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260104.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, January 4, 2026, Vol. 30, No. 4 Headlines 1121 AVENUE 2015-1211: Fitch Affirms 'BB' Rating on Class E Certs ACRE COMMERCIAL 2021-FL4: DBRS Confirms BB(low) Rating on F Notes ANCHORAGE CAPITAL 34: Fitch Gives BB(EXP) Rating on Class E Debt APIDOS CLO XXXIV: Fitch Affirms BB+sf Rating on E-R2 Notes AQUEDUCT EUROPEAN 15: Fitch Rates Class F-R-R Debt 'B-sf' AREIT 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes ARES LXXVIII: Fitch Rates Class E Debt 'BB-sf' BALBOA BAY 2025-2: Fitch Gives BB+(EXP) Rating on Class E Notes BANK OF AMERICA 2015-UBS7: Fitch Affirms CCsf Rating on 2 Tranches BANK5 2025-5YR19: DBRS Finalizes B(high) Rating on Class G Certs BARINGS CLO 2025-VII: Fitch Rates Class F Notes 'Bsf' BAYSWATER PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes BAYVIEW FINANCIAL 2004-C: Moody's Cuts Rating on B Certs to Caa1 BENCHMARK 2020-IG1: Fitch Cuts Rating on Class C Certs to Bsf BENCHMARK 2020-IG2: DBRS Lowers Rating on Class D Certs to Csf BENCHMARK 2020-IG3: DBRS Lowers Rating on Class D Certs to BB(low) BX COMMERCIAL 2024-MF: DBRS Confirms B Rating on Class HRR Certs CEDAR FUNDING XV: S&P Assigns Prelim B+ (sf) Rating on F-R Notes CHASE HOME 2025-13: DBRS Finalizes B(low) Rating on Class B5 Certs CHESTNUT NOTES: DBRS Confirms BB Rating on Class C Notes CIFC FUNDING 2025-VIII: Fitch Rates Class E Debt 'BB-sf' CITIGROUP COMMERCIAL 2015-GC33: Fitch Cuts Ratings on 6 Tranches DIAMETER CAPITAL 13: S&P Assigns BB- (sf) Rating on Class E Notes EFMT 2025-NQM6: Fitch Rates Class B2 Certs 'Bsf' ELEMENT NOTES: DBRS Confirms BB Rating on Class C Notes GEMINI NOTES: DBRS Confirms BB Rating on Class C Notes GS MORTGAGE 2025-PJ11: Moody's Assigns B3 Rating to Cl. B-5 Certs ILPT COMMERCIAL 2022-LPFX: DBRS Confirms BB(high) on HRR Certs JORDAN NOTES: DBRS Confirms BB Rating on Class C Notes JP MORGAN 2025-11: DBRS Finalizes B(low) Rating on Class B5 Certs JP MORGAN 2025-12MPR: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs JP MORGAN 2025-12MPR: Moody's Assigns Ba2 Rating to Cl. B-2 Certs JP MORGAN 2025-CES7: S&P Assigns B-(sf) Rating on Cl. B-2 Notes JP MORGAN 2025-LTV3: Fitch Gives B-(EXP) Rating to Class B2 Certs JP MORGAN 2025-NQM5: DBRS Finalizes B(low) Rating on B2 Certs JP MORGAN 2025-PHNY: DBRS Finalizes B(low) Rating on Class F Certs JUBILEE CLO 2025-XXXII: Fitch Rates Class F Notes 'B-sf' KAWARTHA CAD 2024-1: DBRS Finalizes BB(high) Rating on E Tranche KENNEDY LEWIS 3: S&P Assigns 'BB- (sf)' Rating on Class E-R3 Notes KKR CLO 24: Moody's Affirms Ba3 Rating on $23MM Class E Notes KKR CLO 38: Fitch Rates Class E-R Debt 'BBsf' KKR CLO 59: Fitch Rates Class E Debt 'BB-sf' MADISON PARK XLVIII: Fitch Rates Class E-R Debt 'Bsf' MAGNETITE LTD XXXV: Moody's Gives B3 Rating to $250,000 F-RR Notes MIDOCEAN CREDIT: Fitch Rates Class E Notes 'BB-sf' MORGAN STANLEY 2025-NQM10: DBRS Finalizes B Rating on B2 Certs MORGAN STANLEY 2025-NQM10: S&P Assigns B (sf) Rating on B-2 Certs MTN COMMERCIAL 2022-LPFL: DBRS Confirms BB(low) Rating on E Certs NEW RESIDENTIAL 2025-NQM7: Fitch Rates Class B2 Notes 'B-sf' NORTHWOODS CAPITAL XV: Fitch Rates Class ER3 Debt 'BB-sf' OHA CREDIT 24: Fitch Rate Class E Notes 'BB-sf' PARK BLUE 2025-X: Moody's Assigns B3 Rating to $250,000 F Notes PMT LOAN 2025-CNF2: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2025-J5: DBRS Finalizes B(low) Rating on B5 Notes PMT LOAN 2025-J5: Moody's Assigns B3 Rating to Cl. B-5 Certs PRMI SECURITIZATION 2025-CMG1: DBRS Finalizes B Rating on B2 Notes PRMI SECURITIZATION 2025-CMG1: Fitch Gives B+sf Rating on B2 Notes PRPM 2025-NQM6: DBRS Finalizes B(high) Rating on 2 Cert. Classes PRPM 2025-NQM6: Fitch Rates Class B2 Certificates 'Bsf' RAD CLO 31: Fitch Rates Class D Debt 'BB-sf' RIPPLE NOTES: DBRS Confirms BB Rating on Class C Notes ROCKFORD TOWER 2019-2: Moody's Cuts Rating on $9MM F Notes to Caa2 SCULPTOR EUROPEAN XI: Fitch Assigns B-sf Rating on Class F-R Notes SEQUOIA MORTGAGE 2025-13: Fitch Gives Bsf Rating on Class B5 Certs SHACKLETON 2017-XI CLO: Moody's Cuts $22.5MM E Notes Rating to B3 SILVER POINT 14: Fitch Assigns BB+sf Rating on Class E Notes SIXTH STREET 31: Fitch Rates Class E Notes 'BB-sf' TCI-FLATIRON CLO 2018-1: Fitch Affirms BB-sf Rating on E-R2 Notes TIDAL NOTES: DBRS Confirms BB Rating on Class C Notes TIKEHAU CLO III: Fitch Rates Class F-R Notes 'B-sf' TRINITAS CLO XXXVII: Fitch Rates Class E Certs 'BB+sf' WELLS FARGO 2014-LC16: DBRS Confirms C Rating on Class C Certs WELLS FARGO 2025-5C7: Fitch Rates Class F-RR Certs 'B-sf' [] Fitch Takes Action on 2,060 Classes From 300 US RMBS Deals ********* 1121 AVENUE 2015-1211: Fitch Affirms 'BB' Rating on Class E Certs ----------------------------------------------------------------- Fitch Ratings has affirmed eight classes of 1211 Avenue of the Americas Trust 2015-1211 commercial mortgage pass-through certificates. The Rating Outlooks for classes B, C, D, E and X-B have been revised to Stable from Negative. RATINGS ACTION Rating Prior ------ ----- 1211 Avenue of the Americas Trust 2015-1211 A-1A1 90117PAA3 LT AAAsf Affirmed AAAsf A-1A2 90117PAC9 LT AAAsf Affirmed AAAsf B 90117PAJ4 LT AA-sf Affirmed AA-sf C 90117PAL9 LT A-sf Affirmed A-sf D 90117PAN5 LT BBB-sf Affirmed BBB-sf E 90117PAQ8 LT BBsf Affirmed BBsf X-A 90117PAE5 LT AAAsf Affirmed AAAsf X-B 90117PAG0 LT AA-sf Affirmed AA-sf TRANSACTION SUMMARY The certificates represent the beneficial interests in the mortgage loan securing the borrower's fee simple interest in a 45-story office building totaling approximately 2 million sf of office and retail space, located at 1211 Avenue of the Americas in New York, NY. The 10-year, fixed-rate, interest-only loan matures in August 2028. KEY RATING DRIVERS Overall Stable Performance; Maturity Extension: The affirmations reflect overall stable performance from issuance. The Outlook revisions to Stable from Negative reflect the reduced likelihood of downgrades in the next 12-24 months given the borrower's demonstrated commitment to the property and a recently executed loan modification that includes equity contributions and extends the maturity date through August 2028. The terms of the modification also include an upfront borrower deposit of $100 million into a leasing and capital reserve, followed by two additional reserve deposits totaling $105 million — the first of which is due by February 2027 and the other by February 2028. The Stable Outlooks also reflect Fitch's expectation that the asset's performance is expected to remain stable throughout the remaining modified loan term. The most recent servicer-reported net cash flow (NCF) DSCR was 2.48x as of September 2025 compared to 2.11x as of September 2024, 2.19x at YE 2023, and 2.34x at YE 2022. Occupancy has declined but remains in line with the submarket. The servicer-reported occupancy was 85% as of September 2025, down from 91.5% at September 2024, 96% at YE 2023 and 94.7% at YE 2022. The decline in occupancy is partly attributable to Fox Corporation (Fox) reducing its footprint following its lease extension. Per the September 2025 rent roll, Fox occupies approximately 34% of NRA, down from 38% at the prior rating action, but has an expansion option to lease an additional floor (roughly 2% of the NRA) in the future. In early 2023, it was announced that tenants Fox and News Corporation (24% of the NRA) both renewed for 20 years through 2042 at rental rates that are in line with the submarket. Fitch's updated NCF of $86.1 million is up 2% from the prior rating action and reflects leases in place per the September 2025 rent roll. Despite the positive news regarding the Fox and News Corporation renewals, Fitch assumed a lower expense reimbursement ratio of approximately 28% compared to historical levels of approximately 40% given a base year reset for the tenants in 2026. The Fitch issuance NCF was $95.5 million. Above-Average Property Quality in Strong Location: 1211 Avenue of the Americas consists of a 45-story, class A office building located in Midtown Manhattan. The property is adjacent to Rockefeller Center and near subway lines and major transportation hubs. Media reports indicated that the borrower is planning a $300 million capital improvement project that includes renovating the existing lobby, adding an additional lobby along 47th Street, adding amenity and conference space and upgrading the outdoor plazas. According to CoStar, the New York office market continues to be one of the top performing markets in the country with new leasing activity set to outpace 2019 totals. For the Times Square submarket, availability is 15.5% as of 3Q 2025 and has been trending downward since 2021. Submarket asking rents of $83/sf (in line with the current in-place rents) are the second highest in the New York metro area, behind only the Plaza District. High-Quality Tenancy: The top five tenants account for approximately 86.5% of the NRA and include Fox (34% of NRA; rated A-; lease expiry in 2042), News Corporation (24% of NRA; rated BBB-; lease expiry in 2042), Ropes & Gray (17% of NRA; lease expiry in September 2028 ), RBC (3.2% of NRA; rated AA-; lease expiry in December 2026) and Nordea (2.2% of NRA; rated AA-; lease expiry in April 2031). Tenants with investment-grade credit ratings account for approximately 62% of the NRA. Upcoming Tenant Expiration; Departure Expected: Media reports indicate that Ropes & Gray has signed a new lease at 1285 Avenue of the Americas and is expected to vacate upon its lease expiration; according to servicer updates, the tenant executed a short term, 18-month lease extension with a new lease expiry in August 2028. Other upcoming rollover includes Wells Fargo (1.7% of NRA; October 2026) and RBC Capital Markets (3.3% of NRA; December 2026). Fitch Leverage: The $1.035 billion mortgage loan ($507 psf) has a Fitch DSCR and loan-to-value (LTV) of 0.95x and 93.2%, respectively, compared to 1.12x and 78.6%, respectively, at issuance. In its analysis, Fitch incorporated a stressed cap rate to 7.75%, consistent with the prior rating action and comparable properties in the submarket, and higher than the 7.25% cap rate at issuance. Given the reduction in Fitch NCF and increase in cap rate, Fitch's value is 15.6% lower than issuance and 45.8% lower than the issuance appraisal. Sponsorship/New Equity Partner: At issuance, the loan sponsor was Ivanhoé Cambridge Inc. According to media reports in January 2025, RXR Realty has acquired a 49% interest in the building with Ivanhoe Cambridge Inc. retaining a 51% stake. Single Asset Office: The transaction is secured by a single office property and is, therefore, more susceptible to single-event risks related to the secular shifts in market demand for office space, sponsor, or the largest tenants occupying the property. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible if the borrower fails to manage upcoming rollover, resulting in a sustained, material occupancy decline and NCF falling below Fitch's sustainable performance expectations. In addition, Outlooks may revert to Negative without viable prospects for repayment as the loan approaches its extended August 2028 maturity, or if the borrower fails to abide by the terms of the modification. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B through E are possible with stable to improved occupancy and increases in Fitch's sustainable NCF and property value, but are not likely prior to the extended maturity. Fitch rates classes A-1A1 and A-1A2 at 'AAAsf'; therefore, upgrades are not possible. ACRE COMMERCIAL 2021-FL4: DBRS Confirms BB(low) Rating on F Notes ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by ACRE Commercial Mortgage 2021-FL4 Ltd. (the Issuer) as follows: -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at CCC (sf) Morningstar DBRS changed the trend on Class C to Positive from Stable and on Class E to Stable from Negative. The trend on Class F remains Negative while the trend on Class D remains Stable. Class G has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' ultimate recoverability expectations for the pool, as well as concerns around ongoing interest shortfalls. There has been a collateral reduction of 65.9% since closing, with a 4.2% collateral reduction realized since Morningstar DBRS' previous credit ratings action in January 2025. The Positive trend on Class C reflects Morningstar DBRS' expectation that the class will repay in full based on the recoverability expectations for the remaining collateral in the pool. Class G has not received full interest due since the June 2024 remittance. Morningstar DBRS' tolerance for unpaid interest is limited to six consecutive remittance periods at the B (sf) credit rating category. The Negative trend on Class F continues to reflect Morningstar DBRS' concern around the possibility of increased interest shortfalls, as well as the uncertainty around the recoverability of the remaining loans in this maturing pool. The transaction is in wind down, with a cumulative trust balance of $227.0 million, composed of five loans as of the December 2025 remittance. Of the remaining loans, three, representing more than 75.0% of the pool balance, are secured by office properties. Morningstar DBRS believes the values of the assets have declined from their respective loan closing as the borrowers of each loan have been unable to successfully implement their respective business plans. One of these loans, highlighted below, is currently in special servicing. Exchange (Prospectus ID#3; 31.9% of the current trust balance), the second-largest asset in the pool, is secured by a 567,859-square-foot (sf) office property in Charlotte, North Carolina. The loan is currently paid through April 2024 and transferred to special servicing for maturity default in May 2024. According to the servicer, the asset is currently real estate owned. As of the annualized five-month period ended May 31, 2025, net cash flow (NCF) was reported at $5.5 million (with a debt service coverage ratio (DSCR) of 0.91 times (x)) compared with the servicer reported trailing 12-month period (T-12) ended September 30, 2024, NCF of $4.5 million (with a DSCR of 0.72x). The property was appraised for $83.0 million as of February 2024, down 24.7% from the issuance value of $110.2 million. The February 2024 value implies a loan-to value ratio (LTV) of 78.4% based on the current funded A-note of $65.1 million. Morningstar DBRS believes the current market value is likely lower and, in its analysis, Morningstar DBRS applied a haircut to the most recent appraisal value, resulting in a minor loss severity. The projected losses for this loan are expected to be contained to the unrated first-loss piece. The transaction closed in January 2021 with an initial collateral pool of 23 floating-rate mortgage loans secured by 34 mostly transitional real estate properties with a cut-off date pool balance of approximately $667.2 million. The collateral pool for the transaction is static; however, the Issuer was able to acquire funded loan participation interests into the trust over the Permitted Funded Companion Participation Acquisition Period, which ended with the April 2024 Payment Date. The largest loan in the pool, 311 West Monroe (Prospectus ID#1; 39.4% of the current trust balance), is secured by a 15-story, 390,512-sf, Class A office property in the West Loop submarket of Chicago. The loan is being monitored on the servicer's watchlist for upcoming maturity risk concerns. The loan has been modified several times, with the most recent modification extending loan maturity through January 2026 to allow the borrower additional time to market the property for sale. The borrower's business plan focused on stabilizing operations following its $43.4 million capital expenditure plan. At closing, the loan was equipped with a $48.0 million future funding component allocated for leasing costs and debt serviced shortfalls. To date, the loan is fully funded as the lender has advanced all funds to the borrower. According to documents provided by the servicer, the property was 93.0% occupied as of June 2025, unchanged from the reported occupancy rate as of the T-12 period ended September 30, 2024. The T-12 NCF figure of $7.9 million (DSCR of 0.72x) as of June 2025 is up from the T-12 period ended September 30, 2024, NCF figure of $7.5 million (DSCR of 0.65x). In its analysis, Morningstar DBRS assumed a stressed value, which resulted in an LTV in excess of 100%. Notes: All figures are in U.S. dollars unless otherwise noted. ANCHORAGE CAPITAL 34: Fitch Gives BB(EXP) Rating on Class E Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Anchorage Capital CLO 34, Ltd. RATING ACTIONS Anchorage Capital CLO 34, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Anchorage Capital CLO 34, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.7% 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 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. APIDOS CLO XXXIV: Fitch Affirms BB+sf Rating on E-R2 Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XXXIV reset transaction. RATINGS ACTION Rating Prior ------ ----- Apidos CLO XXXIV X-R2 LT NRsf New Rating NR(EXP)sf A-1-R2 LT NRsf New Rating NR(EXP)sf A-2-R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-1-R2 LT BBB-sf New Rating BBB-(EXP)sf D-2-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB+sf New Rating BB+(EXP)sf F-R2 LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 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, 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, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. AQUEDUCT EUROPEAN 15: Fitch Rates Class F-R-R Debt 'B-sf' --------------------------------------------------------- Fitch Ratings has assigned Aqueduct European CLO 15 DAC reset notes final ratings. RATING ACTIONS Aqueduct European CLO 15 DAC A-R-R XS3240833080 LT AAAsf New Rating B-R-R XS3240833247 LT AAsf New Rating C-R-R XS3240833593 LT Asf New Rating D-R-R XS3240833759 LT BBB-sf New Rating E-R-R XS3240833916 LT BB-sf New Rating F-R-R XS3240834138 LT B-sf New Rating Subordinated Notes LT NRsf New Rating Z-1 XS3241328213 LT NRsf New Rating Z-2 XS3241328486 LT NRsf New Rating Z-3 XS3241328643 LT NRsf New Rating Transaction Summary Aqueduct European CLO 15 DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to redeem the existing notes (except the subordinated notes) and fund the existing portfolio with a target par of EUR450 million. The portfolio is actively managed by HPS Investment Partners CLO (UK) LLP. The collateralised loan obligation (CLO) has a 4.6-year reinvestment period and an 8.5-year weighted average life (WAL) test at closing. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors in the identified portfolio at 'B'/'B-'. The Fitch weighted average rating factor of the identified portfolio is 24.6. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. The recovery prospects for these assets are more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate of the identified portfolio is 62%. Diversified Asset Portfolio (Positive): The transaction has various portfolio concentration limits, including a top 10 obligor concentration limit of 20% and a maximum exposure to the three largest Fitch-defined industries at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction includes two Fitch test matrices that are effective at closing. These correspond to two fixed-rate asset limits at 5% and 10%, and an 8.5-year WAL test covenant. It has another two matrices, corresponding to the same limits but a 7.5-year WAL test covenant, which can be selected by the manager 12 months after closing, provided the collateral principal amount (including defaulted obligations at Fitch collateral value) is at least at the reinvestment target par balance. The transaction has a 4.6-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the transaction's Fitch-stressed portfolio and matrices analysis is 12 months less than the WAL test covenant, to account for strict reinvestment conditions after the reinvestment period, including the satisfaction of the over-collateralisation test and Fitch's 'CCC' limit tests, plus a gradually decreasing WAL test covenant. These conditions 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 A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the A-R-R and B-R-R notes, and lead to downgrades of one notch each for the class C-R-R, D-R-R and E-R-R notes, and to below 'B-sf' for the class F-R-R notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The class B-R-R, C-R-R, D-R-R, E-R-R and F-R-R notes each have a rating cushion of two notches, due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to three notches for the class A-R-R notes, four notches for the class B-R-R, C-R-R and D-R-R notes, and to below 'B-sf' for the class E-R-R and F-R-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches each for the notes, except the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread to cover losses in the remaining portfolio. AREIT 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on two classes of notes issued by AREIT 2022-CRE7 LLC as follows: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class D at BBB (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 upgrades reflect the increased collateral reduction since Morningstar DBRS' last review in May 2025. Since then, six loans have repaid from the trust, totaling a paydown of $162.6 million or 17.0% of the original pool balance. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying loans since May 2025. Additionally, the transaction benefits from a high concentration of loans backed by multifamily collateral, representing 84.6% of the current trust balance. Morningstar DBRS notes that multifamily properties have historically exhibited lower default rates compared with other property types. While individual borrowers have had mixed success in implementing the respective business plans to increase property cash flows and asset values, the transaction continues to benefit from significant credit support to the investment-grade bonds as the below-investment-grade bonds, the Class F and Class G Notes, have a cumulative balance of $88.4 million, and the unrated first-loss piece has a balance of $86.0 million. These factors support the credit rating confirmations throughout the capital stack. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 38 floating-rate mortgage loans secured by 50, mostly transitional, properties with a cut-off balance totaling $955.6 million. The transaction had a Permitted Funded Companion Participation Acquisition Period, whereby the Issuer could acquire funded loan participation interests in the trust. This period expired with the December 2024 payment date. As of the November 2025 remittance, the pool comprised 26 loans secured by 34 properties with a cumulative trust balance of $752.1 million, reflecting a collateral reduction of 21.3% since issuance. Leverage across the pool as of the November 2025 reporting remained relatively in line with issuance metrics, as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 71.7%, with a current WA stabilized LTV of 62.4%. In comparison, these figures were 72.1% and 62.4%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated, as the majority of the individual property appraisals were completed in 2022 or earlier and may not fully reflect the effects of increased interest rates and/or widening capitalization rates (cap rates) in the current environment. In its analysis for this review, Morningstar DBRS applied upward LTV adjustments across 15 loans, representing 74.5% of the current pool balance, to reflect cap-rate assumptions that are generally above the implied cap rates based on the issuance appraisals. As of November 2025, one loan, Park at Aventino (Prospectus ID#9; 4.3% of the current pool balance), was reported as current and in special servicing. One additional loan, UNT Portfolio (Prospectus ID#7; 7.3% of the current pool balance), is delinquent. This loan has been delinquent since defaulting on the September 2025 payment. The borrower's original business plan was to invest $5.0 million toward interior and exterior renovations as well as the correction of deferred maintenance items. As per the Issuer's latest report, no future funding remains outstanding. The Q3 2025 collateral manager's report indicated all exterior and 81% of the unit-interior upgrades were complete; however, flood damage caused a number of units to go offline, halting further progression of the business plan. The servicer reported that it will be marketing the property for foreclosure sale. At loan closing, the appraiser valued the property on an as-is basis at $71.6 million, indicative of an LTV of 77.5% based on the outstanding loan balance of $55.5 million. Given the property's current performance and significant outstanding deferred maintenance, Morningstar DBRS believes the current market value of the property has declined. In its analysis, Morningstar DBRS took a conservative approach and liquidated the loan from the trust based on a 60% haircut to the as-is appraised value; the resulting loss severity was 54% with implied losses totaling $30.1 million, which would be contained to the unrated $86.0 million first-loss piece. There are also 19 loans, representing 78.5% of the current trust balance, being monitored on the servicer's watchlist. Most of the loans were flagged for low occupancy rates and low debt service coverage ratios; however, all loans remain current. Notably, increased debt service payments, given the floating-rate nature of all loans in the transaction, have placed greater stress on operating cash flows. The transaction also faces heightened maturity risk as all outstanding loans are scheduled to mature by June 2026. All loans have outstanding extension options remaining, however, which slightly mitigates this risk. As individual properties may not achieve the required performance metrics to allow borrowers to exercise extension options, Morningstar DBRS expects that the collateral manager will continue to work with affected sponsors to negotiate mutually beneficial loan modifications to exercise the options. Morningstar DBRS also expects lenders to require borrowers to inject additional capital to fund principal curtailments, fund carry reserves, and/or purchase an interest rate cap agreement to extend the loans. Through November 2025, the lender had advanced cumulative loan future funding of $91.9 million to 22 outstanding individual borrowers. The largest advance to a single borrower, $20.7 million, was provided to the Balboa Retail Portfolio loan (Prospectus ID#5; 4.2% of the current trust), which is secured by four cross-collateralized multitenant retail properties across California and Oregon. As of November 2025, no future funding remained. The advanced funds went toward completing capital improvements and leasing costs. The collateral manager reported a consolidated occupancy rate of 80.0% across the portfolio as of Q3 2025, with several ongoing negotiations for the vacant space. The loan has a scheduled maturity in January 2026, with one remaining extension option for a fully extended maturity date in January 2027. An additional $8.0 million in loan future funding allocated to three of the outstanding individual borrowers remains available. The largest portion of available funding ($5.3 million) is allocated to the borrower of the L&C Complex loan (Prospectus ID#4; 5.0% of the current pool balance). Notes: All figures are in U.S. dollars unless otherwise noted. ARES LXXVIII: Fitch Rates Class E Debt 'BB-sf' ---------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXVIII CLO Ltd. RATINGS ACTION Ares LXXVIII CLO 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 D-3 LT BBB-sf New Rating E LT BB-sf New Rating Subordinate LT NRsf New Rating Transaction Summary Ares LXXVIII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.29, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.67% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.12% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, 'A-sf' for class D-3, and 'BBB+sf' for class E. BALBOA BAY 2025-2: Fitch Gives BB+(EXP) Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Balboa Bay Loan Funding 2025-2 Ltd. RATING ACTIONS Balboa Bay Loan Funding 2025-2 Ltd A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C-1 LT A+(EXP)sf Expected Rating C-2 LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Balboa Bay Loan Funding 2025-2 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pacific Investment Management Company 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% first-lien senior secured loans and has a weighted average recovery assumption of 74.88%. 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 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'BB-sf' and 'Asf' for class C-1 notes, between 'B+sf' and 'BBB+sf' for class C-2 notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, and between less than 'B-sf' and 'BB+sf' for class D-2 notes and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C-1 notes, 'AA+sf' for class C-2 notes, 'Asf' for class D-1 notes, and 'A-sf' for class D-2 notes and 'BBB+sf' for class E notes. BANK OF AMERICA 2015-UBS7: Fitch Affirms CCsf Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed nine classes of Bank of America Merrill Lynch Commercial Mortgage Trust (BACM) 2015-UBS7. The Rating Outlooks for class A-S and X-B have been revised to Stable from Negative. RATING ACTIONS Rating Prior ------ ----- BACM Trust 2015-UBS7 A-S 06054ABB4 LT AAAsf Affirmed AAAsf B 06054ABC2 LT A-sf Affirmed A-sf C 06054ABD0 LT BB+sf Affirmed BB+sf D 06054ABE8 LT CCCsf Affirmed CCCsf E 06054AAG4 LT CCsf Affirmed CCsf F 06054AAJ8 LT Csf Affirmed Csf X-B 06054AAZ2 LT AAAsf Affirmed AAAsf X-D 06054ABA6 LT CCCsf Affirmed CCCsf X-E 06054AAA7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Concentrated Transaction; Stable Recovery Expectations: The transaction is concentrated with only five loans remaining, three of which (67.7%) are in special servicing and have been designated as Fitch Loans of Concern (FLOCs). The affirmations reflect stable recovery and loss expectations, as well as better-than-expected outcomes from loan payoffs since the last rating action. The Outlook revisions to Stable on classes A-S and X-B reflect the significant increase in credit enhancement (CE) and paydown, as well as the anticipated recovery of these classes from the remaining loans. In addition, future interest shortfalls are no longer anticipated to impact these classes, and past amounts were recovered within one month: classes A-S through H incurred interest shortfalls as of the September 2025 distribution date; however, full interest was recovered on class A-S as of October 2025, class B as of November 2025 and class C as of December 2025. While the servicer has not confirmed details on the cause of the shortfalls, based on the current pool's limited outstanding advances and anticipated fees, future shortfalls on class A-S are not considered likely. The classes with Negative Outlooks on classes B and C reflect these classes' reliance on proceeds from defaulted loans to repay. Further downgrades to these classes are possible with further performance deterioration, appraisal value declines, lower-than-expected recoveries or prolonged workouts on specially serviced loans. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their CE. Higher probabilities of default were assigned to loans that recently transferred to special servicing or are past their respective maturity dates and expected to transfer to special servicing. Largest Contributors to Loss: The largest contributor to pool loss expectations is the 261 Fifth Avenue loan (38.7%), which is secured by a 446,820-sf office building in the Midtown South submarket of Manhattan. The loan transferred to special servicing in September 2025 due to maturity default, as the loan matured on Sept. 1, 2025. According to servicer updates, workout discussions are ongoing with the borrower. As of YE 2024, occupancy was 87%, which is in-line with prior years. The largest tenants are Town and Country Holdings (8%; expires in 2031), Dan Klores (7.4%, expires 2032) and Himatsingka (6.9%; expires 2030). The property has minimal upcoming rollover. The servicer reported net operating income (NOI) debt service coverage ratio (DSCR) was 1.57x at YE 2024, compared with 1.48x at YE 2023 and 1.36x at YE 2022. Fitch's 'Bsf' rating case loss of approximately 36% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2024 NOI, and an increased probability of default due to the loan's transfer to special servicing. The second-largest contributor to loss is the New Hampshire Mall loan (27.6%), which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in July 2025 due to maturity default. A modification and extension agreement was executed, which provided a two-year extension that will expire in July 2027 with the option to extend an additional nine months to March 2027 if the NOI is at or above $11 million. As of October 2025, the loan remains current and NOI has been at or above $11 million from the loan's issuance through YE 2024. The most recent TTM as of Sept. 2025 was $10.5 million. Occupancy was 84% as of June 2025. As of YE 2024, the property was 88% occupied and NOI DSCR was 1.79x, compared to 84% and 1.87x, respectively, at YE 2023, 83% and 1.96x at YE 2021, and 87% and 2.11x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 17% (prior to concentration add-ons) reflects a discount to the June 2025 appraisal, which reflects a Fitch stressed value of $309 psf. Increased CE; Interest Shortfalls: As of the December 2025 distribution date, the pool's aggregate balance has been reduced by 76% to $180.5 million from $757.3 million at issuance. Since Fitch's prior review, approximately 52% of the original pool balance has paid off with no realized principal losses. The pool has incurred $19.4 million in realized losses to date and interest shortfalls of $3.2 million are currently affecting classes D, E, F, G and H, with approximately 80% allocated to class H. Interest shortfalls began to impact classes A-S and B in September 2025. However, by October, class A-S recovered all shortfalls, by November, class B had recovered all shortfalls, and by December, class C recovered all shortfalls. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades to the 'AAAsf' rated classes are not expected due to the 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 the class rated 'A-sf' may occur, should performance of the specially serviced loans deteriorate further or if values significantly decline, primarily the 261 Fifth Avenue loan; -- Downgrades to the classes rated 'BB+sf' are likely with higher expected losses from continued underperformance of the specially serviced loans or with greater certainty of near-term losses; -- Further downgrades to the distressed rated classes would occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades to the class rated 'A-sf' are possible with significantly increased CE from paydown, coupled with stable to improved pool-level loss expectations and improved performance of special serviced assets; classes would not be upgraded above 'AA+sf' if there is likelihood of interest shortfalls; -- Upgrades to 'BB+sf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries are larger than expected, and there is sufficient CE to the classes; -- Upgrades to the distressed rated classes are not expected but possible with better-than-expected recoveries on specially serviced loans, primarily 261 Fifth Avenue. BANK5 2025-5YR19: DBRS Finalizes B(high) Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5YR19 (the Certificates) issued by BANK5 2025-5YR19 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-2-1 at AAA (sf) -- Class A-2-2 at AAA (sf) -- Class A-2-X1 at AAA (sf) -- Class A-2-X2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class B-1 at AAA (sf) -- Class B-2 at AAA (sf) -- Class B-X1 at AAA (sf) -- Class B-X2 at AAA (sf) -- Class C at AA (sf) -- Class C-1 at AA (sf) -- Class C-2 at AA (sf) -- Class C-X1 at AA (sf) -- Class C-X2 at AA (sf) -- Class D at A (low) (sf) -- Class X-D at A (sf) -- Class E at BBB (sf) -- Class X-E at BBB (high) (sf) -- Class F at BB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class G at B (high) (sf) -- Class X-G at BB (low) (sf) All trends are Stable. Classes D, X-D, E, X-E, F, X-F, G, X-G, H, and X-H will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B 1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class D, Class E, Class F, Class G and Class H certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. The collateral for the BANK5 2025-5YR19 transaction consists of 35 loans secured by 85 commercial and multifamily properties with an aggregate cut-off date balance of $949.1 million. Two loans, representing 10.0% of the total pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow (NCF) and their respective constants, the initial Morningstar DBRS Weighted Average Debt Service Coverage Ratio (WA DSCR) of the pool was 1.42 times (x). Excluding the two shadow-rated loans, the Morningstar DBRS Issuance DSCR drops to 1.36x. Of the 35 loans, 14 loans, representing 43.4% of the total pool have a Morningstar DBRS Issuance DSCR of less than 1.25x, which historically had higher default frequencies. The pool's Morningstar DBRS WA Issuance LTV was 60.5% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 60.4% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 63.2% and a Morningstar DBRS WA Balloon LTV of 63.1%. Ten of the 35 loans, representing a total of 23.0% of the total pool, have Morningstar DBRS Issuance LTV ratios above 67.6%, which have historically had higher default frequencies. The transaction has sequential-pay pass-through structure. Two loans, representing 10.0% of the pool, exhibited credit characteristics consistent with investment-grade shadow ratings. The top loan, Mall at Bay Plaza, makes up 7.4% of the pool and exhibited credit characteristics consistent with an investment-grade shadow rating of "A." The second shadow-rated loan, International Plaza, makes up 2.6% of the total pool and exhibited credit characteristics consistent with an investment-grade shadow rating of AA (low). Eight loans, representing 27.7% of the total pool, are within a Morningstar DBRS Market Rank 6 or 7, which is indicative of more densely populated urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 10 loans, accounting for 32.3% of the pool are within a Morningstar DBRS Market rank of 5, which benefits from lower default frequencies than less dense suburban, tertiary, and rural markets. Lastly, 11 loans in the pool, representing 37.9% of the total pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. The pool has a total of 18 loans, accounting for 49.4% of the total pool, which are secured by multifamily, MHC, or self-storage properties. These property types are considered to be more stable and have historically seen lower default frequencies. The pool had a total of nine properties with sponsors that were regarded as Weak by Morningstar DBRS and one property that was regarded as Bad/Litigious by Morningstar DBRS totaling 28.9% of the pool. This designation was generally applied to sponsors who had low net worth and liquidity, a recent history of defaults/bankruptcies, outstanding/prior litigations, and/or a lack of CRE experience. There is a total of eight loans (or 26.2% of the total pool) that are regarded with Weak sponsors, and one loan (2.6% of the pool), which is regarded as a Bad (Litigious) sponsor. The pool has a relatively high concentration of loans secured by office and retail properties, at eight loans, representing 33.5% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. The pool has a relatively high concentration of loans secured by hotels with nine loans, representing 17.1% of the pool, which is elevated compared with recent securitizations. Hotels have the highest cash flow volatility of all major property types as their income, which is derived from daily contracts rather than multiyear leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. Furthermore, one of the hotels, representing 16.6% of the hotel concentration (Prospectus ID#14, Cambridge Beaches Resort and Spa, 2.8% of the total pool), is outside the United States in Bermuda, and presents sovereign risk and is subject to the laws of that country. Thirty loans, representing 89.3% of the pool, are being used to refinance existing debt. Additionally, one loan, representing 1.8% of the pool, is a recapitalization. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Thirty-four loans, representing 97.4% of the pool, have IO payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The transaction includes 23 loans, representing 67.1% of the pool, that exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) is less than the current interest rate. On average, the transaction exhibits -0.65% of negative leverage. While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. In the longer term, should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect the borrower's ability to refinance its loans. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2025-VII: Fitch Rates Class F Notes 'Bsf' ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2025-VII. RATINGS ACTION Barings CLO Ltd. 2025-VII X LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT Bsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2025-VII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.93 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.6% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.4% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E, and between less than 'B-sf' and 'Bsf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'A-sf' for class D-2, 'BBB+sf' for class E, and 'BB+sf' for class F. BAYSWATER 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-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. At the same time, we withdrew our ratings on the previous class B, C, D, and E debt following payment in full on the Dec. 30, 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-R, and E-R debt was 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 was issued at a floating spread and fixed coupon, respectively, replacing the existing floating-rate class B debt. -- New class X debt was issued in connection with this refinancing and will be paid down using interest proceeds during the first 12 payment dates, beginning with the first payment date. -- The non-call period was extended to December 2027. -- The reinvestment period was extended to January 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to January 2039. -- The target initial par amount remains at $500.00 million. 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, "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 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) Ratings Withdrawn Bayswater Park CLO Ltd./Bayswater Park CLO LLC 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 Bayswater Park CLO Ltd./Bayswater Park CLO LLC Subordinated notes, $45.60 million: NR NR--Not rated. BAYVIEW FINANCIAL 2004-C: Moody's Cuts Rating on B Certs to Caa1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating of Class B issued by Bayview Financial Mortgage Pass-Through Certificates, Series 2004-C, backed by Scratch and Dent mortgages. A comprehensive review of all credit rating for the respective transaction has been conducted during a rating committee. The complete rating action is as follows: Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-C Cl. B, Downgraded to Caa1 (sf); previously on Mar 13, 2025 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectation on the underlying pool and Moody's assessments of interest shortfalls on the bond. The rating downgrade of Class B is due to outstanding interest shortfall and the uncertainty of whether this shortfall will be reimbursed. The size and length of the outstanding interest shortfall was considered in Moody's analysis. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BENCHMARK 2020-IG1: Fitch Cuts Rating on Class C Certs to Bsf ------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed five classes of Benchmark 2020-IG1 Mortgage Trust, commercial mortgage pass-through certificates, series 2020-IG1. Fitch has assigned a Negative Outlook to three classes following their downgrades, and the Outlook remains Negative on two classes. RATINGS ACTION Rating Prior ------ ----- BENCHMARK 2020-IG1 A-1 08162LAA8 LT AAAsf Affirmed AAAsf A-2 08162LAB6 LT AAAsf Affirmed AAAsf A-3 08162LAC4 LT AAAsf Affirmed AAAsf A-S 08162LAF7 LT AA-sf Affirmed AA-sf B 08162LAG5 LT BBsf Downgrade BBB-sf C 08162LAH3 LT Bsf Downgrade BB-sf X-A 08162LAD2 LT AA-sf Affirmed AA-sf X-B 08162LAE0 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS The downgrades reflect continued performance deterioration of office assets in the pool with limited progress toward stabilization, most notably for the 805 Third Avenue and 181 West Madison loans. Both loans exhibit declining occupancy and rollover concerns driving lower collateral values and increased expectations for loss. Fitch's analysis incorporates stresses to NCF, including mark-to-market rental adjustments for near-term rolling tenants, increased vacancy assumptions and higher tenant improvement allowances and replacement reserves. The Negative Outlooks reflect concerns related to the refinanceability of the 181 West Madison loan given the upcoming December 2026 maturity and potential for further value degradation of the 805 Third Avenue and 181 West Madison properties. A downgrade of the A-S class is likely due to limited credit support from subordinate classes amid increasing losses and reliance on proceeds from distressed office loans to repay the class. The pool is highly concentrated as six of the 13 loans are secured by office properties and two loans are secured by mixed-use properties with significant office components, totaling 63.1% of the overall pool. Two loans have transferred to special servicing since the prior rating action including 650 Madison Avenue in September 2025 and Parkmerced in March 2024. The 805 Third Avenue loan returned to the master servicer in February 2025 after having transferred to special servicing in September 2024. The largest decline in Fitch sustainable NCF from the last rating action is 181 West Madison (7.6% of the pool), secured by a 952,559-sf office building located in Chicago, IL. The property's largest tenant, Northern Trust, was originally 42% of the NRA. It is expected to reduce its footprint to 24%, with 2.3% of its space on a month-to-month basis. The remaining Northern Trust space is leased through December 2027. The second largest tenant (11% of NRA) has a lease expiration in March 2027. As of YE 2024, NOI has declined 35% from the originator's underwritten NOI with a reported NOI DSCR of 1.50x. Following the downsize of Northern Trust, cash flow is expected to fall short of covering debt service. The updated Fitch NCF of $11.0 million is 31.8% below Fitch's issuance NCF of $16.2 million, accounting for a higher vacancy assumption given the elevated submarket availability rates and the largest tenant's near-term lease expiration. According to Costar as of 4Q25, the submarket vacancy, availability rate and average asking rent were 28.7%, 33.5% and $35.60 psf, respectively. Furthermore, Fitch's analysis incorporated a capitalization rate of 9.50% which resulted in a Fitch-stressed valuation decline that is approximately 69% below the issuance appraisal. The 805 Third Avenue loan, which is secured by a 596,100-sf office property located in the Grand Central submarket of Manhattan. Performance has declined significantly from issuance with occupancy falling to 58% as of June 2025 in-line with occupancy as of YE 2024, and down from 92% at issuance. Additionally, net cash flow as of YE 2024 has declined 69% from issuance resulting in cash flow insufficient to support debt service payments with NCF DSCR at 0.81x as of YE 2024. The largest tenant is Meredith Corporation (35.7%; December 2026), which has subleased a majority of its space on a co-terminus basis since issuance. Fitch sustainable NCF of $10.4 million, which is 34.7% below Fitch's issuance NCF of $15.9 million, reflects leases-in-place as of the June 2025 rent roll, with a lease-up to a sustainable occupancy level of 78% with rental rates in-line with current in-place rents excluding the largest tenant, which pays a substantially below market rental rate. Fitch's analysis incorporated a capitalization rate of 9.0% which resulted in a Fitch-stressed valuation decline that is approximately 74% below the issuance appraisal. The trust's assets are primarily 13 fixed-rate commercial mortgage loans secured by first mortgage liens on 45 mortgaged properties. While the majority of the loans in the pool have maturities in 2029 and beyond, the 181 Madison loan has a scheduled maturity in December 2026. The Parkmerced loan defaulted at maturity in December 2024 and is currently reported as performing matured as of December 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades would occur should property occupancy and/or net cash flow fail to improve and demonstrate lack of progress toward stabilization, particularly for the 805 Third Avenue, Parkmerced, and 650 Madison Avenue loans. Additionally, further performance deterioration of the 181 West Madison loan with the departure of the largest tenant and insufficient leasing activity would contribute to a downgrade. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades are currently not expected but are possible with significant and sustained improvement in occupancy and net cash flow, particularly for the 805 Third Avenue, Parkmerced and 650 Madison Avenue loans, in addition to secured renewals for expiring tenants and future lease up of vacancies at rates at or above Fitch's expectations for the 181 West Madison loan. BENCHMARK 2020-IG2: DBRS Lowers Rating on Class D Certs to Csf -------------------------------------------------------------- DBRS Limited downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2020-IG2 issued by Benchmark 2020-IG2 Mortgage Trust as follows: -- Class C to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-M at A (high) (sf) -- Class X-A at AA (low) (sf) -- Class B at BB (sf) -- Class D at C (sf) All trends are Stable with the exception of Classes C and D, which have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrade reflects Morningstar DBRS' increased loss expectations for the two specially serviced loans in the pool (18.6% of the pool), 225 Bush (Prospectus ID#11; 5.6% of the pool) and Stonemont Net Lease Portfolio (Prospectus ID#5; 13.0% of the pool), as well as the largest loan on the servicer's watchlist, 525 Market Street (Prospectus ID#9; 7.4% of the pool). The servicer has provided an updated appraisal for the 225 Bush property, with the value dropping by 74.0% from the issuance value as of January 2025. Given the significant property performance deterioration for the other two collateral properties since issuance, Morningstar DBRS expects that the as-is values have also significantly deteriorated. As such, Morningstar DBRS liquidated these three loans in the analysis for this review based on conservative haircuts to the most recent appraised values. The results suggested that liquidated losses would fully erode Class D and approximately 7.0% of the Class C certificate balance, supporting the credit rating downgrade to C (sf). Additionally, as all loans in the pool are collateralized by office or mixed-use properties with office components, with select loans continuing to exhibit performance declines from issuance and/or elevated rollover risk, Morningstar DBRS maintains a conservative outlook and maintained elevated adjustments to the individual Loan-to-Value ratio (LTV) Sizing Benchmarks, where appropriate, to reflect increased credit risks. The credit rating confirmations and Stable trends were supported by the LTV Sizing Benchmarks and reflect the otherwise stable performance for the remainder of the loans in the pool as evidenced by the weighted-average debt service coverage ratio (DSCR) of 3.67 times (x) per the most recent financials. As of the December 2025 remittance, 10 of the original 11 interest-only (IO) loans remained in the pool, with a collateral reduction of 32.2% since issuance following the full payoff of the former largest loan in the pool, Chase Center Tower I/II (Prospectus IDs #1 and #2), in February 2025, as well as the payoff of the loan-specific certificates (Classes UBR-B, UBR-C, and UBR-D), which were collateralized by two subordinate companion notes. As mentioned above, there are two loans in special servicing (18.6% of the pool), unchanged from the last review, and two loans (10.0% of the pool) that are being monitored on the servicer's watchlist for declining property performance. Despite the pool's significant exposure to office collateral, most of the remaining loans benefit from subordinate debt held outside the trust, which contributes to relatively low LTVs on the senior debt held in the transaction. The largest loan in special servicing is Stonemont Net Lease Portfolio, which consisted of 66 individual office and retail properties across various states at issuance. The trust loan represents a pari passu portion of a larger whole loan, and the Morningstar DBRS-rated BMARK 2020-IG3 transaction also holds a portion of the pari passu debt. As of December 2025, the whole loan balance was reduced to $751.6 million, reflecting a collateral reduction of 18.7% since issuance, following the release of 26 properties from the pool. There are currently 40 unreleased single-tenant properties in the portfolio, comprising 17 office buildings and 23 retail properties. The loan transferred to special servicing in January 2025 for maturity default; however, the loan remains current. While the portfolio was 99.0% leased as of October 2025, physical occupancy is closer to 50.0%, with many properties reported to be dark or seeking to sublease large portions of space according to the servicer's most recent commentary. No updated appraisal has been provided by the servicer to date. In the analysis for this review, Morningstar DBRS liquidated the loan based on a haircut in excess of 65.0% to the issuance appraised value of $839.4 million, resulting in a projected loss severity of 68.3% on the $751.6 million whole loan, with the $296.5 million senior debt portion sustaining a projected loss of approximately $11.6 million. The 225 Bush loan is secured by a mixed-use Class A office/retail property in San Francisco's financial district. The loan transferred to special servicing in November 2024 for maturity default and has since been deemed as a nonperforming matured balloon. The property's performance continues to deteriorate, most recently reporting a DSCR of 0.77x for the A-note (0.44x for the whole loan) for the trailing six-month period ended June 30, 2025, with an occupancy of 37.3%. Although the workout strategy remained unconfirmed as of December 2025, an updated appraisal value of $153.0 million was provided as of January 2025, reflecting a 74.0% drop from the issuance value of $589.0 million. Morningstar DBRS maintained a liquidation scenario for the loan based on a 30.0% haircut to the January 2025 value, resulting in a loss severity of approximately 52.0% on the $203.6 million senior debt portion of the $350.0 million whole loan balance. The haircut to the January 2025 value reflects Morningstar DBRS' expectation that investor demand for this property will be tepid given the San Francisco location and the low in-place occupancy rate. Although not currently in default, Morningstar DBRS also liquidated the largest loan on the watchlist, 525 Market Street, which is secured by a Class A office property in San Fransico's central business district. The trust loan is pari passu with several other loan pieces, including the debt held within the Morningstar DBRS-rated transaction MKT 2020-525M, which consists of the entire subordinate debt and a portion of the senior debt. Please see the related press release published on December 17, 2025, at https://dbrs.morningstar.com for a detailed discussion of that property and Morningstar DBRS' analytical approach. Given the sizable cushion provided by the $212.0 million subordinate debt, no loss is projected for the senior debt portion of the $682.0 million whole loan. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2020-IG3: DBRS Lowers Rating on Class D Certs to BB(low) ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2020-IG3 issued by Benchmark 2020-IG3 Mortgage Trust as follows: -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BBB (low) (sf) from BBB (high) (sf) -- Class D to BB (low) (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A2 at AAA (sf) -- Class A3 at AAA (sf) -- Class A4 at AAA (sf) -- Class ASB at AAA (sf) -- Class AS at AAA (sf) -- Class XA at AAA (sf) -- Class 825S-A at A (low) (sf) -- Class 825S-B at BBB (low) (sf) -- Class 825S-C at BB (low) (sf) -- Class 825S-D at B (low) (sf) -- Class T333-A at A (high) (sf) -- Class T333-B at BBB (high) (sf) -- Class T333-C at BB (high) (sf) -- Class T333-D at BB (sf) -- Class BX-A at A (low) (sf) -- Class BX-B at BBB (low) (sf) -- Class BX-C at BB (high) (sf) All trends are Stable. The credit rating downgrades reflect Morningstar DBRS' increased loss projections for the Stonemont Net Lease Portfolio (Prospectus ID#9; 10.7% of the pool), which transferred to special servicing at the last credit rating action in January 2025. The trust loan is pari passu with several other loan pieces, including the loan in the BMARK 2020-IG2 transaction, which Morningstar DBRS also rates. While the servicer has not yet provided an updated appraisal for the portfolio, Morningstar DBRS expects that the as-is value has declined significantly since issuance, given the deterioration in property performance. Morningstar DBRS liquidated the loan in the analysis for this review (Please see the BMARK 2020-IG2 press release published on December 23, 2025, at https://dbrs.morningstar.com for a detailed discussion of that property and Morningstar DBRS' analytical approach), resulting in liquidated losses that would erode approximately 15.2% of the Class D certificate balance, which reduces the credit support for Classes B and C, supporting the credit rating downgrades. The downgrades also reflect select properties in the pool that are exhibiting increased risks related to scheduled rollover in the near term, including the Moffett Towers Buildings A, B, & C loan (Prospectus ID#4; 15.6% of the pool). The credit rating confirmations and Stable trends reflect the otherwise stable performance for the remainder of the performing loans in the pool as evidenced by the weighted-average debt service coverage ratio (DSCR) of 3.81 times (x) per the most recent financials. The pool's structure, which mostly comprises loans that have significant subordinate debt held outside the trust, contributes to the relatively low LTVs on the senior debt held in the subject pool. Additionally, Morningstar DBRS analyzed most of the loans based on relatively conservative scenarios with this review and expects performance to remain generally stable through the near term. As of the December 2025 remittance, eight of the original nine loans remain in the pool, reflecting a collateral reduction of 12.1% since issuance, as a result of the full payoff of the Chase Center Tower I/II loan (Prospectus IDs #6 and #7) in February 2025, loan amortization, and individual property releases in the BX Industrial Portfolio (Prospectus ID#; 12.6% of the pool). Two loans (22.3% of the pool) are being monitored on the servicer's watchlist for deferred maintenance and informational reasons. All outstanding loans in the transaction, with the exception of 825 South Hill (Prospectus ID#8; 9.7% of the pool), are interest only (IO) during their entire loan terms. As of December 2025, the A-note portion of the 825 South Hill loan was paid down by 19.8% since issuance (and 12.3% on the whole loan). Given the large concentration of office collateral in the pool (69.4% of the pool), Morningstar DBRS has a generally conservative outlook and maintained stressed scenarios, where appropriate, to reflect increased credit risks. The resulting analysis supported the credit rating confirmations. One of the largest office loans in the pool, Moffett Towers Buidlings A, B, & C, are secured by three Class A office properties totaling more than 951,000 square feet (sf) in California's Silicon Valley. The trust loan is pari passu with several other loan pieces, including the loans in the BMARK 2020-IG2 and MOFT Trust 2020-ABC transactions, which Morningstar DBRS also rates. The property is fully leased, with Google LLC (Google) leasing 85.7% of the net rentable area (NRA) via three separate leases, the first of which is set to expire in June 2026. According to a July 2025 CoStar article, Google will be reducing its footprint in Silicon Valley, including its space at the subject properties. Although none of Google's leases at the subject have termination rights, 498,362 sf (52.4% of the NRA) will expire by September 2027, while the third lease (33.3% of the NRA) is set to expire in December 2030. A cash flow sweep was triggered nine months ahead of Google's first lease expiry. There has been no leasing activity to date; however, the property benefits from a prime location among various technology companies such as Amazon and Meta, and the staggered timing of the lease expiration dates also gives the borrower time to incrementally backfill any vacated space. Property performance has been strong since issuance and Morningstar DBRS expects the DSCR to remain higher than breakeven after the 2026 lease expiry for Google. In the analysis for this review, Morningstar DBRS analyzed this loan with a stressed scenario based on a capitalization (cap) rate of 7.25% applied to the YE2024 in-place net cash flow (NCF) less the income from Google's space to be vacated in 2026. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV) Sizing Benchmarks totaling 4.0% to reflect the recent construction and location along a prime office campus in the Sunnyvale submarket. However, given the impending decline in cash in the near term, Morningstar DBRS reduced the cash flow volatility adjustment by 100 basis points, to 1.0%. The Morningstar DBRS concluded value of $549.0 million represents a -52.1% variance from the issuance appraised value of $1.1 billion and implies an all-in LTV of 100.0%. Eleven classes are loan-specific certificates, or rake bonds. Classes 825S-A, 825S-B, 825S-C, and 825S-D are loan-specific certificates associated with the subordinate component of the 825 South Hill loan, which is backed by a luxury multifamily property in Los Angeles. Classes T333-A, T333-B, T333-C, and T333-D are loan-specific certificates associated with the subordinate component of the Tower 333 loan (Prospectus ID#5; 15.4% of the pool), secured by an office tower in Bellevue, Washington. The property is fully occupied by Amazon.com, Inc. via a lease through September 2036, with several renewal options and no termination or contraction clauses. With this review, Morningstar DBRS confirms that these assets continue to exhibit a performance that remains in line with issuance expectations and is consistent with investment-grade characteristics. Classes BX-A, BX-B, and BX-C are loan-specific certificates associated with the subordinate component of the BX Industrial Portfolio loan. The loan was secured by a portfolio of 68 industrial and logistics properties at issuance. Releases are permitted via a prepayment premium of 105.0% of the allocated loan amount (ALA), until the original principal balance reduces by 30.0%, and 110.0% of the ALA thereafter. To date, 21 properties have been released (more than 26.0% of the issuance ALA), reducing the issuance senior trust balance and the total appraisal value by approximately 19.1% and 26.3%, respectively, per the December 2025 reporting. In the analysis for this credit rating action, the Morningstar DBRS Value was updated to reflect the property releases to date. Morningstar DBRS considered a conservative haircut to the annualized NCF of $47.7 million for the trailing six-month period ended June 30, 2025, and maintained the 7.25% cap rate applied at the prior credit rating action, resulting in a Morningstar DBRS Value of $592.4 million, which represents a variance of -16.4% to the issuance appraised values for the remaining collateral. Additionally, Morningstar DBRS maintained positive qualitative adjustments totaling 5.25% in the LTV Sizing Benchmarks to reflect the favorable geographic diversification, low cash flow volatility, and property quality. The Morningstar DBRS credit ratings assigned to Classes 825S-A, 825S-B, 825S-C, 825S-D, BX-A, BX-B, and BX-C are lower than the results implied by the LTV Sizing Benchmarks by three or more notches. The rationale for the variances is uncertain loan level event risk, driven by the performance of the 825 South Hill property (tied to Classes 825S-A, 825S-B, 825S-C, 825S-D), which remains relatively unchanged since issuance, and the adverse selection risk for the 47 unreleased properties in the BX Industrial Portfolio (tied to Classes BX-A, BX-B, and BX-C), which is also set to mature in October 2026. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2024-MF: DBRS Confirms B Rating on Class HRR Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-MF issued by BX Commercial Mortgage Trust 2024-MF as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' issuance expectations. At issuance, the $550.0 million loan was secured by the borrower's fee-simple interest in 10 Class A multifamily properties, totaling 3,406 units, located throughout Texas, North Carolina, South Carolina, and Florida. As of the December 2025 remittance, the loan balance has been reduced to $487.0 million, representing a collateral reduction of 11.5%, as one property, Cortland at Stonebriar, has been released since closing. All remaining nine properties are highly amenitized and are in Issuer-described micro-markets that, within a one-mile radius, have seen strong median household incomes and growth in population, jobs, and wages. The transaction features a pro rata paydown structure associated with property releases for the first 30.0% of the unpaid principal balance. Individual property releases are allowed under a prepayment premium of 105% of the allocated loan amount (ALA) for the first 30% of the principal paydown and 110% thereafter subject to minimum debt yield requirements. The subject floating-rate loan pays interest only (IO) and is structured with an initial two-year term and three one-year extension options for a final extended maturity date of February 2029. As a condition to exercising each of its extension options, the borrower is required to enter into an interest rate cap agreement with a strike rate that results in a debt service coverage ratio (DSCR) of at least 1.10 times (x). The loan is currently being monitored on the servicer's watchlist for its upcoming maturity in February 2026; however, the loan has three extension options remaining. According to the June 2025 rent rolls, the remaining collateral continues to demonstrate a steady weighted-average (WA) occupancy rate of 94.0%, unchanged since YE2024, and in line with issuance levels. Based on June 2025 financial reporting, the collateral generated an annualized net cash flow (NCF) of $34.1 million for the trailing six-months period ended June 30, 2025, corresponding to a DSCR of 1.07x, a slight decline from the YE2024 figure of $34.6 million (DSCR of 1.08x), but an improvement over Morningstar DBRS issuance NCF of $31.5 million for the remaining nine properties. As mentioned above, there is an interest cap in place, and the borrower is required to purchase a new rate cap to exercise the loan's extension option. In the analysis for this review, Morningstar DBRS maintained its valuation approach from the previous credit rating action in January 2025, which was based on a capitalization rate of 6.25% applied to a Morningstar DBRS NCF of $31.5 million for the remaining nine properties. The resulting value of $503.5 million represents a -29.7% variance from the issuance appraised value of $716.6 million for the remaining collateral and corresponds to a whole loan-to-value ratio of 96.7%. Morningstar DBRS also maintained positive qualitative adjustments, totaling 7.0%, to account for good property quality, strong markets fundamentals and low cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. CEDAR FUNDING XV: S&P Assigns Prelim B+ (sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R loans and class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R notes and proposed new class X-R and F-R notes from Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC, a CLO managed by Aegon USA Investment Management LLC, a subsidiary of Aegon Ltd. that was originally issued in March 2022. The preliminary ratings are based on information as of Dec. 31, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 8, 2025, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A loans and class A, B, C, D, and E notes and assign ratings to the replacement class A-R loans and class A-R, B-R, C-1R, C-2R, D-1R, D-2R, and E-R and proposed new class X-R and F-R notes. 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 loans and class A-R, B-R, and C-1R notes are expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-1R and E-R notes are expected to be issued at a higher spread over three-month SOFR than the existing debt. -- The replacement class C-1R and C-2R debt are expected to be issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- The replacement class D-1R and D-2R debt are expected to be paid sequentially and issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- The stated maturity, reinvestment period, and non-call period will be extended by approximately 3.75 years. -- The non-call period will be extended to Jan. 8, 2028. -- The reinvestment period will be extended to Jan. 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 20, 2039. -- The target initial par amount will remain at $400 million and there will be no additional effective date or ramp-up period. The first payment date following the refinancing is April 20, 2026. -- New class X-R debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $291,666.67, beginning on the July 2026 payment date. -- New class F-R debt is expected to be issued in connection with this refinancing. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Class X-R, $3.50 million: AAA (sf) Class A-R loans, $50.00 million: AAA (sf) Class A-R, $198.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-1R (deferrable), $16.00 million: A (sf) Class C-2R (deferrable), $8.00 million: A (sf) Class D-1R (deferrable), $20.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Class F-R (deferrable), $2.50 million: B+ (sf) Other Debt Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Subordinated notes, $41.65 million: Not rated CHASE HOME 2025-13: DBRS Finalizes B(low) Rating on Class B5 Certs ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-13 (the Certificates) issued by Chase Home Lending Mortgage Trust 2025-13: -- $433.9 million Class A-1 at AAA (sf) -- $374.2 million Class A-2 at AAA (sf) -- $374.2 million Class A-3 at AAA (sf) -- $374.2 million Class A-3-A at AAA (sf) -- $374.2 million Class A-3-X1 at AAA (sf) -- $374.2 million Class A-3-X2 at AAA (sf) -- $374.2 million Class A-3-X3 at AAA (sf) -- $280.7 million Class A-4 at AAA (sf) -- $280.7 million Class A-4-A at AAA (sf) -- $280.7 million Class A-4-B at AAA (sf) -- $280.7 million Class A-4-X1 at AAA (sf) -- $280.7 million Class A-4-X2 at AAA (sf) -- $280.7 million Class A-4-X3 at AAA (sf) -- $93.6 million Class A-5 at AAA (sf) -- $93.6 million Class A-5-A at AAA (sf) -- $93.6 million Class A-5-B at AAA (sf) -- $93.6 million Class A-5-X1 at AAA (sf) -- $93.6 million Class A-5-X2 at AAA (sf) -- $93.6 million Class A-5-X3 at AAA (sf) -- $224.5 million Class A-6 at AAA (sf) -- $224.5 million Class A-6-A at AAA (sf) -- $224.5 million Class A-6-B at AAA (sf) -- $224.5 million Class A-6-X1 at AAA (sf) -- $224.5 million Class A-6-X2 at AAA (sf) -- $224.5 million Class A-6-X3 at AAA (sf) -- $149.7 million Class A-7 at AAA (sf) -- $149.7 million Class A-7-A at AAA (sf) -- $149.7 million Class A-7-B at AAA (sf) -- $149.7 million Class A-7-X1 at AAA (sf) -- $149.7 million Class A-7-X2 at AAA (sf) -- $149.7 million Class A-7-X3 at AAA (sf) -- $56.1 million Class A-8 at AAA (sf) -- $56.1 million Class A-8-A at AAA (sf) -- $56.1 million Class A-8-B at AAA (sf) -- $56.1 million Class A-8-X1 at AAA (sf) -- $56.1 million Class A-8-X2 at AAA (sf) -- $56.1 million Class A-8-X3 at AAA (sf) -- $48.5 million Class A-9 at AAA (sf) -- $48.5 million Class A-9-A at AAA (sf) -- $48.5 million Class A-9-B at AAA (sf) -- $48.5 million Class A-9-X1 at AAA (sf) -- $48.5 million Class A-9-X2 at AAA (sf) -- $48.5 million Class A-9-X3 at AAA (sf) -- $149.7 million Class A-10 at AAA (sf) -- $149.7 million Class A-10-A at AAA (sf) -- $149.7 million Class A-10-B at AAA (sf) -- $149.7 million Class A-10-X1 at AAA (sf) -- $149.7 million Class A-10-X2 at AAA (sf) -- $149.7 million Class A-10-X3 at AAA (sf) -- $59.7 million Class A-11 at AAA (sf) -- $59.7 million Class A-11-X at AAA (sf) -- $59.7 million Class A-12 at AAA (sf) -- $59.7 million Class A-13 at AAA (sf) -- $59.7 million Class A-13-X at AAA (sf) -- $59.7 million Class A-14 at AAA (sf) -- $59.7 million Class A-14-X at AAA (sf) -- $59.7 million Class A-14-X2 at AAA (sf) -- $59.7 million Class A-14-X3 at AAA (sf) -- $59.7 million Class A-14-X4 at AAA (sf) -- $74.8 million Class A-15 at AAA (sf) -- $74.8 million Class A-15-A at AAA (sf) -- $74.8 million Class A-15-B at AAA (sf) -- $74.8 million Class A-15-X1 at AAA (sf) -- $74.8 million Class A-15-X2 at AAA (sf) -- $74.8 million Class A-15-X3 at AAA (sf) -- $74.8 million Class A-16 at AAA (sf) -- $74.8 million Class A-16-A at AAA (sf) -- $74.8 million Class A-16-B at AAA (sf) -- $74.8 million Class A-16-X1 at AAA (sf) -- $74.8 million Class A-16-X2 at AAA (sf) -- $74.8 million Class A-16-X3 at AAA (sf) -- $74.8 million Class A-17 at AAA (sf) -- $74.8 million Class A-17-A at AAA (sf) -- $74.8 million Class A-17-B at AAA (sf) -- $74.8 million Class A-17-X1 at AAA (sf) -- $74.8 million Class A-17-X2 at AAA (sf) -- $74.8 million Class A-17-X3 at AAA (sf) -- $131.0 million Class A-18 at AAA (sf) -- $131.0 million Class A-18-A at AAA (sf) -- $131.0 million Class A-18-B at AAA (sf) -- $131.0 million Class A-18-X1 at AAA (sf) -- $131.0 million Class A-18-X2 at AAA (sf) -- $131.0 million Class A-18-X3 at AAA (sf) -- $482.4 million Class A-X-1 at AAA (sf) -- $482.4 million Class A-X-2 at AAA (sf) -- $482.4 million Class A-X-3 at AAA (sf) -- $11.5 million Class B-1 at AA (low) (sf) -- $11.5 million Class B-1-A at AA (low) (sf) -- $11.5 million Class B-1-X at AA (low) (sf) -- $6.6 million Class B-2 at A (low) (sf) -- $6.6 million Class B-2-A at A (low) (sf) -- $6.6 million Class B-2-X at A (low) (sf) -- $4.6 million Class B-3 at BBB (low) (sf) -- $2.8 million Class B-4 at BB (low) (sf) -- $1.0 million Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-3-A, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.50% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.25%, 1.95%, 1.05%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 480 loans with a total principal balance of $537,306,704 as of the Cut-Off Date (December 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 62.3% of the loans were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association (rated AA with a Stable trend), will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. CHESTNUT NOTES: DBRS Confirms BB Rating on Class C Notes -------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Chestnut Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Chestnut Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Chestnut Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC FUNDING 2025-VIII: Fitch Rates Class E Debt 'BB-sf' -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2025-VIII, Ltd. RATING ACTIONS Rating Prior ------ ----- CIFC Funding 2025-VIII, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf D-3 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary CIFC Funding 2025-VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.84, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class D-3 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'A-sf' for class D-3 and 'BBB+sf' for class E. CITIGROUP COMMERCIAL 2015-GC33: Fitch Cuts Ratings on 6 Tranches ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed one class of Citigroup Commercial Mortgage Trust 2015-GC33 commercial mortgage pass-through certificates (CGCMT 2015-GC33). Fitch assigned Negative Rating Outlooks for three of the downgraded classes. Fitch also downgraded eight and affirmed three classes of GS Mortgage Securities Trust commercial mortgage pass-through certificates, series 2015-GC34 (GSMS 2015-GC34), and has assigned Negative Outlooks to two classes following their downgrades. Fitch also revised the Outlook for one affirmed class to Negative from Stable. RATINGS ACTION CGCMT 2015-GC33 B 29425AAG8 LT BBBsf Downgrade A-sf C 29425AAH6 LT Bsf Downgrade BB+sf D 29425AAJ2 LT CCsf Downgrade CCCsf E 29425AAP8 LT Csf Downgrade CCsf F 29425AAR4 LT Csf Affirmed Csf PEZ 29425AAN3 LT Bsf Downgrade BB+sf X-D 29425AAM5 LT CCsf Downgrade CCCsf GSMS 2015-GC34 A-4 36250VAD4 LT AAAsf Affirmed AAAsf A-S 36250VAH5 LT Asf Downgrade AAsf B 36250VAJ1 LT CCCsf Downgrade BBsf C 36250VAL6 LT CCsf Downgrade CCCsf D 36250VAM4 LT Csf Downgrade CCsf E 36250VAP7 LT Csf Affirmed Csf F 36250VAR3 LT Csf Affirmed Csf PEZ 36250VAK8 LT CCsf Downgrade CCCsf X-A 36250VAF9 LT Asf Downgrade AAsf X-B 36250VAG7 LT CCCsf Downgrade BBsf X-D 36250VAN2 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Pool Concentration: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 53.3% in CGCMT 2015-GC33, and 62.7% in GSMS 2015-GC34, from 14.0% and 18.6%, respectively, at the prior rating action. The remaining four loans in the CGCMT 2015-GC33 transaction are Fitch Loans of Concern (FLOCs; 100% of the pool), including three loans (72.5%) in special servicing. Additionally, all seven of the remaining loans in the GSMS 2015-GC34 transaction are FLOCs and are in special servicing. The downgrades in CGCMT 2015-GC33 reflect the remaining four loans in the pool, all of which have continued performance concerns and high loss expectations. Only one loan, Decoration and Design Building (27.5% of the pool) is not past its scheduled loan maturity, which is May 2026. The downgrades are primarily driven by increased losses from the largest loan in the pool, Illinois Center (42.5% of the pool), due to an updated Fitch stressed value. The Negative Outlooks reflect the continued high losses with Hamilton Landing (27.7% of the pool) along with the refinance concerns with The Decoration and Design Building. The affirmation of class A-2 in GSMS 2015-GC34 reflects Fitch's expectation of a full recovery from loan payoffs and liquidations. However, the Negative Outlook reflects the uncertainty of timing of repayment from and potential for interest shortfalls. The downgrades consider the continued refinance concerns, high loss expectations and high exposure to specially serviced loans, as all loans in the pool are past their scheduled maturity dates. The downgrades also reflect the increased expected loss for Illinois Center (38.5% of the pool), along with the continued risks with FLOCs 750 Lexington Avenue (33.3%) and Woodlands Corporate Center and 7049 Williams Road Portfolio (8.6%); these 3 FLOCs account for 90% of the overall pool expected losses. The Negative Outlook for class A-S indicates the potential for further downgrades due to the uncertainties surrounding these larger FLOCs and the potential for higher-than-expected losses. In both transactions, due to the high concentration of FLOCs and specially serviced loans that were not able to refinance or payoff at maturity and adverse selection, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. GSMS 2015-GC34, Non-Recoverable Advances: In the GSMS 2015-GC34 transaction, class A-4 and Interest Only (IO) classes X-A, and X-B are the only classes receiving interest payments as of the December 2025 remittance report. To date, the pool has incurred $17.5 million of realized losses from the claw-back of non-recoverable advances and payment of special servicing fees in July 2025, impacting the non-rated class G. The servicer has deemed the following loans as non-recoverable: Illinois Center, 750 Lexington Avenue, and Woodlands Corporate Center and 7049 Williams Road Portfolio. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest contributor and largest increase in overall loss expectations since the prior rating action in both CGCMT 2015-GC33 and GSMS 2015-GC34 is the Illinois Center loan, secured by two adjoining 32-story office towers totaling 2.1 million sf in the East Loop submarket of the Chicago CBD. The loan transferred to special servicing in April 2024 for payment default and failed to repay at its scheduled August 2025 maturity date. According to the December 2025 reporting, the loan was last paid in May 2024. Combined occupancy of the two office towers dropped to 36.7% as of the December 2024 rent roll, compared to 47.8% in December 2023. The 111 East Wacker building was 55.1% occupied and the 233 North Michigan building was 18.0% occupied. The Department of Health and Human Services, which previously occupied 8.1% of NRA, vacated in November 2023, and Bankers Life and Casualty, formerly occupying 6.5% of NRA, vacated in August 2023. Recently, several smaller tenants have left following the expiration of their leases. Notably, iHeartMedia + Entertainment reduced their space to 1.4% from 4.6% of NRA, with the lease extending through August 2034. The largest tenants are Taft Stettinius & Hollister (5.1% of NRA through August 2034) and AmTrust (3.3%; June 2026). Upcoming rollover per the December 2024 rent roll includes 5.0% of the NRA rolling in 2025 and 9.8% in 2026. The servicer-reported TTM June 2025 NOI DSCR was 0.31x, compared to 3Q24 at 1.11x, 1.41x at YE 2023, 1.14x at YE 2022, 1.15x at YE 2021, 1.61x at YE 2020, and 2.19x at YE 2019. The servicer noted that in the GSMS 2015-GC34 transaction, the loan was declared non-recoverable and $5,014,250 of advances were clawed back by Master Servicer in July 2025, resulting in differing 'Bsf' rating case losses across the two transactions. The Fitch 'Bsf' rating case loss (prior to concentration add-ons) is 70.8% in CGCMT 2015-GC33 and 65.1% in GSMS 2015-GC34, reflecting an updated Fitch stressed value of approximately $41 psf. The elevated losses reflect prolonged underperformance and significant required capital expenditures to re-tenant the buildings. The second largest contributor to overall loss expectations in GSMS 2015-GC34 is the 750 Lexington Avenue loan, secured by the leasehold interest in a 361,443-sf office property with ground floor retail located in Manhattan's Plaza District. The loan transferred to special servicing in October 2023 for delinquent payments. The loan failed to repay upon its scheduled October 2025 maturity date. The property's largest tenants include WeWork (21.6% of NRA leased through February 2029), The Invus Group (5.9%; January 2026), Stemline Therapeutics, Inc. (4.5%; May 2028) and Odeon Capital Group, LLC (3.9%; May 2029). Sephora is largest retail tenant (1.8%; recently extended by 12 years through January 2037). A 7,676-sf portion of the 24,602-sf land parcel is subject to a ground lease until Dec. 31, 2077. The ground rent expense recently increased to $6.4 million, as part of a scheduled rent reset based on 110% of the prior year's rent or 9% of the land value. The ground rent expense increases again in 2030. The WeWork lease was executed to consist of two portions, both at below-market rents and expiring in March 2035, with the tenant receiving a total of 32 months of free rent spread over its lease term. The first portion of the lease (82,500 sf; 21.6% of NRA) commenced in March 2018 at rents of $65 psf, which helped to drive occupancy up to 89.2% in June 2018 from 66% in June 2017. The second portion of the lease, which includes an additional 30,775 sf (8.6% of NRA) on the 10th and 11th floors, was expected to commence in February 2020; these remain vacant. Per the December 2024 rent roll, WeWork is now paying $42 psf, compared to their previous rate of $70 psf, which reduces the overall income at the property by approximately $2.3 million annually. The loan was declared non-recoverable, with $10,614,966 of advances clawed back by the Master Servicer in July 2025. Additional advances may be required but amounts and timing are unknown at this time. According to the December 2025 special servicer commentary, the court entered the judgment of foreclosure and sale. The lender is in the process of scheduling the foreclosure sale, which is not expected to occur until after 1Q26. As of the June 2025 rent roll, the property was 73.1% occupied, compared to 69% at YE 2024, and 68% in 2Q23. The servicer-reported YE 2024 NOI DSCR was 0.06x, compared to 0.45x at YE 2024, 0.66x at YE 2022, 1.15x at YE 2021, and 2.26x at YE 2020. The loan began amortizing in November 2020. Fitch's 'Bsf' rating case loss of 70.2% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of $97 psf. The third largest contributor to overall loss expectations in GSMS 2015-GC34 is the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets, a portfolio of three office/flex properties located in suburban Buffalo, NY. The loan transferred to special servicing in December 2019 for imminent default and the assets became REO in October 2022. According to the special servicer, the vacant spaces across the portfolio are being marketed for lease. As of December 2025, the assets are not listed for sale as the servicer is continuing to address leasing and capex needs at the properties. Portfolio cash flow has declined since issuance, partially attributed to the rent reduction of the largest tenant, Silipos (16.6% of portfolio NRA leased through April 2028), by nearly 47% as part of its 10-year lease renewal. The portfolio's other largest tenants include TDG Transit Design Group (8.4%; August 2029) and Incom Manufacturing (7.6%; April 2027). Calamar Construction Management, Inc. (14.3%) vacated the property at its scheduled July 2025 lease expiration. Portfolio occupancy was 56.2% as of the October 2025 rent roll, down from 80.3% in March 2024, 80% in March 2023, 80% in December 2022, and 86.3% in April 2020. Fitch's 'Bsf' rating case loss of 79.3% (prior to concentration add-ons) considers a stress to the most recent appraisal, reflecting a stressed value of $35 psf. The second largest contributor to overall loss expectations in CGCMT 2015-GC33 is the Decoration and Design Building loan, secured by the leasehold interest in a 588,512-sf office property located in Midtown Manhattan. The loan was flagged as a FLOC due to declining property occupancy, upcoming rollover, escalating ground rent payment and anticipated refinance risk. The loan matures in May 2026. The property is subject to a ground lease. The lease, which had expired in December 2023, was extended for 25 years through 2049. The ground rent was reset based upon the greater of the prior year's payment or 6% of the unencumbered land value. Per the updated schedule provided by the servicer, the ground rent payment starts off at $5.75 million in the first year and rises to $10.5 million by year 12 and $14.5 million by year 25. There is one additional ground lease extension option for 15 years through 2064. Per the June 2025 rent roll, the property was 65.5% occupied, compared to 62.1% in September 2024, 65% at YE 2023, 66% at YE 2022, 77% at YE 2021, 83% at YE 2020 and 87% at YE 2019. Current major tenants are Stark Carpet (6.3% of the NRA through November 2034), Holly Refining and Marketing (3.2%; March 2027) and F. Schumacher (3.1%; December 2029). Upcoming rollover includes 2.8% and 12.1% of the NRA in 2025 and 2026, respectively. Fitch's 'Bsf' rating case loss of 38.3% (prior to concentration add-ons) reflects a 13% cap rate and considers a higher ground rent figure using the annualized 2Q25 NOI. Fitch also factored a high probability of default due to expected refinance concerns. The third largest contributor to overall loss expectations in CGCMT 2015-GC33 is the Hamilton Landing loan, secured by a 406,355-sf office property located in Novato, CA. The loan transferred to special servicing in July 2025 for imminent maturity default and failed to repay in full upon its August 2025 maturity date. As of the December 2025 reporting, the loan is paid through October 2025. Major tenants at the property include Visual Concepts Entertainment (14.4% NRA through October 2033), Marin Community Foundation (8.9%; December 2026), Vionic (4.8%; July 2029), and Apparent (4.7% NRA; June 2033). Visual Concepts Entertainment had approximately half of its NRA expiring in July 2025 when the tenant downsized from 122,935-sf (30.3% of NRA or 47% of base rent) to 58,704-sf (14.4% of NRA or 23.1% of base rent). As of the July 2025 rent roll, the property was 72.7% occupied, but with the downsizing of Visual Concepts later that month, in-place occupancy is approximately 57%, compared to 70% in September 2024, 66% in September 2022, and 79% at YE 2022. The servicer-reported NOI DSCR as of 2Q25 was 2.06x, compared to 1.66x at YE 2024, 2.37x at YE 2022, and 2.77x at YE 2021. Fitch's 'Bsf' rating case loss of 35.6% (prior to concentration add-ons) reflects a 10% cap rate, a 25% haircut to the TTM June 2025 NOI due to the downsizing of the largest tenant and factors a heightened probability of default as the loan is now past its scheduled maturity date. Increase in Credit Enhancement (CE): As of the December 2025 distribution date, the pool's aggregate balance for GSMS 2015-GC34 has been reduced by 71.8% to $239.4 million from $848.4 million at issuance. All remaining loans are past their scheduled 2025 maturity dates. As of the December 2025 distribution date, the pool's aggregate balance for CGCMT 2015-GC33 has been reduced by 77.4% to $216.8 million from $958.5 million at issuance. Three loans are past their scheduled 2025 maturity dates and one loan is maturing in May 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade --Downgrades to the junior 'AAAsf' rated class in GSMS 2015-GC34 are not expected due to anticipated paydown, but is possible with continued performance deterioration and increased loss expectations of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur or are expected to occur; --Downgrades to classes rated in the 'Asf' rated class in GSMS 2015-GC34 could occur should performance of the FLOCs, most notably Illinois Center and 750 Lexington Avenue loans, deteriorate further or if more loans than expected default at or prior to maturity; --Downgrades in the 'BBBsf', and 'Bsf' rated categories in CGCMT 2015-GC33 are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; --Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, as losses be realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade --Upgrades to classes rated in the 'Asf' rated class in GSMS 2015-GC34 could occur with significantly increased CE, and stable to improved pool-level loss expectations and performance stabilization on the FLOCs, most notably Illinois Center and 750 Lexington Avenue loans; --Upgrades to the 'BBBsf' category rated class in CGCMT 2015-GC33 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 'Bsf' category rated classes in CGCMT 2015-GC33 could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; --Upgrades to the 'CCCsf', 'CCsf' and 'Csf' category rated classes are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. DIAMETER CAPITAL 13: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. EFMT 2025-NQM6: Fitch Rates Class B2 Certs 'Bsf' ------------------------------------------------ Fitch Ratings has assigned final ratings to EFMT 2025-NQM6. RATING ACTIONS Rating Prior ------ ----- EFMT 2025-NQM6 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1X LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The EFMT 2025-NQM6 certificates are supported by 895 loans with a balance of $501.14 million as of the cutoff date. This will be the 15th 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) and acquired using the underwriting guidelines of Silver Hill Capital, LLC; 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,A-1B, A-1FCF, A-1LCF, 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-3 will have an interest rate equal to the net WAC. Fitch was not asked to rate the AIOS Class. 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 73.9%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.6%. 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-1FCF, A-1LCF, 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, A-1FCF, A-1LCF 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-1FCF, A-1LCF, 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, A-1FCF, A-1LCF, 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 class A notes 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 15.79% 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. ELEMENT NOTES: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Element Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Element Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Element Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. GEMINI NOTES: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Gemini Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Gemini Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Gemini Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-PJ11: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 65 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ11, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (83.9% by balance) and GSE-eligible (16.1% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 10.2% by loan balance), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ11 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-30, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on December 09, 2025, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.34%, in a baseline scenario-median is 0.15% and reaches 4.72% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ILPT COMMERCIAL 2022-LPFX: DBRS Confirms BB(high) on HRR Certs -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-LPFX issued by ILPT Commercial Mortgage Trust 2022-LPFX as follows: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance, as evidenced by the portfolio's occupancy, minimal near-term tenant rollover, and increased net cash flow (NCF) since issuance. The loan is secured by a portfolio of industrial properties across several states and consists primarily of single-tenant properties with tripe-net leases. The transaction is secured by the borrower's fee-simple interest in 17 industrial properties, totaling 9.4 million square feet across 12 states and 13 different industrial markets, with the largest concentrations in Philadelphia; Richmond, Virginia; Nashville, Tennessee; Spartanburg, South Carolina; and Columbus, Ohio. The sponsor, Industrial Logistics Properties Trust, is a publicly traded real estate investment trust that was formed to own and lease industrial and logistics properties throughout the United States. The $445.0 million whole loan comprises 18 promissory notes: 13 senior A notes totaling $341.1 million and five junior B notes totaling $103.9 million. The subject transaction consists of $176.1 million of senior debt and the entirety of the subordinate debt. The remaining senior A notes are included in several securitizations including WFCM 2022-C62, MSC 2022-L8, BMARK 2022-B35, BBCMS 2022-C16, and BANK 2022-BNK41, the latter three of which Morningstar DBRS rates. The capital structure also includes two tranches of mezzanine debt, which had an issuance balance of $255 million and are also held outside the trust. The fixed-rate loan is interest only (IO) for the full 10-year term. As of the June 2025 rent rolls, the portfolio remained 100% occupied, unchanged since issuance. Approximately 6.8% of the net rentable area (NRA) have leases scheduled to expire within the next 12 months; including, Avnet, Inc. (6.2% of the NRA, lease expiry in September 2026) and Max Siegel Inc. (0.6% of the NRA, lease expiry in May 2026). Rollover concerns are concentrated in 2027 with 40.3% of the NRA scheduled to expire; however, given the historically strong tenant retention and favorable asset type, Morningstar DBRS believes the portfolio's occupancy will remain stable. During the previous review, Morningstar DBRS noted that FedEx (1.0% of the NRA) had a lease scheduled to expire in September 2025; however, according to the June 2025 rent roll, the tenant has renewed its lease for an additional five years, expiring in September 2030. The largest tenants in the portfolio include Amazon.com, Inc. (Amazon; 32.3% of the NRA, lease expiry in September 2027), Restoration Hardware (12.7% of the NRA, lease expiry in February 2028), and Barrett Distribution (6.8% of NRA, lease expiry in April 2027). The majority of the base rent is attributable to investment-grade tenants, including Amazon; UPS (6.5% of the NRA, lease expiry in May 2030); Avnet, Inc.; and YNAP Corporation (1.8% of the NRA, lease expiry in August 2035), ensuring cash flow stability. According to the trailing six-month financials ended June 30, 2025, the portfolio reported an annualized NCF of $44.2 million (debt service coverage ratio (DSCR) of 2.54 times (x)), compared with the YE2024 figure of $42.9 million (DSCR of 2.45x). With this review, Morningstar DBRS maintained its derived value at issuance of $536.8 million based on the Morningstar DBRS NCF of $36.2 million and a capitalization rate of 6.75%, resulting in a Morningstar DBRS Loan-to-Value Ratio (LTV) of 130.4% based on the whole-loan debt of $700.0 million. Morningstar DBRS applied positive qualitative adjustments totaling 8.25% to the LTV Sizing Benchmarks to reflect the concentration of investment-grade tenants ensuring cash flow stability, high property quality with new vintage facilities, and the favorable locations of the properties near major transportation hubs. Given the minimal near-term rollover, improved financial performance, and favorable asset type, Morningstar DBRS expects the portfolio will continue to perform in line with issuance expectations. Notes: All figures are in U.S. dollars unless otherwise noted. JORDAN NOTES: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Jordan Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Jordan Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Jordan Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-11: DBRS Finalizes B(low) Rating on Class B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-11 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-11: -- $389.0 million Class A-1 at AAA (sf) -- $389.0 million Class A-1-A at AAA (sf) -- $389.0 million Class A-2 at AAA (sf) -- $389.0 million Class A-2-A at AAA (sf) -- $389.0 million Class A-2-B at AAA (sf) -- $389.0 million Class A-2-X1 at AAA (sf) -- $389.0 million Class A-2-X2 at AAA (sf) -- $389.0 million Class A-2-X3 at AAA (sf) -- $350.6 million Class A-3 at AAA (sf) -- $350.6 million Class A-3-A at AAA (sf) -- $350.6 million Class A-3-B at AAA (sf) -- $350.6 million Class A-3-X1 at AAA (sf) -- $350.6 million Class A-3-X2 at AAA (sf) -- $350.6 million Class A-3-X3 at AAA (sf) -- $263.0 million Class A-4 at AAA (sf) -- $263.0 million Class A-4-A at AAA (sf) -- $263.0 million Class A-4-B at AAA (sf) -- $263.0 million Class A-4-X1 at AAA (sf) -- $263.0 million Class A-4-X2 at AAA (sf) -- $263.0 million Class A-4-X3 at AAA (sf) -- $87.7 million Class A-5 at AAA (sf) -- $87.7 million Class A-5-A at AAA (sf) -- $87.7 million Class A-5-B at AAA (sf) -- $87.7 million Class A-5-X1 at AAA (sf) -- $87.7 million Class A-5-X2 at AAA (sf) -- $87.7 million Class A-5-X3 at AAA (sf) -- $210.4 million Class A-6 at AAA (sf) -- $210.4 million Class A-6-A at AAA (sf) -- $210.4 million Class A-6-B at AAA (sf) -- $210.4 million Class A-6-X1 at AAA (sf) -- $210.4 million Class A-6-X2 at AAA (sf) -- $210.4 million Class A-6-X3 at AAA (sf) -- $140.2 million Class A-7 at AAA (sf) -- $140.2 million Class A-7-A at AAA (sf) -- $140.2 million Class A-7-B at AAA (sf) -- $140.2 million Class A-7-X1 at AAA (sf) -- $140.2 million Class A-7-X2 at AAA (sf) -- $140.2 million Class A-7-X3 at AAA (sf) -- $52.6 million Class A-8 at AAA (sf) -- $52.6 million Class A-8-A at AAA (sf) -- $52.6 million Class A-8-B at AAA (sf) -- $52.6 million Class A-8-X1 at AAA (sf) -- $52.6 million Class A-8-X2 at AAA (sf) -- $52.6 million Class A-8-X3 at AAA (sf) -- $38.4 million Class A-9 at AAA (sf) -- $38.4 million Class A-9-A at AAA (sf) -- $38.4 million Class A-9-B at AAA (sf) -- $38.4 million Class A-9-X1 at AAA (sf) -- $38.4 million Class A-9-X2 at AAA (sf) -- $38.4 million Class A-9-X3 at AAA (sf) -- $70.1 million Class A-10 at AAA (sf) -- $70.1 million Class A-10-A at AAA (sf) -- $70.1 million Class A-10-B at AAA (sf) -- $70.1 million Class A-10-X1 at AAA (sf) -- $70.1 million Class A-10-X2 at AAA (sf) -- $70.1 million Class A-10-X3 at AAA (sf) -- $70.1 million Class A-11 at AAA (sf) -- $70.1 million Class A-11-A at AAA (sf) -- $70.1 million Class A-11-B at AAA (sf) -- $70.1 million Class A-11-X1 at AAA (sf) -- $70.1 million Class A-11-X2 at AAA (sf) -- $70.1 million Class A-11-X3 at AAA (sf) -- $70.1 million Class A-12 at AAA (sf) -- $70.1 million Class A-12-A at AAA (sf) -- $70.1 million Class A-12-B at AAA (sf) -- $70.1 million Class A-12-X1 at AAA (sf) -- $70.1 million Class A-12-X2 at AAA (sf) -- $70.1 million Class A-12-X3 at AAA (sf) -- $140.2 million Class A-13 at AAA (sf) -- $140.2 million Class A-13-A at AAA (sf) -- $140.2 million Class A-13-B at AAA (sf) -- $140.2 million Class A-13-X1 at AAA (sf) -- $140.2 million Class A-13-X2 at AAA (sf) -- $140.2 million Class A-13-X3 at AAA (sf) -- $122.7 million Class A-14 at AAA (sf) -- $122.7 million Class A-14-A at AAA (sf) -- $122.7 million Class A-14-B at AAA (sf) -- $122.7 million Class A-14-X1 at AAA (sf) -- $122.7 million Class A-14-X2 at AAA (sf) -- $122.7 million Class A-14-X3 at AAA (sf) -- $389.0 million Class A-X-1 at AAA (sf) -- $389.0 million Class A-X-2 at AAA (sf) -- $389.0 million Class A-X-3 at AAA (sf) -- $8.5 million Class B-1 at AA (low) (sf) -- $8.5 million Class B-1-A at AA (low) (sf) -- $8.5 million Class B-1-X at AA (low) (sf) -- $6.2 million Class B-2 at A (low) (sf) -- $6.2 million Class B-2-A at A (low) (sf) -- $6.2 million Class B-2-X at A (low) (sf) -- $4.5 million Class B-3 at BBB (low) (sf) -- $2.3 million Class B-4 at BB (low) (sf) -- $825.0 thousand Class B-5 at B (low) (sf) Classes A-2-X1, A-2-X2, A-2-X3, A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X1, A-11-X2, A-11-X3, A-12-X1, A-12-X2, A-12-X3. A-13-X1, A-13-X2, A-13-X3, A-14-X1, A-14-X2, A-14-X3, A-X-1, A-X-2, A-X-3, B-1-X and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-2-X1, A-2-X2, A-2-X3, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-X1, A-11, A-11-A, A-11-X1, A-12, A-12-A, A-12-X1, A-13, A-13-A, A-13-B, A-13-X1, A-13-X2, A-13-X3, A-14, A-14-A, A-14-B, A-14-X1, A-14-X2, A-14-X3, A-X-1, B-1 and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-11-A, A-11-B, A-12, A-12-A, A-12-B, A-13, A-13-A, A-13-B, A-14, A-14-A, and A-14-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.70% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.65%, 2.15%, 1.05%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-11 (the Certificates). The Certificates are backed by 306 loans with a total principal balance of $412,497,989 as of the Cut-Off Date (December 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 90.3% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 9.7% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) and PennyMac Loan Services, LLC originated 45.9%, and 13.5% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by UWM (45.6%), JPMorgan Chase Bank, N.A. (37.6%), PennyMac Loan Services, LLC (13.5%), and loanDepot (3.3%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 1, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-12MPR: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 11 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2025-12MPR, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (91.3% by balance) and GSE-eligible (8.7% by balance) residential mortgages aggregated by JPMorgan Chase Bank, N.A. (JPMCB), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-12MPR Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1C, Assigned (P)Aaa (sf) Cl. A-1D, Assigned (P)Aaa (sf) Cl. A-1M, Assigned (P)Aa1 (sf) Cl. A-2, Assigned (P)Aa3 (sf) Cl. A-3, Assigned (P)A3 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.42% and reaches 10.52% 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. JP MORGAN 2025-12MPR: Moody's Assigns Ba2 Rating to Cl. B-2 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 11 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-12MPR, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (91.3% by balance) and GSE-eligible (8.7% by balance) residential mortgages aggregated by JPMorgan Chase Bank, N.A. (JPMCB), originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2025-12MPR Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1C, Definitive Rating Assigned Aaa (sf) Cl. A-1D, Definitive Rating Assigned Aaa (sf) Cl. A-1M, Definitive Rating Assigned Aa1 (sf) Cl. A-2, Definitive Rating Assigned Aa3 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Baa3 (sf) Cl. B-2, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings for Class A-3 and Class M-1 of A2 (sf) and Baa2 (sf) are one notch higher than the provisional ratings of (P)A3 (sf) and (P)Baa3 (sf) respectively. The definitive rating for Class B-1 of Baa3 (sf) is two notches higher than the provisional rating of (P)Ba2 (sf). The definitive rating for Class B-2 of Ba2 (sf) is three notches higher than the provisional rating of (P)B2 (sf). The difference is primarily a result of the transaction closing with a lower weighted average cost of funds (WAC) than what Moody's modeled when the provisional ratings were assigned. The WAC assumption as well as other structural features, were provided by the issuer. 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 0.78%, in a baseline scenario-median is 0.42% and reaches 10.52% 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. JP MORGAN 2025-CES7: S&P Assigns B-(sf) Rating on Cl. B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2025-CES7's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans (including loans with interest-only features) to both prime and nonprime borrowers. The loans are secured by single-family residential, planned-unit development, condominium, two- to four-family residential, townhouse, manufactured housing, and condotel properties. The pool has 4,315 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), non-QM/compliant loans, QM rebuttable presumption loans, and ability-to-repay-exempt loans. The ratings reflect S&P' view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned J.P. Morgan Mortgage Trust 2025-CES7(i) Class A-1A, $370,388,000: AAA (sf) Class A-1B, $22,884,000: AAA (sf) Class A-1, $393,272,000: AAA (sf) Class A-2, $21,940,000: AA- (sf) Class A-3, $18,166,000: A- (sf) Class M-1, $11,088,000: BBB (sf) Class B-1, $14,391,000: BB- (sf) Class B-2, $8,021,000: B- (sf) Class B-3, $4,954,493: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class A-R, not applicable(iv): NR (i)The ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)Prior to the servicing transfer date (on or about Jan. 31, 2026), the class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the SPS- and Shellpoint-serviced mortgage loans as of the first day of the related due period, and after the servicing transfer date, the aggregate unpaid principal balance of the SPS serviced loans. The class A-IO-S will not be entitled to payments of principal. (iii)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (iv)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. NR--Not rated. SPS—Select Portfolio Servicing Inc. Shellpoint—Shellpoint Mortgage Servicing. JP MORGAN 2025-LTV3: Fitch Gives B-(EXP) Rating to Class B2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2025-LTV3 (JPMMT 2025-LTV3). JPMMT 2025-LTV3 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 351 loans with a scheduled balance of $362.30 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) originated mainly by United Wholesale Mortgage, LLC. and aggregated by Maxex Clearing, LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. The vast majority of the mortgage loans in the pool will be serviced by Nationstar Mortgage LLC d/b/a Rushmore Servicing and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Nationstar is the master servicer. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years and 79.67% of the loans are purchases, over 90% of the loans are single family/PUDs, and all the loans are owner occupied or second homes. The loans are seasoned at an average of four months. The pool has a weighted average (WA) original FICO score of 753 indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 86.14%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 93.58%. This transaction has a Final PD of 24.71% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 44.72%. The expected loss in the 'AAAsf' rating stress is 11.05%. Structural Analysis (Mixed): Modified Sequential Structure with Full Advancing The transaction has a modified sequential-payment structure, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all the class A notes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed first to class A-1A and A-1B, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. Like other modified sequential structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both of these features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the payment date in January 2030, since the class A notes have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. In addition, on any payment date occurring on or after the payment date in January 2030 on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once the class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. Operational Risk Analysis (Positive) Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either A or B. Counterparty and Legal Analysis (Neutral) Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2025-LTV3 to be fully de-linked and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (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 JPMMT 2025-LTV3 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 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 sMVD in the 'Bsf' case, which is 8.15%. 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'. JP MORGAN 2025-NQM5: DBRS Finalizes B(low) Rating on B2 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-NQM5 (the Certificates) issued by J.P. Morgan Mortgage Trust 2025-NQM5 (the Issuer) as follows: -- $100.0 million Class A-1FCF at AAA (sf) -- $33.3 million Class A-1LCF at AAA (sf) -- $252.0 million Class A-1A at AAA (sf) -- $40.4 million Class A-1B at AAA (sf) -- $292.4 million Class A-1 at AAA (sf) -- $51.1 million Class A-2 at AA (high) (sf) -- $52.3 million Class A-3 at A (sf) -- $21.7 million Class M-1A at BBB (sf) -- $7.3 million Class M-1B at BBB (low) (sf) -- $14.1 million Class B-1 at BB (low) (sf) -- $11.5 million Class B-2 at 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 AAA (sf) credit ratings on the Certificates reflect 27.55% of credit enhancement provided by the subordinated Certificates. The AA (high) (sf), A (sf), BBB (sf), BBB (low) (sf), BB (low) (sf), and 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, M-1, and B-1. 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. JP MORGAN 2025-PHNY: DBRS Finalizes B(low) Rating on Class F Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-PHNY (the Certificates) issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-PHNY (the Trust): -- 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 F at B (low) (sf) All trends are Stable. The Trust is secured by the borrower's fee-simple interest in the PUBLIC Hotel (the Hotel). Constructed in 2017, the 17-story, full-service Hotel features 367 guest rooms. The Hotel is well located in the Lower East Side neighborhood of Manhattan, providing convenient access to some of New York City's most vibrant neighborhoods, such as SoHo, NoLita, NoHo, Chinatown, and the West Village. The Hotel's amenities include seven food and beverage (F&B) outlets, 8,930 sf of meeting space, and a health and wellness program through which the Hotel partners with exercise trainers to host daily workout classes. The collateral is in a high-demand area of New York City thanks to its proximity to boutique retailers, trendy restaurants, bars, nightlife venues, and art galleries. The Hotel benefits from strong brand affiliation and experienced sponsorship via affiliates controlled by the Ian Schrager Company and the Witkoff Group. Ian Schrager is the world-renowned boutique hotel developer that created the PUBLIC brand, which embodies thoughtful design, service, and style to deliver a unique, one-of-a-kind experience to hotel guests. Morningstar DBRS has a generally positive view of the subject property, considering its prime location in Manhattan, brand affiliation, and strong performance. Delivered in 2017, the Hotel emphasizes sophisticated design and style across guest rooms and amenities paired with great service to ensure exceptional value for guests. Through the combination of stylish design, service and value, the PUBLIC brand creates a luxury for all experience for guests. Furthermore, the Hotel specializes in entertainment and socializing through its various venue spaces to attract hotel guests as well as city residents. Between 2019 and 2024, the sponsor invested approximately $13.8 million ($37,657 per key) in capex and repairs at the Hotel. In 2024, the sponsor spent $1.3 million ($3,544 per key) to renovate the cocktail lounge, Two Fifteen, and repair flooring on the roof. The largest capex investment of $10.1 million was made during 2020-21 to repair the damage from a flood that occurred in 2020 while the Hotel was closed during the height of the COVID-19 pandemic. To further enhance the offerings at the Hotel, three F&B outlets, Popular, Cantina & Pisco Bar, and Louis, will close in the near future because of underperformance. The three spaces will be replaced by a new concept by an affiliate of Union Square Hospitality. Founded by Danny Meyer in 1985, Union Square Hospitality Group is a world-renowned restaurant group that comprises some of New York City's most coveted restaurants such as Gramercy Tavern, The Modern, and Maialino. The new F&B concept is anticipated to open in the first half of 2026. The mortgage loan of $253.0 million, in conjunction with $57.0 million of mezzanine debt made by TKO Public hotel SCSp, and $43.3 million of preferred equity was used to refinance existing senior and mezzanine debt, cover closing costs, and fund upfront reserves. The loan is a two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the WA mortgage loan component spread of 3.186%. The borrower will enter an interest rate cap agreement with an assumed SOFR cap of 2.650% during the initial term. The sponsors for the transaction are the Ian Schrager Company and the Witkoff Group. Founded in 2005, by hotel developer Ian Schrager, the Ian Schrager Company's portfolio includes such high-profile projects as the transformation of the Gramercy Park Hotel and development of two residential projects, 40 Bond and 50 Gramercy Park North. The firm also has a partnership with Marriott International through the EDITION brand, one of Marriott's luxurious, top-tier brands. Based in Miami, the Witkoff Group is a global real estate development and investment firm that specializes in purchasing undervalued properties and successfully repositioning the assets in major cities across the U.S. Since the Witkoff Group's inception in 1997, the firm has executed more than 100 transactions totaling more than $30.0 billion. The Ian Schrager Company and the Witkoff group benefit from an established partnership shaping both the hospitality and residential markets in New York City through its various projects. The Hotel is ranked number two in its competitive set for revenue per available room (RevPAR) in the T-12 ended October 31, 2025, period, and achieved occupancy, average daily rate (ADR) and RevPAR indexes of 106.6%, 104.9%, and 111.8%, respectively, over this period. To improve RevPAR after a slight decline in YE2023 and further support long-term ADR growth, the Hotel established a partnership with Premiere Advisory Group (PAG), a third-party revenue management team in 2023. PAG successfully implemented its business plan by focusing on direct bookings, investing in marketing efforts, and increasing revenue through the establishment of an amenity fee. Since YE2023, the Hotel has seen overall RevPAR growth year over year. The collateral's strong performance is further demonstrated by an increase in RevPAR that was greater than the competitive set's RevPAR increase over the same period. In 2019, prior to the COVID-19 pandemic, the subject reported an occupancy rate of 86.1% and an ADR of $317.62 for a RevPAR of $273.52. The property achieved a RevPAR of $300.01 as of YE2024 and a RevPAR of $314.90 as of the T-12 ended October 31, 2025, highlighting increases of 9.7% and 15.1%, respectively, from pre-pandemic levels. The Hotel's favorable location in the Lower East Side neighborhood and Ian Schrager's brand value should position it well to remain a strong performer in its competitive set. Notes: All figures are in U.S. dollars unless otherwise noted. JUBILEE CLO 2025-XXXII: Fitch Rates Class F Notes 'B-sf' -------------------------------------------------------- Fitch Ratings has assigned Jubilee CLO 2025 XXXII DAC notes final ratings. RATINGS ACTION Rating Prior ------ ----- Jubilee CLO 2025-XXXII DAC Class A-1 Notes XS3163518676 LT AAAsf New Rating AAA(EXP)sf Class A-2 Notes XS3175960650 LT AAAsf New Rating AAA(EXP)sf Class B-1 Notes XS3163518833 LT AAsf New Rating AA(EXP)sf Class B-2 Notes XS3163518916 LT AAsf New Rating AA(EXP)sf Class C Notes XS3163519054 LT Asf New Rating A(EXP)sf Class D-1 Notes XS3163519138 LT BBB-sf New Rating BBB-(EXP)sf Class D-2 Notes XS3175960908 LT BBB-sf New Rating BBB-(EXP)sf Class E Notes XS3163519302 LT BB-sf New Rating BB-(EXP)sf Class F Notes XS3163519484 LT B-sf New Rating B-(EXP)sf Subordinated Notes XS3163519567 LT NRsf New Rating NR(EXP)sf Transaction Summary Jubilee CLO 2025 XXXII DAC is a securitisation of mainly senior secured obligations (at least 96%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. The portfolio has a target par of EUR500 million. The portfolio is actively managed by BSP CLO Management LLC. The collateralised loan obligation (CLO) has a 4.5-year reinvestment period and an 7.5-year weighted average life test (WAL) at closing. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors in the identified portfolio to be in the 'B' category. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24. High Recovery Expectations (Positive): At least 96% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 61.7%. Diversified Portfolio (Positive): The transaction includes various concentration limits in the portfolio, including a fixed-rate obligation limit at 12.5%, a top 10 obligor concentration limit at 20%, and a maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction includes two matrix sets, each based on a top 10 obligor limit of 20%. One matrix set is effective at closing, corresponding to fixed-rate asset limits of 6% and 12.5%, and to a 7.5-year WAL test. The forward matrix set corresponds to a seven-year WAL test, with the same fixed-rate asset limits as the closing matrices. The forward matrix set can be elected by the manager six or 18 months after closing (the latter if the WAL is stepped up), subject to the collateral principal (with defaults carried at Fitch collateral value) being at least equal to the reinvestment target par balance. The transaction has a 4.5-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year, following the step-up determination date, which is 12 months or 18 months after closing (the latter if matrix switch occurs prior to a WAL step up). The WAL extension is at the discretion of the manager but is subject to conditions, including fulfilling the collateral-quality tests, coverage tests and meeting the reinvestment target par, with defaulted assets at their collateral value on the step-up determination date. Cash Flow Modelling (Positive): The WAL used for the transaction's Fitch-stressed portfolio is 6.5 years, 12 months less than the WAL covenant at closing to account for structural and reinvestment conditions after the reinvestment period. These conditions include passing the over-collateralisation and Fitch 'CCC' limit tests, and a WAL covenant that gradually steps down over time, both before and after the end of the reinvestment period. Fitch believes 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 A 25% increase in the mean default rate (RDR) and a 25% decrease in the recovery rate (RRR) across all the ratings of the identified portfolio would have no impact on the class A-1, class A-2 and class E notes, but would lead to downgrades of one notch each for the remaining notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of defaults and portfolio deterioration. The class B-1, B-2 to F notes each have a rating cushion of up to three notches due to the identified portfolio's better metrics and a shorter WAL life than the Fitch-stressed portfolio. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase in the mean RDR and a 25% decrease in the RRR across all ratings of the Fitch-stressed portfolio, would lead to downgrades of up to four notches each for the rated notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction in the RDR and a 25% increase in the RRR across all the ratings of the Fitch-stressed portfolio would lead to upgrades of up to five notches each for the rated notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed-case portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period, except for the 'AAAsf' notes, may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread being available to cover losses in the remaining portfolio. KAWARTHA CAD 2024-1: DBRS Finalizes BB(high) Rating on E Tranche ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Senior Tranche, the Tranche B, the Tranche C, the Trance D, and the Tranche E (collectively, the Tranche Amounts) of Kawartha CAD Ltd. (the Issuer) pursuant to Schedule 1 of the executed Junior Loan Portfolio Financial Guarantee (the Financial Guarantee) dated April 15, 2024, between the Issuer as Guarantor and the Bank of Montreal (BMO) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO (rated AA with a Stable trend by Morningstar DBRS): -- Senior Tranche at AAA (sf) -- Tranche B at AA (low) (sf) -- Tranche C at A (sf) -- Tranche D at BBB (low) (sf) -- Tranche E at BB (high) (sf) The credit ratings on the Tranche Amounts address the likelihood of a reduction to the respective tranche notional amounts resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date. For obligors within the guaranteed portfolio, default events are limited to payment default, insolvency, and restructuring events. The credit ratings on the Tranche Amounts take into consideration only the creditworthiness of the reference portfolio. The credit ratings neither address counterparty risk nor the likelihood of any event of default or termination event under the agreement occurring. BMO bought protection under the Financial Guarantee for certain issued notes in respect of such Protected Tranche (as defined in the Financial Guarantee). The payment of principal and interest (the Guarantee Fee Amount, as defined in the Financial Guarantee) on the Notes is subject to additional counterparty credit risk associated with the Beneficiary's ability to pay such amounts. As a result, if Morningstar DBRS were to rate such Notes, even if they are pari passu with a related Tranche Amount, Morningstar DBRS' credit ratings on the Notes may be different than the credit ratings assigned to the related Tranche Amounts. To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. CREDIT RATING RATIONALE/DESCRIPTION In accordance with these updates, final credit ratings may be assigned and monitored for transactions such as synthetic structures, that incorporate unexecuted credit default swap ("CDS") agreements, transaction documents or other similar agreements, provided that there is at least one executed CDS contract or other similar agreement that is effected under the same reference portfolio and with broadly the same terms and conditions. This criterion typically applies to unfunded CDS agreements or other similar agreements, such as bank synthetic risk transfer (SRT) transactions, where the bank is retaining a portion of the credit risk and Morningstar DBRS is in a position to provide a final opinion about the creditworthiness of the transaction. Morningstar DBRS reviewed the transaction considering the above updates and transaction's performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025). Kawartha CAD Ltd., Boreal 2024-1 is a synthetic risk transfer transaction with The Bank of Montreal as the Beneficiary. The Scheduled Termination Date is May 20, 2029. The Replenishment Period End Date is November 20, 2026. The reference portfolio consists of well-diversified CRE secured loans across various obligors. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The transaction is performing according to the parameters set in the Financial Guarantee. As of November 30, 2025, there have not been any material changes to the transaction or its performance since the last surveillance review conducted on July 10th, 2025. There have not been any amendments to the transaction since the initial provisional credit rating assignment on April 10, 2024. In addition, in its analysis Morningstar DBRS considered the following aspects of the transaction: (1) The Financial Guarantee. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates. Notes: All figures are in U.S. dollars unless otherwise noted. KENNEDY LEWIS 3: S&P Assigns 'BB- (sf)' Rating on Class E-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class B-R3, C-R3, D-R3, and E-R3 debt from Kennedy Lewis CLO 3 Ltd./Kennedy Lewis CLO 3 LLC (f/k/a Generate CLO 3 LLC), a CLO managed by Kennedy Lewis Loan Management LLC, that was originally issued in June 2016 and underwent a reset in December 2023. At the same time, S&P withdrew its ratings on the class B-2R, C-2R, D-2R, and E-2R debt following payment in full on the Dec. 29, 2025, refinancing date (S&P did not rate the class A-2R debt). The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The previous class A-2R debt was refinanced by the replacement class A-1R3 and A-2R3 debt (class A-1R3 is senior to class A-2R3). The non-call period was extended to July 20, 2027. -- No additional assets were purchased on the Dec. 29, 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-1R3, $244.0 million: Three-month CME term SOFR + 1.19% -- Class A-2R3, $12.0 million: Three-month CME term SOFR + 1.40% -- Class B-R3 (deferrable), $48.0 million: Three-month CME term SOFR + 1.60% -- Class C-R3 (deferrable), $24.0 million: Three-month CME term SOFR + 2.00% -- Class D-R3 (deferrable), $24.0 million: Three-month CME term SOFR + 4.50% -- Class E-R3 (deferrable), $12.0 million: Three-month CME term SOFR + 7.50% Previous debt -- Class A-2R, $256.0 million: Three-month CME term SOFR + 1.83% -- Class B-2R (deferrable), $48.0 million: Three-month CME term SOFR + 2.60% -- Class C-2R (deferrable), $24.0 million: Three-month CME term SOFR + 3.10% -- Class D-2R (deferrable), $24.0 million: Three-month CME term SOFR + 4.90% -- Class E-2R (deferrable), $12.0 million: Three-month CME term SOFR + 7.83% 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 Kennedy Lewis CLO 3 Ltd./Kennedy Lewis CLO 3 LLC Class A-1R3, $244.0 million: NR Class A-2R3, $12.0 million: NR Class B-R3, $48.0 million: 'AA (sf)' Class C-R3 (deferrable), $24.0 million: 'A (sf)' Class D-R3 (deferrable), $24.0 million: 'BBB- (sf)' Class E-R3 (deferrable), $12.0 million: 'BB- (sf)' Ratings Withdrawn Kennedy Lewis CLO 3 Ltd./Kennedy Lewis CLO 3 LLC Class B-2R to NR from 'AA (sf)' Class C-2R to NR from 'A (sf)' Class D-2R to NR from 'BBB- (sf)' Class E-2R to NR from 'BB- (sf)' Other Debt Kennedy Lewis CLO 3 Ltd./Kennedy Lewis CLO 3 LLC Subordinated notes, $53.7 million: NR NR--Not rated. KKR CLO 24: Moody's Affirms Ba3 Rating on $23MM Class E Notes ------------------------------------------------------------- Moody's Ratings has upgraded ratings on the following notes issued by KKR CLO 24 Ltd.: US$40M Class B-R Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 20, 2021 Assigned Aa1 (sf) US$19.6M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jul 20, 2021 Assigned A1 (sf) US$23.2M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Jul 20, 2021 Assigned Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$247M (Current outstanding balance US$129,504,267) Class A-1R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 20, 2021 Assigned Aaa (sf) US$13.2M Class A-2R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 20, 2021 Assigned Aaa (sf) US$23M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 8, 2020 Confirmed at Ba3 (sf) KKR CLO 24 Ltd., issued in March 2019 and refinanced in July 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in April 2024. RATINGS RATIONALE The rating upgrades on the Class B-R, Class C-R and Class D-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over the last 12 months. The Class A notes have paid down by approximately USD80.4 million (32.6% of original balance) over the last 12 months and USD117.5 million (47.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A/B, Class C and Class D. According to the trustee report dated November 2025[1] the Class A/B, Class C and Class D OC ratios are reported at 143.81%, 129.88% and 116.52%, compared to November 2024[2] levels of 133.39%, 124.14% and 114.72%, 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 affirmations on the ratings on the Class A-1R, Class A-2R and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Key model inputs: 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 its 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: USD269.8m Defaulted Securities: USD2.3m Diversity Score: 61 Weighted Average Rating Factor (WARF): 3092 Weighted Average Life (WAL): 3.92 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.22% Weighted Average Recovery Rate (WARR): 46.59% Par haircut in OC tests and interest diversion test: 3.04% 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 its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KKR CLO 38: Fitch Rates Class E-R Debt 'BBsf' --------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 38 Ltd. reset transaction. RATING ACTIONS Rating Prior ------ ----- KKR CLO 38 Ltd. X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 48259BAJ1 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 48259BAL6 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D 48259BAN2 LT PIFsf Paid In Full BBBsf D-1-R LT BBB+sf New Rating D-2-R LT BBB+sf New Rating D-3-R LT BBB-sf New Rating E-R LT BBsf New Rating F-1-R LT NRsf New Rating F-2-R LT NRsf New Rating Transaction Summary KKR CLO 38 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. The original transaction closed in April 2022, and this will be the first reset. On the refinancing date, all the notes, except the subordinated notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.61% first lien senior secured loans and has a weighted average recovery assumption of 73.84%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with 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. 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 'BBB+sf' for class D-1-R, between less than 'B-sf' and 'BBB-sf' for class D-2-R, between less than 'B-sf' and 'BB+sf' for class D-3-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, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, 'Asf' for class D-3-R, and 'BBB+sf' for class E-R. KKR CLO 59: Fitch Rates Class E Debt 'BB-sf' -------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 59 Ltd. RATINGS ACTION KKR CLO 59, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 59 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.57 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.85% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 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 'A-sf' for class C-1, between 'B+sf' and 'BBB+sf' for class C-2, 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-1, 'AAsf' for class C-2, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. MADISON PARK XLVIII: Fitch Rates Class E-R Debt 'Bsf' ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XLVIII, Ltd: Debt Rating ---- ------ A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating X-R LT NRsf New Rating Transaction Summary Madison Park Funding XLVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $448 million of primarily first lien senior secured leveraged loans (excluding defaulted obligations). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'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 97.15% first lien senior secured loans and has a weighted average recovery assumption of 74.78%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D1-R, between less than 'B-sf' and 'BB+sf' for class D2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D1-R, 'A-sf' for class D2-R, and 'BBB+sf' for class E-R. MAGNETITE LTD XXXV: Moody's Gives B3 Rating to $250,000 F-RR Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Magnetite XXXV, Limited (the Issuer): US$7,500,000 Class X-RR Amortizing Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$320,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$250,000 Class F-RR Deferrable Mezzanine Floating Rate 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 second lien loans, unsecured loans and bonds. BlackRock Financial Management, Inc. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2873 Weighted Average Spread (WAS): 2.85% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.07 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. MIDOCEAN CREDIT: Fitch Rates Class E Notes 'BB-sf' -------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XX. RATING ACTIONS Rating Prior ------ ----- MidOcean Credit CLO XX A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C-1 LT A+sf New Rating A+(EXP)sf C-2 LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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. MORGAN STANLEY 2025-NQM10: DBRS Finalizes B Rating on B2 Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2025-NQM10 (the Certificates) issued by Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10 (the Issuer) as follows: -- $93.0 million Class A-1FCF at AAA (sf) -- $31.0 million Class A-1LCF at AAA (sf) -- $175.5 million Class A-1 at AAA (sf) -- $152.6 million Class A-1-A at AAA (sf) -- $22.9 million Class A-1-B at AAA (sf) -- $20.3 million Class A-2 at AA (sf) -- $39.9 million Class A-3 at A (low) (sf) -- $13.1 million Class M-1 at BBB (low) (sf) -- $6.8 million Class B-1 at BB (sf) -- $7.0 million Class B-2 at B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 23.40% of credit enhancement provided by the subordinated Certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 18.20%, 8.00%, 4.65%, 2.90%, and 1.10% 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 866 loans with a total principal balance of approximately $391,010,677 as of the Cut-Off Date (December 1, 2025). Subsequent to the issuance of the related Presale Report, one loan was removed from the pool. The Notes are backed by 867 loans with a total principal balance of $391,308,653 in the Presale Report. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. The pool is, on average, four months seasoned with loan ages ranging from one to 38 months. Approximately 10.5% of the Mortgage Loans were originated by Guaranteed Rate, Inc. and its affiliates. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint will service 79.4% of the loans, Select Portfolio Servicing Inc. will service 12.8% of the loans and Selene will service 7.8% of the loans respectively. Computershare Trust Company, N.A. will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. 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, 42.2% of the loans by balance are designated as non-QM. Approximately 48.5% 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 9.0% of the pool are designated as QM Safe Harbor, and there are 0.3% QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in December 2028 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. 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-1-A and Class A-1-B, 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-1-A and Class A-1-B 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, M-1 and B-1. Of note, the Class A 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 Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are 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 for any property 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. 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. MORGAN STANLEY 2025-NQM10: S&P Assigns B (sf) Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans have primarily 30-year maturity and some with 40-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 866 loans backed by 926 properties, which are QM safe harbor (APOR), QM/HPML, non-QM/ATR-compliant, and ATR-exempt loans. Of the 866 loans, 14 loans are cross-collateralized loans backed by 74 properties. S&P said, "After we assigned preliminary ratings on Dec. 10, 2025, the issuer dropped one loan. In addition, the class B-1 certificate rate was priced at a fixed rate coupon, and the credit support increased for classes A-1-A, A-1-B, A-1, A-1FCF, A-1LCF, A-2, M-1, and B-1. After analyzing the final pool, the final coupons, and the updated structure, we assigned ratings to the classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Ratings Assigned Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10 Class A-1FCF, $93,000,000: AAA (sf) Class A-1LCF, $31,000,000: AAA (sf) Class A-1, $175,514,000: AAA (sf) Class A-1-A, $152,609,000: AAA (sf) Class A-1-B, $22,905,000: AAA (sf) Class A-2, $20,332,000: AA- (sf) Class A-3, $39,883,000: A- (sf) Class M-1, $13,099,000: BBB- (sf) Class B-1, $6,843,000: BB (sf) Class B-2, $7,038,000: B (sf) Class B-3, $4,301,677: NR Class A-IO-S, notional(i): NR Class XS, notional(i): NR Class R-PT, $19,553,377: NR Class R, $0.00: NR (i)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $391,010,677. NR--Not rated. MTN COMMERCIAL 2022-LPFL: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of MTN Commercial Mortgage Trust 2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFL 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) All trends are Stable. The credit rating confirmations reflect the stable performance of the collateral portfolio, which has exhibited minimal changes in performance and composition since issuance. The transaction is secured by the borrower's fee-simple or leasehold interests in a portfolio of 82 industrial properties (78 fee-simple properties, two payment-in-lieu-of-taxes leasehold properties, and two ground leasehold properties) totaling over 15 million square feet across 25 states. The portfolio was acquired through Industrial Logistics Properties Trust's (ILPT's) $4.0 billion acquisition of Monmouth Real Estate Investment Corporation (Monmouth). The loan is sponsored by a joint venture between ILPT, the portfolio owner and controller, while the remaining 39.0% is owned by an institutional investor connected to Monmouth. The $1.4 billion floating-rate mortgage loan is interest only throughout its five-year fully extended loan term, which includes an initial two-year term and three one-year extension options. The loan has an upcoming maturity in March 2026 and, according to the most recent servicer commentary, the borrower intends to exercise its final extension option, pushing the fully extended maturity date to March 2027. The extensions are subject to meeting pre-determined requirements including no events of default and the purchase of a replacement interest rate cap agreement with a rate lesser of 3.4% or, when added to the spread yields, a minimum debt service coverage ratio (DSCR) of 1.10 times (x). The transaction documents allow for property releases at a release price of 105.0% of the allocated loan amount (ALA) for the first 80.0% of the original principal balance of the mortgage loan and 110.0% thereafter. Proceeds from the first 20.0% of property releases by ALA will be distributed across the capital stack on a pro rata basis, with all subsequent proceeds applied sequentially. Morningstar DBRS considers this structure to be credit negative, particularly at the top of the capital stack; as such, a penalty was applied in the Morningstar DBRS Loan-To-Value Ratio (LTV) Sizing Benchmarks. To date, there have been no property releases. The annualized net cash flow (NCF) for the trailing nine months ended September 30, 2025, was $87.8 million, an increase from the YE2024 NCF of $85.7 million and the Morningstar DBRS NCF of $79.5 million. The increase in cash flow is primarily driven by increases in both base rent and expense reimbursements; however, the DSCR has fallen since issuance as the in-place debt service costs on the floating rate debt have risen. Morningstar DBRS notes that the financial reporting does not account for the in-place interest rate cap. As of the September 2025 reporting, the portfolio was 98.8% occupied, a slight increase from the issuance rate of 96.5%. The portfolio's largest tenant is FedEx Corporation, which occupied 46.8% of the net rentable area (NRA) at issuance with a weighted-average lease expiration date of April 2030. Leases representing approximately 40.0% of the portfolio's NRA are scheduled to roll throughout the fully extended loan term. However, Morningstar DBRS expects demand for warehouse property types in desirable locations, such as those in the subject's portfolio, to remain stable through the extended loan term. The relative distribution of the locations is granular, with the largest state concentration in Texas, with 8.6% of the portfolio NRA. In the analysis for this review, Morningstar DBRS maintained its valuation approach from issuance, which considered an NCF of $79.5 million and a capitalization rate of 6.5%. The resulting Morningstar DBRS value of $1.2 billion represents a 41.6% variance from the issuance appraised value of $2.1 billion and reflects an LTV of 114.5%. Morningstar DBRS also maintained positive qualitative adjustments totaling 8.5% to its LTV Sizing Benchmarks to reflect the high quality of the properties, geographic diversity in key markets, and historically stable cash flow. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2025-NQM7: Fitch Rates Class B2 Notes 'B-sf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2025-NQM7 (NRMLT 2025-NQM7). RATINGS ACTION Rating Prior ------ ----- NRMLT 2025-NQM7 A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf 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 BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf 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 R LT NRsf New Rating NR(EXP)sf Transaction Summary The transaction is expected to close on Dec. 18, 2025. The notes are supported by 913 nonprime loans that were primarily originated by NewRez LLC and Champions Funding, LLC, with a total balance of approximately $489.97 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2025-NQM7 has a final probability of default (PD) of 37.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 43.2%. The expected loss in the 'AAAsf' rating stress is 16.2%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2025-NQM7 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1 classes, class A-2, and class A-3 certificates until they are reduced to zero. The class A-1 classes will receive principal payments among themselves either pro rata or sequentially depending on which combination of class A-1 classes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (please see the Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2025-NQM7 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2025-NQM76 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. NORTHWOODS CAPITAL XV: Fitch Rates Class ER3 Debt 'BB-sf' --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Northwoods Capital XV, Limited reset transaction. RATING ACTIONS Northwoods Capital XV, Limited XR3 LT NRsf New Rating A1R3 LT NRsf New Rating A2R3 LT AAAsf New Rating BR3 LT AAsf New Rating CR3 LT Asf New Rating D1R3 LT BBB+sf New Rating D2R3 LT BBB-sf New Rating D3R3 LT BBB-sf New Rating ER3 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Northwoods Capital XV, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TPG Angelo Gordon. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $447 million (excluding defaulted obligations) 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 23.13, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.76% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.26% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A2R3, between 'BB+sf' and 'A+sf' for class BR3, between 'Bsf' and 'BBB+sf' for class CR3, between less than 'B-sf' and 'BBB+sf' for class D1R3, between less than 'B-sf' and 'BB+sf' for class D2R3, between less than 'B-sf' and 'BB+sf' for class D3R3, and between less than 'B-sf' and 'B+sf' for class ER3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2R3 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 BR3, 'AAsf' for class CR3, 'A+sf' for class D1R3, 'A+sf' for class D2R3, 'A-sf' for class D3R3, and 'BBB+sf' for class ER3. OHA CREDIT 24: Fitch Rate Class E Notes 'BB-sf' ----------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 24, Ltd. RATINGS ACTION Rating Prior ------ ----- OHA Credit Funding 24, Ltd. A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D1 LT BBB-sf New Rating BBB-(EXP)sf D2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY 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+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+(EXP)sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBB-sf' for class E. PARK BLUE 2025-X: Moody's Assigns B3 Rating to $250,000 F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Park Blue CLO 2025-X, Ltd. (the Issuer or Park Blue 2025-X): US$272,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$250,000 Class F Deferrable Mezzanine 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. Park Blue 2025-X 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 first lien last out loans, second lien loans, unsecured loans and bonds. The portfolio is approximately 95% ramped as of the closing date. Centerbridge Credit Funding Advisors, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $425,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3075 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.50% 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. PMT LOAN 2025-CNF2: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 55 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-CNF2, and sponsored by PennyMac Corp. The securities are backed by a pool of owner occupied GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-CNF2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-25X*, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-26X*, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-27X*, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-28X*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-29X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X5*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on December 16th, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.40%, in a baseline scenario-median is 0.19% and reaches 5.61% 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. PMT LOAN 2025-J5: DBRS Finalizes B(low) Rating on B5 Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-J5 (the Notes) issued by PMT Loan Trust 2025-J5 (PMTLT 2025-J5 or the Trust) as follows: -- $274.5 million Class A-1 at AAA (sf) -- $274.5 million Class A-2 at AAA (sf) -- $164.7 million Class A-3 at AAA (sf) -- $164.7 million Class A-4 at AAA (sf) -- $205.9 million Class A-5 at AAA (sf) -- $205.9 million Class A-6 at AAA (sf) -- $68.6 million Class A-7 at AAA (sf) -- $68.6 million Class A-8 at AAA (sf) -- $219.6 million Class A-9 at AAA (sf) -- $219.6 million Class A-10 at AAA (sf) -- $41.2 million Class A-11 at AAA (sf) -- $41.2 million Class A-12 at AAA (sf) -- $13.7 million Class A-13 at AAA (sf) -- $13.7 million Class A-14 at AAA (sf) -- $54.9 million Class A-15 at AAA (sf) -- $54.9 million Class A-16 at AAA (sf) -- $109.8 million Class A-17 at AAA (sf) -- $109.8 million Class A-18 at AAA (sf) -- $26.6 million Class A-19 at AAA (sf) -- $26.6 million Class A-20 at AAA (sf) -- $301.1 million Class A-21 at AAA (sf) -- $301.1 million Class A-22 at AAA (sf) -- $82.3 million Class A-23 at AAA (sf) -- $82.3 million Class A-23X at AAA (sf) -- $102.9 million Class A-24 at AAA (sf) -- $102.9 million Class A-24X at AAA (sf) -- $137.2 million Class A-25 at AAA (sf) -- $137.2 million Class A-25X at AAA (sf) -- $68.6 million Class A-26 at AAA (sf) -- $68.6 million Class A-26X at AAA (sf) -- $45.7 million Class A-27 at AAA (sf) -- $45.7 million Class A-27X at AAA (sf) -- $96.1 million Class A-28 at AAA (sf) -- $96.1 million Class A-28X at AAA (sf) -- $123.5 million Class A-29 at AAA (sf) -- $123.5 million Class A-29X at AAA (sf) -- $301.1 million Class A-X1 at AAA (sf) -- $274.5 million Class A-X2 at AAA (sf) -- $164.7 million Class A-X4 at AAA (sf) -- $274.5 million Class A-X5 at AAA (sf) -- $205.9 million Class A-X6 at AAA (sf) -- $68.6 million Class A-X8 at AAA (sf) -- $219.6 million Class A-X10 at AAA (sf) -- $41.2 million Class A-X12 at AAA (sf) -- $13.7 million Class A-X14 at AAA (sf) -- $54.9 million Class A-X16 at AAA (sf) -- $109.8 million Class A-X18 at AAA (sf) -- $26.6 million Class A-X19 at AAA (sf) -- $26.6 million Class A-X20 at AAA (sf) -- $301.1 million Class A-X22 at AAA (sf) -- $11.6 million Class B-1 at AA (sf) -- $5.3 million Class B-2 at A (low) (sf) -- $1.8 million Class B-3 at BBB (sf) -- $1.5 million Class B-4 at BB (low) (sf) -- $485.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit rating on Class A-1A Loans initially contemplated in the offering documents, as it was not issued at closing. 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-X22, 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-23X, A-24X, A-25X, A-26X, A-27X, A-28X, and A-29X 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,and A-29 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 AAA (sf) credit ratings on the Notes reflect 6.75% of credit enhancement provided by subordinated Notes. The AA (sf), A (low) (sf), BBB (sf), BB (low) (sf), and 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. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2025-J5: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 55 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-J5, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (69.2% by balance) and GSE-eligible (30.8% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-J5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-25X*, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-26X*, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-27X*, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-28X*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-29X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X5*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on December 11, 2025, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.33%, in a baseline scenario-median is 0.15% 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. PRMI SECURITIZATION 2025-CMG1: DBRS Finalizes B Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-CMG1 (the Notes) issued by PRMI Securitization Trust 2025-CMG1 (PRMI 2025-CMG1 or the Trust) as follows: -- $293.4 million Class A-1 at AAA (sf) -- $34.2 million Class A-1S at AAA (sf) -- $8.1 million Class A-2 at AA (sf) -- $8.0 million Class A-3 at A (sf) -- $8.3 million Class M-1 at BBB (sf) -- $5.4 million Class B-1 at BB (sf) -- $2.9 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 9.55% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 7.30%, 5.10%, 2.80%, 1.30%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of newly originated and seasoned, performing, adjustable-rate, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 676 LOC loans with a total unpaid principal balance (UPB) of $362,172,618 and a total current credit limit of $453,822,198 as of the Cut-Off Date (November 30, 2025). On a weighted average basis, the Morningstar DBRS-calculated loan seasoning is ten months, though seasoning ranges from one to 69 months. Approximately 97.4% of the LOC loans have been performing since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development (PUDs), townhouses and condominiums. CMG Mortgage, Inc. (CMG) or CMG-qualified correspondents are the Originators of all LOC loans in the pool. CMG is a wholly owned subsidiary of CMG Financial Services, Inc., a privately held company that was founded in 1993 as CMG Mortgage, Inc. The company originates conventional, government, and jumbo mortgages. CMG also originates first-lien LOC loans to prime borrowers under the All-In-One loan program, which offers borrowers convenient cash management features and an opportunity to reduce the interest charges and accelerate principal repayment. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The transaction is the fifth securitization of first-lien HELOC loans by the Sponsor. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $19.4 billion in assets. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of 25 or 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. A 25 or 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline (in period 121) after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All of the LOC loans in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio (DTI) calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing Morningstar DBRS-rated deals, the loans in the pool generally have high borrower credit scores, are all in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. The transaction, based on a static pool, employs a sequential-pay cash flow structure subject to a performance trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. Principal proceeds can be used to cover interest shortfalls on the most senior notes outstanding (IPIP) after the Class A-1 and A-1S Notes are paid (IIPP). Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3 Notes. The Trust Certificates have a pro rata principal distribution with the Class A-1 Notes while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, The Sponsor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in U.S. dollars unless otherwise noted. PRMI SECURITIZATION 2025-CMG1: Fitch Gives B+sf Rating on B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRMI Securitization Trust 2025-CMG1 (PRMI 2025-CMG1). RATINGS ACTION Rating Prior ------ ----- PRMI 2025-CMG1 A1 LT AAAsf New Rating AAA(EXP)sf A1S LT AAAsf New Rating AAA(EXP)sf A2 LT AA+sf New Rating AA+(EXP)sf A3 LT A+sf New Rating A+(EXP)sf M1 LT BBB+sf New Rating BBB+(EXP)sf B1 LT BB+sf New Rating BB+(EXP)sf B2 LT B+sf New Rating B+(EXP)sf B3 LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has rated 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), as indicated above. 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 analyzes 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-3 thru B-2 classes based on the post pricing structure. 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. PRPM 2025-NQM6: DBRS Finalizes B(high) Rating on 2 Cert. Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM6 (the Certificates) issued by PRPM 2025-NQM6 Trust as follows: -- $159.7 million Class A1 at AAA (sf) -- $137.7 million Class A1A at AAA (sf) -- $21.9 million Class A1B at AAA (sf) -- $6.5 million Class A1FCF at AAA (sf) -- $6.5 million Class A1FCX at AAA (sf) -- $1.5 million Class A1LCF at AAA (sf) -- $12.3 million Class A2 at AA (high)(sf) -- $19.7 million Class A3 at A (high)(sf) -- $12.9 million Class M1 at BBB (sf) -- $6.2 million Class B1 at BB (high)(sf) -- $3.8 million Class B2 at B (high)(sf) -- $7.7 million Class B3 at B (high)(sf) Morningstar DBRS discontinued and withdrew its provisional credit ratings on the Class A-1F Certificate and Class A-1IO Certificate as they were not issued at closing. The AAA (sf) credit rating on the Class A-1 Certificates reflects 27.20% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 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 Rates Class B2 Certificates 'Bsf' ------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by PRPM 2025-NQM6 Trust (PRPM 2025-NQM6). RATINGS ACTION Rating Prior ------ ----- PRPM 2025-NQM6 A1FCF LT AAAsf New Rating AAA(EXP)sf A1FCX LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A1F LT WDsf Withdrawn AAA(EXP)sf A1IO LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf P LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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. Since the publication of the presale and expected ratings, Fitch received an updated pricing structure. The issuer withdrew the A-1F and A-1IO certificates, re-allocated balances to the other senior certificates and updated coupons. Fitch withdrew the expected ratings for the A-1F and A-1IO certificates which were each rated 'AAAsf (EXP)'/Stable. Fitch re-ran its cash flow analysis with the updated structure and confirmed there were no changes to the expected ratings of the outstanding classes. 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 Asset Analysis 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-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. 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: All relevant transaction parties 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 have been satisfied and fully de-link the transaction from any other entities. PRPM 2025-NQM6 is fully de-linked and serves 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. RAD CLO 31: Fitch Rates Class D Debt 'BB-sf' -------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 31, Ltd. RATING ACTIONS Rating ------ RAD CLO 31, Ltd. A-1a LT NRsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B LT Asf New Rating C-1a LT BBBsf New Rating C-1b LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RAD CLO 31, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.83 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.84% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.48% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is twelve months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for Class A-1b, between 'BB+sf' and 'A+sf' for Class A-2, between 'B+sf' and 'BBB+sf' for Class B, between less than 'B-sf' and 'BB+sf' for Class C-1a, between less than 'B-sf' and 'BB+sf' for Class C-1b, and between less than 'B-sf' and 'BB+sf' for Class C-2 and between less than 'B-sf' and 'B+sf' for Class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the Class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for Class A-2, 'AAsf' for Class B, 'A+sf' for Class C-1a, 'Asf' for Class C-1b, and 'A-sf' for Class C-2 and 'BBB+sf' for Class D. RIPPLE NOTES: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Ripple Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Ripple Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Ripple Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. ROCKFORD TOWER 2019-2: Moody's Cuts Rating on $9MM F Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Rockford Tower CLO 2019-2, Ltd.: US$54,000,000 Class B-R2 Senior Secured Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on October 4, 2024 Assigned Aa1 (sf) US$24,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa2 (sf); previously on October 4, 2024 Assigned A1 (sf) Moody's have also downgraded the rating on the following notes: US$9,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2032, Downgraded to Caa2 (sf); previously on June 21, 2024 Downgraded to Caa1 (sf) Rockford Tower CLO 2019-2, Ltd., originally issued in August 2019, and partially refinanced in August 2021 and October 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 August 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class B-R2 and Class C-R2 notes are 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-R2 notes have been paid down by approximately 36.4% or $115.5 million since then. Based on the trustee's November 2025 report[1], the OC ratios for the Class A-R2/B-R2 and Class C-R2 notes are reported at 134.49% and 124.67%, respectively, versus November 2024 levels[2] of 130.22% and 122.47%, respectively. Moody's notes that the November 2025 trustee-reported OC ratios do not reflect the November 2025 payment distribution[3], when $48.7 million of principal proceeds were used to pay down the Class A-R2 Notes. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and reduction in spread levels observed in the underlying CLO portfolio. Based on the trustee's November 2025 report[4], the OC ratio for the Class F notes is reported at 103.83% versus November 2024 level[5] of 105.23%. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level is 3.16%[6], compared to 3.53% in November 2024[7], failing the trigger of 3.60%. No actions were taken on the Class A-R2, Class D-R2, and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $361,217,381 Defaulted par: $4,137,271 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2858 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.17% Weighted Average Coupon (WAC): 4.39% Weighted Average Recovery Rate (WARR): 46.11% Weighted Average Life (WAL): 3.9 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. SCULPTOR EUROPEAN XI: Fitch Assigns B-sf Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned Sculptor European CLO XI DAC reset notes final ratings. RATING ACTIONS Sculptor European CLO XI DAC A XS2787870018 LT PIFsf Paid In Full AAAsf A-R XS3233477432 LT AAAsf New Rating B-1 XS2787870281 LT PIFsf Paid In Full AAsf B-2 XS2787870364 LT PIFsf Paid In Full AAsf B-R XS3233477606 LT AAsf New Rating C XS2787870794 LT PIFsf Paid In Full Asf C-R XS3233477945 LT Asf New Rating D XS2787870877 LT PIFsf Paid In Full BBB-sf D-R XS3233478323 LT BBB-sf New Rating E XS2787871099 LT PIFsf Paid In Full BB-sf E-R XS3233478752 LT BB-sf New Rating F XS2787871339 LT PIFsf Paid In Full B-sf F-R XS3233478919 LT B-sf New Rating X-R XS3233476897 LT AAAsf New Rating Transaction Summary Sculptor European CLO XI DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to refinance the rated notes. The transaction has a target par of EUR400 million. The portfolio is actively managed by Sculptor Europe Loan Management Limited. The CLO has a 4.5-year reinvestment period and an 8.5-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor of the identified portfolio is 24.2. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate of the identified portfolio is 61.1%. Diversified Portfolio (Positive): The transaction includes various concentration limits in the portfolio, including a top 10 obligor concentration limit of 25% and a maximum exposure to the three largest (Fitch-defined) industries in the portfolio of 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has six matrices. Two are effective at closing with fixed-rate limits of 5% and 10%; two at one year and two at eighteen months after closing with the same fixed-rate limits, provided that the portfolio balance (defaults at Fitch-calculated collateral value) is above target par. All six matrices are based on a top 10 obligor concentration limit of 20%. The closing matrices correspond to an 8.5-year WAL test, while the two forward matrices correspond to a 7.5-year and a 7.0-year WAL test, respectively. The transaction has a reinvestment period of 4.5 years and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL for the transaction's Fitch-stressed portfolio analysis is 12 months less than that specified in the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period, which include passing the coverage tests and the Fitch 'CCC' bucket limitation test, together with a WAL covenant that gradually steps down. Fitch believes these conditions will reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would lead to downgrades of one notch for the class B, C and D notes, two notches for the class E notes, to below 'B-sf' for the class F notes and have no impact on the other notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, , the class B, C, D and E notes have cushions of two notches and the class F notes of one notch. The class A and X notes have no rating cushion as they are already at the highest achievable rating. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the class B and C notes, three notches for the class A and D notes and to below 'B-sf' for the class E and F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% rise in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, enabling the notes to withstand larger-than-expected losses for the transaction's remaining life. After the end of the reinvestment, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. SEQUOIA MORTGAGE 2025-13: Fitch Gives Bsf Rating on Class B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-13 (SEMT 2025-13). RATING ACTIONS Rating Prior ------ ----- SEMT 2025-13 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 444 loans with a total balance of approximately $565.43 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure, with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 776 and a 36.6% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 72.7% mark-to-market combined LTV (cLTV). Overall, 94.6% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape consisting of two loan drops and updated balances. The issuer also provided a corresponding updated structure. Fitch re-ran its asset and cash flow analysis and there were no changes to its previous expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2025-13 has a final probability of default (PD) of 9.83% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.23%. The expected loss in the 'AAAsf' rating stress is 3.56%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2025-13 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 98.2% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2025-13 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2025-13, and therefore Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. SHACKLETON 2017-XI CLO: Moody's Cuts $22.5MM E Notes Rating to B3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Shackleton 2017-XI CLO, Ltd.: US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on Apr 11, 2025 Upgraded to A3 (sf) US$22.5M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B3 (sf); previously on Aug 25, 2020 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following notes: US$50.25M (Current outstanding balance US$13,428,967) Class B-R1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 4, 2024 Upgraded to Aaa (sf) US$9.75M Class B-R2 (Current outstanding balance US$2,605,621) Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Feb 4, 2024 Upgraded to Aaa (sf) US$27.5M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 11, 2025 Upgraded to Aaa (sf) US$7.5M (Current outstanding balance US$8,127,657) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Apr 21, 2023 Downgraded to Caa3 (sf) Shackleton 2017-XI CLO, Ltd., originally issued in August 2017 and partially refinanced in March 2020, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in August 2022. RATINGS RATIONALE The upgrade on the rating on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in April 2025. The Class A-R notes have been fully repaid, and the Class B-R1 and B-R2 notes have been paid down by approximately USD36.8 million (73.3%) and USD7.1 million (73.3%), respectively, since the last rating action in April 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated November 2025[1], the Class A/B, Class C and Class D OC ratios are reported at 312.10%, 181.83% and 124.94% compared to March 2025[2] levels of 208.51%, 155.50% and 121.73%, 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 downgrade to the rating on the Class E notes is due to the deterioration in the credit quality of the underlying collateral pool and the deterioration in over-collateralisation ratio for the tranche since the last rating action in April 2025. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated November 2025[1], the WARF was 4174, compared with 3949 in March 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 21.5% of the underlying portfolio, versus 16.1% in March 2025. The Class E OC ratio has also deteriorated since the rating action in April 2025. According to the trustee report dated November 2025[1], the Class E OC ratio is reported at 101.20% compared to March 2025[2] level of 104.68% and is currently in breach. In addition, Class E Interest Coverage test is also failing. The affirmations on the ratings on the Class B-R1, B-R2, C-R and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published 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: USD105.0m Defaulted Securities: USD3.9m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3965 Weighted Average Life (WAL): 2.70 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.36% Weighted Average Recovery Rate (WARR): 47.09% Par haircut in OC tests and interest diversion test: 7.99% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- 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. SILVER POINT 14: Fitch Assigns BB+sf Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 14, Ltd. RATING ACTIONS Silver Point CLO 14, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 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 Silver Point CLO 14, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.29% first-lien senior secured loans and has a weighted average recovery assumption of 73.89%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1 and 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 and class C-2, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. SIXTH STREET 31: Fitch Rates Class E Notes 'BB-sf' -------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO 31, Ltd. RATINGS ACTION Rating Prior ------ ----- Sixth Street CLO 31, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Sixth Street CLO 31, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.31, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.3% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, 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 'BBB+sf' for class E. TCI-FLATIRON CLO 2018-1: Fitch Affirms BB-sf Rating on E-R2 Notes ----------------------------------------------------------------- Fitch Ratings has upgraded TCI-Flatiron CLO 2018-1 Ltd.'s (TCI-Flatiron 2018-1) class B-R2 and C-R2 notes and affirmed the class A-R2, D-R2 and E-R2 notes. Fitch has also assigned Positive Rating Outlooks to the upgraded notes and revised the Outlooks on the Class D-R2 and E-R2 to Positive from Stable. The Outlook on Class A-R2 remains Stable. RATING ACTIONS Rating Prior ------ ----- TCI-Flatiron CLO 2018-1 Ltd. A-R2 87232CAA8 LT AAAsf Affirmed AAAsf B-R2 87232CAC4 LT AA+sf Upgrade AAsf C-R2 87232CAE0 LT A+sf Upgrade Asf D-R2 87232CAG5 LT BBB-sf Affirmed BBB-sf E-R2 87232DAA6 LT BB-sf Affirmed BB-sf Transaction Summary TCI-Flatiron 2018-1 is a broadly syndicated collateralized loan obligation (CLO) that is managed by TCI Capital Management LLC. The transaction originally closed in January 2019 and was first refinanced in March 2021. After exiting its reinvestment period in January 2024, it underwent a second refinancing in July 2025. The transaction is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Note Amortization Improves Model Implied Ratings (MIR) The upgrades and Positive Outlooks are driven by note amortization of the class A-R2 notes, which resulted in increased credit enhancement (CE) levels for all notes and break-even default rate cushions against their relevant rating stress default levels. As of October 2025 reporting, approximately 20% of the class A-R2 has amortized since the July 2025 refinancing. Fitch has conducted an updated stressed analysis that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook. In addition, the stressed analysis extended the weighted average life to the minimum risk horizon of 4.0 years. The rating action for the class B-R2 and C-R2 notes are one and two notches below their respective MIRs, due to the limited cushions at the higher rating stresses. The rating actions for the Class D-R2 and E-R2 are two notches below their MIRs due to the potential for continued spread compression and tail risks of the portfolio. However, the Positive Outlooks reflect Fitch's expectation of improvement in CE levels from future note amortization that could outweigh these risks. Fitch has affirmed the class A-R2 notes in line with its MIR. The Stable Outlook reflects the view that credit protection is adequate to withstand potential credit quality deterioration in stresses consistent with current ratings. Limited Post-Reinvestment Trading Activity and Increasing Concentration Post-reinvestment period trading activity is limited and subject to certain conditions, including the satisfaction of the Moody's 'Caa' concentration limitation, which is currently failing. As of the November 2025 trustee report, portfolio target par losses were limited to 0.2%, based on the collateral balance adjusted for trustee-reported recoveries on defaulted assets. Fitch calculated a weighted average rating factor of 25.7 compared to 25.4 at the July 2025 refinancing. The trustee-reported weighted average spread declined to 3.08% from 3.20% on the indicative portfolio in July 2025. Portfolio concentration also increased, with 144 obligors and the largest 10 obligors representing 13.2% of the portfolio (excluding cash), compared with 164 obligors and 11.85% in July 2025. 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 not lead to downgrades of any class of notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; -- Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, 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 one rating category for the class B-R2 and C-R2 notes and at least two categories for the class D-R2 and E-R2 notes, based on the MIRs. TIDAL NOTES: DBRS Confirms BB Rating on Class C Notes ----------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) of Tidal Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Tidal Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) -- Class D Notes confirmed at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Fourth Supplemental Indenture, dated December 30, 2025, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Fourth Supplemental Indenture increased the Commitment Amounts of the Secured Notes and modifies the collateral quality matrix (CQM), among other changes. The Stated Maturity is July 25, 2035. The Scheduled Reinvestment Period End Date is July 25, 2027. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Tidal Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. 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). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). 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 reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 153.09%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 139.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 125.30%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 318.64%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 271.64%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 216.05%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 49.68%; Threshold 60.00% Class B Advance Rate: Actual 55.89%; Threshold 67.50% Class C Advance Rate: Actual 64.17%; Threshold 77.50% Class D Advance Rate: Actual 66.24%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 23.02; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 29.90%; Threshold 40.00% Minimum WA Spread: Actual 5.66%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.10%; Threshold 59.04% As of October 31, 2025, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Fourth Supplemental Indenture, supported the credit rating actions on the above-mentioned Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. TIKEHAU CLO III: Fitch Rates Class F-R Notes 'B-sf' --------------------------------------------------- Fitch Ratings has assigned Tikehau CLO III DAC final ratings. RATING ACTIONS A-R XS3229445195 LT AAAsf New Rating B-R XS3229445278 LT AAsf New Rating C-R XS3229445351 LT Asf New Rating D-R XS3229445435 LT BBB-sf New Rating E-R XS3229445609 LT BB-sf New Rating F-R XS3229445781 LT B-sf New Rating Sub Notes XS1680963565 LT NRsf New Rating Transaction Summary Tikehau CLO III DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds were used to fund a portfolio with a target par of EUR420 million. The portfolio is actively managed by Tikehau Capital Europe Limited. The collateralised loan obligation (CLO) has a 4.6-year reinvestment period and a 7.25-year weighted average life test (WAL) at closing. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch places the average credit quality of obligors at 'B'/'B-'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24.7. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 59.4%. Diversified Asset Portfolio (Positive): The transaction has a concentration limit for the 10 largest obligors at 20%. The transaction also includes various other concentration limits, including a maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 4.6-year reinvestment period, which is governed by reinvestment criteria that are similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. The transaction has two matrix sets, with each set corresponding to fixed rate asset limit of 5% and 10% and a top 10 obligor limit of 20%. The closing matrix set has a WAL test of 7.25 years while the forward matrix set has a WAL test of seven years. The forward matrix set can be elected by the manager three months from closing (or 18 months from closing if the WAL step-up condition is satisfied) and it is subject to the collateral principal amount (defaults at Fitch collateral value) being at least equal to the reinvestment target par balance. Once a forward matrix is elected, the transaction cannot switch back to the closing matrix. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by 1.25 years on or after the step-up date, which is 15 months after closing. The WAL extension is subject to conditions, including passing the collateral quality and coverage tests based on the closing matrix set and the collateral principal amount (defaults at Fitch collateral value) being at least equal to the reinvestment target par balance. If the step-up condition is satisfied between 15 and 18 months from closing, the closing matrix set shall be applicable. If the step-up condition is only satisfied on or after 18 months from closing, then the forward matrix set is applicable. Cash Flow Modelling (Positive): The WAL used for the Fitch-stressed portfolio analysis was reduced by 12 months. This is to account for the strict reinvestment conditions envisaged after the reinvestment period. These include passing the coverage tests and the Fitch 'CCC' maximum limit and a WAL covenant that progressively steps down over time. Fitch believes 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 A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A-R notes but would lead to downgrades of one notch each for the class B-R, C-R, D-R, and E-R notes, and to below 'B-sf' for the class F-R notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The class B-R to E-R notes each have a rating cushion of two notches and the class C-R notes have a cushion of one notch, due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches each for the class A-R to D-R notes, and to below 'B-sf' for the class E-R and F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to four notches each for the rated notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement. TRINITAS CLO XXXVII: Fitch Rates Class E Certs 'BB+sf' ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Trinitas CLO XXXVII, Ltd. RATINGS ACTION Trinitas CLO XXXVII, Ltd. A-1 LT NRsf 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 F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Trinitas CLO XXXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital 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', 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 98.62% first-lien senior secured loans and has a weighted average recovery assumption of 74.29%. 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 weighted average life (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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D 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, and 'Asf' for class D and 'BBB+sf' for class E. WELLS FARGO 2014-LC16: DBRS Confirms C Rating on Class C Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit rating on the remaining class of Commercial Mortgage Pass-Through Certificates, Series 2014-LC16 issued by Wells Fargo Commercial Mortgage Trust 2014-LC16 as follows: -- Class C at C (sf) There is no trend given the C (sf) credit rating. The transaction is winding down with two matured loans remaining, both of which are specially serviced. The credit rating confirmation reflects Morningstar DBRS' ultimate recoverability expectations for the remaining loans and the increased propensity for interest shortfalls to accumulate, which were outstanding for the Class C certificate before the repayment of the Barstow Shopping Center loan (Prospectus ID #50) with the December 2025 remittance. Since the previous Morningstar DBRS credit rating action in January 2025, the Barstow Shopping Center loan was liquidated with a $1.2 million loss and two loans with a former trust balance of $16.7 million were disposed from the pool without a realized loss, all generally in line with Morningstar DBRS' expectations. Morningstar DBRS' liquidation scenarios for the two remaining loans indicate that losses will likely fully erode the nonrated Class D certificate and partially erode the Class C certificate, supporting the credit rating of C (sf). The master servicer deemed the remaining loans to be nonrecoverable and, as such, Morningstar DBRS expects shortfalls for Class C to resume with the January 2025 remittance, barring any further repayments. The two remaining loans, Harlequin Plaza (Prospectus ID#7; 64.6% of the pool) and Orchard Falls (Prospectus ID#13; 35.4% of the pool) are secured by suburban Denver office properties that have faced significant value declines of more than 65% and 70%, respectively, since issuance. The Harlequin Plaza loan consists of two low-rise buildings comprising 329,926 square feet (sf). Despite the YE2023 debt service coverage ratio (DSCR) of 1.35 times (x), the loan transferred to special servicing in May 2024 because of imminent monetary default as the borrower was unable to repay the loan at its June 2024 maturity. According to the servicer commentary, the property's occupancy rate as of June 2025 was about 71.5%, in line with the YE2024 occupancy rate of about 70%, based on servicer reporting. The appraised value of $16.2 million as of March 2025 represented a slight decline of 5.8% from the appraised value of $17.2 million as of June 2024, but a substantial decline from the appraised value of $46.6 million at issuance with an implied current loan-to-value ratio (CLTV) of 172.8%. According to updates from the servicer, the asset became real estate owned as of June 2025. Based on a liquidation scenario that considered a haircut to the 2025 appraisal, Morningstar DBRS expects a loss severity of approximately 66.0% for this loan. According to servicer updates, the 146,276-sf Orchard Falls loan had an occupancy rate of 84.0% as of June 2025 with a DSCR of 1.45x, down slightly from an occupancy rate of 90.0% as of February 2024. Morningstar DBRS also notes that only one of the five largest tenants, representing less than 5.0% of net rentable area, has a lease expiration date in 2025; the other four tenants have lease expiration dates between 2027 and 2033. The loan transferred to special servicing in March 2024 because of imminent monetary default in advance of its May 2024 maturity date. The most recent appraised value of $7.6 million as of February 2025 represented an increase from the appraised value of $4.8 million as of June 2024, but a significant decline from the appraised value of $26.1 million issuance with an implied CLTV of 201.9%. According to servicer updates, the borrower filed for bankruptcy in September 2025. Based on a liquidation scenario that considered a haircut to the 2025 appraisal, Morningstar DBRS expects a loss severity of approximately 67.0% for this loan. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2025-5C7: Fitch Rates Class F-RR Certs 'B-sf' --------------------------------------------------------- Fitch Ratings has assigned final ratings and Ratings Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C7 Commercial Mortgage Pass-Through Certificates, Series 2025-5C7 as follows: -- $4,228,000 class A-1 'AAAsf'; Outlook Stable; -- $90,000,000 class A-2 'AAAsf'; Outlook Stable; -- $446,076,000 class A-3 'AAAsf'; Outlook Stable; -- $540,304,000a class X-A 'AAAsf'; Outlook Stable; -- $132,181,000a class X-B 'A-sf'; Outlook Stable; -- $50,171,000 class A-S 'AAAsf'; Outlook Stable; -- $45,347,000 class B 'AA-sf'; Outlook Stable; -- $36,663,000 class C 'A-sf'; Outlook Stable; -- $27,602,000ab class X-D 'BBB-sf'; Outlook Stable; -- $27,602,000b class D 'BBB-sf'; Outlook Stable; -- $24,499,000bc class E-RR 'BB-sf'; Outlook Stable; -- $13,508,000bc class F-RR 'B-sf'; Outlook Stable; Fitch does not rate the following class: -- $33,769,063bc class G-RR Fitch does not rate the following loan-specific classes: -- $14,660,000bd class MBP-C -- $27,090,000bd class MBP-D -- $27,530,000bd class MBP-E -- $28,940,000bd class MBP-F -- $5,180,000bd class MBP-G -- $6,600,000bd class MBP-HRR -- $11,750,000bd class CG-A -- $64,600,000abd class CG-X -- $15,750,000bd class CG-B -- $21,550,000bd class CG-C -- $15,550,000bd class CG-D -- $3,400,000bd class CG-HRR (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR and G-RR certificates comprise the transaction's horizontal risk retention interest. (d) The transaction includes 12 classes of non-offered loan specific certificates (non-pooled rake classes) related to the companion loans of Mall at Bay Plaza (MBP-) and Crossgates Mall (CG-). Since Fitch published its expected ratings on Dec. 1, 2025, the balances for classes A-2 and A-3 were finalized. At the time, the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the $0-$150,000,000 range, subject to a variance of plus or minus 5%. The final class balance for class A-4 is $90,000,000. The initial aggregate certificate balance for the A-3 class was expected to be in the $386,076,000-$536,076,000 range, subject to a variance of plus or minus 5%. The final class balance for class A-5 is $446,076,000. Additionally, the issuer removed class MBP-X. The final ratings are based on information provided by the issuer as of Dec. 18, 2025. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 25 loans secured by 265 commercial properties with an aggregate principal balance of $771,863,063 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Zions Bancorporation, N.A., Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, UBS AG, BSPRT CMBS Finance, LLC, Goldman Sachs Mortgage Company and Societe Generale Financial Corporation. Midland Loan Services, a Division of PNC Bank, National Association will serve as the master servicer. CWCapital Asset Management LLC will serve as the special servicer to the mortgage loans with the exception of Mall at Bay Plaza and Crossgates Mall. KeyBank National Association will act as the special servicer for Mall at Bay Plaza, and Midland Loan Services, a Division of PNC Bank, National Association will act as the special servicer for Crossgates Mall. Computershare Trust Company, National Association will serve as the trustee and certificate administrator. BellOak, LLC is the operating advisor. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 18 loans totaling 89.0% by balance. Fitch's resulting net cash flow (NCF) of $79.2 million represents an 15.6% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. Private Label Multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.7% is higher than the 2025 YTD and 2024 averages of 97.0% and 92.4%, respectively. The pool's Fitch NCF debt yield (DY) of 10.3% is lower than the 2025 YTD and 2024 averages of 10.4% and 10.7%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 69.2% of the pool, higher than the 2025 YTD and 2024 averages of 62.1% and 61.0%, respectively. The pool's effective loan count of 18.2 is lower than the 2025 YTD and 2024 average of 21.4 and 22.2, respectively. Investment-Grade Credit Opinion Loans: One loan, Mall at Bay Plaza (9.1% of the pool) received a standalone credit opinion of 'A-sf*'. The pool's investment-grade credit opinion percentage is lower than the 2025 YTD and 2024 averages of 15.3% and 14.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 102.3% and 10.1%, respectively, compared with the 2025 YTD conduit LTV and DY averages of 103.2% and 9.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: --Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; --10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/ below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: --Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; --10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'B+sf' [] Fitch Takes Action on 2,060 Classes From 300 US RMBS Deals ------------------------------------------------------------- Fitch Ratings has taken various actions on 2,060 classes from 300 U.S. RMBS Non-Qualified Mortgage (NQM)/Non-Prime 2.0 transactions issued from 2018 to 2025. Fitch also removed 1,421 of these classes from 'Under Criteria Observation' (UCO) after review. Fitch last reviewed this portfolio in January 2025. Transaction Summary Rating Action Summary: -- 996 classes upgraded; -- 982 classes affirmed; -- 82 classes paid-in-full. 1,765 classes have a Stable Outlook, 211 have a Positive Outlook and two have a Negative Outlook. A list of the ratings is available at https://tinyurl.com/2pdftmpt KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive) Expected losses on Non-Qualified Mortgage (NQM) transactions decreased by 4.8%, on average, at the 'AAA' rating case since last year. Lower expected losses were the most significant rating driver in this review. The significant decline in expected losses (EL) is primarily the result of Fitch's updated RMBS Criteria (October 2025) and the new probability of default (PD) and loss severity (LS) framework. The updated framework revised Fitch's PD regression and treatment of non-full documentation loans. Fitch's treatment of alternative documentation loan underwriting is now less punitive, all else equal, resulting in lower PD levels for NQM pools. Additionally, DSCR loans, prevalent in NQM pools, now receive less of a PD penalty, varying based on the ratio of rent over the borrower's debt service. Fitch introduced PD adjustments for other risk factors outside of the regression that are prevalent in NQM deals, including DSCR loans, foreign national borrowers, CDFI loans, and cross-collateralized loans. However, these adjustments are less punitive than the previous criteria and are also scaled down over time as the loan seasons and the borrower's pay history is established, which becomes more significant to the loan's credit. For loss severity, the new approach introduces cure and modification outcomes into the LS framework, which better aligns to servicer loss mitigation standards post-GFC. Borrowers with high amounts of equity, or low loan to value (LTV) ratios, are more likely to reperform or modify without requiring liquidation, generally leading to lower loss severities. The current weighted averaged combined LTV ratio for these NQM pools is 69.7%. The 2021 & earlier vintages have low mark to mark combined LTVs, as these pools have experienced greater home price appreciation and borrower pay-downs, supporting lower expected loss levels. Borrower delinquencies in NQM pools have increased moderately in the last year. Thirty plus day delinquencies (30+ DQ%) have increased by 1.3%, and sixty plus day delinquencies (60+ DQ%) increased by 88 bps since the last review. National home prices continue to rise, albeit at a slower pace, as lower inventory bolsters the market. Case Shiller marked a 1.3% increase in national home prices as of September 2025. Fitch currently views national home prices as 10.3% overvalued as of 2Q25, down 20 bps from the previous quarter. Structural Analysis (Positive) The upgrades were primarily driven by Fitch's updated asset analysis, which led to lower expected losses. However, increases in class relative credit enhancement (CE) have also supported positive rating pressure. Relative CE for rated classes increased by 1.6% in the last six months. Most of the transactions under review feature a modified sequential structure, where senior tranches are paid principal pro-rata while subordinate bonds are locked out from principal payments until the senior bonds are fully paid off. These structures allow for leakage to the A-2 and A-3 classes, but also include performance triggers that, if breached, will switch the waterfall to be straight sequential. Although delinquencies have increased in NQM, most deals are not close to tripping their delinquency trigger. The current three-month conditional prepayment rate is 18.6%. Conditional Prepayment Rates were around 10% through most of 2024 and the first half of 2025 but have recently jumped due to declining mortgage rates. Newer vintages with higher mortgage coupons have demonstrated the highest prepayment activity recently compared to older vintages. Fitch's cash flow analysis is largely unchanged from the prior rating actions. However, a key change from the updated criteria is that servicer advancing is now treated as a structural feature rather than an output of expected losses. The lower recoveries from this structural feature is taken into account in the cash flow analysis. Operational Risk Analysis (Mixed) Fitch believes that operational risk is well controlled for in all transactions in this review. 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. However, the only consideration that has a direct impact on Fitch's loss expectations is loan-level due diligence. 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 Risk and Credit Linkages (Negative) The ratings on the PacWest notes in this review were directly linked to Pacific Western Bank's IDR. After PacWest was negatively affected by the failure of Silicon Valley Bank in 1H23, Fitch downgraded and ultimately withdrew its rating in December 2023. Before this failure, funds were transferred, ensuring principal payments on the PacWest notes were made from an eligible account at CitiBank. Interest payments on the notes are unsecured debt obligations of CitiBank. The ratings on the notes are directly linked to the Issuer Default Rating (IDR) of the counterparty, CitiBank, N.A. (A+/F1/Outlook Stable). On Aug. 15, 2025, Fitch affirmed CitiBank N.A.'s ratings. Fitch also applied an 'Asf' rating cap to three transactions issued by Change Lending, LLC. Change Lending is an independent Community Development Financial Institution (CDFI) that must originate 60% of its loans to its CDFI target markets to maintain its CDFI designation. As a CDFI-designated lender, Change Lending's loans are exempt from the Ability To Repay rule and do not require income, employment, or debt-to-income (DTI) documentation. While the loans were originated to creditworthy borrowers based on other attributes, due to the lack of employment and income verification, Fitch has capped the highest possible rating for Change Lending-issued transactions (CHNGE 2023-2/3/4) at 'Asf' with a Stable Rating Outlook. The rest of the deals in the review conform with the requirements described in Fitch's Global Structured Finance Rating Criteria. Additionally, all legal requirements are satisfied to fully de-link the transaction from any other entities. Rating Cap Analysis (Positive) Another significant driver of upgrades in this review was the removal of rating caps previously found in Fitch's old RMBS rating criteria. First, the new RMBS criteria removed the multi-notch upgrade tolerance. Classes are now rated at the highest stress where they are projected to receive all principal while experiencing no interest shortfalls. Previously, a class had to pass two notches above from its current rating to be upgraded. The second change was the removal of the months-to-pay-off (MTPO) upgrade cap. MTPO was a metric calculated by Fitch's cash flow modeling that estimated how many months it would take for a class to pay off. Previously, a class had to be under a certain MTPO to be upgraded to limit ratings volatility due to tail risk. This tolerance has been removed with the updated criteria, leading to positive rating pressure for subordinate classes with lower priority in the waterfall. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative stress 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 decline at the base case. This analysis indicates some potential rating migration with higher MVDs compared with the model projection. 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 with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. 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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to U.S. RMBS Loss Metrics. ********* 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. 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