional 30 days. Finally, The Wingate Inn - Durham loan (Prospectus ID#43; 1.8% of the current pool balance) is reportedly working on refinancing and previously requested a payoff for November 6, 2025. No update has been received as of this commentary; however, Morningstar DBRS expects the loan will pay off in full. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C24: Moody's Affirms B2 Rating on C Certs --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on six classes and downgraded the rating on one class in JPMBB Commercial Mortgage Securities Trust 2014-C24, Commercial Pass-Through Certificates, Series 2014-C24 as follows: Cl. A-5, Affirmed Aaa (sf); previously on Mar 6, 2025 Affirmed Aaa (sf) Cl. A-S, Affirmed A2 (sf); previously on Mar 6, 2025 Downgraded to A2 (sf) Cl. B, Affirmed Ba1 (sf); previously on Mar 6, 2025 Downgraded to Ba1 (sf) Cl. C, Affirmed B2 (sf); previously on Mar 6, 2025 Downgraded to B2 (sf) Cl. EC, Affirmed Ba2 (sf); previously on Mar 6, 2025 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to A2 (sf); previously on Mar 6, 2025 Downgraded to A1 (sf) Cl. X-B-1*, Affirmed Ba1 (sf); previously on Mar 6, 2025 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on two P&I classes, Cl. A-5 and Cl. A-S, were affirmed due to their significant credit support as well as the expected principal recoveries or paydowns from the remaining loans in the pool. The rating on two P&I classes, Cl. B and Cl. C, were affirmed because the transaction's credit support and key metrics, including Moody's loan-to-value (LTV) ratio are within acceptable ranges. The rating on one IO class, Cl. X-A, was downgraded based on a decline in the credit quality of its referenced classes. Originally Cl. X-A referenced all classes senior to and including Cl. A-5 and Cl. A-S, however, all classes senior to Cl. A-5 have paid off in full and Cl. A-5 has paid down 93% from its original balance. The rating on one IO class, Cl. X-B-1, was affirmed based on the credit quality of its referenced classes. The rating on the exchangeable class, Cl. EC, was affirmed based on the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 36.3% of the current pooled balance, compared to 35.6% at Moody's last review. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance, compared to 11.9% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the December 17, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 69% to $394 million from $1.27 billion at securitization. The certificates are collateralized by eleven mortgage loans, ranging in size from less than 1% to 22.0% of the pool. As of the December 2025 remittance report, all remaining loans are in special servicing and have passed their original maturity dates or ARD dates. Four loans representing nearly 32% of the pool were deemed non-recoverable by the Master Servicer. No loans have been liquidated from the pool, and the deal has incurred an aggregate realized loss of $8.0 million. As of the December 2025 remittance statement cumulative interest shortfalls were $16.0 million and impact up to class D. 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. Ten loans, constituting 96% of the pool, are currently in special servicing. The largest specially serviced loan is the Columbus Square Portfolio Loan ($86.3 million – 22.0% of the pool), which represents a pari passu portion of a $362.6 million mortgage loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The property contains 31 condominium units at 775, 795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue, a retail component, which contains approximately 276,000 SF and three parking garages. As of March 2025, the property was 99% leased compared to 98% in December 2022, 98% in December 2018 and 91% at securitization. Property performance has been stable since securitization. The loan previously transferred to special servicing in November 2023 for imminent maturity default and was returned to the master servicer in June 2024 after receiving a three-year maturity extension with the extended maturity date in August 2027. In September 2025, the loan returned to special servicing due to a payment default and non-compliance with lockbox and cash management provisions. The loan was last paid through the July 2025 payment date and the most recent servicer commentary indicates that the servicer is evaluating all resolution options. The second largest specially serviced loan is the 635 Madison Avenue Loan ($82.8 million – 21.0% of the pool), which is secured by the leasehold interest in a 19 story, 177,000 square foot (SF) mixed-use property located in Midtown New York City. The property includes street level retail and a mix of traditional office and medical office space. The property is subject to a ground lease with a fully extended term through 2051. The property is also encumbered with a $35 million mezzanine loan. The loan transferred to special servicing in August 2020 for payment default and became real estate owned (REO) in June 2024. As of March 2025, the property was 61% occupied, compared to 71% in December 2021, 86% in December 2018 and 94% at securitization. The most recent appraisal from May 2025 valued the property 61% lower than the value at securitization, and significantly below the outstanding loan amount. As of the December 2025 remittance date, the servicer has deemed this loan non-recoverable, and the loan was last paid through the August 2023 payment date. The most recent servicer commentary indicates that the vacant space is being marketed through a newly appointed property manager/leasing agent and the property is not listed for sale at this time. The third largest specially serviced loan is the 17 State Street Loan ($75 million – 19.0% of the pool), which represents a pari passu portion of a $180 million senior mortgage loan. The property is also encumbered with a $40 million mezzanine loan. The loan is secured by a 42-story, 560,210 SF, Class-A office tower located in downtown New York City. As of June 2025, the property was 69% leased compared to 94% in December 2023, 87% in December 2018 and 91% at securitization. The loan transferred to special servicing in August 2024 due to maturity default. The most recent appraisal from August 2025 valued the property 37% lower than the value at securitization, and slightly below the outstanding loan amount. As of the December 2025 remittance, the loan was last paid through December 2025. The most recent servicer commentary indicates that the borrower has executed a loan modification that includes a 24-month maturity extension to January 2027, with an option to extend an additional year to January 2028, contingent upon property performance. The fourth largest specially serviced loan is North Riverside Park Mall Loan ($66.9 million – 17.0% of the pool), which is secured by a 429,000 SF portion of a 1.1 million SF regional mall located in the west Chicago suburbs. The loan had previously transferred to special servicing in August 2019 due to imminent default ahead of its October 2019 maturity date. The loan was modified in May 2021 which included a five-year maturity extension, and an A/B note split into a $45 million A-note (11.4% of pool) and $21.9 million B-note (5.6% of pool). The loan was returned to the master servicer in August 2021. The loan transferred back to special servicing in October 2024 after failing to pay off by its extended maturity date. As of June 2025, the collateral was 86% occupied compared to 88% in December 2023, 90% in December 2018 and 94% at securitization. The most recent appraisal from November 2024 valued the property 70% lower than the value at securitization and significantly below the outstanding loan amount. As of the December 2025 remittance, the loan was last paid through December 2025. The most recent servicer commentary indicates that the servicer and borrower have discussed the possible workout plan that may involve extending the maturity date again and adding a new equity contribution. The lender has conditionally agreed to this forbearance. The fifth largest specially serviced loan is the Hilton Houston Post Oak Loan ($30.7 million – 7.8% of the pool), which represents a pari-passu portion of a $70.1 million whole loan. The loan is secured by a 448-unit, full-service hotel located in Houston, Texas. The loan transferred to special servicing in May 2020 for payment default. The borrower filed for bankruptcy in late 2021 and the loan eventually went into foreclosure, becoming REO in September 2022. The most recent appraisal from May 2025 valued the property 48% lower than the value at securitization, and slightly below the outstanding loan amount. As of the December 2025 remittance date, the servicer has deemed this loan non-recoverable, and the loan was last paid through November 2024. The most recent servicer commentary indicates that asset management is working to stabilize the hotel and is evaluating the optimal timing for the disposition. The remaining specially serviced loans are secured by a retail property located in Fort Wayne, Indiana; an office property in Meriden, Connecticut; an office property in Philadelphia, Pennsylvania; and an industrial property in Cheektowaga, New York. Moody's estimates an aggregate $142.9 million loss for the specially serviced loans (37.7% expected loss on average). Sole remaining non-specially serviced loan represent 3.8% of the pool balance. The non-specially serviced loan is the Holiday Inn French Quarter-Chateau Lemoyne Loan ($15.1 million – 3.8% of the pool), which is secured by a 171-key lodging property located New Orleans, Louisiana. The loan is past its anticipated repayment date (ARD) in November 2024, and its final legal maturity is now November 2044. As of December 2025 remittance, the loan has amortized by 35.8% since securitization. Moody's LTV and stressed DSCR are 72% and 1.76X, respectively, compared to 81% and 1.57X at the last review. KEYCORP STUDENT 2006-A: Fitch Affirms CCsf Rating on II-C Debt -------------------------------------------------------------- Fitch Ratings has affirmed the ratings on Keycorp Student Loan Trust (KSLT) 2004-A (Group II), 2005-A (Group II) and 2006-A (Group II). The Outlooks for 2004-A and 2005-A have been revised to Stable from Positive. RATING ACTIONS Rating Prior ------ ----- KeyCorp Student Loan Trust 2006-A (Group II) II-C 49327HAJ4 LT CCsf Affirmed CCsf KeyCorp Student Loan Trust 2005-A (Group II) II-C 493268CL8 LT A-sf Affirmed A-sf KeyCorp Student Loan Trust 2004-A (Group II) II-D 493268CB0 LT B+sf Affirmed B+sf KEY RATING DRIVERS Collateral Performance: The trusts are collateralized by private student loans originated by KeyBank, N.A. Fitch assumes a base case default rate as a percentage of the outstanding asset pool of 9.0%, 9.3%, and 9.2% for 2004-A, 2005-A and 2006-A, respectively. Fitch also assumes a constant default rate (CDR) of 3.00% and a principal payment rate of 17% for all transactions. Default multiples of 2.28x and 1.22x were applied at 'A-sf' and 'B+sf', respectively, and Fitch assumes a base case recovery rate of 12% for all transactions, based on transaction data provided by the issuer. Borrower Concentration: Due to the low pool factors of 2.1%, 2.9%, and 3.6% for 2004-A, 2005-A, and 2006-A, respectively, Fitch recommends applying a rating cap of 'Asf' to all transactions. At these pool factors, there is a heightened risk of negative selection within the asset pools, which will continue to worsen as the transactions amortize. Payment Structure: KSLT 2004-A and 2006-A are undercollateralized and each trust can receive excess spread from the respective Group I pool consisting of FFELP loans. For the most recent distribution, none of the trusts received excess spread from their respective Group I pools. Excluding the cash reserves of $4.2 million for 2004-A, $3.4 million for 2005-A, and $4.0 million for 2006-A, total parity as of the most recent distribution was approximately 98.1%, 120.1%, and 81.2%, respectively, a shift from 99.5%, 116.7%, and 85.1% a year prior. Liquidity support is provided by reserve accounts and can be used to pay down the principal balances of the notes. Operational Capabilities: Day-to-day servicing is provided by KeyBank, N.A. (master servicer), Pennsylvania Higher Education Assistance Agency (sub-servicer), and Nelnet, Inc. Fitch believes all servicers are acceptable servicers of student loans due to their long servicing history. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade KeyCorp Student Loan Trust 2004-A (Group II) --Increase base case defaults by 10%: Class D 'CCCsf'; --Increase base case defaults by 25%: Class D 'CCCsf; --Increase base case defaults by 50%: Class D 'CCCsf'; --Reduce base case recoveries by 10%: Class D 'CCCsf'; --Reduce base case recoveries by 20%: Class D 'CCCsf'; --Reduce base case recoveries by 30%: Class D 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 10%: Class D 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 25%: Class D 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 50%: Class D 'CCCsf'. KeyCorp Student Loan Trust 2005-A (Group II) --Increase base case defaults by 10%: Class C 'Asf'; --Increase base case defaults by 25%: Class C 'Asf'; --Increase base case defaults by 50%: Class C 'Asf'; --Reduce base case recoveries by 10%: Class C 'Asf'; --Reduce base case recoveries by 20%: Class C 'Asf'; --Reduce base case recoveries by 30%: ' Class C 'Asf'; --Increase base case defaults and reduce base case recoveries each by 10%: Class C 'Asf'; --Increase base case defaults and reduce base case recoveries each by 25%: Class C 'Asf'; --Increase base case defaults and reduce base case recoveries each by 50%: Class C 'Asf'. KeyCorp Student Loan Trust 2006-A (Group II) --Increase base case defaults by 10%: Class C 'CCCsf'; --Increase base case defaults by 25%: Class C 'CCCsf'; --Increase base case defaults by 50%: Class C 'CCCsf'; --Reduce base case recoveries by 10%: Class C 'CCCsf'; --Reduce base case recoveries by 20%: Class C 'CCCsf'; --Reduce base case recoveries by 30%: Class C 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 10%: Class C 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 25%: Class C 'CCCsf'; --Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades for the outstanding notes. KINGS PARK: 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-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A, B-1, B-2, C, D, and E debt following payment in full on the Dec. 17, 2025, refinancing date. The replacement and new 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-1-R, C-R, D-1-R, D-2-R, and E-R debt and new class X-R debt were issued at a lower spread over three-month SOFR than the previous debt. -- The replacement class B-2-R debt was issued at a fixed coupon replacing the current fixed coupon. -- The non-call period was extended to Jan. 21, 2028. -- The reinvestment period was extended to Jan. 21, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 21, 2039. -- No additional assets were purchased on the Dec. 17, 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 Jan. 21, 2026. -- New class X-R debt was issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $625,000 beginning on the second payment 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 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) Ratings Withdrawn Kings Park CLO Ltd./Kings Park CLO LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'B+ (sf) Other Debt Kings Park CLO Ltd./Kings Park CLO LLC Subordinated notes, $58.675 million: NR NR--Not rated. KKR CLO 38: Moody's Assigns B3 Rating to $250,000 Cl. F-1-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by KKR CLO 38 Ltd. (the Issuer): US$4,500,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$224,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-1-R Senior Secured 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, unsecured loans and permitted non-loan assets. KKR Financial Advisors II, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and eight other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement 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: $350,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2852 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 7.1 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. LCM XVII: S&P Raises Class E-R Notes Rating to B+ (sf) ------------------------------------------------------ S&P Global Ratings completed its review of 10 classes from LCM XVII L.P. and LCM 28 Ltd., which are broadly syndicated U.S. CLO transactions managed by Lyon Capital Management LLC. Of the reviewed ratings, S&P raised four, lowered two, and affirmed four. S&P also removed four of the ratings from CreditWatch positive and two of the ratings from CreditWatch negative, where it had placed them on Oct. 10, 2025. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions." The transactions have all exited their reinvestment periods and are paying down the debt in the order specified in their respective documents. The upgrades are primarily due to an increase in the credit support, while the downgrades are primarily due to a decrease in credit support. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporated other considerations into its decision to raise, lower, or affirm the ratings or to limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to senior debt paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the classes' indicative cash flow results, negative migration in portfolio credit quality, increased concentration risk, decline in the weighted recovery rate, and weighted average spread in its respective portfolio. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of debt, we performed the rating actions after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings List Issuer Class CUSIP From To LCM XVII L.P. A-1A-RR 50190AAK8 AAA (sf) AAA Main rationale: Cash flow passes at the current rating level. LCM XVII L.P. A-1B-RR 50190AAM4 NR NR Main rationale: N/A LCM XVII L.P. A-2-RR 50190AAP7 NR NR Main rationale: N/A LCM XVII L.P. B-RR 50190AAR3 AA (sf)/Watch Pos AAA Main rationale: Cash flow passes at the current rating level. Senior debt paydowns, improvement in O/C, and passing cash flows at new rating level. LCM XVII L.P. C-RR 50190AAT9 A (sf)/Watch Pos AA Main rationale: Cash flow passes at the current rating level. Senior note paydowns, improvement in O/C, and passing cash flows. Although our base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as increased exposure to 'CCC' rated assets, defaulted assets, and assets with lower market prices. LCM XVII L.P. D-R 50190AAV4 BBB- (sf) BBB- Main rationale: Cash flow passes at the current rating level. Cash flow passes at the current rating level. Although S&P's base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as increased exposure to 'CCC' rated assets, defaulted assets, and assets with lower market prices. LCM XVII L.P. E-R 50190BAB6 B+ (sf)/Watch Neg B- Main rationale: Cash flow passes at the current rating level. The downgrade is based on failing cash flows and a decline in current credit enhancement. S&P said, "Although our base-case analysis indicated a lower rating, we did not downgrade this class to 'CCC (sf)' because we do not believe the class aligns with our definition of 'CCC', which specifies dependence on favorable business, financial, and economic conditions to meet its financial commitment." LCM 28 Ltd. A 50200WAB8 AAA (sf) AAA Main rationale: Cash flow passes at the current rating level. Cash flow passes at the current rating level. LCM 28 Ltd. B 50200WAC6 AA+ (sf)/Watch Pos AAA Main rationale: Cash flow passes at the current rating level. Senior debt paydowns, improvement in O/C, and passing cash flows at higher rating level. LCM 28 Ltd. C 50200WAD4 A (sf)/Watch Pos AA Main rationale: Cash flow passes at the current rating level. Senior note paydowns, improvement in O/C, and passing cash flows. Although S&P's base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as increased exposure to 'CCC' rated assets, defaulted assets, and assets with lower market prices. LCM 28 Ltd. D 50200WAE2 BBB- (sf) BBB- Main rationale: Cash flow passes at the current rating level. Cash flow passes at the current rating level. Although S&P's base-case analysis indicated a higher rating, the rating action took into account several qualitative factors, such as increased exposure to 'CCC' rated assets, defaulted assets, and assets with lower market prices. LCM 28 Ltd. E 50200QAA3 B (sf)/Watch Neg B- Main rationale: Cash flow passes at the current rating level. The downgrade is based on failing cash flows and a decline in current credit enhancement. S&P said, "Although our base-case analysis indicated a lower rating, we did not downgrade this class to 'CCC (sf)' because we do not believe the class aligns with our definition of 'CCC', which specifies dependence on favorable business, financial, and economic conditions to meet its financial commitment." NR--Not rated. N/A--Not applicable. O/C--Overcollateralization. MADISON PARK LXXV: Moody's Assigns B3 Rating to $250,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Madison Park Funding LXXV, Ltd. (the Issuer or Madison Park Funding LXXV): US$360,000,000 Class A-1 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Junior Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Madison Park Funding LXXV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of non-senior secured loans. The portfolio is approximately 80% ramped as of the closing date. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3279 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 45.5% 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 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. MADISON PARK XLVIII: Moody's Gives B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XLVIII, Ltd. (the Issuer): US$4,500,000 Class X-R Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$288,000,000 Class A-R Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2039, 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 90.0% 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. UBS Asset Management (Americas) 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 five other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and 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: 65 Weighted Average Rating Factor (WARF): 2949 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "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. MAGNETITE LII LTD: Moody's Gives (P)Ba3 Rating to $20.15MM E Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Magnetite LII, Limited (the Issuer or Magnetite LII): US$416,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$20,150,000 Class E Deferrable Mezzanine Floating Rate Notes due 2039, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Magnetite LII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. Moody's expects the portfolio to be approximately 85% ramped as of the closing date. BlackRock US Loan Funding LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue seven 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: $650,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2811 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.00% 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 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. MAGNETITE LII: Moody's Assigns Ba3 Rating to $20.15MM Class E Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes by Magnetite LII, Ltd. (the Issuer or Magnetite LII): US$416,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$20,150,000 Class E Deferrable Mezzanine 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. Magnetite LII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 85% ramped as of the closing date. BlackRock US Loan Funding 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 seven 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: $650,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2811 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.00% 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 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. MERCHANTS FLEET 2025-1: DBRS Finalizes BB Rating on E Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by Merchants Fleet Funding LLC, Series 2025-1: -- $409,200,00 Class A Notes at AAA (sf) -- $19,720,000 Class B Notes at AA (sf) -- $28,950,000 Class C Notes at A (high) (sf) -- $26,330,000 Class D Notes at BBB (sf) -- $15,800,000 Class E Notes at 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. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Class Monthly Interest and Class Invested Amount. Notes: All figures are in U.S. dollars unless otherwise noted. MIDOCEAN CREDIT XX: Fitch Gives BB-(EXP) Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to MidOcean Credit CLO XX. MidOcean Credit CLO XX A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C-1 LT A+(EXP)sf Expected Rating C-2 LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary MidOcean Credit CLO XX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.79 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.14% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 5.5% 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 'BBB-sf' and 'A+sf' for class B, between 'BB+sf' and 'Asf' for class C-1, between 'BB-sf' and 'BBB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AA-sf' for class C-2, 'A-sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB-sf' for class E. MJX VENTURE II: Moody's Cuts Rating on Series D/Class E Notes to B3 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by Venture XXIX CLO, Limited ("Underlying CLO"): US$1,300,000 Series D/Class E Notes, Downgraded to B3 (sf); previously on March 18, 2025 Downgraded to Ba3 (sf) The Series D/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXIX CLO, Limited. The Rated Notes were originally issued in September 2017 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Series D/Class E Notes reflects the specific risks to the Underlying CLO's Class E notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on the trustee's November 2025 report, the OC ratio for the Underlying CLO Class E notes was 93.49%[1] versus 99.41%[2] in February 2025. Additionally, the trustee-reported weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 3788[3], compared to 3433[4] in February 2025, failing the maximum test level of 2946. Furthermore, Moody's notes that the November 2025 trustee-reported WARF, Diversity and WAL test are currently failing. No actions were taken on the Series D/Class A Notes, Series D/Class B Notes, Series D/Class C Notes and Series D/Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying CLO's latest portfolio information, and the Issuer's and Underlying CLO's relevant structural features and 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 for the Underlying CLO: Performing par and principal proceeds balance: $154,823,823 Defaulted par: $10,127,249 Diversity Score: 48 Weighted Average Rating Factor (WARF): 3735 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.72% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.53% Weighted Average Life (WAL): 2.6 years Par haircut in OC tests and interest diversion test: 7.2% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "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 CLO's 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. MKT 2020-525M: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-525M issued by MKT 2020-525M Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-A at A (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (sf) -- Class E at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance for the underlying collateral since the previous credit rating action, when five classes, including the four most subordinate principal classes, were downgraded. Despite market challenges and performance declines for the subject, as further detailed below, it is Morningstar DBRS' view that the underlying collateral remains one of the most desirable Class A office properties within the submarket and has demonstrated its ability to comfortably cover debt service payments, as evidenced by a healthy debt service coverage ratio (DSCR) of 1.85 times (x), based on the most recent reporting. Additionally, the transaction benefits from a committed and strong sponsor in the New York State Teacher's Retirement System, which recently became the sole owner of the property after acquiring a 49% minority interest in the property in November 2025. Term risk throughout the remainder of the loan term is expected to remain low as investment-grade tenant Amazon.com Services (Amazon; 39.0% of the net rentable area (NRA)) currently generates over 65% of the property's base rent and is signed to three leases, two of which (19.4% of NRA) are scheduled to expire just beyond the loan's February 2030 maturity date. For the purposes of this credit rating action, Morningstar DBRS maintained its approach from the previous review and analyzed a recoverability scenario, the results of which continue to support the credit rating confirmations. The transaction is secured by the fee, leasehold, and sublease hold interests in 525 Market Street, a 38-story, 1.1 million-square-foot (sf) Class A office tower in San Francisco's central business district. Originally built in 1973, the LEED Platinum certified property is primarily configured for office use, with 14,655 sf of retail on the first floor. The 10-year floating-rate interest-only (IO) loan comprises $470 million in senior A notes and $212 million in junior B notes; the whole loan totals $682.0 million inclusive of all senior debt and subordinate debt. The sponsor has invested heavily in the property, including a recent $25 million commitment for the build out of a new amenity space at the property known as The Cove, which features a co-working space, food and beverage services, and a fitness studio. The loan has been monitored on the servicer's watchlist since November 2024 for declining occupancy, which was most recently reported at 68.4%, a decline from the September 2024 figure of 70.9% and significantly below the issuance figure of 97.3%. The property benefits from having Amazon as its largest tenant (leases expiring between January 2028 and January 2031), which has been at the property since 2018 and expanded its space three times since the initial lease signing. Based on September 2025 rent roll, tenants representing 8.7% of NRA are expected to roll in the next 12 months, of which three tenants, Wells Fargo, Allspring Global, and Medication/Pfizer (collectively representing 7.2% of NRA), have confirmed their plans to fully vacate by Q3 2026. Four new tenants, collectively representing 7.6% of NRA, recently signed long-term leases that will commence between December 2025 and May 2026. The base rental rates for newly signed leases range from $65.50 to $86.00 per square foot (psf). According to REIS Inc. Q3 2025 data, the North Financial District of San Francisco reported an average asking rental rate of $65.90 psf and a vacancy rate of 24.4%; the five-year forecast vacancy rate is expected to decline to 13.3%. According to trailing six-months ended June 30, 2025, financial reporting, the collateral reported a DSCR of 1.85x, a decline from the YE2024 figure of 2.12x, but still comfortably above break-even levels. When removing the dark and rolling tenants and factoring in all newly signed leases, Morningstar DBRS estimates DSCR to remain in line with Q2 2025 levels. The loan is structured with a cash flow sweep that activates in the event the debt yield falls below 5.5%. The debt yield based on the YE2024 net cash flow was 6.3% but is likely to fall below the threshold when the pending tenant exits are realized. As per the loan documents from issuance, during the trigger period, the borrower is required to fund ongoing reserves of taxes and insurance, replacement reserves, tenant rollover, and Amazon rollover accounts. All excess cash remaining after disbursements of the required reserve deposits will accumulate and be held as additional collateral for the loan; excess cash is expected to continue to sweep until the debt yield threshold has been satisfied for two consecutive quarters. At the February 2025 credit rating action, Morningstar DBRS considered a stressed value of $500.5 million, given the sustained performance declines from issuance, the results of which supported the credit rating downgrades for five classes. A recoverability analysis based on the stressed value was maintained for this review given the high loan-to-value ratio of 136.3%. However, Morningstar DBRS notes the near to moderate term risks are considered relatively low given the high in-place DSCR and recent leasing activity that suggests cash flows should remain relatively stable. Other factors, including the building quality, sponsor's recent investment in the property and the recent ability to attract tenancy were considered as part of the credit rating confirmations with this review. However, if the soft submarket doesn't materially improve closer to the scheduled 2030 maturity date, the refinance prospects will likely be impacted, and Morningstar DBRS' credit ratings could be impacted, as well. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU 2018-II LTD: Moody's Cuts Rating on $30.3MM E Notes to Ca ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Nassau 2018-II Ltd.: US$29.4M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on May 14, 2025 Upgraded to Aa2 (sf) US$38.7M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa3 (sf); previously on May 14, 2025 Downgraded to Ba1 (sf) US$30.3M Class E Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on May 14, 2025 Downgraded to Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$384M (Current outstanding balance US$45,949,933) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 20, 2018 Assigned Aaa (sf) US$69.6M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 18, 2024 Upgraded to Aaa (sf) Nassau 2018-II Ltd., issued in November 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by NGC CLO Manager LLC. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio the last rating action in May 2025. The Class A notes have paid down by approximately USD87.1 million (22.7%) since the last rating action in may 2025 and USD338.1 million (88.0%) 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 179.6%, 143.1% and 113.0% compared to May 2025[2] levels of 147.8%, 129.1% and 110.6%, respectively. The downgrade on the rating on the Class E notes is primarily a result of the deterioration in the over-collateralisation ratio since the last rating action in May 2025. According to the trustee report dated November 2025[1] the Class E OC ratio is reported at 97.0% compared to May 2025[2] level of 99.5%. This deterioration can be primarily attributed to par loss due to sales of credit risk assets below par. Additionally, according to the same November 2025 trustee report[1], the Class E IC ratio fell to 96.3% compared to May 2025[2] level of 105.5%. The affirmations on the ratings on the Class A and Class B 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: USD:207.5 million Defaulted Securities: USD0.4 million Diversity Score: 36 Weighted Average Rating Factor (WARF): 2582 Weighted Average Life (WAL): 3.5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.3% Weighted Average Recovery Rate (WARR): 46.2% 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 the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OBRA CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Obra CLO 3 Ltd./Obra CLO 3 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 Obra CLO Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Obra CLO 3 Ltd./Obra CLO 3 LLC Class A, $288.000 million: AAA (sf) Class B, $54.000 million: AA (sf) Class C (deferrable), $27.000 million: A (sf) Class D-1 (deferrable), $27.000 million: BBB- (sf) Class D-2 (deferrable), $3.375 million: BBB- (sf) Class E (deferrable), $14.625 million: BB- (sf) Subordinated notes, $39.075 million: NR NR--Not rated. OCP AEGIS 2025-47: Fitch Assigns BB-sf Rating to Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to OCP Aegis CLO 2025-47, Ltd. RATING ACTIONS OCP Aegis CLO 2025-47, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1A LT BBBsf New Rating D-1B LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary OCP Aegis CLO 2025-47, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that Onex Credit Partners, LLC will manage. 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 'BB-/B+', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 17.1 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.65% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.87% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may represent up to 48% 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 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. OCP CLO 2023-30: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt from OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC, a CLO managed by Onex Credit Partners LLC, a subsidiary of Onex Corp., that was originally issued in January 2024. The preliminary ratings are based on information as of Dec. 18, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P reviewed OCP CLO 2023-30 Ltd., which, based on its proposed supplemental indenture, is expected to refinance its class A-1, A-2, B, C, D, and E debt on Jan. 26, 2026, through an optional redemption and replacement debt issuance. On the Jan. 26, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The existing class D debt is expected to be replaced by the sequential replacement class D-1R and D-2R debt. -- The non-call period, reinvestment period, and legal final maturity date will each be extended by approximately two years. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $1.60 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 OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC Class A-R, $252.0 million: AAA (sf) Class B-R, $52.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1R (deferrable), $24.0 million: BBB- (sf) Class D-2R (deferrable), $4.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Subordinated notes, $41.6 million: NR NR--Not rated. OCP CLO 2025-48: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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 OCP CLO 2025-48 Ltd./OCP CLO 2025-48 LLC Class A, $320.0 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 INVESTMENT XXI: Moody's Affirms Ba3 Rating to D-R3 Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Octagon Investment Partners XXI, Ltd.: US$36M Class B-R4 Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 6, 2025 Assigned Aa1 (sf) US$40.25M Class C-R4 Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Mar 6, 2025 Assigned A3 (sf) Moody's have also affirmed the ratings on the following notes: US$224.55M (Current outstanding amount US$66,725,333) Class A-1A-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 6, 2025 Assigned Aaa (sf) US$86.25M Class A-2-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 6, 2025 Assigned Aaa (sf) US$37M Class D-R3 Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Mar 6, 2025 Assigned Ba3 (sf) US$12M Class E-RR Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Nov 6, 2024 Downgraded to Caa2 (sf) Octagon Investment Partners XXI, Ltd., originally issued in October 2014 and most recently partially refinanced in March 2025, 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 February 2024. RATINGS RATIONALE The rating upgrade on the Class B-R4 and Class C-R4 notes are primarily a result of the significant deleveraging of the Class A-1A-R4 notes following amortisation of the underlying portfolio since the last rating action in March 2025. The affirmations on the ratings on the Class A-1A-R4, Class A-2-R4, Class D-R3 and Class E-RR notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1A-R4 notes have paid down by approximately USD157.8 million (70.3%) 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 A, Class B, Class C and Class D OC ratios are reported at 149.50%, 131.83%, 116.44% and 105.16% compared to February 2025[2] levels of 134.09%, 123.43%, 113.36% and 105.46%, respectively. Moody's notes that the November 2025 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD330.6 million Defaulted Securities: USD0.46 million Diversity Score: 61 Weighted Average Rating Factor (WARF): 2978 Weighted Average Life (WAL): 3.3 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.17% Weighted Average Recovery Rate (WARR): 46.70% Par haircut in OC tests and interest diversion test: 2.2% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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'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. OHA CREDIT 24: Fitch Gives BB-(EXP) Rating to Class E Debt ---------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to OHA Credit Funding 24, Ltd. RATINGS ACTION OHA Credit Funding 24, Ltd. A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D1 LT BBB-(EXP)sf Expected Rating D2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary OHA Credit Funding 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.7 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 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.49% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'A+(EXP)sf' and 'AAA(EXP)sf' for class A-1, between 'BBB+(EXP)sf' and 'AA+(EXP)sf' for class A-2, between 'BBB-(EXP)sf' and 'A+(EXP)sf' for class B, between 'BB-(EXP)sf' and 'BBB+(EXP)sf' for class C, between less than 'B-(EXP)sf' and 'BB+(EXP)sf' for class D-1, between less than 'B-(EXP)sf' and 'BB+(EXP)sf' for class D-2, and between less than 'B-(EXP)sf' and 'B+(EXP)sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAA(EXP)sf'. 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 'AAA(EXP)sf' for class B, 'AA(EXP)sf' for class C, 'A-sf' for class D-1, 'BBB+(EXP)sf' for class D-2, and 'BBB-(EXP)sf' for class E. OWN EQUIPMENT III: DBRS Finalizes BB(low) Rating on C Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by OWN Equipment Fund III LLC (the Issuer): -- $301,940,000 Class A Notes at A (sf) -- $16,140,000 Class B Notes at BBB (low) (sf) -- $17,750,000 Class C Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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, 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 was funded at closing with $880,000. 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. serves as Backup Servicer on the transaction. -- Borrowing base test: The aggregate portfolio value (APV) is 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 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. PMT LOAN 2025-J5: DBRS Gives Prov. B(low) Rating on B5 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-J5 (the Notes) to be issued by PMT Loan Trust 2025-J5 (PMTLT 2025-J5 or the Trust) as follows: -- $274.5 million Class A-1 at (P) AAA (sf) -- $274.5 million Class A-2 at (P) AAA (sf) -- $164.7 million Class A-3 at (P) AAA (sf) -- $164.7 million Class A-4 at (P) AAA (sf) -- $205.9 million Class A-5 at (P) AAA (sf) -- $205.9 million Class A-6 at (P) AAA (sf) -- $68.6 million Class A-7 at (P) AAA (sf) -- $68.6 million Class A-8 at (P) AAA (sf) -- $219.6 million Class A-9 at (P) AAA (sf) -- $219.6 million Class A-10 at (P) AAA (sf) -- $41.2 million Class A-11 at (P) AAA (sf) -- $41.2 million Class A-12 at (P) AAA (sf) -- $13.7 million Class A-13 at (P) AAA (sf) -- $13.7 million Class A-14 at (P) AAA (sf) -- $54.9 million Class A-15 at (P) AAA (sf) -- $54.9 million Class A-16 at (P) AAA (sf) -- $109.8 million Class A-17 at (P) AAA (sf) -- $109.8 million Class A-18 at (P) AAA (sf) -- $26.6 million Class A-19 at (P) AAA (sf) -- $26.6 million Class A-20 at (P) AAA (sf) -- $301.1 million Class A-21 at (P) AAA (sf) -- $301.1 million Class A-22 at (P) AAA (sf) -- $82.3 million Class A-23 at (P) AAA (sf) -- $82.3 million Class A-23X at (P) AAA (sf) -- $102.9 million Class A-24 at (P) AAA (sf) -- $102.9 million Class A-24X at (P) AAA (sf) -- $137.2 million Class A-25 at (P) AAA (sf) -- $137.2 million Class A-25X at (P) AAA (sf) -- $68.6 million Class A-26 at (P) AAA (sf) -- $68.6 million Class A-26X at (P) AAA (sf) -- $45.7 million Class A-27 at (P) AAA (sf) -- $45.7 million Class A-27X at (P) AAA (sf) -- $96.1 million Class A-28 at (P) AAA (sf) -- $96.1 million Class A-28X at (P) AAA (sf) -- $123.5 million Class A-29 at (P) AAA (sf) -- $123.5 million Class A-29X at (P) AAA (sf) -- $301.1 million Class A-X1 at (P) AAA (sf) -- $274.5 million Class A-X2 at (P) AAA (sf) -- $164.7 million Class A-X4 at (P) AAA (sf) -- $274.5 million Class A-X5 at (P) AAA (sf) -- $205.9 million Class A-X6 at (P) AAA (sf) -- $68.6 million Class A-X8 at (P) AAA (sf) -- $219.6 million Class A-X10 at (P) AAA (sf) -- $41.2 million Class A-X12 at (P) AAA (sf) -- $13.7 million Class A-X14 at (P) AAA (sf) -- $54.9 million Class A-X16 at (P) AAA (sf) -- $109.8 million Class A-X18 at (P) AAA (sf) -- $26.6 million Class A-X19 at (P) AAA (sf) -- $26.6 million Class A-X20 at (P) AAA (sf) -- $301.1 million Class A-X22 at (P) AAA (sf) -- $11.6 million Class B-1 at (P) AA (sf) -- $5.3 million Class B-2 at (P) A (low) (sf) -- $1.8 million Class B-3 at (P) BBB (sf) -- $1.5 million Class B-4 at (P) BB (low) (sf) -- $485.0 thousand Class B-5 at (P) B (low) (sf) -- $274.5 million Class A-1A Loans at (P) AAA (sf) Classes A-X1, A-X2, A-X4, A-X5, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X19, A-X20, A-22X, A-23X, A-24X, A-25X, A-26X, A-27X, A-28X and A-29X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-28, A-29, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-X23, A-X24, A-X25, A-X26, A-X27, A-X28, A-X29, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, A-24, A-25, A-26, A-27, A-28, A-29, and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, and A-20) with respect to loss allocation. The Class A-1A Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 6.75% of credit enhancement provided by subordinated Notes. The (P) AA (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.50%, 0.95%, 0.50%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 71.4%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is elected. Notes: All figures are in U.S. dollars unless otherwise noted. POLEN CAPITAL 2025-2: Fitch Gives BB-sf Rating to Class E Debt -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Polen Capital CLO 2025-2, Ltd. Polen Capital CLO 2025-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Polen Capital CLO 2025-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Polen Capital CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leverage loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.12% first-lien senior secured loans and has a weighted average recovery assumption of 73.2%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, and 'A-sf' for class D-2 and 'BBBsf' for class E. POLUS US III: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Polus US CLO III Ltd./Polus US CLO III 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 Polus Capital Management (US) Inc. The preliminary ratings are based on information as of Dec. 23, 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 Polus US CLO III Ltd./Polus US CLO III LLC Class A, $256.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C, $24.0 million: A (sf) Class D-1, $24.0 million: BBB (sf) Class D-J, $4.0 million: BBB- (sf) Class E, $12.0 million: BB- (sf) Subordinated notes, $41.6 million: NR NR--Not rated. PREFERRED TERM XXVII: Moody's Ups Rating on $24MM C-1 Notes to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXVII, Ltd.: US$171,000,000 Floating Rate Class A-1 Senior Notes Due December 22, 2037 (current outstanding balance $64,804,718), Upgraded to Aaa (sf); previously on February 14, 2022 Upgraded to Aa1 (sf) US$40,000,000 Floating Rate Class A-2 Senior Notes Due December 22, 2037 (current outstanding balance $35,293,041), Upgraded to Aa1 (sf); previously on February 14, 2022 Upgraded to Aa3 (sf) US$40,500,000 Floating Rate Class B Mezzanine Notes Due December 22, 2037 (current outstanding balance $35,734,204), Upgraded to A3 (sf); previously on February 14, 2022 Upgraded to Baa2 (sf) US$24,000,000 Floating Rate Class C-1 Mezzanine Notes Due December 22, 2037 (current outstanding balance $22,685,060), Upgraded to B2 (sf); previously on February 14, 2022 Upgraded to B3 (sf) US$18,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22, 2037 (current outstanding balance $17,013,795), Upgraded to B2 (sf); previously on February 14, 2022 Upgraded to B3 (sf) Preferred Term Securities XXVII, Ltd., issued in September 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1 notes and the related increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 2.9% or $3.5 million since December 20204, using principal proceeds from the redemption of the underlying assets. Based on recent calculations, the OC ratios for the Class A-1, Class A-2, Class B, Class C-1, and Class C-2 notes have improved to 292.09%. 189.10%, 139.35%, and 107.84%, respectively, from December 2024 levels of 282.20%, 186.10, 138.40, and 107.70%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on recent published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $189 million Defaulted/deferring par: $47 million Weighted average default probability: 9.51% (implying a WARF of 1044) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios includes, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRMI SECURITIZATION 2025-CMG1: Fitch Rates Cl. B1 Notes 'BB+(EXP)' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to PRMI Securitization Trust 2025-CMG1 (PRMI 2025-CMG1). PRMI 2025-CMG1 Debt Rating ---- ------ A1 LT AAA(EXP)sf Expected Rating A1S 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 CERT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes, which are backed by a pool of non-seasoned and seasoned, first lien, open home equity lines of credit (HELOC) on residential properties, to be issued by PRMI Securitization Trust 2025-CMG1 (PRMI 2025-CMG1). This is the fifth transaction rated by Fitch that includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 676 non-seasoned and seasoned, performing, prime-quality loans with a current outstanding balance as of the cutoff date of $362,17 million. As of the cutoff date, 100% of the HELOC lines are open; the aggregate available credit line amount is expected to be $453.82 million, per the transaction documents. The loans were originated by CMG Mortgage, Inc or a CMG qualified correspondent. and are serviced by Northpointe Bank. Both the interest and principal waterfalls have a sequential structure, and losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the VFA. The VFA will be funded up front by the holder of the trust certificate, and the holder of the trust certificate will be obligated, in certain circumstances (only if draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws on the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not advance delinquent monthly payments of principal and interest (P&I). Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable-rate loans, with 62.4% based on 30-day compound SOFR, 0.24% based on 1 Month CME Term SOFR and 37.4% based on one-year Treasury CMT, per the transaction documents. As a result, there is no Libor exposure in the transaction. KEY RATING DRIVERS Credit Risk of Prime Credit Quality First Lien HELOC (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 credit risk and expected losses. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 773, a WA combined loan-to-value ratio (cLTV) of 74.3% and a WA debt-to-income ratio (DTI) of 35.23%. The WA liquid reserves are $393,992. These strong collateral attributes are reflected in Fitch's loss analysis. PRMI 2025-CMG1 has a final probability of default (PD) of 13.29% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 30.85%. The expected loss in the 'AAAsf' rating stress is 4.10%. Structural Analysis; Sequential Structure with No DQ P&I Advancing (Positive): The proposed structure is a sequential structure that prioritizes the payment of the more senior classes, first, in both the interest and principal waterfall. In the principal waterfall, unpaid interest on the A-1 and A-1S classes are paid first, which supports the timely interest for these classes. In the principal waterfall, after A-1 and A-1S are paid any unpaid interest amounts first prior to principal being allocated. Once full interest is paid to A-1 and A-1S, principal is allocated pro rata to the trust certificate and the A-1 class (at all times, A-1 is expected to receive principal payments until it is paid in full). Once A-1 and A-1S are paid all interest due, and principal is paid to A-1, the principal is allocated to the remaining classes sequentially, starting with the A-1S class. If a credit event is in effect, the transaction will still have a sequential structure for the principal waterfall. However, all funds will go to the A, M and B classes to pay unpaid interest and then principal, with the trust certificate paid after the B-3 class is paid in full. Losses are allocated reverse sequentially as follows: Realized losses for the mortgage loans will be applied using applied realized loss amounts as follows: (a) on any payment date on which a credit event is not in effect, by reducing the residual principal balance of the trust certificates up to the trust certificates writedown amount for such payment date, until the residual principal balance of the trust certificates has been reduced to zero, and then to reduce the note amounts of the offered notes (other than the class AIOS notes) in reverse sequential order of principal payments beginning with the class B-3 notes, in each case until the note amount for the class is zero; (b) on any payment date on which a credit event is in effect, by reducing the note amount of the notes and the residual principal balance of the trust certificates in reverse sequential order of principal payments, beginning with the trust certificates and then to the class B-3 notes, and so on, in each case, until the residual principal balance or note amount is reduced to zero. Excess cash flow in the transaction is not used to pay down the bonds but is used to repay previously allocated realized losses and cap carryover amounts. The servicer will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the asset-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure interest will be paid to the 'AAAsf' rated notes in a timely manner, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for higher credit enhancement (CE) than it would for a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 51.2% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that has a final grade of either 'A' or 'B'. In total 47.4% of the loans in the pool received a z-score reduction. 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 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 this transaction to be a fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRMI 2025-CMG1 and therefore Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. PRMI 2025-CMG1 has a lot of excess spread, which helps provide credit protection to the rated classes, in addition to subordination provided by the sequential structure. As such, the model implied ratings under Fitch's rating stress scenarios were higher than the ratings the committee assigned for the A-2 thru B-2 classes. The committee assigned ratings different from the model implied rating for each class to differentiate each class based upon payment priority, credit support, loss timing, and seniority in the transaction structure. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined 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 Evolve. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. A third-party due diligence review was completed on a sample of loans, 51.2% by loan count (47.4% by UPB), which meets Fitch's criteria. Fitch considered this information in its analysis and, as a result, Fitch applied a 5% PD credit at the loan level for each loan that received a grade of 'A' or 'B', and made no further adjustments based on the due diligence findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on a sample of loans, 51.2% by loan count (47.4% by UPB). The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Evolve to perform the due diligence review. Loans reviewed under this engagement were assigned credit, compliance, and property valuation grades, along with initial grades for each subcategory. The sponsor engaged Westcor to review the seasoned loans in the pool for tax and title. The review confirmed that all subject mortgages are recorded in the appropriate jurisdiction. For the majority of loans, the title/lien search verified the subject mortgage in the expected lien position. In cases where the title/lien search did not confirm the expected lien position, a clear title policy confirmed that the lien is insured in the expected position. In addition, Fitch received confirmation from the servicer that all loans are in a first-lien position, that lien status is monitored per standard servicing practices, and that advances will be made as needed to maintain first-lien status. Pay history was provided by the servicer for 100% of the loans, and the servicer confirmed that the payment history provided was accurate. An exception and waiver report were provided to Fitch which indicated the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or debt-to-income lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. PROVIDENT FUNDING 2025-6: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2025-6, 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, 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-NQM6: DBRS Gives Prov. B(high) Rating on B2 Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM6 (the Certificates) to be issued by PRPM 2025-NQM6 Trust as follows: -- $78.8 million Class A-1 at (P) AAA (sf) -- $68.0 million Class A-1A at (P) AAA (sf) -- $10.8 million Class A-1B at (P) AAA (sf) -- $63.9 million Class A-1FCF at (P) AAA (sf) -- $63.9 million Class A-1FCX at (P) AAA (sf) -- $15.0 million Class A-1LCF at (P) AAA (sf) -- $10.0 million Class A-1F at (P) AAA (sf) -- $10.0 million Class A-1IO at (P) AAA (sf) -- $12.3 million Class A-2 at (P) AA (high) (sf) -- $19.7 million Class A-3 at (P) A (high) (sf) -- $12.9 million Class M-1 at (P) BBB (sf) -- $6.2 million Class B-1 at (P) BB (high) (sf) -- $3.8 million Class B-2 at (P) B (high) (sf) The (P) AAA (sf) credit rating on the Class A-1 Certificates reflects 27.20% of credit enhancement provided by the subordinated certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 21.85%, 13.30%, 7.70%, 5.00%, and 3.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 532 mortgage loans with a total principal balance of $230,330,054 as of the Cut-Off Date (October 31, 2025). PRPM 2025-NQM6 represents the 14th securitization issued from the PRPM NQM shelf, which is backed by both non-Qualified Mortgages (non-QMs) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCRs). PRP VI AIV Holdings, LLC, a fund owned by the aggregator, Balbec Capital LP, and PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. OCMBC also known as LoanStream (33.9%) and Champions Funding, LLC (14.4%) are the largest originators of the mortgage loans. Fay Servicing, LLC (57.1%), NewRez LLC doing business as Shellpoint Mortgage Servicing (41.4%), and SN Servicing Corporation (SNSC; 1.5%) are the Servicers of the loans in this transaction. SNSC will also be the Special Servicer for the transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association will act as Custodian. For 30.4% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Approximately 5.0% of the pool are Community Development Financial Institutions no ratio loans and 6.6% of the pool are investment property loans underwritten using debt-to-income ratios. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and Truth in Lending Act/Real Estate Settlement Procedures Act Integrated Disclosure rule. For 46.6% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules but were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. Approximately 42.2% of the loans were originated in accordance with the QM/ATR rules; these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (10.5%) and QM Rebuttable Presumption (0.7%) by unpaid principal balance (UPB). The Sponsor, a majority-owned affiliate of the Sponsor, will retain an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in December 2028 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification, and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds may be used to cover any interest shortfalls on the senior-most certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Also, excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1FCF, Class A-1LCF, Class A-1A, Class A-1B, Class A-1F, Class A-2, Class A-3, and Class M-1 (and Class B-1 if issued with a fixed rate). For this transaction, the Class A-1FCF, Class A-1LCF, Class A-1A, Class A-1B, Class A-2, and Class A-3 Certificates are fixed rates that step up by 100 basis points on and after the payment date in January 2030. On or after January 2030, interest and principal otherwise payable to the Class B-3 Certificates may also be used to pay the Class A-1FCF, Class A-1FCX, Class A-1LCF, Class A-1A, Class A-1B, Class A-1F, Class A-1IO, Class A-2, and Class A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-NQM6: Fitch Gives B(EXP) Rating to Class B2 Certs ----------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by PRPM 2025-NQM6 Trust (PRPM 2025-NQM6). PRPM 2025-NQM6 A1FCF LT AAA(EXP)sf Expected Rating A1FCX 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 A1F LT AAA(EXP)sf Expected Rating A1IO 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 AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating P LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The PRPM 2025-NQM6 mortgage-backed certificates are supported by 532 loans with a $230.3 million balance as of the cutoff date. This will be the 11th PRPM nonqualified mortgage (NQM, or non-QM) transaction rated by Fitch. LoanStream Mortgage originated 33.9% of the loans in the transaction, Champions Funding, LLC originated 14.4%, and the remaining 51.8% were originated by various third-party originators. LoanStream and Champions are both assessed as 'Acceptable' originators by Fitch. Fay Servicing, LLC will service 57.1% of the loans in the pool, Shellpoint Mortgage Servicing LLC (Shellpoint) will service 41.4%, and SN Servicing will service the remaining 1.5%. Fitch rates Fay Servicing 'RSS2'/Negative, Shellpoint 'RPS2-'/Stable, and SN 'RPS3'/Stable. 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-NQM6 has a final probability of default (PD) of 49.86% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 44.55%. The expected loss in the 'AAAsf' rating stress is 22.21% (see Highlights and AssetAnalysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in PRPM 2025-NQM6 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 subordinate bonds from principal until all senior classes are reduced to zero. To the extent either a cumulative loss trigger event or a 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 (see Highlights and Cash Flow Analysis sections for more details). 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 PRPM 2025-NQM6 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 PRPM 2025-NQM6; 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 This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.5%, at 'AAA'. The analysis indicates 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 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 classes 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 environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. PRPM 2025-RCF6: Fitch Assigns BB-sf Rating to Class M-2 Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by PRPM 2025-RCF6, LLC (PRPM 2025-RCF6). PRPM 2025-RCF6 Debt Rating Prior ---- ------ ----- A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf M-2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 734 loans with a balance of $247.69 million as of the cutoff date. This will be the 10th PRPM RCF transaction to be rated by Fitch and the fifth RCF transaction of 2025. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only and balloon, performing and re-performing mortgage loans secured by first and second liens on generally single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, manufactured housing, townhouses, multiple properties, and co-operative shares. Based on the transaction documents, 85.01% of the pool loans represent collateral with a defect or exception to guidelines that preclude the loans from a government-sponsored entity (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans or seasoned non-qualified mortgage (non-QM) loans. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 87.21% of the loans and Fay Servicing, rated 'RSS2' by Fitch, will service 12.79%. The majority of the loans adhere to QM or are exempt from QM rules. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in December 2029. Fitch was only asked to rate class A-1, A-2, A-3, and M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Prime Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 727, and a 41.72% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 81.92%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 82.23%. Of the loans in the pool, 85.0% are loans that are considered S&D, 6.2% are RPL, 8.8%are seasoned non-QM loans. The majority of the loans are underwritten to full documentation guidelines, but 18% have less than full documentation (bank statement, DSCR, other). PRPM 2025-RCF6 has a final probability of default (PD) of 47.62% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 57.81%. The Expected Loss in the 'AAAsf' rating stress is 27.53%. Structural Analysis (Mixed): Sequential mortgage cash flow and Overcollateralization in PRPM 2025-RCF The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds; in a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the class A-1 prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall), and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (December 2029), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D 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 PRPM 2025-RCF6 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2025-RCF6 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.8%, at 'AAA'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) by several TPR firms, all assessed as an Acceptable TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, modification and title/lien review, as applicable to each TPR's scope of review. ProTitle conducted title/lien reviews on 100 loans, and Infinity on 725 loans. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations to reflect findings such as missing HUD-1s, other state compliance testing failures, ATR risk, high-cost issues, property damage, TILA/RESPA violations, and timeline extensions for missing documents only. Fitch also increased losses for exceptions identified in the S&D loans. In total, losses at the 'AAAsf' rating category were increased by approximately 402 bps to account for both the due diligence findings and the S&D exceptions. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged the third-party review firms to perform the review. Loans reviewed under these engagements were given initial and final compliance grades (100% of the pool). The sponsor also engaged AMC, Infinity and ProTitle to conduct a title review/lien search. U.S Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post-close quality control (QC) performed by the GSEs the S&D portion of the pool. The GSE post-close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post-close QC consistent with rating agency standards. As a result, Fitch used the GSE's post-close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post-close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions we used in our loss analysis and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review, all of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has several exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans and increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered S&D with material findings. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. PRPM 2025-RPL5: Fitch Rates Class M-2 Notes 'BBsf' -------------------------------------------------- Fitch Ratings has assigned final ratings to PRPM 2025-RPL5, LLC. Rating Prior ------ ----- PRPM 2025-RPL5 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1A LT BBBsf New Rating BBB(EXP)sf M-1B LT BBB-sf New Rating BBB-(EXP)sf M-2 LT BB-sf New Rating BB-(EXP)sf B-1 LT NRsf New Rating NR(EXP)sf B-2 LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary 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 under collateralization. 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 under collateralization 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 100 bps. 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. In addition, 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. 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. RAD CLO 22: Fitch Rates Class D-R Debt 'BB-sf' ---------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 22, Ltd reset. Rating Prior ------ ----- Rad CLO 22 Ltd. A-1a-L1-R LT NRsf New Rating NR(EXP)sf A-1a-L2-R LT NRsf New Rating NR(EXP)sf A-1a-N-R LT NRsf New Rating NR(EXP)sf A-1b-R LT AAAsf New Rating AAA(EXP)sf A-2 74923VAC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAsf New Rating AA(EXP)sf B 74923VAE0 LT PIFsf Paid In Full AAsf B-R LT Asf New Rating A(EXP)sf C 74923VAG5 LT PIFsf Paid In Full Asf C-1-R LT BBB-sf New Rating BBB-(EXP)sf C-2a-R LT BBB-sf New Rating BBB-(EXP)sf C-2b-R LT BBB-sf New Rating BBB-(EXP)sf D 74923VAJ9 LT PIFsf Paid In Full BBB-sf D-R LT BB-sf New Rating BB-(EXP)sf E 74936CAA5 LT PIFsf Paid In Full BBsf 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 24.48 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.04% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.54% 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, 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, 'A-sf' for Class C-2-R, and 'BBB+sf' for Class D-R. RED OAK 2025-1: DBRS Finalizes BB(low) Rating on C Notes -------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following class of notes issued by Red Oak Funding Master Trust, Series 2025-1 (ROAK 2025-1 or the Issuer): -- $154,800,000 Class A Notes at A (sf) -- $12,750,000 Clas B Notes at BBB (sf) -- $9,590,000 Class C Notes at BB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following considerations: (1) This is the first ROAK transaction Morningstar DBRS has rated. The series includes three tranches with credit rating levels for this series of Class A at A (sf), Class B at BBB (sf), and Class C at BB (low) (sf). (2) The Notes are supported by credit enhancement in the form of overcollateralization, subordination, a reserve account, and available excess spread. (3) 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. (4) The quality and sufficiency of provided historical performance data for the wholesale portfolio. (5) 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. (6) 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. (7) 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. (8) 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. (9) The floorplan receivables are typically secured by the products being financed and are supported by personal guarantees for most dealers. (10) 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). (11) 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. (12) 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%. (13) 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. (14) 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 are 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. (15) 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. (16) 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%. (17) Gross yield on the managed portfolio was 9.28% as of June 2025. Morningstar DBRS' expected yield is 7.95%. (18) 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. (19) The legal structure and 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. RIN 10 LLC: Moody's Assigns (P)Ba3 Rating to $8MM Class E Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of notes to be issued by RIN 10 LLC (the Issuer or RIN 10): US$256,000,000 Class A-1 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$8,000,000 Class A-2 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$40,000,000 Class B Floating Rate Senior Notes due 2039, Assigned (P)Aa1 (sf) US$24,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)A2 (sf) US$24,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Baa3 (sf) US$8,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RIN 10 LLC is a managed cash flow Project Finance CLO (PF CLO). The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted, merchant or power renewables sectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of permitted debt securities and second lien loans. The portfolio is approximately 90% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the "Portfolio Advisor") 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, the Portfolio Advisor is not permitted to purchase additional assets, and unscheduled principal payments and proceeds from the sale of assets will be used to amortized the Rated Notes in sequential order. In addition to the Rated Notes, the Issuer will issue 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 ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 35% of the portfolio's assets may be in the electricity (gas) contracted, merchant or power renewables sectors. The five largest sub-sectors could constitute up to 61% of the portfolio, with the largest sub-sector potentially being up to 45% of the portfolio. Additionally, the portfolio may have minimum of 50 obligors with the largest obligor potentially comprising up to 3.50% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Portfolio Par: $400,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1807 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2599 Weighted Average Spread (WAS): 2.62% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.70% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.80% Weighted Average Life (WAL): 8.0 Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 17.50% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 14.75% Power Infrastructure Obligors: 44.75% Long Dated Assets: 2.5% Methodologies Underlying the Rating Action: The methodologies 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. RIN 10 LLC: Moody's Assigns Ba3 Rating to $8MM Class E Notes ------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes issued by RIN 10 LLC (the Issuer or RIN 10): US$256,000,000 Class A-1 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-2 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aa1 (sf) US$24,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned A2 (sf) US$24,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned Baa3 (sf) US$8,000,000 Class E Deferrable Floating Rate Mezzanine 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. RIN 10 LLC is a managed cash flow Project Finance CLO (PF CLO). The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted, merchant or power renewables sectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of permitted debt securities and second lien loans. The portfolio is approximately 90% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the "Portfolio Advisor") 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, the Portfolio Advisor is not permitted to purchase additional assets, and unscheduled principal payments and proceeds from the sale of assets will be used to amortized the Rated Notes in sequential order. In addition to the Rated Notes, the Issuer issued 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 ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 35% of the portfolio's assets may be in the electricity (gas) contracted, merchant or power renewables sectors. The five largest sub-sectors could constitute up to 61% of the portfolio, with the largest sub-sector potentially being up to 45% of the portfolio. Additionally, the portfolio may have minimum of 50 obligors with the largest obligor potentially comprising up to 3.50% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. Portfolio Par: $400,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1807 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2599 Weighted Average Spread (WAS): 2.62% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.70% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.80% Weighted Average Life (WAL): 8.0 Permitted Debt Securities and Second Lien Loans: 4.0% Minimum Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 17.50% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 14.75% Power Infrastructure Obligors: 44.75% Long Dated Assets: 2.5% Methodologies Underlying the Rating Action: The methodologies used in these ratings were "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. RISERVA CLO: S&P Affirms CCC+ (sf) Rating on Class F-RR Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, and C-R3 debt from Riserva CLO Ltd./Riserva CLO LLC, a CLO managed by Invesco Senior Secured Management Inc. that was originally issued in December 2016 and underwent a second refinancing in March 2021. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, and C-RR debt following payment in full on the Dec. 23, 2025, refinancing date. S&P also affirmed its ratings on the class X-RR, D-RR, E-RR, and F-RR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Oct. 18, 2025. -- No additional assets were purchased on the Dec. 23, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Jan. 18, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F-RR debt (which was not refinanced). However, we affirmed our 'CCC+ (sf)' rating on the class F-RR debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase, as principal is collected and the senior debt is paid down. In addition, at this time, we believe the payment of principal or interest on the class F-RR debt when due continues to be dependent on favorable business, financial, or economic conditions. Therefore, this class continues to fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $366.00 million: Three-month CME Term SOFR + 1.05% -- Class B-R3, $84.50 million: Three-month CME Term SOFR + 1.45% -- Class C-R3 (deferrable), $35.50 million: Three-month CME Term SOFR + 1.75% Previous debt -- Class A-RR, $379.25 million: Three-month CME Term SOFR + 1.06% + CSA(i) -- Class B-RR, $71.25 million: Three-month CME Term SOFR + 1.35% + CSA(i) -- Class C-RR (deferrable), $35.50 million: Three-month CME Term SOFR + 1.80% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Riserva CLO Ltd./Riserva CLO LLC Class A-R3, $366.00 million: AAA (sf) Class B-R3, $84.50 million: AA (sf) Class C-R3, $35.50 million: A(sf) Ratings Withdrawn Riserva CLO Ltd./Riserva CLO LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Ratings Affirmed Riserva CLO Ltd./Riserva CLO LLC Class X-RR: AAA (sf) Class D-RR: BB+ (sf) Class E-RR: B (sf) Class F-RR: CCC+ (sf) Other Debt Riserva CLO Ltd./Riserva CLO LLC Subordinated notes, $62.00 million: NR NR--Not rated. RR 8 LTD: Fitch Assigns BB-sf Rating on Class D-R2 Debt ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 8 Ltd Reset. RATING ACTIONS RR 8 LTD A-1a-L LT AAAsf New Rating A-1a-R2 LT AAAsf New Rating A-1b-R2 LT AAAsf New Rating A-2-R2 LT AAsf New Rating B-R2 LT Asf New Rating C-1a-R2 LT BBBsf New Rating C-1b-R2 LT BBB-sf New Rating C-2-R2 LT BBB-sf New Rating D-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 8 LTD (the issuer) Reset is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC which originally closed in 2020. This is the second refinancing where all the existing notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.02 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 97.39% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.87% 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-1a, between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B-sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1a, between less than 'B-sf' and 'BB+sf' for class C-1b, between less than 'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a and class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AAsf' for class B, 'A+sf' for class C-1a, 'Asf' for class C-1b, 'A-sf' for class C-2, and 'BBB+sf' for class D. SALUDA GRADE 2025-FIG6: DBRS Finalizes B(low) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2025-FIG6 (the Notes) issued by Saluda Grade Alternative Mortgage Trust 2025-FIG6 (GRADE 2025-FIG6 or the Trust): -- $264.0 million Class A-1 at AAA (sf) -- $19.1 million Class M-1 at AA (low) (sf) -- $21.0 million Class M-2 at A (low) (sf) -- $10.7 million Class C at BBB (low) (sf) -- $16.4 million Class C at BB (low) (sf) -- $15.2 million Class C at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 25.95% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low), BB (low), and B (low) credit ratings reflect 20.60%, 14.70%, 11.70%, 7.10%, and 2.85% 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 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 4,579 loans (individual HELOC draws) that correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $356,560,196 and a total current credit limit of $390,581,245 as of the Cut-Off Date (November 30, 2025). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 75 months. All the HELOCs are current and vast majority of the loans (approximately 99.6%) have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2025-FIG6 represents the sixth Figure Lending LLC (Figure) HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). Figure is the one of the Originators and the Servicer of 94.4% of the loans in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. In addition to the Figure securitization by the Sponsor, Figure-originated HELOCs are included in 21 rated securitizations sponsored by Figure. These transactions' performances to date are satisfactory. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. 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 two, three, four or 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 three to 25 years and are no longer allowed to draw. During the draw period and the repayment period, the outstanding principal balance is fully amortized over the remaining term of the HELOC. Vast majority of the HELOCs (approximately 99.4%) in this transaction are fixed-rate loans. None of the HELOCs have interest-only (IO) payment periods, and no loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate is approximately 96.3% after two months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate, floored at the original rate. Relative to traditional HELOCs, 99.4% of the loans in the pool are fixed-rate, all the loans are fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year terms. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Figure uses a property valuation provided by an automatic valuation model (AVM) instead of a full property appraisal. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the Morningstar DBRS RMBS Insight Model. In addition, Morningstar DBRS applied haircuts to the provided AVM valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of this report for details. Transaction and Other Counterparties In addition to the Figure-originated HELOCs, the mortgages were originated by Loan Store, LLC (44.8%), West Capital Lending, Inc (11.8%), and Valon Mortgage (11.0%), as well as other originators (together, the White Label Partner Originators) each comprising less than 10.0% of the pool by balance. The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Figure will service 94.4% of the loans within the pool for a servicing fee of 0.25% per year and NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 5.6% of the loans within the pool for a servicing fee of 0.20% per year. For Figure serviced loans, Cornerstone Servicing will act as a Special Servicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. 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), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,426,240.78 (0.40% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in December 2030, the Reserve Account Required Amount will be 0.25% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in December 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0, at which point the funds will be released through the transaction waterfall. If the Reserve Account is not at target, the Paying Agent will use the principal collections in subsequent collection periods to reimburse the Servicer for any unreimbursed Net Draws. The top-up of the reserve account occurs before making any principal payments to the Class G Certificate holders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class G Certificate holders will be required to use their own funds to reimburse the Servicer for any Net Draws. Nevertheless, the Servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Sponsor, as a holder of the Class G Certificates, will have the ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The balance of Class G Certificates will be increased by the amount of any Net Draws funded by the Class G Certificate holders. The Reserve Account's required amount will become $0 on the payment date in December 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or the Sponsor. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure Similar to more recent HELOC transactions, this transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. The Delinquency Trigger is applicable on or after the 12th payment date (December 2026) rather than being 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. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of this report for more details. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of 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 or after the first payment date when the Fixed Rate Notes balance falls to or below 20% of the initial balance, 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. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. SANDSTONE PEAK IV: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned 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 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 Sandstone Peak IV Ltd./Sandstone Peak IV LLC Class A-1, $217.00 million: AAA (sf) Class A-1L 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 B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Santander Bank Auto Credit-Linked Notes, Series 2025-A (SBCLN 2025-A) notes 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, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa3 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) Class F Notes, Definitive Rating Assigned 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 an 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 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 notes, Class 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 of 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 errors on the part of transaction parties, inadequate transaction governance, and fraud. SG RESIDENTIAL 2025-1: S&P Assigns 'B-' Rating on Class B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2025-1's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, a co-operative, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 462 loans. S&P said, "After we assigned our preliminary ratings on Dec. 10, 2025, the sponsor resized the class A-1A, class A-1B, and the associated exchangeable class A-1 certificates, as well as the class A-1FCF, the associated interest-only class A-1FCX, and class A-1LCF certificates keeping the subordination credit enhancement the same. Also, the class B-1 note rate was priced at the net weighted average coupon rate. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator, ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned SG Residential Mortgage Trust 2025-1(i) Class A-1A, $164,454,000: AAA Class A-1B, $24,749,000: AAA Class A-1, $189,203,000: AAA Class A-1FCF, $26,316,000: AAA Class A-1FCX, $26,316,000 (ii): AAA Class A-1LCF, $8,772,000: AAA Class A-2, $14,523,000: AA Class A-3, $28,458,000: A Class M-1, $12,029,000: BBB- Class B-1, $6,748,000: BB- Class B-2, $4,400,000: B- Class B-3, $2,934,725: NR Class A-IO-S, Notional(iii): N/A Class XS, Notional(iii): N/A Class R, N/A: N/A (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SILVER POINT 14: Moody's Assigns B3 Rating to $300,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Silver Point CLO 14, Ltd. (the Issuer or Silver Point 14): US$384,000,000 Class A-1 Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$300,000 Class F Secured Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Silver Point 14 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 assets that are not senior secured loans or eligible investments. The portfolio is approximately 95% ramped as of the closing date. Silver Point Select C CLO Manager, 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 seven 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: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3089 Weighted Average Spread (WAS): 2.90% 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 CLO 3: Fitch Assigns BBsf Rating on Class E-R Debt --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Silver Point CLO 3, Ltd. RATING ACTIONS Rating Prior ------ ----- Silver Point CLO 3, Ltd. A-2 827925AC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B 827925AE8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 827925AG3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 827925AJ7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 827926AA4 LT PIFsf Paid In Full BB-sf E-R LT BBsf New Rating BB+(EXP)sf Transaction Summary Silver Point CLO 3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Silver Point RR Manager, L.P. The transaction originally closed in November 2023. On Dec. 15, 2025, the existing secured notes will be redeemed in full with refinancing proceeds. 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. The assigned rating for class E-R (BBsf/Stable) is different from the expected rating (BB+(EXP)sf/Stable) due to increase in the second lien concentration limitation for the portfolio. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.14% first lien senior secured loans and has a weighted average recovery assumption of 72.39%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. STAR POINT 2025-1: DBRS Finalizes BB Rating on Class C Notes ------------------------------------------------------------ DBRS Limited finalized its provisional credit ratings on the following classes of notes issued by Star Point 2025-1, Ltd. (the Issuer): -- Class A at A (sf) -- Class B at BBB (low) (sf) -- Class C at BB (sf) -- Class D at B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by a portion of the beneficial interests in the Class B multifamily mortgage-backed pass-through certificates from 13 underlying small-balance multifamily mortgage loan securitizations and the beneficial interest in the Class B multifamily structured credit risk notes from one underlying credit risk transfer securitization, all issued by the Federal Home Loan Mortgage Corporation (Freddie Mac). The principal balances of the underlying Class B certificates totaled approximately $373.0 million as of November 2025, approximately $353.3 million of which is being contributed to the subject re-securitization. Morningstar DBRS' credit ratings on this transaction depend on the performance of the underlying securitizations. The Class B underlying certificates are the most subordinate principal-and-interest (P&I) classes in the underlying securitizations. As of the October 2025 reporting, the collateral of the underlying securitizations comprised 1,364 loans secured by 1,364 multifamily properties, including 1,229 garden-style multifamily properties (87.5% of the total principal balance), 75 mid-rise apartment complexes (7.3% of the total principal balance), 54 townhome properties (4.9% of the total principal balance), five age-restricted properties (0.3% of the total principal balance), and one high-rise apartment complex (0.1% of the total principal balance). An additional 368 loans were securitized as part of the underlying transactions but paid off prior to October 2025. Of the total pool as of October 2025, 481 loans (33.0% of the total principal balance) had 20-year loan terms, 404 loans (28.4% of the total principal balance) had 10-year loan terms, 330 loans (27.4% of the total principal balance) had five-year loan terms, and 149 loans (11.2% of the total principal balance) had seven-year loan terms. As of the October 2025 reporting, approximately 67.0% of the pool were fixed-rate loans and approximately 33.0% were hybrid adjustable-rate mortgage (ARM) loans. For the hybrid ARM loans, Morningstar DBRS used the higher of the interest rate floor and the stressed rate (the lesser of the various rates by index timing and the contractual capped rate) based on the remaining term when determining the interest rate to calculate a stressed term debt service. Morningstar DBRS analyzed each underlying securitization to determine the provisional credit ratings for this re-securitization, reflecting the long-term probability of loan default within the term and the liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow and their respective constants, the resulting initial Morningstar DBRS Weighted-Average (WA) Debt Service Coverage Ratio (DSCR) of the total pool as of October 2025 was 1.05 times (x). There were 1,193 loans, representing 88.3% of the total initial principal balance of the October 2025 pool, that exhibited an initial Morningstar DBRS WA DSCR lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the pool as of October 2025 was 65.4% and the total pool is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 53.8% based on the A note balances at maturity. There were 635 loans, representing approximately 46.1% of the total initial principal balance of the pool, that exhibited a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. As of the October 2025 underlying monthly reports, there were 19 loans, representing approximately 1.5% of the total initial principal balance of the pool, that were 60+ days delinquent, matured performing, matured nonperforming, or in foreclosure. Morningstar DBRS applied an additional stress to the default rate of these loans to mitigate the potential risk of near-term default. Morningstar DBRS also applied an additional stress to the default rate of loans with a history of late payments and/or performance declines based on the most recent reported financials. The transaction has a sequential pass-through structure with regard to Trust expenses and P&I owed to each note; however, excess interest will initially be applied pari passu to the outstanding principal balances of Classes B and C at 50% to each of these tranches until the notes have been paid in full, then applied to fully amortize the balances of Class D, Class A, and the Subordinate Notes, in that order, until each note is paid in full. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology," North American CMBS Insight Model v 1.3.0.0 (CMBS Insight Model), and "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (RMBS Cash Flow Model). Morningstar DBRS applied the fully adjusted default assumptions and model-generated severity figures for each underlying securitization from the CMBS Insight Model to the RMBS Cash Flow Model, which is adept at modeling sequential and pro rata structures on loan pools with more than 400 loans. As part of the RMBS Cash Flow Model, Morningstar DBRS incorporated four constant prepayment rate stresses: 5.0%, 10.0%, 15.0%, and 20.0%. Additional assumptions in the RMBS Cash Flow Model include a 22-month recovery lag period, 100% servicer advancing, and two default curves (front and back). The shape and duration of the default curves were based on the RMBS loss curves. Lastly, rates were stressed upward and downward based on their respective loan indices. Morningstar DBRS based its analysis on the October 2025 underlying monthly reports. The November 2025 underlying monthly reports have been released but the changes did not have a material impact on pool results. In total, nine loans were repaid in full across five of the underlying securitizations during the November 2025 reporting period, with the loan-level expected losses (ELs) for the paid-off loans comparable with the WA ELs for the respective securitizations. The WA delinquency rate for the underlying securitizations remained constant from October 2025 to November 2025. Notes: All figures are in U.S. dollars unless otherwise noted. STAR POINT 2025-1: DBRS Gives Prov. B(low) Rating on D Notes ------------------------------------------------------------ DBRS Limited assigned provisional credit ratings to the following classes of notes to be issued by Star Point 2025-1, Ltd. (the Issuer): -- Class A at (P) A (sf) -- Class B at (P) BBB (low) (sf) -- Class C at (P) BB (sf) -- Class D at (P) B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by a portion of the beneficial interests in the Class B multifamily mortgage-backed pass-through certificates from 13 underlying small-balance multifamily mortgage loan securitizations and the beneficial interest in the Class B multifamily structured credit risk notes from one underlying credit risk transfer securitization, all issued by the Federal Home Loan Mortgage Corporation (Freddie Mac). The principal balances of the underlying Class B certificates totaled approximately $373.0 million as of November 2025, approximately $353.3 million of which is being contributed to the subject re-securitization. Morningstar DBRS' credit ratings on this transaction depend on the performance of the underlying securitizations. The Class B underlying certificates are the most subordinate principal-and-interest (P&I) classes in the underlying securitizations. As of the October 2025 reporting, the collateral of the underlying securitizations comprised 1,364 loans secured by 1,364 multifamily properties, including 1,229 garden-style multifamily properties (87.5% of the total principal balance), 75 mid-rise apartment complexes (7.3% of the total principal balance), 54 townhome properties (4.9% of the total principal balance), five age-restricted properties (0.3% of the total principal balance), and one high-rise apartment complex (0.1% of the total principal balance). An additional 368 loans were securitized as part of the underlying transactions but paid off prior to October 2025. Of the total pool as of October 2025, 481 loans (33.0% of the total principal balance) had 20-year loan terms, 404 loans (28.4% of the total principal balance) had 10-year loan terms, 330 loans (27.4% of the total principal balance) had five-year loan terms, and 149 loans (11.2% of the total principal balance) had seven-year loan terms. As of the October 2025 reporting, approximately 67.0% of the pool were fixed-rate loans and approximately 33.0% were hybrid adjustable-rate mortgage (ARM) loans. For the hybrid ARM loans, Morningstar DBRS used the higher of the interest rate floor and the stressed rate (the lesser of the various rates by index timing and the contractual capped rate) based on the remaining term when determining the interest rate to calculate a stressed term debt service. Morningstar DBRS analyzed each underlying securitization to determine the provisional credit ratings for this re-securitization, reflecting the long-term probability of loan default within the term and the liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow and their respective constants, the resulting initial Morningstar DBRS Weighted-Average (WA) Debt Service Coverage Ratio (DSCR) of the total pool as of October 2025 was 1.05 times (x). There were 1,193 loans, representing 88.3% of the total initial principal balance of the October 2025 pool, that exhibited an initial Morningstar DBRS WA DSCR lower than 1.25x, a threshold indicative of a higher likelihood of midterm default. The WA Morningstar DBRS Issuance Loan-to-Value Ratio (LTV) of the pool as of October 2025 was 65.4% and the total pool is scheduled to amortize to a WA Morningstar DBRS Balloon LTV of 53.8% based on the A note balances at maturity. There were 635 loans, representing approximately 46.1% of the total initial principal balance of the pool, that exhibited a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. As of the October 2025 underlying monthly reports, there were 19 loans, representing approximately 1.5% of the total initial principal balance of the pool, that were 60+ days delinquent, matured performing, matured nonperforming, or in foreclosure. Morningstar DBRS applied an additional stress to the default rate of these loans to mitigate the potential risk of near-term default. Morningstar DBRS also applied an additional stress to the default rate of loans with a history of late payments and/or performance declines based on the most recent reported financials. The transaction has a sequential pass-through structure with regard to Trust expenses and P&I owed to each note; however, excess interest will initially be applied pari passu to the outstanding principal balances of Classes B and C at 50% to each of these tranches until the notes have been paid in full, then applied to fully amortize the balances of Class D, Class A, and the Subordinate Notes, in that order, until each note is paid in full. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology," North American CMBS Insight Model v 1.3.0.0 (CMBS Insight Model), and "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (RMBS Cash Flow Model). Morningstar DBRS applied the fully adjusted default assumptions and model-generated severity figures for each underlying securitization from the CMBS Insight Model to the RMBS Cash Flow Model, which is adept at modeling sequential and pro rata structures on loan pools with more than 400 loans. As part of the RMBS Cash Flow Model, Morningstar DBRS incorporated four constant prepayment rate stresses: 5.0%, 10.0%, 15.0%, and 20.0%. Additional assumptions in the RMBS Cash Flow Model include a 22-month recovery lag period, 100% servicer advancing, and two default curves (front and back). The shape and duration of the default curves were based on the RMBS loss curves. Lastly, rates were stressed upward and downward based on their respective loan indices. Morningstar DBRS based its analysis on the October 2025 underlying monthly reports. The November 2025 underlying monthly reports have been released but the changes did not have a material impact on pool results. In total, nine loans were repaid in full across five of the underlying securitizations during the November 2025 reporting period, with the loan-level expected losses (ELs) for the paid-off loans comparable with the WA ELs for the respective securitizations. The WA delinquency rate for the underlying securitizations remained constant from October 2025 to November 2025. Morningstar DBRS' credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Proceeds and Interest Proceeds for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. TCW CLO 2025-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to TCW CLO 2025-2 Ltd./TCW CLO 2025-2 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 TCW Asset Management Co. LLC, a subsidiary of The TCW Group Inc. 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 TCW CLO 2025-2 Ltd./TCW CLO 2025-2 LLC Class X, $5.00 million: NR Class A, $250.00 million: NR Class A loan, $70.00 million: NR Class B, $60.00 million: AA (sf) Class C-1 (deferrable), $19.00 million: A (sf) Class C-2 (deferrable), $11.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $42.86 million: NR NR--Not rated. TRAINER WORTHAM V: S&P Affirms 'CC (sf)' Rating on Class A-2 Notes ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class B notes from Trainer Wortham CBO V Ltd., a cash flow CDO transaction backed by structured finance securities. At the same time, S&P affirmed its 'CC (sf)' rating on the class A-2 notes. The rating actions follow our review of the transaction's performance using data from the Sept. 30, 2025, trustee report. Since S&P's November 2018 rating action, the class A-2 notes had total paydowns of $17.08 million that reduced the outstanding balance to 46.90% of its original balance. Following are the changes in the reported overcollateralization (O/C) ratios since the September 2018 trustee report, which S&P used for our previous rating action: -- The class A/B O/C ratio declined to 19.88% from 29.32%. -- The class C O/C ratio declined to 14.31% from 24.50%. -- The class D O/C ratio declined to 10.41% from 20.44%. This decline in credit enhancement reduces the transaction's ability to withstand additional collateral weakening, particularly for the more junior liabilities. S&P said, "As amortization has continued, the collateral pool has become highly concentrated, with only 16 performing obligors remaining. Given the reduced diversification, our analysis emphasized remaining collateral credit quality, the ratings on the assets backing the notes, and current subordination/credit support levels, rather than relying on a full cash flow analysis. Our conclusions also reflect the application of the supplemental tests embedded in our corporate CLO criteria, which are designed to address potential event and model risks in rated transactions. "We lowered the rating on the class B notes to 'D (sf)' as the total par value of the assets in the CLO's portfolio--even assuming 100% recovery on the defaults--and their forecasted interest income is not sufficient to cover the notes' outstanding principal balance and interest deferral amounts to be paid in full by the legal final maturity date. "We affirmed the 'CC (sf)' rating on the class A-2 notes, which are currently the most senior outstanding notes. Though the coverage tests continue to fail, and the notes do not pass our top obligor test at the 'CCC' category, they continue to receive paydowns and are current in their interest. The affirmation reflects our opinion that the notes' credit enhancement remains consistent with a 'CC' rating given that the notes are backed by defaulted assets. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." RATING LOWERED Trainer Wortham CBO V Ltd. Class B to 'D (sf)' from 'CC (sf)' RATINGS AFFIRMED Trainer Wortham CBO V Ltd. Class A-2: CC (sf) TRIMARAN CAVU 2025-3: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Trimaran CAVU 2025-3 Ltd./Trimaran CAVU 2025-3 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 Trimaran Advisors LLC, a subsidiary of LibreMax Intermediate Holdings. 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 Trimaran CAVU 2025-3 Ltd./Trimaran CAVU 2025-3 LLC Class X, $2.00 million: AAA (sf) Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.35 million: NR NR--Not rated. TRINITAS CLO XXXVII: Moody's Assigns B3 Rating to $1.2MM F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Trinitas CLO XXXVII, Ltd. (the Issuer or Trinitas CLO XXXVII): US$252,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$1,200,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Trinitas CLO XXXVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. Trinitas Capital Management, 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: 80 Weighted Average Rating Factor (WARF): 3011 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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. UBS COMMERCIAL 2018-C11: Fitch Affirms CCCsf Rating on F-RR Certs ----------------------------------------------------------------- Fitch Ratings affirmed 13 classes of UBS Commercial Mortgage Trust 2018-C11 commercial mortgage pass-through certificates (UBS 2018-C11). Fitch revised Outlooks on Classes C, D and X-D to Stable from Negative. RATING ACTIONS Rating Prior ------ ----- UBS 2018-C11 A3 90276XAT2 LT AAAsf Affirmed AAAsf A4 90276XAU9 LT AAAsf Affirmed AAAsf A5 90276XAV7 LT AAAsf Affirmed AAAsf AS 90276XAY1 LT AAAsf Affirmed AAAsf ASB 90276XAS4 LT AAAsf Affirmed AAAsf B 90276XAZ8 LT AA-sf Affirmed AA-sf C 90276XBA2 LT A-sf Affirmed A-sf D 90276XAC9 LT BBsf Affirmed BBsf E-RR 90276XAE5 LT B-sf Affirmed B-sf F-RR 90276XAG0 LT CCCsf Affirmed CCCsf XA 90276XAW5 LT AAAsf Affirmed AAAsf XB 90276XAX3 LT AA-sf Affirmed AA-sf XD 90276XAA3 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case is 5.5%. Eight loans (20.4%) were flagged as Fitch Loans of Concern (FLOCs), including three loans (12.3%) in special servicing. The Stable Outlook revisions reflect lower loss expectations on Cedar Ridge (3.3%) as the dark space formerly occupied by the largest tenant has been re-leased to Gi Alliance Management LLC (40.4%) at a higher rental rate from March 2025 through February 2037. The free rent abatement is expected to expire in 2026. The Negative Outlook reflects the potential for downgrades due to higher-than-expected losses on Peninsula Town Center and 45-55 West 28th Street following their recent transfer to special servicing in 2025. Downgrades are also possible should value deteriorate with respect to the aforementioned specially serviced loans and Riverfront Plaza. Office is the highest asset concentration at approximately 35%. The largest contributor to expected losses is 45-55 West 28th Street (3%), which is secured by six mixed-use properties (34,142 sf) in Manhattan. The loan transferred to special servicing in September 2025 due to maturity default. The loan did not repay at its July 2025 maturity date. A forbearance agreement was executed in Oct. 2025, which included a Jan. 1, 2026 pay off date. The largest tenant is Monica Distributor Corp. (17%; expires February 2027), with no other tenant representing more than 5.5% NRA. The property is 97% occupied as of March 2025. Servicer-reported DSCR was 1.07x at YE 2024. The upcoming rollover includes 18% (22% rent) in 2025, 31% (42% rent) in 2026 and 22% (11% rent) in 2027. Fitch's 'Bsf' rating case loss of 42.7% (prior to a concentration adjustment) is based on a stress to the most recent appraised value, reflecting a stressed value of $312 psf and also reflects the loan's default status. The second largest contributor to expected losses is Peninsula Town Center (2.2%), which is secured by a 41,523-sf mixed-use (predominately retail) property located in Hampton, VA. The loan transferred to special servicing in July 2025 due to imminent monetary default. It was current until November 2025 and defaulted when it did not repay at its Dec. 1, 2025 maturity date. The largest tenant, Bar Louie (16%), filed bankruptcy and vacated. Prior to the transfer, the borrower indicated it wanted to facilitate an orderly transition of title given the loss of the largest tenant. The special servicer is preparing to take title. The property was 77% occupied as of June 2025, down from 96% at YE 2024. NOI DSCR was 1.02x as of TTM June 2025 compared 1.23x at YE 2024. Fitch's 'Bsf' rating case loss of 43.6% (prior to concentration add-ons) is based on a stress to the most recent valuation, reflecting a stressed value of $185 psf. The third largest contributor to expected losses is Riverfront Plaza (7.2%), which is secured by a 950,000-sf two tower office property located in the Richmond, VA CBD. The loan transferred to special servicing in January 2024 due to failure to comply with excess cash requirements. A receiver was appointed in August 2025 and the special servicer continues to review the lender's rights and remedies. The loan is less than one month delinquent as of the November remittance. The largest tenant, Hunton Andrews Kurth (25.1% of NRA), exercised its five-year renewal option, extending its lease from June 2025 to June 2030. The second largest tenant, Truist Bank (14.9% NRA and 14.1% base rent) vacated when its August 2025 lease expired. As a result, occupancy is approximately 63%, down from 77% at YE 2024 and 83% at YE 2023. NOI DSCR was a reported 1.57x as of TTM June 2025, compared to 1.67x at YE 2024, 1.64x at YE 2023. Fitch's 'Bsf' rating case loss of 12.5% (prior to a concentration adjustment) is based on stress to the most recent appraised value, reflecting a Fitch value of $79 psf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories are not expected but could occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. Downgrades for the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance and/or valuation of the FLOCs, most notably Riverfront Plaza, 45-55 West 28th Street and Peninsula Town Center and/or with greater certainty of losses on the specially serviced loans or other FLOCs Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the specially serviced loans. 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 but could occur if the performance of the remaining pool is stable but are limited based on sensitivity to adverse selection and concentrations or the potential for future concentration. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. UNLOCK HEA 2025-3: DBRS Finalizes BB(low) Rating on C Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2025-3 (the Notes) issued by Unlock HEA Trust 2025-3 as follows: -- $252.5 million Class A at A (low) (sf) -- $63.3 million Class B at BBB (low) (sf) -- $72.6 million Class C at BB (low) (sf) The A (low) (sf) credit rating reflects credit enhancement of 35.00% for Class A, the BBB (low) (sf) credit rating reflects credit enhancement of 18.77% for Class B, and the 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. VENTURE 34 CLO: Moody's Cuts Rating on $25MM Class E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture 34 CLO, Limited: US$25,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on July 16, 2024 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on September 30, 2020 Confirmed at Ba3 (sf) Venture 34 CLO, Limited, originally issued in October 2018 and partially refinanced in July 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2024. The Class A-R notes have been paid down by approximately 50% or $157.9 million since then. Based on the trustee's November 2025 [1]report, the OC ratio for the Class C notes is reported at 128.78%, versus the November 2024 [2]level of 118.37%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and reduction in spread level observed in the underlying CLO portfolio. Based on the trustee's November 2025 report, the trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the levels are currently[3] 2953 and 3.56%, compared to 2821 and 3.74%, respectively, in November 2024[4]. No actions were taken on the Class A-R, Class B-R and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $294,153,514 Defaulted par: $8,619,769 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3092 Weighted Average Spread (WAS): 3.69% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 3.16 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "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. VENTURE XXIX CLO: Moody's Cuts Rating on $26MM Cl. E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Venture XXIX CLO, Limited: US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aaa (sf); previously on March 18, 2025 Upgraded to Aa1 (sf) Moody's have also downgraded the rating on the following notes: US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes") (Current outstanding amount US$27,024,342.92), Downgraded to Caa3 (sf); previously on March 18, 2025 Downgraded to B1 (sf) Venture XXIX CLO, Limited, originally issued in September 2017 and partially refinanced in March 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 September 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class C Notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2025. The Class A-R notes have been paid down by approximately 92.4% or $119.4 million since then. Based on the trustee's November 2025 report, the OC ratio for the Class C notes is reported at 133.32%[1] versus February 2025 level of 120.82%[2]. The downgrade rating action on the Class E Notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's November 2025 report, the OC ratio for the CLO Class E notes was 93.49%[3] versus 99.41%[4]in February 2025. Additionally, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3788[5], compared to 3433[6] in February 2025, failing the maximum test level of 2946. Furthermore, Moody's notes that the November 2025 trustee-reported WARF, Diversity and WAL test are currently failing. No actions were taken on the Class A-R, Class B-R, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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 recent 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: $154,823,823 Defaulted par: $10,127,249 Diversity Score: 48 Weighted Average Rating Factor (WARF): 3735 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.72% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.53% Weighted Average Life (WAL): 2.6 years Par haircut in OC tests and interest diversion test: 7.2% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "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. VERUS SECURITIZATION 2025-12: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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. S&P said, "After we assigned preliminary ratings on Dec. 9, 2025, the ratings for the class A-1F, A-1IO, A-1IO1, and A-1IO2 notes were withdrawn, with the balances for these classes set to $0 at the time of pricing. The credit support at each rating level remains the same." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned Verus Securitization Trust 2025-12(i) Class A-1, $243,331,000: AAA (sf) Class A-1A, $209,179,000: AAA (sf) Class A-1B, $34,152,000: AAA (sf) Class A-1FCF, $149,319,000: AAA (sf) Class A-1FCX, $149,319,000(ii): AAA (sf) Class A-1LCF, $49,772,000: 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(iii): NR Class XS, Notional(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)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. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A—Not applicable. VERUS SECURITIZATION: Fitch Assigns Bsf Rating on Class B2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2025-R2 (Verus 2025-R2) RATINGS ACTION Rating Prior ------ ----- VERUS 2025-R2 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf DA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The Verus 2025-R2 notes are supported by 1,006 loans with a balance of $436.6 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, the transaction mainly consists of DSCR loans at 61.7%; an additional 16.2% were originated to a bank statement program. The remaining 22.1% were underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment (WVOE) product. An updated tape was received on Dec. 2: Five loans were removed, and loan balances were rolled to Dec. 1 balances (versus the Dec. 1 estimated balances cutoff date for presale). Overall, the collateral composition of the final pool remained similar to the preliminary pool, with slight changes to Fitch's expected losses driven by a slight increase to the MtM cLTV. Losses increased about 2 bps-23 bps. The structure was updated post-pricing on Dec. 8: Coupons for most classes increased approximately 1bps-2bps, except for the A-3 classes' coupons, which decreased approximately 4bps. As a result, the weighted average excess spread remained the same at 72 bps. Fitch re-ran its cashflow analysis and confirmed there were no changes to its expected ratings. 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 41.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.9%. The expected loss in the 'AAAsf' rating stress is 14.0%. 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: All relevant transaction parties 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. VERUS 2025-R2 is fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to 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 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. VOYA CLO 2023-1: Fitch Gives BB-sf Rating to Class E-R Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2023-1, Ltd. reset transaction. RATING ACTIONS Rating Prior ------ ----- Voya CLO 2023-1, Ltd A-1-R LT NRsf New Rating A-2 92920FAC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 92920FAJ9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 92920FAE0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 92920FAG LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 92920GAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Voya CLO 2023-1, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is being managed by Voya Alternative Asset Management LLC. The CLO's secured notes will be refinanced in whole on Dec. 15, 2025 from proceeds of the new secured and additional subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loan. 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 23.21, 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 97.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.4% 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. WELLS FARGO 2016-C34: DBRS Confirms C Rating on 3 Tranches ---------------------------------------------------------- DBRS, Inc. downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C34 issued by Wells Fargo Commercial Mortgage Trust 2016-C34 as follows: -- Class B to A (low) (sf) from A (high) (sf) -- Class C to BBB (low) (sf) from BBB (high) (sf) -- Class D to CCC (sf) from B (sf) -- Class X-B to A (sf) from AA (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class A-3FX at AAA (sf) The trends on Classes B, C, and X-B are Negative. Classes D, E, F, and G have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades reflect the increased refinance risks associated with select loans, as the pool begins to wind down in 2026, as well as the propensity for further interest shortfalls. As of the December 2025 reporting, interest shortfalls totaled $3.4 million, up from $2.0 million at the time of last review in February 2025. Interest shortfalls have primarily been driven by reoccurring advances tied to the Regent Portfolio loan (Prospectus ID#1, 12.7% of the pool), alongside fees for three other loans, pushing outstanding shortfalls up through Class D, which has been shorted interest for six consecutive months. Morningstar DBRS has limited tolerance for periods of unpaid interest, which vary by rating category, limited to six months at the B (sf) rating category. Morningstar DBRS expects interest shortfalls to continue beyond Morningstar DBRS' shortfall tolerance for Class D, warranting the credit rating downgrade. As of the December 2025 remittance, 52 loans remain in the pool with an outstanding balance of $467.0 million, representing a collateral reduction of 33.5% since issuance. A majority of the loans remaining in the pool have scheduled maturity dates within the first two quarters of 2026. With this review, Morningstar DBRS identified nine loans, representing 23.4% of the pool that exhibit elevated refinance risk given, generally as a result of poor performance and the current lending environment, indicating likely value deficiencies. In the event that borrowers are unable to refinance these loans or secure take-out financing, the loans may default and/or be transferred to special servicing, with additional interest being shorted further up the capital stack, supporting the credit rating downgrades and Negative trends on Classes B, C, and X-B. The largest loan in special servicing is secured by the Regent Portfolio, a portfolio of 13 buildings in New Jersey, New York, and Florida, consisting of traditional office, medical office, and warehouse spaces. The loan sponsor is also the primary owner of the portfolio's largest tenant, Sovereign Medical Services Inc. The loan transferred to special servicing in June 2019 and became real estate owned as of January 2023. Since the loan's transfer to special servicing, five of the underlying properties have been sold at prices that, on average, were 37% lower than the respective issuance appraised values. An updated appraisal dated March 2025 valued the remaining portfolio at $56.1 million, a 30.8% decline from the issuance appraised value for the remaining properties. Morningstar DBRS expects that the disposition timeline for the remaining properties may be extended and that proceeds are likely to fall short of the total loan exposure. In its analysis, Morningstar DBRS liquidated the loan based on a 25% haircut to the March 2025 appraisal in addition to outstanding advances and expected servicer expenses. The analysis resulted in a projected loss of nearly $30.0 million, or a loss severity above 50.0%. The second-largest loan in special servicing, Nolitan Hotel (Prospectus ID#8, 4.3% of the pool), is secured by a 57-room, full-service boutique hotel in New York City. The loan transferred to special servicing in December 2020 for payment default. After an unsuccessful proposal for reinstatement, the loan has a receiver in place, and the servicer is dual-tracking foreclosure with workout discussions ongoing. According to the servicer, the borrower has also requested a defeasance, which is currently being evaluated by the servicer. The most recent appraised value, dated December 2022, valued the subject at $36.8 million, which is slightly less than the issuance appraised value of $39.5 million. According to the most recent provided financials for YE2024, the hotel's performance has not stabilized to pre-pandemic levels, reporting a 1.11 times (x) debt service coverage ratio (DSCR) compared to 1.42x for the trailing 12 months period ended March 31, 2020. Despite this, the December 2022 appraised value suggests a low loan-to-value ratio (LTV) of 54.9%. While the loan remains delinquent and in special servicing, the low loan LTV and recent news of proposed defeasance may mitigate against potential loss. As such, Morningstar DBRS did not liquidate the loan and rather applied an elevated probability of default (POD) penalty resulting in an expected loss (EL) over three times the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C7: DBRS Finalizes B(low) Rating on CG-B Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C7 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2025-5C7 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X-D at A (high) (sf) -- Class D at A (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (sf) -- Class MBP-C at A (low) (sf) -- Class MBP-D at BBB (low) (sf) -- Class MBP-E at BB (low) (sf) -- Class MBP-F at B (low) (sf) -- Class CG-A at BB (low) (sf) -- Class CG-B at B (low) (sf) All trends are Stable. Morningstar DBRS discontinued and withdrew its rating on the Class MBP-X certificates initially contemplated in the offering documents, as they were removed from the transaction. 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. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS 2014-C23: DBRS Confirms C Rating on 6 Tranches ---------------------------------------------------- DBRS, Inc. downgraded the credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C23 issued by WFRBS Commercial Mortgage Trust 2014-C23 as follows: -- Class B to BBB (low) (sf) from BBB (high) (sf) -- Class C to B (sf) from BB (sf) -- Class PEX to B (sf) from BB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-A at AAA (sf) -- Class X-B at C (sf) -- Class X-C at C (sf) -- Class X-D at C (sf) Morningstar DBRS maintained the Negative trends on Classes A-S, B, C, X-A, and PEX. Classes D, E, F, X-B, X-C, and X-D have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' loss expectations for the transaction, which remain relatively unchanged since the prior review in December 2024. The largest projected loss is tied to the Bank of America Plaza loan (Prospectus ID#1; 43.0% of the current pool balance). As the pool continues to wind down, Morningstar DBRS considered liquidation scenarios for the remaining loans in the pool, applying haircuts to the most recent appraised values, resulting in aggregate projected losses totaling $108.7 million. Implied losses would erode the remaining balances of the unrated Class G, as well as Classes F, and E, and approximately 51.4% of the C (sf)-credit rated Class D balance. The Negative trends on Classes A-S, B, and C reflect the possibility of further value deterioration for the underlying collateral backing the remaining loans. In addition, interest shortfalls have increased to $1.4 million from $0.95 million at the time of last review. Morningstar DBRS notes it is possible that interest shortfalls could ultimately extend up the capital stack, particularly if additional value degradation is observed for the underlying loans' collateral, further warranting the Negative trends on Classes A-S, B, and C. As of the November 2025 remittance, the aggregate transaction balance of $271.4 million represents a collateral reduction of 71.1% since issuance. Five loans remain in the pool, three of which -- Bank of America, Columbus Square Portfolio (Prospectus ID#3; 24.8% of the current pool balance), and Slatten Ranch Shopping Center (Prospectus ID#9; 8.2% of the current pool balance) -- are in special servicing, making a combined total of 76.0% of the remaining pool. However, per the most recent servicer commentary, a full payoff of the Slatten Ranch Shopping Center loan is expected by the next remittance. Since last review, one loan, East Forest Plaza II (Prospectus ID#27; formerly 2.5% of the pool) repaid in full. The Bank of America Plaza loan is secured by a 1.4 million-square-foot (sf) Class A office complex in the central business district of Los Angeles. The trust loan represents a pari passu portion of the whole loan, with pieces in three additional deals rated by Morningstar DBRS: CGCMT 2014-GC25, GSMS 2014-GC26, and WFRBS 2014-C22. The loan was transferred to special servicing in July 2024 and the property was reappraised in December 2024 at a value of $212.5 million, an increase from the July 2024 appraised value of $188.9 million, but still below the issuance appraised value by 64.9%. The value decline is generally attributable to the deteriorating market conditions that have led to the decline in occupancy, with the servicer reporting the property as 66.7% occupied as of August 2025, down from 78.9% at YE2024 and 90.0% at issuance. The most recent cash flow, as of the trailing six-month period ended June 30, 2025, showed an annualized net cash flow (NCF) of $23.4 million, down 30.2% from YE2024 and the Issuer's NCF of $34.3 million. Given the low investor appetite for this property type in Los Angeles, as well as the deterioration in performance over the past year, Morningstar DBRS analyzed the loan with a liquidation scenario by applying a conservative 30.0% haircut to the most recent appraised value, resulting in an implied loss of $82.2 million and a loss severity of 70.0%. The second-largest specially serviced loan, Columbus Square Portfolio, is secured by five mixed-use (office and retail) properties totaling 494,000 sf in New York City. The loan was transferred to special servicing in September 2025 because of various defaults relating to the lockbox and loan payments that are 90 days delinquent as of November 2025. In March 2024, a loan modification was approved that extended the maturity date to August 2027. As of the March 2025 reporting, the property was 98.9% occupied, in line with the YE2024 figure of 97.3%. Scheduled rollover is minimal in the next 12 months as none of the five largest tenants, which account for more than 52.9% of the net rentable area, have lease expirations until 2029 or later. As of March 2025, the loan reported an annualized NCF of $26.5 million (a debt service coverage ratio of 1.16 times), which remains in line with the YE2024 and issuance figures of $27.1 and $26.4 million, respectively. Despite the loan's stable performance, Morningstar DBRS remains concerned about its delinquent status and the uncertain workout strategy. As such, a liquidation scenario was considered for this review, based on 35% haircut to the July 2014 issuance appraisal, resulting in an implied loss of $8.6 million and a loss severity of 13%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. WHETSTONE PARK: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1R and C-R debt from Whetstone Park CLO Ltd./Whetstone Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in December 2021. At the same time, S&P withdrew its ratings on the previous class A-1 and C debt following payment in full on the Dec. 23, 2025, refinancing date. S&P also affirmed its ratings on the class B-1, B-2, D, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Oct. 20, 2026. -- No additional assets were purchased on the Dec. 23, 2025, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-1R, $307.50 million: Three-month CME term SOFR + 1.07% -- Class A-2R, $12.50 million: Three-month CME term SOFR + 1.30% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.70% Previous debt -- Class A-1, $307.50 million: Three-month CME Term SOFR + 1.38% + CSA(i) -- Class A-2, $12.50 million: Three-month CME Term SOFR + 1.61% + CSA(i) -- Class C (deferrable), $30.00 million: Three-month CME Term SOFR + 2.16% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Whetstone Park CLO Ltd./Whetstone Park CLO LLC Class A-1R, $307.50 million: AAA (sf) Class C-R, $30.00 million: A (sf) Ratings Withdrawn Whetstone Park CLO Ltd./Whetstone Park CLO LLC Class A-1 to NR from 'AAA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Whetstone Park CLO Ltd./Whetstone Park CLO LLC Class B-1: AA (sf) Class B-2: AA (sf) Class D: BBB- (sf) Class E: BB- (sf) Other Debt Whetstone Park CLO Ltd./Whetstone Park CLO LLC Class A-2R, $12.50 million: NR Subordinated notes, $45.79 million: NR NR--Not rated. WHITNEY FUNDING: DBRS Hikes Class E Loan Rating to B(low) --------------------------------------------------------- DBRS, Inc. upgraded provisional credit ratings on the Class D Loans and Class E Loans and subsequently finalized the provisional credit ratings on the Class A Loan, the Class B Loan, the Class C Loan, the Class D Loan, and the Class E Loan (together, the Loans) issued by Whitney Funding, LLC, pursuant to the terms of the Second Amended and Restated Loan Agreement (the Loan Agreement) dated December 15, 2022, among Whitney Funding, LLC as Borrower; Delaware Life Insurance Company as a Lender and the Managing Lender; and Alter Domus (US) LLC as the Paying Agent and Calculation Agent: -- Class A Loan from (P) AA (low) (sf) to AA (low) (sf) -- Class B Loan from (P) A (low) (sf) to A (low) (sf) -- Class C Loan from (P) BBB (sf) to BBB (sf) -- Class D Loan: from (P) BB (low) (sf) to BB (sf) -- Class E Loan: from (P) B (low) (sf) to B (high) (sf) The credit rating on the Class A Loan addresses the timely payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034. The credit ratings on the Class B Loan, Class C Loan, Class D Loan, and Class E Loan address the ultimate payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034. Should a Distribution Event (as defined in the Loan Agreement) occur, the Designated Lender (as defined in the Loan Agreement) shall have the right at any time, upon written notice to the Borrower, the Paying Agent, and the Rating Agency, to instruct the Paying Agent to distribute the Borrower's assets to the Designated Lenders. In consideration therefore, the Aggregate Loan Balance of the Loans will be reduced to zero and all obligations of the Borrower (except those that expressly survive the termination of the Loan Agreement) shall be deemed satisfied. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press release at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' surveillance review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period Termination Date is three years following the DBRS Final Ratings Effective Date (as defined in the Loan Agreement). The Legal Final Maturity Date is December 18, 2034. Given sufficient diversification of collateral to date and analytical results, Morningstar DBRS upgraded and finalized its provisional credit ratings, as proposed above. Whitney Funding, LLC is a cash flow collateralized loan obligation (CLO) that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans and managed by Delaware Life Insurance Company as the Servicer. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable CLO manager. In its review, Morningstar DBRS applied the Level III surveillance approach, as described in the CLO Methodology, and incorporated the Trading Scenarios Approach, given that the transaction is still within its Reinvestment Period. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination. (3) The ability of the Tranche Amounts and the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (5) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of Delaware Life Insurance Co. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). The following metrics change depending on the row selection in the CQM: Morningstar DBRS Risk Score, Weighted-Average Spread (WAS), and Weighted-Average Recovery Rate (WARR), Weighted Average Life. Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below. Coverage Tests Class A Overcollateralization Ratio: Threshold 137.06%; Current 149.45% Class B Overcollateralization Ratio: Threshold 125.33%; Current 135.51% Class C Overcollateralization Ratio: Threshold 119.00%; Current 127.04% Class D Overcollateralization Ratio: Threshold 110.28%; Current 118.17% Class E Overcollateralization Ratio: Threshold 106.73%; Current 113.55% Collateral Quality Tests Minimum Weighted-Average Spread: Subject to the Collateral Quality Matrix (CQM): Current 5.24%; Threshold 5.25% Maximum Morningstar DBRS Risk Score Test: Current 26.64%; Threshold 31.00% Minimum Weighted-Average Coupon Test: Current N/A; Threshold 5.50% Maximum Weighted Average Life: Current 3.26; Threshold 4.50 As of the most recent trustee report on November 10, 2025, the transaction is failing the Minimum Weighted Average Spread (current 5.24% vs required 5.25%) which was accounted for in Morningstar DBRS' analysis of the transaction. There are no defaulted obligations in this portfolio as of the most recent trustee report. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix), and the majority may not have public ratings once purchased; (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which supported the above-mentioned credit rating actions on the Loans. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not credit ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Loans. Notes: All figures are in U.S. dollars unless otherwise noted. WOODMONT 2025-13: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Woodmont 2025-13 L.P./Woodmont 2025-13 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 MidCap Financial Services Capital Management LLC, which has a management agreement with Apollo Capital Management L.P., a subsidiary of Apollo Global Management Inc. 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 Woodmont 2025-13 L.P./Woodmont 2025-13 LLC Class A-1(i), $165.00 million: AAA (sf) Class A-1A loans(i), $75.00 million: AAA (sf) Class A-1B loans(i), $50.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $25.00 million: BB- (sf) Subordinated notes, $57.11 million: NR (i)No portion of the class A-1A and A-1B loans can be converted to class A-1 notes, and no portion of the class A-1 notes can be converted to class A-1B and A-1B loans. NR--Not rated. Z CAPITAL 2019-1: Moody's Cuts Rating on $25MM Class E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Z Capital Credit Partners CLO 2019-1 Ltd.: US$22,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on May 22, 2023 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $22,866,548) (the "Class E Notes"), Downgraded to B3 (sf); previously on July 23, 2019 Assigned Ba3 (sf) Z Capital Credit Partners CLO 2019-1 Ltd., originally issued in July 2019 and partially refinanced in September 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 July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class C-R notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2024. The Class A-1R notes have been paid down by approximately 87% or $44.5 million since that time. Based on the trustee's November 2025 report, the OC ratios for the Class A-1R/B-R and Class C-R notes are reported at 267.15% and 184.43%, respectively, versus November 2024 levels of 198.17% and 160.45%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's November 2025 report, the OC ratio for the Class E notes is reported at 108.82% versus a November 2024 level of 112.43%. No actions were taken on the Class A-1R, Class B-R, and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $128,520,524 Defaulted par: $13,239,258 Diversity Score: 34 Weighted Average Rating Factor (WARF): 4157 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.94% Weighted Average Recovery Rate (WARR): 44.15% Weighted Average Life (WAL): 3.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in 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. ZETA CHARTER SCHOOLS: S&P Lowers ICR to 'BB' On Increased Leverage ------------------------------------------------------------------ S&P Global Ratings lowered its issuer credit rating (ICR) on Zeta Charter Schools Inc., N.Y. (ZCS) and its long-term rating on the Build NYC Resource Corp.'s series 2025A and 2025B revenue bonds issued for ERE425 LLC (ERE425) as borrower, on behalf of its lessee, Zeta Charter Schools Inc., to 'BB' from 'BB+' and removed the rating from CreditWatch with negative implications, where it was placed on Oct. 24, 2025. At the same time, S&P Global Ratings assigned its 'BB' long-term rating to the Build NYC Resource Corp.'s approximately $176.2 million series 2026A and 2026B revenue bonds issued for 261 Walton Facility LLC as borrower, on behalf of its lessee, Zeta Charter Schools Inc. The outlook is stable. S&P said, "The lower rating reflects a material increase in leverage associated with the series 2026 transaction as well as additional financings expected in calendar year 2026, which we believe pressures ZCS' credit profile. We believe the organization's healthy demand profile, robust philanthropic support, good liquidity, and significant rental assistance received from the state supports the rating. "We have analyzed environmental, social, and governance factors and view them as neutral in our credit rating analysis. "The stable outlook reflects our opinion that ZCS will meet enrollment targets as it pursues expansion plans and that it will maintain at least sufficient lease-adjusted MADS coverage and liquidity consistent with the rating as the organization grows into its debt. The stable outlook also reflects our expectation that ZCS will undertake additional financings in calendar 2026 to support its ongoing expansion. "We could take a negative rating action if the school fails to meet enrollment targets, resulting in weakened margins and MADS coverage or a deterioration in its reserve position. We believe the organization has capacity for additional debt related to the Manhattan Middle and High School project, and we will continue to monitor timing of future projects as additional stress on ZCS debt profile could pressure the rating. While not expected, any risks regarding the organization's ability to refinance its bullet and balloon payments associated with the EFF loan and series 2026 bonds could result in a downgrade, potentially by several notches. "Although ZCS' elevated leverage and ongoing expansion plans make such an event unlikely in the near term, we could take a positive rating action over time if the school executes expansion plans such that it maintains coverage and liquidity in line with a higher rating and significantly moderates its debt burden, with limited plans for additional debt and facility lease commitments." [] DBRS Reviews 379 Classes From 20 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 379 classes from 20 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as agency credit-risk transfer, and prime jumbo transactions. Of the 379 classes reviewed, Morningstar DBRS upgraded its credit ratings on 184 classes, and confirmed its credit ratings on 195 classes. The Affected Ratings are available at https://tinyurl.com/4fk8mys3 The Issuers are: Fannie Mae Freddie Mac Sequoia Mortgage Trust 2024-1 Freddie Mac STACR REMIC Trust 2021-DNA2 Connecticut Avenue Securities, Series 2018-C04 Structured Agency Credit Risk Debt Notes, Series 2017-DNA2 Structured Agency Credit Risk Debt Notes, Series 2017-HQA3 Structured Agency Credit Risk Debt Notes, Series 2017-HRP1 Structured Agency Credit Risk Debt Notes, Series 2018-DNA2 Structured Agency Credit Risk Debt Notes, Series 2018-HQA1 Structured Agency Credit Risk Debt Notes, Series 2018-HQA2 Structured Agency Credit Risk Debt Notes, Series 2018-HRP2 Structured Agency Credit Risk Debt Notes, Series 2019-DNA3 Structured Agency Credit Risk Debt Notes, Series 2019-HRP1 Freddie Mac STACR Trust 2019-DNA1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns 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 (https://dbrs.morningstar.com/research/435291). Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Affirms Ratings on 12 Tranches of CIFC Funding ------------------------------------------------------- Fitch Ratings has affirmed all 12 tranches of CIFC Funding 2014-V, Ltd. (CIFC 2014-V) and CIFC Funding 2017-III, Ltd. (CIFC 2017-III). In addition, Fitch has revised the Rating Outlooks on the class E-R3 notes in CIFC 2014-V and the class E-R notes in CIFC 2017-III to Negative from Stable. The Outlooks remain Stable for all other rated tranches. RATING ACTIONS Rating Prior ------ ----- CIFC Funding 2017-III, Ltd. A-R 12548JAN2 LT AAAsf Affirmed AAAsf B-R 12548JAQ5 LT AAsf Affirmed AAsf C-R 12548JAS1 LT Asf Affirmed Asf D-1-R 12548JAU6 LT BBBsf Affirmed BBBsf D-2-R 12548JAW2 LT BBB-sf Affirmed BBB-sf E-R 12548KAE9 LT BB-sf Affirmed BB-sf CIFC Funding 2014-V, Ltd._2024 A-2R3 12550ABF2 LT AAAsf Affirmed AAAsf B-R3 12550ABH8 LT AAsf Affirmed AAsf C-R3 12550ABK1 LT Asf Affirmed Asf D-1R3 12550ABM7 LT BBB-sf Affirmed BBB-sf D-2R3 12550ABP0 LT BBB-sf Affirmed BBB-sf E-R3 12550BAQ7 LT BB-sf Affirmed BB-sf Transaction Summary CIFC 2014-V and CIFC 2017-III are broadly syndicated collateralized loan obligations (CLOs) managed by CIFC Asset Management LLC and its affiliate CIFC CLO Management LLC, respectively. CIFC 2014-V originally closed in December 2014 and was last reset in July 2024, while CIFC 2017-III closed in July 2017 and was last reset in April 2024. Both CLOs will exit their reinvestment periods in 2029 and are secured primarily by first lien senior secured leveraged loans. KEY RATING DRIVERS Cumulative Par Losses, Declining Spread and Recovery The Negative Outlooks are driven by cumulative portfolio par losses of 1.5% and 1.8% for CIFC 2014-V and CIFC 2017-III, respectively, based on the collateral balance adjusted for trustee-reported recoveries on defaulted assets in November 2025. Portfolio losses stemmed from defaults and credit risk sales, reducing credit enhancement (CE) and eroding breakeven default rate (BEDR) cushions for the rated notes. The weighted average spread (WAS) for CIFC 2014-V also declined, further pressuring BEDR cushions. Based on the latest November reports, portfolio WAS declined to 3.21% from 3.71% at the reset, and to 3.23% from 3.75% for CIFC 2017-III. In addition, the portfolio weighted average recovery rate (WARR) values are below their respective minimum WARR thresholds, which must be maintained or improved for further reinvestment. For CIFC 2014-V, the portfolio WARR declined to 72.2% from 74.1% at reset compared to the current WARR covenant of 75.1%. For CIFC 2017-III, the WARR declined to 72.70% from 74.0% compared to the current minimum covenant of 75.4%. Cash Flow Analysis Fitch updated its cash flow analysis of the current portfolios and ran updated Fitch Stressed Portfolio analysis, given the manager's ability to reinvest. The affirmations are in line with their model-implied ratings (MIRs), except for the CIFC 2014-V class E-R3 notes and the CIFC 2017-III class E-R notes, whose ratings are one notch above their MIRs. The failures for these two notes were modest and limited to a single scenario for the CIFC 2017-III class E-R notes and to two out of nine scenarios for the CIFC 2014-V class E-R3 notes. The Stable Outlooks of all other rated tranches reflect Fitch's expectation that the notes have sufficient credit protection to withstand potential deterioration in the credit quality of the portfolios under stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three notches for CIFC 2014-V, more than three notches for the class E-R3 notes' of CIFC 2014-V, and up to four notches for CIFC 2017-III, Ltd. based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to four notches for both CIFC 2014-V and CIFC 2017-III, based on MIRs. [] Moody's Takes Rating Action on 12 Bonds from 4 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of ten bonds and downgraded the ratings of two bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, subprime and prime jumbo mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4 Cl. D-B-2, Upgraded to Ca (sf); previously on Jun 30, 2017 Downgraded to C (sf) Cl. IV-A-1, Upgraded to A3 (sf); previously on Jul 25, 2013 Downgraded to Baa1 (sf) Cl. V-A-2, Upgraded to A3 (sf); previously on Jul 25, 2013 Downgraded to Baa1 (sf) Issuer: GreenPoint Mortgage Funding Trust 2006-AR6 Cl. 1-A3A, Upgraded to Caa3 (sf); previously on Dec 9, 2010 Confirmed at Ca (sf) Cl. 1-A4, Upgraded to Caa3 (sf); previously on Oct 9, 2009 Downgraded to C (sf) Cl. 2-A1, Upgraded to Baa3 (sf); previously on May 22, 2019 Upgraded to Ba3 (sf) Cl. 2-A2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: Saxon Asset Securities Trust 2006-1 Cl. M-1, Downgraded to Caa1 (sf); previously on Jul 18, 2016 Upgraded to B1 (sf) Cl. M-2, Downgraded to Caa2 (sf); previously on Dec 19, 2019 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Jul 16, 2010 Downgraded to C (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-5 Cl. 1-A1, Upgraded to Baa2 (sf); previously on Aug 21, 2018 Upgraded to B2 (sf) Cl. 1-A2, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade of Class M-1 and Class M-2 issued by Saxon Asset Securities Trust 2006-1 is due to outstanding credit interest shortfalls on the bonds that are not expected to be recouped. These bonds have weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. The bond coupons are capped by the available funds rate, which is limited by monthly interest collected. Typically, interest shortfalls resulted from available funds cap will only be reimbursed from excess interest after overcollateralization builds to its target amount and/or realized loss and/or credit interest shortfall on the bonds are reimbursed. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.10x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 20 Bonds From 6 US RMBS Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 20 bonds from six US residential mortgage-backed transactions (RMBS), backed by prime jumbo mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-PJ4 Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 2, 2024 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 2, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 2, 2024 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ5 Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 2, 2024 Upgraded to Aa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 2, 2024 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ6 Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 2, 2024 Upgraded to Aa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-MM1 Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 24, 2025 Upgraded to Baa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ5 Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 14, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Mar 14, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Mar 14, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Mar 14, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Mar 14, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Mar 14, 2025 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ6 Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 24, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Mar 24, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Mar 24, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 24, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Mar 24, 2025 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Mar 24, 2025 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 24, 2025 Upgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions Moody's reviewed continue to display strong collateral performance, with low cumulative losses and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, 1.4x for the non-exchangeable tranche upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Rating Action on 35 Bonds From 13 US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 34 bonds and downgraded the rating of one bond from 13 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2004-15 Cl. MF-5, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Cl. MV-6, Upgraded to Caa1 (sf); previously on Dec 20, 2018 Upgraded to Caa2 (sf) Cl. MV-7, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-3 Cl. MV-7, Downgraded to Caa1 (sf); previously on May 31, 2018 Upgraded to B2 (sf) Cl. MV-8, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-4 Cl. MF-3, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Cl. MV-7, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5 Cl. M-6, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-11 Cl. 1-AF-4, Upgraded to Caa3 (sf); previously on Apr 16, 2010 Downgraded to C (sf) Cl. 1-AF-5, Upgraded to Caa3 (sf); previously on Apr 16, 2010 Downgraded to C (sf) Cl. 1-AF-6, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. 3-AV-3, Upgraded to Aa1 (sf); previously on May 28, 2024 Upgraded to A2 (sf) Cl. MV-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-13 Cl. 1-AF-4, Upgraded to Caa3 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. 1-AF-5, Upgraded to Caa3 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. 1-AF-6, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. 3-AV-3, Upgraded to Aaa (sf); previously on Nov 23, 2022 Upgraded to Aa3 (sf) Cl. MV-1, Upgraded to Caa1 (sf); previously on May 28, 2021 Confirmed at Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-15 Cl. A-4, Upgraded to Caa2 (sf); previously on Nov 22, 2016 Confirmed at Ca (sf) Cl. A-5B, Underlying Rating: Upgraded to Caa2 (sf); previously on Nov 22, 2016 Confirmed at Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. A-6, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Confirmed at Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-3 Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Oct 17, 2016 Confirmed at Ca (sf) Cl. 2-A-4, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-4 Cl. A-3, Upgraded to Caa2 (sf); previously on Nov 22, 2016 Confirmed at Ca (sf) Cl. A-4W, Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 22, 2016 Confirmed at Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. A-5W, Underlying Rating: Upgraded to Caa2 (sf); previously on Nov 22, 2016 Confirmed at Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. A-6, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Confirmed at Caa3 (sf) Cl. A-6W, Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 22, 2016 Confirmed at Caa3 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Issuer: CWABS Asset-Backed Certificates Trust 2007-7 Cl. A-1, Upgraded to Aaa (sf); previously on Sep 10, 2024 Upgraded to Aa3 (sf) Cl. 2-A-3, Upgraded to Aaa (sf); previously on Sep 10, 2024 Upgraded to Aa3 (sf) Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Upgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-9 Cl. 1A, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Upgraded to Caa3 (sf) Cl. 2A4, Upgraded to Aa1 (sf); previously on Nov 15, 2024 Upgraded to A1 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-9 Cl. MF-3, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5 Cl. B, Upgraded to Caa3 (sf); previously on Oct 19, 2016 Reinstated 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. 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 MV-7 issued by CWABS Asset-Backed Certificates Trust 2005-3 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. No action was 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 22 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 22 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RAMP Series 2004-RS10 Trust Cl. M-I-1, Upgraded to Aaa (sf); previously on Mar 26, 2024 Upgraded to Aa2 (sf) Cl. M-I-2, Upgraded to Ca (sf); previously on Mar 30, 2011 Downgraded to C (sf) Cl. M-II-2, Upgraded to Caa1 (sf); previously on Mar 26, 2024 Downgraded to Caa3 (sf) Cl. M-II-3, Upgraded to Ca (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: RAMP Series 2004-RS12 Trust Cl. M-I-2, Upgraded to Ca (sf); previously on Mar 30, 2011 Downgraded to C (sf) Cl. M-II-5, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: RAMP Series 2005-EFC2 Trust Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 28, 2017 Upgraded to Ca (sf) Issuer: RAMP Series 2006-EFC2 Trust Cl. M-1S, Upgraded to A1 (sf); previously on May 14, 2024 Upgraded to Baa2 (sf) Cl. M-2S, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RAMP Series 2006-NC1 Trust Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 27, 2018 Upgraded to Ca (sf) Issuer: RAMP Series 2006-RS4 Trust Cl. M-1, Upgraded to Aa3 (sf); previously on May 14, 2024 Upgraded to Baa1 (sf) Issuer: RAMP Series 2006-RZ2 Trust Cl. M-1, Upgraded to Aa1 (sf); previously on May 14, 2024 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 30, 2009 Downgraded to C (sf) Issuer: RAMP Series 2006-RZ4 Trust Cl. M-1, Upgraded to A1 (sf); previously on May 14, 2024 Upgraded to A3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 30, 2009 Downgraded to C (sf) Issuer: RASC Series 2005-AHL1 Trust Cl. M-2, Upgraded to A1 (sf); previously on Oct 21, 2024 Upgraded to A2 (sf) Issuer: RASC Series 2005-AHL3 Trust Cl. M-1, Upgraded to Aa3 (sf); previously on Nov 26, 2024 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RASC Series 2005-EMX2 Trust Cl. M-6, Upgraded to Aaa (sf); previously on Nov 5, 2024 Upgraded to Aa1 (sf) Cl. M-7, Upgraded to B1 (sf); previously on Nov 5, 2024 Upgraded to B2 (sf) Cl. M-8, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RASC Series 2006-EMX2 Trust Cl. M-1, Upgraded to Aa1 (sf); previously on Oct 16, 2024 Upgraded to A1 (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, recent 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). recent expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.09x for these bonds. In addition, recent 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 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 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 recent 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 recent 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 27 Bonds From 16 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 27 bonds from 16 US residential mortgage-backed transactions (RMBS), backed by prime jumbo and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RASC Series 2006-KS3 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Jun 29, 2023 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 27, 2018 Upgraded to Caa3 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2 Cl. A-3, Upgraded to Aaa (sf); previously on Sep 2, 2021 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-2 Cl. M-4, Upgraded to Ca (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-EQ1 Cl. A-4, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to A1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-OPT2 Cl. A-4, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-OPT4 Cl. M-1, Upgraded to Ca (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2006-OPT5 Cl. I-A-1, Upgraded to Aaa (sf); previously on Oct 31, 2024 Upgraded to A1 (sf) Cl. II-A-4, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Upgraded to A3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jun 17, 2010 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2005-4 Cl. M5, Upgraded to Caa1 (sf); previously on May 5, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2005-7 Cl. M2, Upgraded to Aaa (sf); previously on Oct 30, 2024 Upgraded to Aa1 (sf) Cl. M3, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-AM1 Cl. M1, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF2 Cl. M2, Upgraded to A1 (sf); previously on Oct 11, 2024 Upgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp., Mortgage Pass-Through Certificates, Series 2007-WF2 Cl. M-1, Upgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corporation Series 2005-AR1 Cl. M2, Upgraded to Aa1 (sf); previously on Sep 10, 2024 Upgraded to A1 (sf) Cl. M3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Terwin Mortgage Trust 2006-5 Cl. I-A-2c, Upgraded to Aaa (sf); previously on Mar 19, 2024 Upgraded to Aa2 (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Apr 13, 2018 Upgraded to Ca (sf) Cl. I-M-1, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to C (sf) Issuer: Terwin Mortgage Trust 2006-7 Cl. I-A-2c, Upgraded to A1 (sf); previously on Sep 10, 2024 Upgraded to Baa1 (sf) Cl. II-A-3, Upgraded to Ca (sf); previously on Oct 15, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust Cl. B-2, Upgraded to Caa1 (sf); previously on Apr 20, 2011 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.09x for these bonds. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 46 Bonds from 18 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 46 bonds from 18 US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Asset Backed Funding Corporation Asset-Backed Certificates, Series 2006-OPT1 Cl. A-3D, Upgraded to Aaa (sf); previously on Dec 13, 2022 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Dec 28, 2017 Upgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB8 Cl. AF-4, Upgraded to Aaa (sf); previously on Oct 1, 2021 Upgraded to Aa2 (sf) Cl. AF-5, Upgraded to Aaa (sf); previously on Oct 1, 2021 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 3, 2019 Upgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AHL1 Cl. A-2C, Upgraded to Aaa (sf); previously on May 6, 2022 Upgraded to Aa3 (sf) Issuer: CSFB Home Equity Asset Trust 2006-4 Cl. 2-A-4, Upgraded to Aaa (sf); previously on Mar 7, 2023 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2006-5 Cl. 1-A-1, Upgraded to Aa2 (sf); previously on Nov 14, 2024 Upgraded to A1 (sf) Cl. 2-A-4, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-13 Cl. AF-4, Upgraded to Caa1 (sf); previously on May 28, 2021 Confirmed at Caa2 (sf) Cl. AF-5, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 28, 2021 Confirmed at Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa3, Outlook Stable on October 09, 2025) Cl. AF-6, Upgraded to Caa1 (sf); previously on Oct 26, 2016 Confirmed at Caa2 (sf) Cl. MV-2, Upgraded to B1 (sf); previously on May 28, 2021 Confirmed at B3 (sf) Cl. MV-3, Upgraded to Caa1 (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: GSAMP Trust 2005-WMC3 Cl. A-2C, Upgraded to Aaa (sf); previously on May 6, 2022 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: Impac CMB Trust Series 2005-8 Cl. 1-A, Upgraded to Ba2 (sf); previously on Mar 5, 2024 Downgraded to B1 (sf) Cl. 1-M-1, Upgraded to Caa1 (sf); previously on Feb 5, 2018 Upgraded to Caa2 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-D Cl. 1A, Upgraded to Baa1 (sf); previously on May 19, 2022 Upgraded to B1 (sf) Cl. 2A-3, Upgraded to Caa1 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Cl. 2A-4, Upgraded to Caa3 (sf); previously on Sep 15, 2010 Downgraded to Ca (sf) Issuer: J.P. Morgan Alternative Loan Trust 2007-S1 Cl. A-2, Upgraded to Aa2 (sf); previously on Nov 5, 2024 Upgraded to A1 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jan 29, 2009 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-HE1 Cl. AF-2, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. AF-3, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. AF-4, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. AF-5, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. AF-6, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. AV-4, Upgraded to Aa1 (sf); previously on Nov 18, 2024 Upgraded to A1 (sf) Cl. MV-1, Upgraded to Ca (sf); previously on Oct 30, 2008 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2006-AM3 Cl. A-4, Upgraded to A3 (sf); previously on Oct 21, 2024 Upgraded to Ba1 (sf) Issuer: MASTR Asset Backed Securities Trust 2007-HE1 Cl. A-3, Upgraded to Baa2 (sf); previously on Oct 21, 2024 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Ba2 (sf); previously on Oct 21, 2024 Upgraded to B1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8 Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 1, 2010 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC3 Cl. A-2d, Upgraded to Aaa (sf); previously on Feb 17, 2023 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Renaissance Home Equity Loan Trust 2005-1 Cl. AV-3, Upgraded to A3 (sf); previously on Dec 19, 2019 Upgraded to Baa2 (sf) Cl. AF-5, Upgraded to Baa1 (sf); previously on May 6, 2022 Upgraded to Ba1 (sf) Cl. AF-6, Upgraded to A3 (sf); previously on May 6, 2022 Upgraded to Baa3 (sf) Issuer: Renaissance Home Equity Loan Trust 2005-4 Cl. A-4, Upgraded to Aaa (sf); previously on Oct 21, 2024 Upgraded to A1 (sf) Issuer: Saxon Asset Securities Trust 2007-3 Cl. 1-M1, Upgraded to Caa3 (sf); previously on Mar 13, 2009 Downgraded to C (sf) Cl. 2-A3, Upgraded to Aa1 (sf); previously on Nov 15, 2024 Upgraded to A1 (sf) Cl. 2-A4, Upgraded to Aa2 (sf); previously on Nov 15, 2024 Upgraded to A2 (sf) Cl. 2-M1, Upgraded to Caa3 (sf); previously on Mar 13, 2009 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. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.05x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 7 Bonds From 5 US MILN Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds from five US mortgage insurance-linked note (MILN) transactions. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Oaktown Re VI Ltd. Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 27, 2025 Upgraded to A3 (sf) Cl. M-1C, Upgraded to Aaa (sf); previously on Mar 27, 2025 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Mar 27, 2025 Upgraded to A1 (sf) Issuer: Oaktown Re VII Ltd. Cl. M-1B, Upgraded to Aa1 (sf); previously on Mar 27, 2025 Upgraded to A2 (sf) Issuer: Radnor Re 2021-1 Ltd. Cl. M-2, Upgraded to Aaa (sf); previously on Mar 27, 2025 Upgraded to Aa2 (sf) Issuer: Radnor Re 2021-2 Ltd. Cl. M-1B, Upgraded to Aa1 (sf); previously on Mar 27, 2025 Upgraded to A1 (sf) Issuer: Radnor Re 2022-1 Ltd. Cl. M-1B, Upgraded to Baa3 (sf); previously on Mar 27, 2025 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .15% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 2x for the tranches upgraded. 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. 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. [] S&P Discontinues Ratings on 15 Classes From 4 U.S. CMBS Deals ---------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 15 classes of commercial mortgage pass-through certificates from four U.S. CMBS transactions: GS Mortgage Securities Corp. Trust 2013-PEMB, MSBAM Commercial Mortgage Securities Trust 2012-CKSV, Morgan Stanley Capital I Trust 2013-ALTM, and PKHL Commercial Mortgage Trust 2021-MF. S&P said, "The discontinuances reflect our surveillance and withdrawal policies. Earlier this year, we lowered our ratings on these classes to 'D (sf)' due to accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. In addition, we believed an upgrade to a rating higher than 'D (sf)' was unlikely for these classes." Ratings Discontinued GS Mortgage Securities Corp. Trust 2013-PEMB Class A to NR from 'D (sf)' Class B to NR from 'D (sf)' Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' Class E to NR from 'D (sf)' MSBAM Commercial Mortgage Securities Trust 2012-CKSV Class B to NR from 'D (sf)' Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' Class X-B NR from 'D (sf)' Morgan Stanley Capital I Trust 2013-ALTM Class E to NR from 'D (sf)' PKHL Commercial Mortgage Trust 2021-MF Class A to NR from 'D (sf)' Class B to NR from 'D (sf)' Class C to NR from 'D (sf)' Class D to NR from 'D (sf)' Class X-NCP to NR from 'D (sf)' NR--Not rated. [] S&P Takes Various Actions on 121 Classes from 15 US RMBS Deal ---------------------------------------------------------------- S&P Global Ratings completed its review of 121 classes from 15 U.S. RMBS non-qualified mortgage (non-QM) transactions issued between 2019 and 2024. The review yielded 25 upgrades, 95 affirmations, and one downgrade. Analytical Considerations S&P said, "For each transaction, we performed a credit analysis for each mortgage pool using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied during previous performance review. Our geographic concentration adjustment factors were based on the transactions' current pool compositions. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." These considerations may include: -- Collateral performance or delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; -- Interest shortfalls; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect deleveraging. The rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, and the degree of credit enhancement relative to delinquencies. S&P said, "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "The downgrade on the class B5 certificates issued by Galton Funding Mortgage Trust 2019-1 reflects our analysis of the transaction's interest shortfalls on the affected class. The downgrade also reflects our application of "S&P Global Ratings Definitions," published Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In this instance where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions. Since experiencing interest shortfalls in September 2024, all classes senior to class B5 have had their interest shortfalls fully reimbursed. Because the class B5 interest shortfall remains unreimbursed, we lowered our rating on the class to 'D (sf)'. "We will continue to monitor our ratings on the securities and take rating actions as we consider appropriate." A list of Affected Ratings can be viewed at: https://tinyurl.com/mrxfmx6f ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***