/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250309.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, March 9, 2025, Vol. 29, No. 67 Headlines 720 EAST VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes A&D MORTGAGE 2025-NQM1: S&P Assigns Prelim 'B-'Rating on B-2 Certs ACRE COMMERCIAL 2017-FL3: DBRS Confirms CCC Rating on F Notes AGL CLO 16: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes AGL CLO 3: Fitch Assigns 'BB+sf' Rating on Class E-R Notes AMERICAN CREDIT 2025-1: DBRS Finalizes BB(low) Rating on E Notes ANCHORAGE CAPITAL 17: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ANCHORAGE CREDIT 11: Moody's Ups Rating on $22MM E Notes From Ba1 ANTARES CLO 2018-1: S&P Assigns Prelim BB- (sf) Rating E-R Notes APIDOS CLO XLII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes APIDOS CLO XLII: Moody's Assigns B3 Rating to $500,000 F-R Notes BAIN CAPITAL 2021-1: Moody's Assigns Ba3 Rating to $20MM E-R Notes BALLYROCK CLO 16: S&P Assigns Prelim BB- (sf) Rating on D-R Notes BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB(low) Rating on F Certs BAMLL COMMERCIAL 2019-BPR: S&P Affirms 'B-' Rating on X-NM Certs BANK 2025-5YR13: Fitch Assigns 'B-sf' Final Rating on Two Tranches BARINGS MIDDLE 2023-II: S&P Affirms B- (sf) Rating on Cl. E Notes BATTALION CLO XX: S&P Assigns BB- (sf) Rating on Class E-R Notes BATTALION CLO XXVIII: Fitch Assigns BB(EXP) Rating on Class E Notes BHG SECURITIZATION 2025-1CON: Fitch Gives BB(EXP) Rating on E Notes BMO 2025-C11: Fitch Assigns 'B-sf' Final Rating on Cl. G-RR Certs BRYANT PARK 2023-19: S&P Assigns B- (sf) Rating on Cl. F-R Notes BX TRUST 2025-ROIC: Moody's Assigns Ba3 Rating to Cl. E Certs CARLYLE US 2021-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARVANA AUTO 2025-P1: S&P Assigns Prelim 'BB+ ' Rating on N Notes CBAM LTD 2018-7: Moody's Affirms B1 Rating on $37.5MM Cl. E Notes CEDAR FUNDING XII: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes CHASE HOME 2025-2: DBRS Gives Prov. B(low) Rating on B5 Certs CHASE HOME 2025-2: Fitch Assigns B+sf Final Rating on Cl. B-5 Debt CIFC FUNDING 2025-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes CITIGROUP COMMERCIAL 2015-GC31: DBRS Cuts B Certs Rating to B COLT 2025-3: Fitch Gives 'B(EXP)sf' Rating on Cl. B-2 Certificates DBGS 2019-1735: DBRS Confirms B Rating on Class E Certs EFMT 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs ELMWOOD CLO 38: S&P Assigns BB- (sf) Rating on Class E Notes ELMWOOD CLO 39: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes FIDELIS 2025-RTL1: DBRS Gives Prov. B(low) Rating on B Notes FIGRE TRUST 2025-HE1: DBRS Finalizes B(low) Rating on F Notes GCAT TRUST 2025-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs GREAT LAKES 2019-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes GS MORTGAGE 2025-NQM1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs GS MORTGAGE 2025-PJ2: DBRS Gives Prov. B(low) Rating on B5 Notes GS MORTGAGE 2025-PJ2: Moody's Assigns B3 Rating to Cl. B-5 Certs GSF 2025-AXMF1: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes HARVEST COMMERCIAL 2025-1: DBRS Gives Prov. B Rating on M5 Notes HAYFIN US XII: S&P Assigns BB- (sf) Rating on Class E-R Notes HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2025-1 D Notes HPS LOAN 2025-24: S&P Assigns Prelim BB- (sf) Rating on E Notes JMP MORGAN 2022-OPO: Moody's Lowers Rating on Cl. F Certs to B3 JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs JP MORGAN 2013-LC11: S&P Lowers Cl. B Notes Rating to 'CCC-' JP MORGAN 2019-FL12: S&P Lowers EYT2 Certs Rating to 'CCC (sf)' JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on G Certs JP MORGAN 2025-2: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2025-HE1: Fitch Assigns Bsf Final Rating on Cl. B-2 Certs JP MORGAN 2025-VIS1: S&P Assigns B (sf) Rating on Cl. B2 Certs JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating on 2 Classes to BB LIFE MORTGAGE 2022-BMR2: Moody's Cuts Rating on Cl. D Certs to Ba2 MADISON PARK XLVI: Moody's Gives Ba3 Rating to $27MM E-RR Notes MAGNETITE LTD XXXIV: Moody's Gives B3 Rating to $410,000 F-R Notes MAGNETITE XXXIV: Fitch Assigns 'BBsf' Rating on Class E-R Notes MARATHON CLO 14: S&P Affirms 'BB- (sf)' Rating on Class D Notes MFA TRUST 2025-NQM1: Fitch Assigns B-(EXP) Rating on B2 Certs MIDOCEAN CREDIT VII: Moody's Cuts Rating on $28.5MM E Notes to Caa2 MILFORD PARK CLO: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes MORGAN STANLEY 2016-C32: Fitch Lowers Rating on Class F Debt to CC MORGAN STANLEY 2018-BOP: DBRS Cuts Class B Certs Rating to CCC MSBAM 2025-5C1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs MVW LLC 2023-1: Fitch Affirms 'BBsf' Rating on Class D Notes NASSAU LTD 2019-II: Moody's Cuts Rating on $20MM Cl. E Notes to B2 NEUBERGER BERMAN 38: S&P Assigns BB- (sf) Rating on E-R2 Notes NEUBERGER BERMAN 42: S&P Assigns BB- (sf) Rating on Cl. E-R Notes NMEF FUNDING 2025-A: Fitch Assigns BB(EXP) Rating on Cl. D Notes NYC COMMERCIAL 2025-3BP: Moody's Assigns Ba2 Rating to Cl. E Certs OCP CLO 2025-40: S&P Assigns Prelim BB- (sf) Rating on E Notes OHA CREDIT X-R: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes PMT LOAN 2021-INV2: Moody's Hikes Rating on Cl. B-5 Debt to Ba1 PMT LOAN 2025-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs POST ROAD 2022-1: DBRS Hikes Class E Notes Rating to BB(high) PRPM 2025-NQM1: DBRS Gives Prov. BB(low) Rating on B1 Certs PRPM 2025-RCF1: DBRS Finalizes BB(low) Rating on M3 Notes RALI TRUST: Moody's Hikes 70 Ratings From 12 RMBS Deals RATE MORTGAGE 2025-J1: DBRS Gives Prov. B Rating on Cl. B5 Notes RATE MORTGAGE i982025-J1: Fitch Assigns B Rating on Class B-5 Certs RCKT MORTGAGE 2025-CES2: Fitch Assigns Bsf Rating on Five Tranches READY CAPITAL 2021-FL6: DBRS Confirms BB(low) Rating on F Notes REALT 2025-1: Fitch Assigns 'B(EXP)sf' Rating on Cl. G Certs REGATTA XVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RIDE 2025-SHRE: Moody's Assigns Ba2 Rating to Cl. E Certs RR 20 LTD: S&P Assigns BB- (sf) Rating on Class D-R Notes RR 37 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class D Notes RR 38 LTD: S&P Assigns BB-(sf) Rating on Class D Notes SCF EQUIPMENT 2022-2: Moody's Ups Rating on Class F-1 Notes to Ba2 SCG COMMERCIAL 2025-DLFN: Fitch Assigns B+(EXP) Rating on HRR Certs SEQUOIA INFRASTRUCTURE I: S&P Affirms B- (sf) Rating on E Notes SEQUOIA MORTGAGE 2025-3: Fitch Assigns B(EXP) Rating on B5 Certs SIXTH STREET XVII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SOUND POINT 35: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SOUND POINT XVI: Moody's Affirms Ba3 Rating on $40MM Class E Notes TCW CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes TIKEHAU US VII: S&P Assigns Prelim BB- (sf) Rating on E Notes TOORAK MORTGAGE 2025-RRTL1: DBRS Gives Prov. B Rating on B1 Notes TOWD POINT 2025-CRM1: DBRS Finalizes B Rating on B2 Notes TRESTLES CLO VI: Fitch Assigns 'B+sf' Final Rating on Cl. F-R Notes UNITED AUTO 2025-1: S&P Assigns Prelim BB (sf) Rating on E Notes VELOCITY COMMERCIAL 2025-1: DBRS Finalizes B Rating on 3 Classes VERUS SECURITIZATION 2025-2: S&P Assigns Prelim B+(sf) on B-2 Notes VOYA CLO 2021-2: Fitch Assigns BB-sf Final Rating on Cl. E-R Notes WELLS FARGO 2016-C35: Fitch Lowers Rating on Cl. E Notes to 'B-sf' WELLS FARGO 2025-C64: Fitch Assigns B-sf Final Rating on J-RR Certs WIND RIVER 2016-1K: Moody's Cuts Rating on $14.1MM E-R2 Notes to B1 WIND RIVER 2021-3: S&P Assigns BB- (sf) Rating on Class E-R Notes WOODMONT 2022-10: S&P Assigns BB- (sf) Rating on Class E Notes [] DBRS Reviews 308 Classes From 10 US RMBS Transactions [] DBRS Reviews 41 Classes From 7 US RMBS Transactions [] DBRS Reviews 414 Classes From 39 US RMBS Transactions [] Moody's Hikes Ratings on 12 Bonds from 10 Scratch & Dent RMBS [] Moody's Upgrades Ratings on 23 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 30 Bonds From 9 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds From 3 US RMBS Deals [] Moody's Upgrades Ratings on 9 Bonds from 2 US RMBS Deals [] S&P Takes Various Actions on 86 Classes From 11 US RMBS Deals ********* 720 EAST VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to 720 East CLO VII Ltd./720 East CLO VII 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 Northwestern Mutual Investment Management Co. LLC. The preliminary ratings are based on information as of March 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned 720 East CLO VII Ltd./720 East CLO VII LLC Class A-1, $195.00 million: AAA (sf) Class A-1L, $61.00 million: AAA (sf) Class A-1N(i), $0.00 million: AAA (sf) Class A-2, $24.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.50 million: Not rated (i)On any business day, all or a portion of the aggregate outstanding amount of the class A-1L loans may be converted into the class A-1N notes and such amount will cease to be outstanding. No notes may be converted at any time into the class A-1L loans. The balance on the class A-1N notes will be zero on the closing date. A&D MORTGAGE 2025-NQM1: S&P Assigns Prelim 'B-'Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to A&D Mortgage Trust 2025-NQM1's mortgage-backed certificates. The certificates are backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 1,290 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption (average prime offer rate), non-QM/ability to repay (ATR)-compliant loans, and ATR-exempt loans. The preliminary ratings are based on information as of Feb. 27, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's macroeconomic outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) A&D Mortgage Trust 2025-NQM1 Class A-1A, $269,392,000: AAA (sf) Class A-1B, $45,893,000: AAA (sf) Class A-1, $315,285,000: AAA (sf) Class A-2, $23,405,000: AA- (sf) Class A-3, $65,857,000: A- (sf) Class M-1, $23,405,000: BBB- (sf) Class B-1, $14,227,000: BB- (sf) Class B-2, $10,326,000: B- (sf) Class B-3, $6,425,370: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The 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 $458,930,370.89. NR--Not rated. ACRE COMMERCIAL 2017-FL3: DBRS Confirms CCC Rating on F Notes ------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Floating Rate Notes issued by ACRE Commercial Mortgage 2017-FL3 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) All trends are Stable with the exception of Class F, which does not carry a trend given the CCC (sf) or lower credit rating. The credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayments, with total collateral reduction of 39.0% since issuance, an increase from 5.6% at the previous Morningstar DBRS credit rating action in March 2024. While the loan repayment is credit positive to the transaction at the top of the capital stack, one loan was also liquidated from the trust in April 2024 as expected, which resolved with a realized loss of $50.1 million, reducing the current balance of the unrated, first loss piece to $2.8 million and credit support at the bottom of the capital stack. Most borrowers are progressing with the individual business plans to increase property cash flow and value; however, Morningstar DBRS notes a handful of borrowers are facing increased execution risk because of a combination of factors, including slower than expected rent growth and increases in debt service costs stemming from the current elevated interest rate environment. As a result of lagging business plans, Morningstar DBRS notes several borrowers have received short-term modifications to extend loan maturity dates to allow borrowers to either sell loan collateral or secure take-out financing. While the majority of the modifications required deleveraging and/or reserve deposits, Morningstar DBRS notes there remains increased risks for those loans. As such, the analysis for this review generally considered stressed scenarios to increase the loan-level expected losses (ELs), generally reflective of stressed values for the collateral properties or upward probability of default (POD) adjustments based on the level and source of the increased stress. While this approach increased the pool EL by more than a full percentage point from the prior credit rating action's analysis, there was no downward pressure for the credit ratings given the collateral reduction noted above. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. As of the January 2025 remittance, the pool comprises 11 loans secured by 12 properties with a cumulative trust balance of $339.6 million. Since the previous Morningstar DBRS rating action in March 2024, four loans with a former cumulative trust balance of $158.3 million have been repaid in full. The transaction was structured with a Reinvestment Period, which ended with the March 2024 Payment Date. The property type concentration is evenly distributed as the transaction consists of three loans, representing 40.9% of the current trust balance, secured by multifamily properties, two loans, representing 22.0% of the current trust balance, secured by industrial properties, and two loans, representing 20.0% of the current trust balance, secured by office properties. The remaining four loans are secured by self-storage properties. Leverage across the pool has increased slightly from issuance levels as the current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 67.5%, with a current WA stabilized LTV of 62.3%. In comparison, these figures were 64.4% and 58.0%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for seven loans, representing 71.5% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. As of the January 2025 reporting, one loan, representing 8.2% of the current trust balance, is in special servicing. The loan, 251 Monro Avenue Prospectus ID# 41; 8.2% of the current trust balance), is secured by a 1.7 million-square-foot (sf) outdoor industrial property spread across 21 buildings in Northern New Jersey. The loan transferred to special servicing in November 2024 for maturity default. According to the collateral manager, the borrower is trying to refinance the loan; however, the potential timing is unclear. According to the financials provided by the collateral manager, the property was 71.0% occupied while generating net operating income (NOI) of $4.3 million for the trailing 12-month period ended September 30, 2024, resulting in a debt service coverage ratio (DSCR) of 1.76 times (x) and debt yield of 15.2%. In its current analysis, Morningstar DBRS applied an upward LTV adjustment of approximately 72.5% as well as an increased Probability of Default penalty to reflect the increased credit risk of the loan. The loan expected loss is approximately 1.25x times greater than the expected loss for the pool. The Northridge Commons (Prospectus ID 34; 14.1% of the current trust balance), represents the pool's only loan being monitored on the servicer's watchlist. The loan is secured by seven Class B office/flex industrial buildings in Sandy Springs, Georgia. The loan was structured with a future funding of $19.4 million, of which $10.0 million was reserved for capital renovations at the property, while the remaining $9.4 million was reserved for leasing costs. As of YE2024 the loan is fully funded as the borrower has completed all capital expenditures. In January 2025, the loan was modified, extending loan maturity three months to March 2025 to provide additional time for the sponsor to market the property for sale. As of September 30, 2024, the property was 90.2% occupied, an improvement compared with the occupancy rate of 68.4% at closing. According to servicer reporting, as of the trailing 12-month period ended September 30, 2024, the property generated an NCF of $4.6 million, equating to a DSCR of 1.03x and a debt yield of 9.7%. Net cash flow (NCF) has surpassed the Morningstar DBRS Stabilized NCF figure of $4.0 million but slightly trails the Issuer's stabilized NCF figure of $4.9 million. In its current analysis, Morningstar DBRS applied an upward LTV adjustment of approximately 93.2% as well as an increased Probability of Default penalty to reflect the increased credit risk of the loan regarding the pending maturity. The loan expected loss is approximately two times greater than the expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 16: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by AGL CLO 16 Ltd. (the "Issuer" or "AGL CLO 16"). Moody's rating actions is as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$48,000,000 Class B-R Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$21,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$25,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$18,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. 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. AGL CLO Credit Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes which will remain outstanding. In addition to the issuance of the Refinancing Notes, another change to transaction features in connection with the refinancing is the extension of the non-call period. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $395,291,553 Defaulted par: $3,522,361 Diversity Score: 84 Weighted Average Rating Factor (WARF): 2951 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 46.43% Weighted Average Life (WAL): 5.47 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. AGL CLO 3: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the AGL CLO 3 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 3 Ltd. A 00119MAA7 LT PIFsf Paid In Full AAAsf X-R LT NRsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary AGL CLO 3 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC that originally closed in March 2020. On March 4, 2025 (the reset date), the CLO's existing secured notes will be redeemed in full with refinancing proceeds. Net proceeds from the issuance of the first refinancing notes and the existing 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 (Negative): 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 (Positive): The indicative portfolio consists of 99.41% first-lien senior secured loans and has a weighted average recovery assumption of 74.08%. 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 (Positive): 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 (Neutral): 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 (Positive): 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 3 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AMERICAN CREDIT 2025-1: DBRS Finalizes BB(low) Rating on E Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by American Credit Acceptance Receivables Trust 2025-1 (ACAR 2025-1 or the Issuer): -- $286,500,000 Class A Notes at AAA (sf) -- $65,250,000 Class B Notes at AA (sf) -- $127,500,000 Class C Notes at A (low) (sf) -- $106,870,000 Class D Notes at BBB (low) (sf) -- $52,880,000 Class E Notes at BB (low) (SF) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date. (2) ACAR 2025-1 provides for Class A, B, C, D, and E coverage multiples slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (3) ACA's operating history and its capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of ACA and considers the Company an acceptable originator and servicer of subprime automobile loan contracts. -- ACA has completed 49 securitizations since 2011, including four transactions in 2024. (4) The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Availability of considerable historical performance data and a history of consistent performance on the ACA portfolio. The Statistical Pool characteristics: -- The pool is seasoned by approximately three months and contains ACA originations from Q4 2017 through Q4 2024. -- The cutoff date pool is expected to include 6.00% highly seasoned called collateral. -- The weighted-average (WA) remaining term of the collateral pool is approximately 68 months. -- The WA FICO score of the pool is 555 and 574 Vantage Score. (5) The Morningstar DBRS CNL assumption is 28.75% based on the cut-off date pool composition. (6) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update, published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (7) In January 2023, ACA received a Civil Investigation Demand or "CID" from the CFPB seeking information relating to certain servicing and collection practices. ACA cooperated with the CFPB, and final production of information was completed in March 2024. In June 2024, CA received a second CID from the CFPB, substantially similar in nature to the January 2023 CID. ACA has been cooperating with the CFPB, and it anticipates that information production will be completed by the end of March 2025. In October 2024, the CFPB issued a Notice and Opportunity to Respond and Advise ("NORA") letter indicating it is considering an enforcement action against ACA related to certain servicing and collection practices, specifically inadvertent repossessions and alleged power booking activities by the originating dealerships. In November 2024, ACA submitted a response to the NORA asserting that its servicing and collections practices are lawful and meet industry standards and applicable statutory requirements of other regulators. No assurances can be given as to the ultimate outcome of the CIDs, the NORA process or whether the CFPB will take any enforcement action, including potential litigation, against ACA regarding the foregoing matters. (8) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of each of the depositor and the Issuer with ACA, that the Issuer has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Notes: All figures are in US dollars unless otherwise noted. ANCHORAGE CAPITAL 17: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Anchorage Capital CLO 17, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 17, Ltd. X-R2 LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Anchorage Capital CLO 17, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C.. The CLO's secured notes will be refinanced on Feb. 27,2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.63, versus a maximum covenant, in accordance with the initial matrix point of 26.5. 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 (Positive): The indicative portfolio consists of 96.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.21% versus a minimum covenant, in accordance with the initial matrix point of 71.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): 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 (Positive): 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 'AAAsf' for class A-2R, between 'BB+sf' and 'AAsf' for class B-R, between 'Bsf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 17, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ANCHORAGE CREDIT 11: Moody's Ups Rating on $22MM E Notes From Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 11, Ltd.: US$52M Class B Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 26, 2024 Upgraded to Aa1 (sf) US$23M Class C Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 26, 2024 Upgraded to A1 (sf) US$22M Class D Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa3 (sf); previously on Jul 26, 2024 Upgraded to Baa1 (sf) US$22M Class E Junior Secured Deferrable Fixed Rate Notes, Upgraded to Baa1 (sf); previously on Jul 26, 2024 Upgraded to Ba1 (sf) Moody's have also affirmed the rating on the following notes: US$196M Class A Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Mar 25, 2020 Assigned Aaa (sf) Anchorage Credit Funding 11, Ltd., issued in March 2020, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The portfolio is managed by Anchorage Capital Group, L.L.C. The transaction's reinvestment period will end in April 2025. RATINGS RATIONALE The rating upgrades on the Class B, Class C, Class D and Class E notes are primarily a result of the benefit of the shorter period of time remaining before the end of the reinvestment period in April 2025. The affirmation on the rating on the Class A notes is primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CBO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's use 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: USD399.88m Defaulted Securities: USD5.58m Diversity Score: 74 Weighted Average Rating Factor (WARF): 2619 Weighted Average Life (WAL): 5.66 years Weighted Average Spread (WAS): 4.43% Weighted Average Coupon (WAC): 5.49% Weighted Average Recovery Rate (WARR): 34.58% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CBO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. 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: Once reaching the end of the reinvestment period in April 2025, 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. -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ANTARES CLO 2018-1: S&P Assigns Prelim BB- (sf) Rating E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt replacement debt from Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC, a CLO managed by Antares Capital Advisers LLC that was originally issued in May 2018. The preliminary ratings are based on information as of March 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 13, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the May 2018 debt. S&P said, "At that time, we expect to withdraw our ratings on the May 2018 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the May 2018 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a lower weighted average spread than the original notes. -- The stated maturity, reinvestment period, and noncall period will be extended by approximately seven years. -- Of the identified underlying collateral obligations, 95.61% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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." Preliminary Ratings Assigned Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC Class A-1-R, $406.00 million: AAA (sf) Class A-2-R, $28.00 million: AAA (sf) Class B-R, $52.50 million: AA (sf) Class C-R (deferrable), $49.00 million: A (sf) Class D-R (deferrable), $42.00 million: BBB- (sf) Class E-R (deferrable), $38.50 million: BB- (sf) Other Debt Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC Subordinated notes, $91.60 million: NR NR--Not rated. APIDOS CLO XLII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Apidos CLO XLII Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLII Ltd A-1-R LT AAAsf New Rating A-2 03770GAC0 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 03770GAE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 03770GAG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 03770GAJ5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 03770HAA2 LT PIFsf Paid In Full BB+sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Apidos CLO XLII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CVC Credit Partners, LLC that originally closed in December 2022 and was rated by Fitch. On Feb. 27, 2025 (the reset date), the CLO's existing secured notes will be redeemed in full with refinancing proceeds. 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 (Negative): 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 (Positive): The indicative portfolio consists of 96.96% first-lien senior secured loans and has a weighted average recovery assumption of 74.18%. 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 (Positive): 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 (Neutral): 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 (Positive): 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-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, 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-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant group within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XLII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. APIDOS CLO XLII: Moody's Assigns B3 Rating to $500,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XLII Ltd (the Issuer): US$352,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$500,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans, senior secured bond, high yield bonds or senior secured notes. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $550,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3010 Weighted Average Spread (WAS): 3.16% Weighted Average Coupon (WAC): 4.80% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BAIN CAPITAL 2021-1: Moody's Assigns Ba3 Rating to $20MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Bain Capital Credit CLO 2021-1, Limited (the "Issuer" or "Bain Capital 2021-1"). Moody's rating actions is as follows: US$315,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Bain Capital Credit US CLO Manager, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, the non-call period will also be extended in connection with the refinancing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $487,865,876 Defaulted par: $466,730 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Coupon (WAC): 3.94% Weighted Average Recovery Rate (WARR): 45.90% Weighted Average Life (WAL): 5.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. BALLYROCK CLO 16: S&P Assigns Prelim BB- (sf) Rating on D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R loans and class A-1-R, A-2-R, B-R, C-1-R, and D-R debt from Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in June 2021. The preliminary ratings are based on information as of Feb. 28, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 13, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R loans and class A-1-R, A-2-R, B-R, C-1-R, and D-R debt are expected to be issued at a lower spread than the original debt. -- The replacement class C-1-R and C-2-R debt will replace the class C debt. The class C-1-R debt will have the same par subordination as the original class C debt, while the class C-2-R debt will have 1.00% less. -- The stated maturity, reinvestment period, non-call period, and weighted average life test date will be extended 3.75 years. 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." Preliminary Ratings Assigned Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC Class A-1-R, $158.50 million: AAA (sf) Class A-1-R loans, $125.00 million: AAA (sf) Class A-2-R, $58.50 million: AA (sf) Class B-R (deferrable), $27.00 million: A (sf) Class C-1-R (deferrable), $27.00 million: BBB- (sf) Class C-2-R (deferrable), $4.50 million: BBB- (sf) Class D-R (deferrable), $13.50 million: BB- (sf) Other Debt Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC Subordinated notes, $52.10 million: NR NR--Not rated. BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB(low) Rating on F Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by BAMLL Commercial Mortgage Securities Trust 2016-SS1 as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' current outlook for the transaction as evidenced by the stable performance of the underlying collateral, a 501,650-square-foot Class A single-tenant office building (One Channel Center) and an adjacent 965-space parking garage structure in Boston's Seaport District. The collateral was constructed in 2014 and was built to suit for the current tenant, State Street Corporation (State Street), a long-term credit tenant (confirmed at AA with a Stable trend by Morningstar DBRS as of December 2024). The property was built to house back-office operations for State Street's global headquarters, formerly located nearby at 1 Lincoln St. However, in September 2023, State Street moved to a new global headquarters in the Bullfinch Crossing area of Boston, consolidating its U.S. offices into 21 floors of the 48-story building at One Congress Street. Concurrently, State Street made four contiguous floors totaling approximately 36.0% of the net rentable area (NRA) available for sublease at One Channel Center. State Street's lease at the subject property extends through December 2029 (four years post loan maturity) and is structured without any termination options. Although the developments outlined above suggest refinance risk is elevated, the property will continue to generate sufficient cash flow to cover debt service obligations in the near-to-moderate term. Should the sponsor fail to successfully repay the loan at the December 2025 maturity date, the loan structure allows for the servicer to take control of State Street's lease payments for the remainder of the term via cash management. As such, the property's in-place cash flow stream would be available to facilitate a partial paydown of the loan's principal balance. Additional mitigating factors include the loan's low going-in loan-to-value ratio (LTV) as suggested by the appraised value at issuance, the sponsors' significant equity infusion at closing for the subject loan and the first loss Class E certificate balance of $19.4 million, which has a below investment-grade credit rating assigned by Morningstar DBRS. The $166.0 million fixed-rate, 10-year interest-only loan includes a cash sweep period that will be triggered if State Street occupies, or has given notice to occupy, less than 50.0% of the rentable square footage. The sponsor of the loan, U.S Core Office Holdings, L.P., is majority owned by the national pension funds of Sweden and the Republic of Korea. The sponsor is minority owned, and indirectly controlled, by affiliates of Tishman Speyer Properties, a global owner, developer, and operator of commercial real estate, who contributed $152.7 million of equity in conjunction with the acquisition of the property. The land upon which the office portion of the collateral sits is subject to a ground lease, which was created to allow the development to benefit from the Chapter121A tax agreement with the City of Boston. Though this structure involves PILOT-type payments over the loan term, the loan is secured by both the fee and leasehold interests; therefore, even without the leasehold collateral in place, the lender is still protected. As noted above, State Street's lease extends through December 2029 with no termination options and two five-year renewal options at 95.0% of fair market rent. The lease was signed in 2012, when rental rates were considerably lower, and as such, the in-place rental rate is well below current market rates. According to the June 2024 rent roll, State Street paid a base rent of $27.50 per square foot (psf); however, a rent step occurred in January 2025, increasing the base rent to $28.50 psf. According to Q4 2024 Reis data, the South Station/Ft. Point Channel submarket reported an average asking rental rate and average vacancy rate of $51.76 psf and 10.5%, respectively. The servicer reported a trailing six months ended June 30, 2024, debt service coverage ratio (DSCR) of 2.08 times (x), compared with 2.24x at YE2023 and the Morningstar DBRS DSCR at issuance of 2.05x, which reflects straight-line rent credit given to State Street's scheduled rent steps over the loan term. The garage portion of the property formerly operated on a lease to VPNE Parking Solutions Inc. (VPNE), which expired in December 2024, and was structured with a fixed rental rate of $2.5 million per annum. The borrower received another bid from a local operator in Boston, the terms of which represent an improvement over the former VPNE lease. According to the servicer, the three-year lease is structured with no free rent or improvement concessions. In the analysis for this review, Morningstar DBRS maintained the 7.5% cap rate applied at the previous credit rating action in April 2024, resulting in a Morningstar DBRS value of $192.4 million, a variance of -40.2% from the issuance appraised value of $322.0 million. The Morningstar DBRS value implies an LTV of 86.3%, compared with the LTV of 51.6% on the issuance appraised value. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 5.75% in the LTV sizing benchmark to reflect the low cash flow volatility and Class A property quality. Notes: All figures are in U.S. dollars unless otherwise noted. BAMLL COMMERCIAL 2019-BPR: S&P Affirms 'B-' Rating on X-NM Certs ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on three NM classes of commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2019-BPR, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four other NM classes from the same transaction. The nonpooled NM certificate classes are backed by a $505.0 million, five-year, 3.724% per annum fixed-rate, interest-only (IO) mortgage loan that is secured by the borrower's fee-simple interest in Natick Mall, a two-story, enclosed, 1.49 million-sq.-ft. super-regional mall (1.23-million-sq.-ft. will serve as collateral given the loan modification) built in 1966 and renovated in 2017 in Natick, Mass., about 20 miles west of downtown Boston. The loan originally matured on Nov. 1, 2024. As part of the recently executed modification transaction, the loan's maturity date was extended to Nov. 1, 2026 and it will remain in cash management with excess cash flow sweep used to pay down the trust balance quarterly. The borrower will, among other items, also provide additional collateral in the form of a first-priority lien on the former Sears anchor box totaling 179,558 sq. ft. and pay down the trust balance following closing from excess cash flow currently held in a reserve account totaling approximately $54.0 million. Rating Actions The downgrades on classes A-NM, B-NM, and C-NM and affirmations on classes D-NM, E-NM, and F-NM (despite higher model-indicated ratings on classes C-NM and D-NM), primarily reflect: -- S&P said, "Our revised expected-case valuation for the property, which, even after including the cash flow from the additional former Sears anchor box collateral, is 14.4% lower than the value we derived in our last review. The special servicer has received a revised appraisal value and broker's opinions of value that are materially below the appraised value at issuance." -- The property's performance, while marginally up since our last review, continues to be below our expectations, and S&P does not expect it to materially improve in the near term. -- The fact that since our last review in July 2024, the Natick Mall loan transferred to special servicing on Oct. 4, 2024, because the borrower indicated that it was unable to pay the loan off by its maturity date in November 2024. While the trust balance is expected to pay down by approximately 11% as part of the recently executed modification, we believe the borrower may continue to face challenges refinancing the loan if the sponsor does not invest capital and the property's performance does not materially improve by its extended modified maturity date in November 2026. -- The affirmations on classes E-NM at 'CCC (sf)' and F-NM at 'CCC- (sf)' further reflect S&P's qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions and that these classes remain vulnerable to default. -- S&P affirmed its rating on the class X-NM IO certificates based on its criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-NM references classes A-NM, B-NM, C-NM, and D-NM. -- S&P said, "We will continue to monitor the performance of the mall property and loan, as well as the borrower's ability to refinance the loan by its extended modified maturity date in 2026. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered, or if the loan transfers back to special servicing and the workout strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Update S&P said, "In our July 2024 review, we noted that the mall lost two of its anchor tenants, Wegman's (194,558 sq. ft., collateral, closed July 2023, but still paying rent until July 2037, the time of expiration of its lease, according to the servicer) and Shopper's Find (113,564-sq.-ft., collateral, closed November 2022). We also noted that operating performance at the property, while modestly improving, was still well below the pre-pandemic levels. Assuming an occupancy rate of 82.7%, an S&P Global Ratings' gross rent of $47.18 per sq. ft., and an operating expense ratio of 34.7%, we arrived at an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $33.9 million. Using our S&P Global Ratings' capitalization rate of 7.50%, we derived an S&P Global Ratings' expected-case value of $452.1 million ($435 per sq. ft.)." Since then, the special servicer, Situs Asset Management LLC, noted that the vacant collateral anchor spaces have not been backfilled yet. However, the noncollateral former Neiman Marcus space (97,450-sq.-ft.) was redeveloped and repositioned into a pickleball and restaurant venue, which opened in fall 2024. Further, the former Sears anchor space (179,558 sq. ft.) will be added as collateral for the loan as part of the recently approved and soon-to-close loan modification. About 67.2% of the net rentable area (NRA) of the space is occupied by three tenants: Level99, Dave & Buster's, and Lucid Motors. According to Situs, the sponsor is in active discussions with another tenant to potentially lease the remaining former Sears space. According to the Jan. 31, 2025, rent roll, the collateral (including the additional former Sears anchor box) was 78.8% leased (and 63.0% occupied, excluding the dark Wegman's space) after adjusting for known tenant movements. The five largest collateral tenants comprise 28.4% of the collateral's NRA: -- Wegmans Food Markets (15.8% of NRA; 6.3% of in-place gross rent as calculated by S&P Global Ratings; July 2037 lease expiration. As we previously mentioned, the tenant is currently dark but still paying its rent); -- Level99 (3.9%; 2.4%; January 2032); -- Dave & Buster's (3.3%; 2.9%; January 2035); -- Forever 21 (2.7%; pays percentage rent in lieu of fixed rent; January 2027); and -- Crate & Barrel (2.7%; 2.0%; June 2026). The mall faces concentrated tenant rollover in 2025 (21.3% of NRA and 38.3% of gross rent, as calculated by S&P Global Ratings), 2026 (8.9%, 13.8%), and 2027 (25.1%, 16.5%). According to the October 2024 tenant sales provided by the special servicer, the property's in-line tenant sales was about $609 per sq. ft., and occupancy cost was approximately 14.1%, as calculated by S&P Global Ratings. S&P said, “In our current analysis, using a 78.8% occupancy rate, a $52.31-per-sq.-ft. S&P Global Ratings gross rent, a 35.2% operating expense ratio, and higher tenant improvement costs, we derived an S&P Global Ratings' NCF of $34.8 million, which is about 2.7% higher than the NCF in our last review due mainly to the inclusion of the additional former Sears space collateral. Utilizing an S&P Global Ratings' capitalization rate of 9.00% (up 150 basis points from our last review to reflect our credit view that this property is akin to a class B mall based on its tenant profile and performance), we arrived at an S&P Global Ratings' expected-case value of $386.8 million, or $315-per-sq.-ft. on 1.23 million collateral sq. ft., which is 14.4% below the value in our last review." This yielded an S&P Global Ratings' loan-to-value ratio of about 116.5% on the whole loan balance, after considering the principal paydown of about $54.3 million as part of the loan modification. Table 1 Servicer-reported collateral performance 12 months ending June 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 91.0 89.7 90.3 Net cash flow (mil. $) 32.8 32.4 30.1 Debt service coverage (x) 1.72 1.69 1.58 Appraisal value (mil. $)(ii) 900.0 900.0 900.0 (i)Reporting period. (ii)Appraised value at issuance. Table 6 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2025)(i)(ii) (July 2024)(i) (Dec 2019)(i) Occupancy rate (%) 78.8 82.7 92.3 Net cash flow (mil. $) 34.8(ii) 33.9 39.7 Capitalization rate (%) 9.00 7.50 6.75 Value (mil. $) 386.8 452.1 544.4 Value per sq. ft. ($) 315(ii) 435 522 Loan-to-value ratio (%) 116.5(iii) 111.7 92.8 (i)Review period. (ii)Inclusive of the additional former Sears anchor space totaling 179,558-sq.-ft. as collateral as part of the recently executed loan modification transaction. (iii)Based on our assumption that the trust balance pays down by $54.3 million. Ratings Lowered BAMLL Commercial Mortgage Securities Trust 2019-BPR Class A-NM to 'A+ (sf) from 'AA- (sf)' Class B-NM to 'BBB- (sf)' from 'BBB (sf)' Class C-NM to 'B+ (sf)' from 'BB- (sf)' Ratings Affirmed BAMLL Commercial Mortgage Securities Trust 2019-BPR Class D-NM: B- (sf) Class E-NM: CCC (sf) Class F-NM: CCC- (sf) Class X-NM: B- (sf) BANK 2025-5YR13: Fitch Assigns 'B-sf' Final Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2025-5YR13 commercial mortgage pass-through certificates, series 2025-5YR13 as follows: - $2,050,000 class A-1 'AAAsf'; Outlook Stable; - $100,000,000a class A-2 'AAAsf'; Outlook Stable; - $0a class A-2-1 'AAAsf'; Outlook Stable; - $0ab class A-2-X1 'AAAsf'; Outlook Stable; - $0a class A-2-2 'AAAsf'; Outlook Stable; - $0ab class A-2-X2 'AAAsf'; Outlook Stable; - $388,115,000a class A-3 'AAAsf'; Outlook Stable; - $0a class A-3-1 'AAAsf'; Outlook Stable; - $0ab class A-3-X1 'AAAsf'; Outlook Stable; - $0a class A-3-2 'AAAsf'; Outlook Stable; - $0ab class A-3-X2 'AAAsf'; Outlook Stable; - $490,165,000b class X-A 'AAAsf'; Outlook Stable; - $66,522,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $35,012,000a class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $101,534,000b class X-B 'AA-sf'; Outlook Stable; - $27,134,000a class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $16,630,000c class D 'BBBsf'; Outlook Stable; - $7,878,000c class E 'BBB-sf'; Outlook Stable; - $9,628,000c class F 'BBsf'; Outlook Stable; - $7,003,0000c class G 'BB-sf'; Outlook Stable; - $10,503,000c class H 'B-sf'; Outlook Stable; - $10,503,000c class X-H 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $7,003,000c class J; - $7,003,000c class X-J; - $22,757,747c class K; - $22,757,747c class X-K; - $29,104,513d class RR; - $7,750,000d RR Interest. (a) The class A2, class A3, class AS, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A2 may be surrendered (or received) for the received (or surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, AS-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. (b) Notional Amount and interest only. (c) Privately Placed and pursuant to Rule 144A. (d) Vertical-risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 59 commercial properties having an aggregate principal balance of $737,090,260 as of the cut-off date. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings, LLC, Wells Fargo Bank, National Association and JPMorgan Chase Bank, National Association. The master servicer is Wells Fargo Bank, National Association and the special servicer is K-Star Asset Management LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 20 loans totaling 94.5% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $435.4 million represents a 17.6% decline from the issuer's aggregate underwritten NCF of $260.3 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.5% is higher than both the 2024 YTD and 2023 five-year multiborrower transaction averages of 94.6% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.4% is lower than both the 2024 YTD and 2023 averages of 10.3% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 16.6% of the pool by balance received an investment-grade credit opinion. Queens Center received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. Rockefeller Center received an investment-grade credit opinion of 'A+sf*' on a standalone basis. The pool's total credit opinion percentage is higher than both the 2024 YTD average of 11.8% and the 2023 average of 14.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 106.1% and 9.1%, respectively, compared to the equivalent five-year multiborrower 2024 YTD LTV and DY averages of 93.6% and 10.3%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 73.1% of the pool, which is worse than both the 2024 YTD five-year multiborrower average of 58.9% and the 2023 average of 65.3%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributable to the shorter window of exposure to potentially adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The list below indicates the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS MIDDLE 2023-II: S&P Affirms B- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, and C debt from Barings Middle Market CLO 2023-II Ltd. At the same time, S&P affirmed its ratings on the classes A-1, D, and E debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the January 2025 trustee report. The transaction has paid down $132.48 million in paydowns to the class A-1 debt since our December 2023 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since our December 2023 closing analysis: -- The class A O/C ratio improved to 171.65% from 147.09%. -- The class B O/C ratio declined to 143.98% from 131.58%. -- The class C O/C ratio improved to 128.50% from 121.97%. -- The class D O/C ratio improved to 115.98% from 113.64%. All O/C ratios experienced a positive movement due to the lower balance of the senior note; consequently, the credit support increased. While the O/C ratios improved, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $48.08 million reported as of the January 2025 trustee report, compared with $38.65 million reported as of the December 2023 closing date portfolio. Over the same period, the par amount of defaulted collateral also marginally increased to $0.10 million. However, the increased credit support offset the impact of the above. The upgrades reflect the improved credit support available to the A-2, B, and C debt at their prior rating levels; the affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the junior tranche might result in a ratings change. S&P said, "Our cash flow analysis indicated higher ratings for the class B, C, D, and E notes. However, because the transaction currently has some exposure to 'CCC' rated collateral obligations, our rating actions reflect additional sensitivity runs that considered the exposure to lower quality assets we noticed in the portfolio to offset future potential credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised Barings Middle Market CLO 2023-II Ltd. Class A-2 to AAA (sf) from AA (sf) Class B to AA (sf) from A (sf) Class C to BBB+ (sf) from BBB- (sf) Ratings Affirmed Barings Middle Market CLO 2023-II Ltd. Class A-1: AAA (sf) Class D: BB- (sf) Class E: B- (sf) BATTALION CLO XX: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R1, D-1-R2, D-2-R, and E-R debt and class A-L loan from Battalion CLO XX Ltd., a CLO originally issued in June 2021 that is managed by Brigade Capital Management L.P. At the same time, we withdrew our ratings on the original class A-N, A, A-J, B, C-1, C-2, D, and E debt and class A-L loan following payment in full on the March 5, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 15, 2027. -- The reinvestment period was extended to April 15, 2030. -- The legal final maturity date was extended to April 15, 2038. -- Additional assets were purchased and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2025. -- Additional subordinated notes of $61.70 million were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 Battalion CLO XX Ltd./Battalion CLO XX LLC Class A-R, $122.00 million: AAA (sf) Class A-L loan, $126.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R1 (deferrable), $5.00 million: BBB (sf) Class D-1-R2 (deferrable), $15.00 million: BBB(sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $11.60.00 million: BB- (sf) Ratings Withdrawn Battalion CLO XX Ltd./Battalion CLO XX LLC Class A-L loan to NR from 'AAA (sf)' Class A-N to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Battalion CLO XX Ltd./Battalion CLO XX LLC Subordinated notes, $102.50 million: NR NR--Not rated. BATTALION CLO XXVIII: Fitch Assigns BB(EXP) Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Battalion CLO XXVIII Ltd. Entity/Debt Rating ----------- ------ Battalion CLO XXVIII 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 Notes LT NR(EXP)sf Expected Rating Transaction Summary Battalion CLO XXVIII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 74.6%. 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 (Positive): 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 required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Battalion CLO XXVIII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BHG SECURITIZATION 2025-1CON: Fitch Gives BB(EXP) Rating on E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by BHG Securitization Trust 2025-1CON (BHG 2025-1CON). Entity/Debt Rating ----------- ------ BHG Securitization Trust 2025-1CON A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating Transaction Summary The BHG 2025-1CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). This is BHG's second 100% consumer loan securitization. BHG 2025-1CON is the 10th ABS transaction sponsored by BHG and the sixth rated by Fitch. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2025-1CON pool shared with Fitch has a weighted average (WA) FICO score of 736; 1.27% of the borrowers have a score below 661 and 41.16% have a score higher than 740. The WA original term of 100 months is higher than 91 months in BHG 2024-1CON. Default Assumption Reflects Loan and Borrower Characteristics: The base case default assumption based on the pool is 13.80%. The default assumption was established by BHG's proprietary risk grade and loan term. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. While through-the-cycle loan performance and characteristics were reviewed, Fitch also considered the recent performance trends in deriving the base case. For certain segments, primarily the longer-term loans, where Fitch considered the loans did not have significant historical performance data, Fitch considered the segment's equivalent historical commercial loan performance. Commercial loan performance was considered, given similar borrower characteristics and BHG's comparable underwriting policies for the guarantor of commercial loans. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 57.10%, 23.30%, 12.55%, 4.30% and 1.50% for class A, B, C, D and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer loans. Fitch revised the multiple from 4.50x applied for BHG 2024-1CON due to higher absolute value of the base case assumption and increased data availability, which indicates improved performance in consumer loans compared to previous pools that predominantly consisted of commercial loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and previous securitization performance. Fitch deems BHG as capable to service this transaction. Other counterparty risks are mitigated through the transaction structure, and such provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: BHG, similar to peers, purchases consumer loans originated by partner banks — in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans and certain commercial loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If any such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2025-1CON's consumer loans originated at interest rates below the borrower state's usury rate, while the longer WA remaining loan term of 99 months is viewed as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trusts performance. An additional sensitivity run of lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Increased default base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BB'; Increased default base case by 25%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 50%: 'AA-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and consideration for potential upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class C, D and E notes could be upgraded by one category. Rating sensitivity from decreased defaults (class A/class B/class C/class D/class E): Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG. The third-party due diligence described in Form 15E focused on focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMO 2025-C11: Fitch Assigns 'B-sf' Final Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2025-C11 Mortgage Trust, Commercial Mortgage Pass-Through Certificates Series 2025-C11 as follows: - $19,265,000 class A-1 'AAAsf'; Outlook Stable; - $131,000,000 class A-4 'AAAsf'; Outlook Stable; - $457,668,000 class A-5 'AAAsf'; Outlook Stable; - $26,909,000 class A-SB 'AAAsf'; Outlook Stable; - $634,842,000a class X-A 'AAAsf'; Outlook Stable; - $102,029,000 class A-S 'AAAsf'; Outlook Stable; - $41,944,000 class B 'AA-sf'; Outlook Stable; - $31,062,000 class C 'A-sf'; Outlook Stable; - $175,035,000a class X-B 'A-sf'; Outlook Stable; - $9,070,000b class D 'BBB+sf'; Outlook Stable; - $9,070,000ab class X-D 'BBB+sf'; Outlook Stable; - $19,952,000bc class E-RR 'BBB-sf'; Outlook Stable; - $17,005,000bc class F-RR 'BB-sf'; Outlook Stable; - $11,336,000bc class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $39,678,175bc class J-RR. a) Notional amount and interest only. b) Privately placed pursuant to Rule 144A. c) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 63 loans secured by 73 commercial properties having an aggregate principal balance of $906,918,176 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Societe Generale Financial Corporation, Starwood Mortgage Capital LLC, UBS AG, German American Capital Corporation, National Cooperative Bank, N.A., Citi Real Estate Funding Inc., Barclays Capital Real Estate Inc., LMF Commercial, LLC, LoanCore Capital Markets LLC, Goldman Sachs Mortgage Company, Greystone Commercial Mortgage Capital LLC and Natixis Real Estate Capital LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is KeyBank National Association. National Cooperative Bank, N.A. is serving as the master servicer and special servicer for the loans that National Cooperative Bank, N.A. contributed to the trust. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on Feb. 10, 2025, the balances for classes A-4 and A-5 were finalized. The initial certificate balance of the class A-4 was expected to range from $0 to $250,000,000, and the initial aggregate certificate balance of the class A-5 was expected range from $338,668,000 to $588,668,000. The final class balances for classes A-4 and A-5 are $131,000,000 and $457,668,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 29 loans totaling 82.2% of the pool balance. Fitch's aggregate pool NCF of $120.6 million represents a 13.5% decline from the issuer's underwritten aggregate pool NCF of $139.6 million. Fitch Leverage: The pool exhibits higher leverage than recent 10-year multiborrower transactions rated by Fitch, with a Fitch loan-to-value (LTV) ratio of 90.1%, surpassing the 2024 and 2023 averages of 84.5% and 87.2%, respectively. However, the pool's Fitch NCF debt yield (DY) of 13.3% is above the 2024 and 2023 averages of 12.3% and 11.1%, respectively. Excluding credit opinion and co-op loans, the pool's Fitch LTV and DY are 97.5% and 9.8%, respectively, compared to the equivalent 2024 LTV and DY averages of 91.5% and 10.9%, respectively. Investment Grade Credit Opinion Loans: One loan representing 3.97% of the pool by balance received an investment-grade credit opinion. 299 Park Avenue (3.97%) received an investment-grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is considerably lower than the 2024 and 2023 averages of 21.4% and 20.1%, respectively. Lower Loan Concentration: The pool is less concentrated than recent 10-year multiborrower transactions rated by Fitch. The top 10 loans make up 50.8% of the pool, which is lower than both the 2024 average of 63.0% and the 2023 average of 62.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 27.96. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'CCC+sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRYANT PARK 2023-19: S&P Assigns B- (sf) Rating on Cl. F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt, and the new class X-R and F-R debt from Bryant Park Funding 2023-19 Ltd./Bryant Park Funding 2023-19 LLC, a CLO originally issued in March 2023 that is managed by Marathon Asset Management L.P. At the same time, S&P withdrew its ratings on the original class A-1, A-2A, A-2B, B, C-1, C-2, and D debt following payment in full on the March 3, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to March 2027. -- The reinvestment period was extended to April 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended by approximately two years, to April 2038. -- The target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 2025. -- The class X-R and F-R debt were issued on the refinancing date. The class X-R debt is expected to be paid down using interest proceeds during 16 payment dates in equal installments of $250,000, beginning on the October 2025 payment date and ending on the July 2029 payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Bryant Park Funding 2023-19 Ltd./Bryant Park Funding 2023-19 LLC Class X-R, $4.00 million: AAA (sf) Class A-1-R, $252.00 million: AAA (sf) Class A-2-R, $6.00 million: AAA (sf) Class B-R, $46.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Class F-R (deferrable), $3.00 million: B- (sf) Ratings Withdrawn Bryant Park Funding 2023-19 Ltd./Bryant Park Funding 2023-19 LLC Class A-1 to NR from 'AAA (sf)' Class A-2A to NR from 'AA (sf)' Class A-2B to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C-1 (deferrable) to NR from 'BBB- (sf)' Class C-2 (deferrable) to NR from 'BBB- (sf)' Class D (deferrable) to NR from 'BB- (sf)' Other Debt Bryant Park Funding 2023-19 Ltd./Bryant Park Funding 2023-19 LLC Subordinated notes, $36.00 million: Not rated NR--Not rated. BX TRUST 2025-ROIC: Moody's Assigns Ba3 Rating to Cl. E Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BX Trust 2025-ROIC, Commercial Mortgage Pass-Through Certificates, Series 2025-ROIC: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) Note: Moody's previously assigned provisional ratings to Class X-CP of (P) Baa2 (sf) and Class X-NCP of (P) Baa2 (sf) described in the prior press release and presale report, dated February 13, 2025. Subsequent to the release of those provisional ratings, the overall structure of the transaction was modified. Class X-CP and Class X-NCP are no longer being offered. RATINGS RATIONALE The certificates are collateralized by a single fixed-rate loan collateralized by a first-lien mortgage on a portfolio of 93 retail properties located across three states and in six markets. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Portfolio consists of 93 retail properties totaling 10,467,263 SF located in three states and six markets. As of December 31, 2024, Portfolio occupancy was 96.5%. No single Property contributes more than 5.5% of NOI and no single tenant accounts for more than 2.6% of total rent. The Properties are located in West Coast retail markets including Los Angeles (28.7% of SF, 29.6% of ALA), Seattle (22.4% of SF, 20.7% of ALA), Portland (17.9% of SF, 13.3% of ALA), San Francisco (13.9% of SF, 15.9% of ALA), Orange County (10.6% of SF, 11.3% of ALA) and San Diego (6.5% of SF, 9.2% of ALA). The ten largest Properties by Allocated Loan Amount ("ALA") total approximately 2,291,212 SF (21.9% of SF), representing approximately 26.1% of the aggregate ALA and 25.8% of NOI. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.13X and Moody's first mortgage actual stressed DSCR is 0.78X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $2,780,000,000 represents a Moody's LTV ratio of 114.8% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 106.2% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 1.25. Notable strengths of the transaction include: (i) grocery anchored retail, (ii) strong demographics, (iii) consistent performance, and (iv) experienced sponsorship. Notable concerns of the transaction include: (i) property age, (ii) property type and geographic concentration, (iii) water stress and wildfire risk, (iv) floating-rate, interest-only profile, (v) single asset transaction and (vi) certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CARLYLE US 2021-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-2, Ltd Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2021-2, Ltd. A-1 14316KAA3 LT PIFsf Paid In Full AAAsf A-1R LT AAAsf New Rating A-2 14316KAC9 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B-1R LT AAsf New Rating B-2R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Carlyle US CLO 2021-2 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. This is the first refinancing where the existing secured notes will be refinanced in whole on Feb. 27, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 24.02, versus a maximum covenant, in accordance with the initial expected matrix point of 26.37. 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 (Positive): The indicative portfolio consists of 95.19% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.84% versus a minimum covenant, in accordance with the initial expected matrix point of 71.28%. Portfolio Composition (Positive): 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 that of other recent CLOs. Portfolio Management (Neutral): 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 (Positive): 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-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, 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-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2021-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARVANA AUTO 2025-P1: S&P Assigns Prelim 'BB+ ' Rating on N Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2025-P1's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of March 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 15.56%, 14.04%, 10.29%, 6.88%, and 8.63% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.33x, 2.33x, and 1.73x coverage of S&P's expected cumulative net loss of 2.75% for the class A, B, C, D, and N notes, respectively). -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within our credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Carvana Auto Receivables Trust 2025-P1(i) Class A-1, $66.83 million: A-1+ (sf) Class A-2, $172.51 million: AAA (sf) Class A-3, $211.50 million: AAA (sf) Class A-4, $112.75 million: AAA (sf) Class B, $10.55 million: AA+ (sf) Class C, $20.20 million: A+ (sf) Class D, $8.44 million: BBB+ (sf) Class N(ii), $22.50 million: BB+ (sf) ((i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CBAM LTD 2018-7: Moody's Affirms B1 Rating on $37.5MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by CBAM 2018-7, Ltd.: US$54.375M Class B-1 Floating Rate Notes, Upgraded to Aaa (sf); previously on Jan 18, 2024 Upgraded to Aa1 (sf) US$29.25M Class B-2 Floating Rate Notes, Upgraded to Aaa (sf); previously on Jan 18, 2024 Upgraded to Aa1 (sf) US$38.625M Class C Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Sep 1, 2020 Confirmed at A2 (sf) US$50.25M Class D Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Sep 1, 2020 Confirmed at Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$480M (Current outstanding amount US$284,592,886) Class A Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 12, 2018 Assigned Aaa (sf) US$37.5M Class E Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jan 18, 2024 Downgraded to B1 (sf) CBAM 2018-7, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CBAM CLO Management LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class B-1, Class B-2, Class C and Class D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the last review in September 2024. The affirmations on the ratings on the Class A and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD84.1 million (17.5%) since the last review in September 2024 and USD195.4 million (40.7%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated January 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 138.00%, 126.53%, 114.19% and 106.44% compared to September 2024 [2] levels of 134.53%, 123.95%, 112.44% and 105.15%, respectively. Moody's notes that the January 2024 principal payments are not reflected in the reported OC 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 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: USD530.2m Diversity Score: 63 Weighted Average Rating Factor (WARF): 3015 Weighted Average Life (WAL): 3.64 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.14% Weighted Average Recovery Rate (WARR): 47.03% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CEDAR FUNDING XII: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-RR, A-RR, B-RR, C-RR, D-1RR, D-FRR, and E-RR replacement debt from Cedar Funding XII CLO Ltd./Cedar Funding XII CLO LLC, a CLO originally issued in November 2021 that is managed by Aegon USA Investment Management LLC. The preliminary ratings are based on information as of Feb. 28, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 6, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class X-RR, A-RR, B-RR, C-RR, D-1RR, D-FRR, and E-RR debt is expected to be issued at a lower spread than the original debt. -- The replacement class X-RR, A-RR, B-RR, C-RR, D-1RR, D-FRR, and E-RR debt is expected to be issued at a floating and fixed spread, replacing the current floating spread. -- The stated maturity will be extended 3.25 years. -- The reinvestment period will be extended 3.25 years. -- The non-call period will be extended to but excluding the payment date in January 2027. -- The weighted average life test date will be extended 8.9 years. -- Class X-RR debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 19 payment dates beginning with the payment date on July 25, 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Cedar Funding XII CLO Ltd./Cedar Funding XII CLO LLC Class X-RR, $6.500 million: AAA (sf) Class A-RR, $274.050 million: AAA (sf) Class B-RR, $56.550 million: AA (sf) Class C-RR (deferrable), $26.100 million: A (sf) Class D-1RR (deferrable), $20.000 million: BBB- (sf) Class D-FRR (deferrable), $6.100 million: BBB- (sf) Class E-RR (deferrable), $17.400 million: BB- (sf) Other Outstanding Debt Cedar Funding XII CLO Ltd./Cedar Funding XII CLO LLC Subordinated notes, $39.015 million: Not rated CHASE HOME 2025-2: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-2 (CHASE 2025-2) as follows: -- $314.5 million Class A-2 at (P) AAA (sf) -- $314.5 million Class A-3 at (P) AAA (sf) -- $314.5 million Class A-3-X at (P) AAA (sf) -- $235.9 million Class A-4 at (P) AAA (sf) -- $235.9 million Class A-4-A at (P) AAA (sf) -- $235.9 million Class A-4-X at (P) AAA (sf) -- $78.6 million Class A-5 at (P) AAA (sf) -- $78.6 million Class A-5-A at (P) AAA (sf) -- $78.6 million Class A-5-X at (P) AAA (sf) -- $188.7 million Class A-6 at (P) AAA (sf) -- $188.7 million Class A-6-A at (P) AAA (sf) -- $188.7 million Class A-6-X at (P) AAA (sf) -- $125.8 million Class A-7 at (P) AAA (sf) -- $125.8 million Class A-7-A at (P) AAA (sf) -- $125.8 million Class A-7-X at (P) AAA (sf) -- $47.2 million Class A-8 at (P) AAA (sf) -- $47.2 million Class A-8-A at (P) AAA (sf) -- $47.2 million Class A-8-X at (P) AAA (sf) -- $38.9 million Class A-9 at (P) AAA (sf) -- $38.9 million Class A-9-A at (P) AAA (sf) -- $38.9 million Class A-9-X at (P) AAA (sf) -- $48.4 million Class A-11 at (P) AAA (sf) -- $48.4 million Class A-11-X at (P) AAA (sf) -- $48.4 million Class A-12 at (P) AAA (sf) -- $48.4 million Class A-13 at (P) AAA (sf) -- $48.4 million Class A-13-X at (P) AAA (sf) -- $48.4 million Class A-14 at (P) AAA (sf) -- $48.4 million Class A-14-X at (P) AAA (sf) -- $48.4 million Class A-14-X2 at (P) AAA (sf) -- $48.4 million Class A-14-X3 at (P) AAA (sf) -- $48.4 million Class A-14-X4 at (P) AAA (sf) -- $401.8 million Class A-X-1 at (P) AAA (sf) -- $9.0 million Class B-1 at (P) AA (low) (sf) -- $9.0 million Class B-1-A at (P) AA (low) (sf) -- $9.0 million Class B-1-X at (P) AA (low) (sf) -- $6.6 million Class B-2 at (P) A (low) (sf) -- $6.6 million Class B-2-A at (P) A (low) (sf) -- $6.6 million Class B-2-X at (P) A (low) (sf) -- $4.5 million Class B-3 at (P) BBB (low) (sf) -- $2.6 million Class B-4 at (P) BB (low) (sf) -- $854.0 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.90% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.80%, 2.25%, 1.20%, 0.60%, and 0.40% 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 Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates). The Certificates are backed by 410 loans with a total principal balance of $449,491,640 as of the Cut-Off Date (February 01, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 66.1% of the loans were underwritten using an automated underwriting system (AUS) 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 (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool 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 by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB 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. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer ordered property damage inspections (PDI) for properties located in Los Angeles County, designated as a disaster zone, and all were reported to have no damage. 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 US dollars unless otherwise noted. CHASE HOME 2025-2: Fitch Assigns B+sf Final Rating on Cl. B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2025-2 (Chase 2025-2). Entity/Debt Rating Prior ----------- ------ ----- Chase 2025-2 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-A LT AAsf New Rating AA(EXP)sf B-1-X LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2-A LT Asf New Rating A(EXP)sf B-2-X LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary The Chase 2025-2 certificates are supported by 410 loans with a total balance of approximately $449.79 million as of the cutoff date. The scheduled balance as of the cutoff date is $449.49 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.5% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans, and the remaining 0.5% qualify as rebuttable presumption (APOR) qualified mortgage loans. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.6% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% yoy nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of 410 high quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $449.49 million. In total, 99.5% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 5.8 months, according to Fitch. The pool has a WA FICO score of 769, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents, the updated FICO is 769 as well. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 74.0% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value (CLTV) ratio is 75.5%, which translates to a sustainable loan-to-value (sLTV) ratio of 83.6%. This represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Of the pool, 99.5% of the loans are designated as SHQM APOR loans, and the remaining 0.5% are designated rebuttable presumption QM. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (87.3% primary and 12.7% secondary). Single-family homes and planned unit developments (PUDs) constitute 91.9% of the pool, condominiums make up 6.7%, 1.0% are co-ops, and the remaining 0.4% is multifamily. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (78.7%), cashout refinances (5.7%) and rate-term refinances (15.5%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 22.6% are concentrated in California, followed by Florida and Washington. The largest MSA concentration is in the New York MSA (7.4%), followed by the San Francisco MSA (7.2%) and the Seattle MSA (6.8%). The top three MSAs account for 21.4% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-A first and then to the super senior classes pro rata once class A-9-A is written off. Net interest shortfalls on the non-retained portion will be allocated first to class A-X-1 and the subordinated classes pro rata based on the current interest accrued for each class until the amount of current interest is reduced to zero and then to the senior classes (excluding class A-X-1) pro rata based on the current interest accrued for each class until the amount of current interest is reduced to zero. CE Floor (Positive): A CE or senior subordination floor of 1.55% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.90% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.16% at the 'AAAsf' stress due to 67.8% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 67.8% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. Structured Finance Transactions'. ESG Considerations Chase 2025-2 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in Chase 2025-2, including strong transaction due diligence. In addition, the entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2025-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2025-I, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2025-I, Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2025-I, 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 (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.6, versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 (Positive): The indicative portfolio consists of 98.7% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.0% versus a minimum covenant, in accordance with the initial expected matrix point of 66.3%. Portfolio Composition (Positive): 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 (Neutral): 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 (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2025-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP COMMERCIAL 2015-GC31: DBRS Cuts B Certs Rating to B ------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 issued by Citigroup Commercial Mortgage Trust 2015-GC31 as follows: -- Class A-S to A (high) (sf) from AA (sf) -- Class B to B (sf) from BBB (sf) -- Class X-A to AA (low) (sf) from AA (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class C at CCC (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class PEZ at CCC (sf) Morningstar DBRS changed the trends on Classes A-S and X-A to Stable from Negative and maintained the Negative trend on Class B. Classes C, D, E, F, G, and PEZ have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. Classes A-3, A-4, and A-AB have Stable trends. The credit rating downgrades on Classes A-S and B reflect the increased loss projections for loans in special servicing, primarily driven by the two largest loans in the pool, 135 South LaSalle (Prospectus ID#1, 16.0% of the pool) and Selig Office Portfolio (Prospectus ID#2, 11.5% of the pool). Since the last credit rating action in March 2024, the Selig Office Portfolio transferred to special servicing after the borrower indicated it would be unable to pay off the loan at the maturity in April 2025. Morningstar DBRS liquidated this loan with this review, suggesting trust losses through Class C and eroding credit enhancement on Classes A-S and B, supporting the credit rating downgrades. In addition, Morningstar DBRS changed the trends on Classes A-S and X-A to Stable from Negative given that the updated credit ratings appropriately reflect their credit risk. While the loan remains current as of the January 2025 remittance, Morningstar DBRS notes that the risk of payment default remains high, an event that would extend the recoverability timeline for the outstanding bonds and increase the propensity for interest shortfalls. Interest shortfalls as of the January 2025 remittance already totaled $5.2 million, an increase from $2.0 million at the last credit rating action in March 2024. Unpaid interest continues to accrue month over month, driven primarily by interest shortfalls deemed nonrecoverable from the largest loan in special servicing, 135 South LaSalle. Morningstar DBRS' credit ratings are constrained by the expectation of accruing interest shortfalls prior to repayment, and Morningstar DBRS could take further credit rating actions if full interest to the Class B certificate goes unpaid for an extended period of time, which is the primary consideration for the Negative trend on this class. The largest loan in the pool is secured by 135 South LaSalle, a Class A office property commonly known as the Field Building, in Chicago's central business district. The loan transferred to special servicing in November 2021 for payment default after the former largest tenant, Bank of America (previously 62.3% of the net rentable area), vacated the majority of its space at the July 2021 lease expiration, bringing the occupancy rate down to just under 20%. Since the last credit rating action, outstanding loan-level advances have increased by more than $9 million, and occupancy remained depressed at 14% as of September 2024. The subject property was selected as one of five finalists for the LaSalle Corridor Revitalization project, which is geared toward transforming dated office space into residential housing. While the potential for redevelopment remains promising, the timing and extent to which funding will be available remains unclear. An updated appraisal dated January 2024 valued the subject at $67.7 million, a continued decline from $90 million in January 2023 and well below the issuance value of $330 million. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 10% haircut to the January 2024 appraised value, in addition to outstanding advances and expected servicer expenses, which totaled more than $30 million. This analysis suggested a projected loss severity approaching 75%, or approximately $75 million. The second-largest loan in special servicing is the Selig Office Portfolio, which is secured by a portfolio of nine office buildings totaling 1.6 million square feet throughout Seattle. The subject loan of $72.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and GSMS 2015-GC30 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. The loan transferred to the special servicer in December 2024 after the borrower indicated it would be unable to pay off the loan at its scheduled maturity in April 2025. Per the most recent servicer commentary, the borrower and special servicer are discussing a potential loan extension; however, nothing has been finalized. Occupancy has been declining in recent years and was most recently reported at 64.0% for the trailing six-month period ended June 30, 2024, compared with the issuance occupancy rate of 92.3%. For the same time periods, the loan reported a debt service coverage ratio of 1.87 times (x) and 2.22x, respectively. Office properties within the Central Seattle submarket reported an average vacancy rate of 20.0% in Q3 2024, according to a Reis report. While modification discussions are generally noted to be relatively positive developments, Morningstar DBRS remains concerned about the subject's declines in occupancy and cash flows, as well as the softening submarket fundamentals in recent years. Morningstar DBRS believes that the borrower's inability to refinance the loan by the scheduled maturity is a direct result of these factors, with no significant improvement expected in the near to moderate term. As such, the sponsor's willingness to commit additional capital and/or otherwise support the loan could be limited. Given these factors, the loan was analyzed with a liquidation scenario based on a stressed value analysis. As the servicer has not provided updated appraisals to date, Morningstar DBRS referenced updated appraisals for similar Seattle office properties (also owned by the sponsor) in other Morningstar DBRS-rated CMBS transactions. A haircut of 55% to the issuance appraised value for the subject portfolio was applied based on the values per square foot implied by a stress to the comparative appraised values. The analyzed liquidation scenario resulted in a loss severity of more than 40%, or approximately $31.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2025-3: Fitch Gives 'B(EXP)sf' Rating on Cl. B-2 Certificates ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2025-3 Mortgage Loan Trust (COLT 2025-3). COLT 2025-3 uses Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ COLT 2025-3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2025-3 Mortgage Loan Trust, as indicated above. The certificates are supported by 620 nonprime loans with a total balance of approximately $384.6 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store Inc. The loans were aggregated by Hudson Americas L.P. and are being serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing LLC (Fay). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% qoq, based on Fitch's updated view on sustainable home prices). Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of Nov. 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. COLT 2025-3 has a combined original loan-to-value ratio (cLTV) of 72.7%, slightly higher than that of the previous transaction, COLT 2025-1. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 80.7%, compared with 80.4% for the previous transaction. Non-QM Credit Quality (Negative): The collateral consists of 620 loans totaling $384.6 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 744 model FICO, and moderate leverage, with an 80.7% sLTV and a 72.7% cLTV. Of the pool, 56.0% of the loans are for primary residences, while 44.0% are for investor properties or second homes, as calculated by Fitch. Additionally, 64.0% are nonqualified mortgages (non-QMs, or NQMs) and 1.1% are safe-harbor qualified mortgages (SHQM). The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 19.25%. This is mainly driven by the NQM/nonprime collateral and the concentration of investor cash flow product (debt service coverage ratio [DSCR]) loans. Loan Documentation and DSCR Loans (Negative): About 94.0% of loans in the pool were underwritten to less than full documentation, and 73.7% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 66.1% compared with a transaction with 100% fully documented loans. The originator's investor cash flow program accounts for 41 loans, or 2.6%, targeting real estate investors qualified on a DSCR basis. These business-purpose loans are available to real estate investors qualified on a cash flow basis, rather than a debt-to-income (DTI) basis. Borrower income and employment are not verified. Fitch's average expected losses for DSCR loans are 43.4% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on mortgage loans serviced by SPS and Fay for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer will be obligated to make such advance. 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. However, the additional stress on the structure represents downside risk, as there is limited liquidity in the event of large and extended delinquencies. COLT 2025-3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100 basis points (bps) increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. The structure differs slightly from that of the previous COLT 2025-1 transaction. The A-1 class, which was split into two classes, A-1A and A-1B, has reverted to just an A-1 class, consistent with COLT 2024-7 and prior Fitch-rated transactions. There have been no additional changes to the principal waterfall or priority of payments. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Evolve, Selene, Clarifii, Opus, Canopy, and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 49bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DBGS 2019-1735: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates issued by DBGS 2019-1735 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at A (high) (sf) -- Class X at A (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (high) (sf) -- Class E at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the performance of the underlying collateral remains in line with Morningstar DBRS' expectations following its previous credit rating action in April 2024. Although occupancy has declined slightly from YE2023, the sponsor continues to have success in leasing vacant space with financial performance above Morningstar DBRS' expectation. The current tenant mix primarily consists of law firms and financial companies including select investment-grade tenants, providing further stability to in-place cash flow. The $311.4 million first-lien mortgage loan is secured by the fee-simple interest in a 53-story Class A office building totaling 1.3 million square feet (sf) in the Philadelphia central business district (CBD). The 10-year interest-only (IO) loan matures in April 2029. The sponsor, Silverstein Properties, Inc., used loan proceeds along with $164.2 million of cash equity to acquire the asset for $451.6 million in 2019. According to the June 2024 rent roll, the property was 81% occupied as compared with 85% and 88% at YE2023 and YE2022, respectively. The largest tenant at the property is Ballard Spahr LLP (13.1% of the net rentable area (NRA), lease expiry in January 2031), a national law firm that maintains its headquarters at the subject. The second-largest tenant, Willis Towers Watson (7.6% of NRA, lease expiry in February 2031), is considered an investment-grade tenant; however, the servicer confirmed that KPMG currently subleases the entirety of this space. The third- and fourth-largest tenants (Montgomery McCracken Walker & Rhoads LLP (lease expiry in May 2034) and Brandywine Global Investment Management, LLC, (lease expiry in June 2028) respectively) also have their headquarters at the collateral property. According to the servicer, Montgomery McCracken Walker & Rhoads LLP amended its lease to give back one floor (approximately 1.7% of NRA), effective May 2025; however, it also waived the right on any remaining termination options through its lease expiration. There is marginal near-term tenant rollover risk as leases representing only 4.4% of NRA are scheduled to roll by YE2025. According to the property's website, approximately 9.0% of NRA is listed as available According to a Q3 2024 Reis report, office space in the Center City submarket reported an average vacancy of 13.9%, a slight decline from the YE2023 figure of 14.6%. According to the most recent financials dated June 30, 2024, the annualized net cash flow (NCF) for the trailing six-month period was $29.5 million, equating to a debt service coverage ratio (DSCR) of 2.21 times (x), which remained similar with the YE2023 NCF figure of $28.7 million (DSCR of 2.16x), and well above the Morningstar DBRS NCF of $22.5 million derived in 2020. The April 2024 Morningstar DBRS credit rating analysis and action included an updated collateral valuation. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.5% applied to the Morningstar DBRS NCF of $22.5 million. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV) Sizing benchmarks totaling 3.5% to reflect the subject property's quality and generally long-term in place tenancy to investment-grade tenants. The Morningstar DBRS concluded value of $300.6 million represents a -31.7% variance from the issuance appraised value of $440.3 million and implies an all in LTV of 103.6%. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to EFMT 2025-INV1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, including townhomes, planned-unit developments, condominiums, two- to four-family units, condotels, and five- to 10-unit multifamily residential properties to prime and nonprime borrowers. The pool consists of 1,099 ATR-exempt residential mortgage loans backed by 1,118 properties, including five cross-collateralized loans backed by 24 properties. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator, Ellington Financial Inc., and the originators; -- S&P said, "One key change in our baseline forecast since September 2024, wherein we expect the Federal Reserve to reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025 previously). We continue to expect real GDP growth to slow to below-trend growth in 2025 from above-trend growth in 2024. The U.S. economy is expanding at a solid pace and while President Donald Trump outlined numerous policy proposals during his campaign, S&P Global Ratings' economic outlook for 2025 hasn't changed appreciably partly because we have taken a probabilistic approach and are assuming partial implementation of campaign promises. It will take time for changes in fiscal, trade, and immigration policy to be implemented and affect the economy. Our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency is therefore unchanged at 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Ratings Assigned(i) EFMT 2025-INV1 Class A-1, $153,227,000: AAA (sf) Class A-2, $22,984,000: AA+ (sf) Class A-3, $33,632,000: A+ (sf) Class M-1, $18,569,000: BBB+ (sf) Class B-1, $14,024,000: BB (sf) Class B-2, $9,739,000: B (sf) Class B-3, $7,532,363: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. NR--Not rated. N/A--Not applicable. ELMWOOD CLO 38: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elmwood CLO 38 Ltd./Elmwood CLO 38 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 38 Ltd./Elmwood CLO 38 LLC Class A, $317.50 million: AAA (sf) Class B-1, $51.50 million: AA (sf) Class B-2, $11.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $2.00 million: BBB- (sf) Class E (deferrable). $17.50 million: BB- (sf) Subordinated notes, $55.80 million: Not rated ELMWOOD CLO 39: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 39 Ltd./Elmwood CLO 39 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of March 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 39 Ltd./Elmwood CLO 39 LLC Class A-1, $315.00 million: AAA (sf) Class A-2, $5.00 million: AAA (sf) Class B-1, $60.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C-1 (deferrable), $25.00 million: A (sf) Class C-2 (deferrable), $5.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E-1 (deferrable). $15.00 million: BB- (sf) Class E-2 (deferrable). $1.25 million: BB- (sf) Class F (deferrable). $6.25 million: B- (sf) Subordinated notes, $40.00 million: NR NR--Not rated. FIDELIS 2025-RTL1: DBRS Gives Prov. B(low) Rating on B Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by Fidelis Mortgage Trust 2025-RTL1 (FID 2025-RTL1 or the Issuer) as follows: -- $121.9 million Class A at (P) BBB (low) (sf) -- $112.4 million Class A-1 at (P) A (low) (sf) -- $9.5 million Class A-2 at (P) BBB (low) (sf) -- $10.7 million Class M-1 at (P) BB (low) (sf) -- $12.0 million Class B at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.08% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.75%, 11.65%, and 3.65% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 435 mortgage loans with a total principal balance of approximately $138,648,091 -- Approximately $11,351,909 in the Funding Account -- Approximately $750,000 in the Interest Reserve Account Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. FID 2025-RTL1 represents the first RTL securitization issued by the sponsor, Fidelis Investors Mortgage Fund I, L.P. (Fidelis). Formed in 2020 and headquartered in Cranford, New Jersey, Fidelis Investors LLC (Fidelis Investors) is an alternative asset manager that serves the needs of institutional clients and specializes in investment opportunities in mortgage debt products, structured finance, asset-based lending, and real estate. Fidelis purchases or originates business purpose loans (BPLs) on residential properties, including short-term bridge and fix-and-flip loans (RTLs), long-term rental loans, and ground-up construction loans; transitional multi-family loans; and single-family residential whole loans. Loans are purchased from, or originated through, partnerships with regional lenders, white label and table funding programs, broker referrals, and directly with borrowers through Fidelis' wholly owned subsidiary, Unitas Funding, LLC. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of six to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and will include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA loan-to-cost (LTC) ratio of 85.0%. -- A maximum NZ WA as repaired loan-to-value (ARV LTV) ratio of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-use properties (the latter is limited to 0.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the FID 2025-RTL1 revolving portfolio, RTLs may be: (1) Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property (Construction Draw Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the FID 2025-RTL1 eligibility criteria, unfunded commitments are limited to 45.0% of the portfolio by the unpaid principal balance (UPB) of the mortgage loans and amounts in the Funding Account (together, the assets of the issuer). Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A-1 and Class A-2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the servicer or any other party to the transaction. However, the servicer is obligated to fund Servicing Advances, which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A, Class A-1, and Class A-2 Note amounts without duplication. The servicer will be entitled to reimburse itself for servicing advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account, which, during the revolving period, is used to fund draws and purchase additional loans. The Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the revolving period, amounts held in the Funding Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 96.35%, which maintains a minimum credit enhancement (CE) of approximately 3.65% to the most subordinate rated class. FID 2025-RTL1 incorporates the maximum effective advance rate as a trigger event. During the revolving period (and prior to August 2027), if CE is not maintained for all tranches for three consecutive months, a trigger event will occur, leading to early amortization. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover three months of interest payments to the Notes. This account is funded upfront in an amount equal to $750,000. On the payment dates occurring in March, April, and May 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated historical mortgage repayments relative to draw commitments for Fidelis' historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Other Transaction Features Discretionary Sales The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Optional Redemption On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Optional Repurchase of Delinquent Loans Similar to certain other issuers, the Issuer will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. U.S. Credit Risk Retention As the sponsor, Fidelis, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class P Certificates) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties within certain disaster areas, such as those impacted by the Greater Los Angeles wildfires. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the servicer follows a standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. NOTES: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2025-HE1: DBRS Finalizes B(low) Rating on F Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-HE1 (the Notes) issued by FIGRE Trust 2025-HE1 (FIGRE 2025-HE1 or the Trust): -- $225.6 million Class A at AAA (sf) -- $19.8 million Class B at AA (low) (sf) -- $18.9 million Class C at A (low) (sf) -- $10.6 million Class D at BBB (low) (sf) -- $11.3 million Class E at BB (low) (sf) -- $12.4 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 26.45% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 20.00%, 13.85%, 10.40%, 6.70%, and 2.65% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 4,301 loans (individual HELOC draws) which correspond to 3,952 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $306,711,004 and a total current credit limit of $330,157,634 as of the Cut-Off Date (December 31, 2024). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 17 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the home equity line of credit (HELOC) product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of October 2024, Figure originated, funded, and serviced more than 159,000 HELOCs totaling approximately $11.9 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the transaction's Sponsor. FIGRE 2025-HE1 is the 12th rated securitization of HELOCs by the Sponsor. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. The transaction includes mostly junior liens (primarily second liens) and some first-lien HELOCs. Natural Disasters The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted 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. 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). Maryland Consumer Purpose Loans In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease-and-desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 1.9% of the pool (77 loans) are Maryland consumer-purpose mortgage loans. While the ultimate resolution of this regulation is still unclear, Morningstar DBRS, in its analysis, considered a scenario in which these properties had no recoveries given default. HELOC Features In this transaction, all HELOCs except two are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 92.9% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped-up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Shellpoint will retain servicing responsibilities on all loans that were being special serviced by Shellpoint at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, D, E, F, and G Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,073,489 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in February 2030, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in February 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holder. The Reserve Account's required amount will become $0 on the payment date in February 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (January 2026) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in US dollars unless otherwise noted. GCAT TRUST 2025-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 58 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2025-INV1 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible (93.1% by balance) and prime jumbo (6.9% by balance) residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), PennyMac Loan Services LLC and PennyMac Corp. (collectively, PennyMac) and AmeriHome Mortgage Company, LLC (AmeriHome). The complete rating actions are as follows: Issuer: GCAT 2025-INV1 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on February 20, 2025, because the issuer will not be issuing this class. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.85%, in a baseline scenario-median is 0.53% and reaches 8.20% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. GREAT LAKES 2019-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement debt and proposed new class X debt from Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC, a CLO managed by BMO Asset Management Corp. that was originally issued in May 22, 2019, and underwent a partial refinancing on July 15, 2021. The transaction documentation was further amended to reflect a base rate amendment on April 13, 2023. The preliminary ratings are based on information as of Feb. 27, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 6, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt and proposed new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to March 6, 2027. -- The reinvestment period will be extended to April 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 15, 2037. -- Additional assets will be purchased on and following the March 6, 2025, refinancing date, and the target initial par amount will be reduced to $330.00 million. There will be an additional ramp-up period, which is expected to end on the first payment date following the second refinancing date. The first payment date following the refinancing is July 15, 2025. -- The proposed new class X debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first 16 payment dates in equal installments of $1.35 million, beginning on the first payment date. -- The required minimum coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class A-RR, $191.400 million: AAA (sf) Class B-RR, $33.000 million: AA (sf) Class C-RR (deferrable), $26.400 million: A (sf) Class D-RR (deferrable), $18.150 million: BBB- (sf) Class E-RR (deferrable), $16.515 million: BB- (sf) Other Debt Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class X, $21.600 million: AAA Subordinated notes, $45.600 million: NR NR--Not rated. GS MORTGAGE 2025-NQM1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-NQM1 (GSMBS 2025-NQM1). Entity/Debt Rating ----------- ------ GSMBS 2025-NQM1 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT Asf New Rating M-1 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating A-IO-S LT NRsf New Rating X LT NRsf New Rating SA LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating Transaction Summary The certificates are supported by 898 nonprime loans originated by various entities and have a total balance of approximately $503 million, as of the cut-off date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.2% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory). NonPrime Credit Quality (Negative): The reference pool consists of 898 loans, totaling $503 million, and seasoned approximately nine months in aggregate. The borrowers have a moderate credit profile (737 FICO and 36% DTI) and moderate leverage (77% sLTV). The pool consists of 61.6% of loans where the borrower maintains a primary residence, while 38.4% is an investor property or second home. Additionally, 44.3% of the loans were originated through a retail channel. Loan Documentation (Negative): Approximately 80.50% of the pool was underwritten to less than full documentation, with 60.84% underwritten to a 12- or 24-month bank statement program for verifying income. This is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's Ability to Repay Rule (Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the rule's mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 3.13% is an Asset Depletion product, 0.69% is a CPA or PnL product, and 9.82% is DSCR product. Modified Sequential-Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There will be no servicer advancing of delinquency principal and interest. The lack of 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 to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement to pay timely interest to senior notes during stressed delinquency and cash flow periods. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the Net WAC. Additionally, at issuance, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes as long as the B-3 is not written down. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC, Consolidated Analytics, Digital Risk, Opus, and Selene. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 40bps as a result of the diligence review. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-PJ2: DBRS Gives Prov. B(low) Rating on B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ2 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ2: -- $275.1 million Class A-1 at (P) AAA (sf) -- $275.1 million Class A-2 at (P) AAA (sf) -- $275.1 million Class A-3 at (P) AAA (sf) -- $206.3 million Class A-4 at (P) AAA (sf) -- $206.3 million Class A-5 at (P) AAA (sf) -- $206.3 million Class A-6 at (P) AAA (sf) -- $165.0 million Class A-7 at (P) AAA (sf) -- $165.0 million Class A-8 at (P) AAA (sf) -- $165.0 million Class A-9 at (P) AAA (sf) -- $41.3 million Class A-10 at (P) AAA (sf) -- $41.3 million Class A-11 at (P) AAA (sf) -- $41.3 million Class A-12 at (P) AAA (sf) -- $110.0 million Class A-13 at (P) AAA (sf) -- $110.0 million Class A-14 at (P) AAA (sf) -- $110.0 million Class A-15 at (P) AAA (sf) -- $68.8 million Class A-16 at (P) AAA (sf) -- $68.8 million Class A-17 at (P) AAA (sf) -- $68.8 million Class A-18 at (P) AAA (sf) -- $21.8 million Class A-19 at (P) AAA (sf) -- $21.8 million Class A-20 at (P) AAA (sf) -- $21.8 million Class A-21 at (P) AAA (sf) -- $296.9 million Class A-22 at (P) AAA (sf) -- $296.9 million Class A-23 at (P) AAA (sf) -- $296.9 million Class A-24 at (P) AAA (sf) -- $296.9 million Class A-25 at (P) AAA (sf) -- $296.9 million Class A-X-1 at (P) AAA (sf) -- $275.1 million Class A-X-2 at (P) AAA (sf) -- $275.1 million Class A-X-3 at (P) AAA (sf) -- $275.1 million Class A-X-4 at (P) AAA (sf) -- $206.3 million Class A-X-5 at (P) AAA (sf) -- $206.3 million Class A-X-6 at (P) AAA (sf) -- $206.3 million Class A-X-7 at (P) AAA (sf) -- $165.0 million Class A-X-8 at (P) AAA (sf) -- $165.0 million Class A-X-9 at (P) AAA (sf) -- $165.0 million Class A-X-10 at (P) AAA (sf) -- $41.3 million Class A-X-11 at (P) AAA (sf) -- $41.3 million Class A-X-12 at (P) AAA (sf) -- $41.3 million Class A-X-13 at (P) AAA (sf) -- $110.0 million Class A-X-14 at (P) AAA (sf) -- $110.0 million Class A-X-15 at (P) AAA (sf) -- $110.0 million Class A-X-16 at (P) AAA (sf) -- $68.8 million Class A-X-17 at (P) AAA (sf) -- $68.8 million Class A-X-18 at (P) AAA (sf) -- $68.8 million Class A-X-19 at (P) AAA (sf) -- $21.8 million Class A-X-20 at (P) AAA (sf) -- $21.8 million Class A-X-21 at (P) AAA (sf) -- $21.8 million Class A-X-22 at (P) AAA (sf) -- $296.9 million Class A-X-23 at (P) AAA (sf) -- $296.9 million Class A-X-24 at (P) AAA (sf) -- $296.9 million Class A-X-25 at (P) AAA (sf) -- $296.9 million Class A-X-26 at (P) AAA (sf) -- $15.9 million Class B-1A at (P) AA (low) (sf) -- $15.9 million Class B-X-1 at (P) AA (low) (sf) -- $15.9 million Class B-1 at (P) AA (low) (sf) -- $4.5 million Class B-2A at (P) A (low) (sf) -- $4.5 million Class B-X-2 at (P) A (low) (sf) -- $4.5 million Class B-2 at (P) A (low) (sf) -- $3.1 million Class B-3 at (P) BBB (low) (sf) -- $1.6 million Class B-4 at (P) BB (low) (sf) -- $647,000 Class B-5 at (P) B (low) (sf) -- $275.1 million Class A-1L at (P) AAA (sf) -- $275.1 million Class A-2L at (P) AAA (sf) -- $275.1 million Class A-3L at (P) AAA (sf) 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-1L, A-2L, and A-3L are super senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 8.25% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.35%, 1.95%, 1.00%, 0.50%, and 0.30% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction This securitization is of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ2 (the Notes). The Notes are backed by 256 loans with a total principal balance of $323,627,565 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 68.2%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (UWM; 39.6%), CMG Mortgage, Inc. DBA CMG Financial (CMG, 15.1%), PennyMac Loan Services, (12.8%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez, LLC (Newrez), doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint; 75.7%) and PennyMac Loan Services (PennyMac; 19.9%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer. Computershare Trust Company, N.A. will act as the Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Computershare Delaware Trust Company will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. There is one loan (0.3% of the pool) that is a Maryland consumer-purpose mortgage loan. Notes: All figures are in US dollars unless otherwise noted. GS MORTGAGE 2025-PJ2: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2025-PJ2, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (90.9% by balance) and GSE-eligible (9.1% by balance) residential mortgages aggregated by GSMC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 2.8% by loan balance) and Radian Mortgage Capital LLC (Radian; 0.1% by balance) and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2025-PJ2 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-25, 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-26*, 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 Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on February 13, 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 0.35%, in a baseline scenario-median is 0.16% and reaches 4.77% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GSF 2025-AXMF1: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Ratings Outlooks to GSF 2025-AXMF1 Issuer LLC as follows: - $5,546,000b class A-1 'A(EXP)sf'; Outlook Stable; - $11,098,000b class A-2 'A(EXP)sf'; Outlook Stable; - $2,228,000b class A-S 'A(EXP)sf'; Outlook Stable; - $3,683,000b class B 'A(EXP)sf'; Outlook Stable; - $4,036,000b class C 'A-(EXP)sf'; Outlook Stable; - $0a class X 'A-(EXP)sf'; Outlook Stable; - $5,651,000b class D 'BBB-(EXP)sf'; Outlook Stable; - $3,330,000c class E 'BB-(EXP)sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $4,796,000c class F. (a) Notional amount and interest only (IO). (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest, estimated to be 20.13% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $40,368,000. The expected ratings are based on information provided by the issuer as of Jan. 23, 2025. Transaction Summary This is transaction contains five-year term, fixed rate, stabilized loans in a Qualified REIT Subsidiary (QRS) structure. This is a ramp facility that funds loans directly from the securitization vehicle upon their origination. Note holders have subscribed to, but not yet funded, the notes that will be backed by future loan originations. When loans are ready to be funded, a capital call is issued to the bond investors. Fitch will rate the loan pool as it ramps to several funding milestones: i) the five-loan initial pool and, ii) then at, 25%, 50%, 75% and 100% of the target funding amount of $350 million. When fully funded, the pool is expected to be $350 million and contain 50 loans . The five-loan initial pool contains two closed loans and three delayed-close loans. Fitch will re-rate the deal at each of the funding milestones when collateral is added to the pool. Fitch was given information on a 50-loan portfolio and is being asked to provide feedback on the pool at its different funding milestones. KEY RATING DRIVERS Rating Cap: The pool's low loan count, five loans, has triggered Fitch's rating cap at 'Asf". The rating cap addresses Fitch's concern that low loan count pools are concentrated, lack diversity, and could impact senior investment grade classes. The rating cap for the respective classes will remain in place until the pool reaches at least 10 or more loans/obligors. Lower Fitch Leverage: Leverage compared to Recent CLO Transactions. The pool's Fitch weighted average (WA) trust loan-to-value (LTV) of 113.9% is lower than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 171.2% and 140.7%, respectively. Additionally, the pool's Fitch net cash flow (NCF) debt yield (DY) of 7.7% is higher than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 5.6% and 6.5%, respectively. Pool Concentration: Due to the low number of identified loans in the pool, Fitch has assessed a rating cap of 'Asf'. The rating cap will be reassessed once the pool reaches 10 identified loans. When accounting for the full hypothetical pool, GSF 2025-AXMF1 has lower concentration by loan size. The full pool is more diversified compared to recent CLO transactions. The pool has an effective loan count of 4.3, which is lower than the 2023 CRE CLO and 2024 YTD CRE CLO effective loan count averages of 19.8 and 16.9, respectively. The top 5 loans accounting for 100% of the pool. This is higher than the 2023 CRE CLO and 2024 YTD CRE CLO averages of 38.7% and 44.5%, 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: 'Asf' / Asf' / 'Asf' / 'Asf' / 'A-sf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Decline: 'Asf' / 'Asf' / 'Asf' / 'Asf' / 'BBB+sf' / 'BB+sf' / 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'Asf' / Asf' / 'Asf' / 'Asf' / 'A-sf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Increase: 'Asf' / 'Asf' / 'Asf' / 'Asf' / 'A-sf' / 'BBB-sf' / 'BB-sf'. CRITERIA VARIATION There were no criteria variations in Fitch's analysis of the loan pool. It should be noted that due to the low number of loans identified in the pool, Fitch has assessed a rating cap of 'Asf'. The rating cap will be reassessed once the pool reaches 10 or more identified loans/obligors. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3'means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HARVEST COMMERCIAL 2025-1: DBRS Gives Prov. B Rating on M5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Harvest Commercial Capital Loan Trust 2025-1 (Harvest 2025-1): -- $171,454,000 Class A Notes at (P) AAA (sf) -- $23,019,000 Class M-1 Notes at (P) AA (sf) -- $14,420,000 Class M-2 Notes at (P) A (sf) -- $14,553,000 Class M-3 Notes at (P) BBB (sf) -- $ 13,362,000 Class M-4 Notes at (P) BB (sf) -- $7,144,000 Class M-5 Notes at (P) B (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The transaction's capital structure and available credit enhancement. Note subordination, cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 29.94%, 24.07%, 18.93%, 14.31%, 10.09%, and 6.87% respectively, for each of the AAA (sf), AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) rating categories. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing of first-lien, SBA 504 and conventional commercial real estate loans: (1) Morningstar DBRS performed an operational review of Harvest and found it to be an acceptable originator and servicer for the collateral. (2) In addition, US Bank, which is an experienced servicer of CRE backed loans, is the Backup Servicer and custodian for the transaction. -- A review by Morningstar DBRS of the Harvest's historical collateral performance since Harvest's began originating, which found minimal delinquencies, defaults, and net losses. -- A review of the initial collateral pool as of the statistical cut-off date of December 31, 2024, which possesses diversity by property type and business type, among other metrics, as well as strong overall credit characteristics, most notably with a weighted average obligor FICO score of 731 and a weighted average current loan-to-value ratio of 55.41%. All loans in the collateral pool are backed by business purpose 1st lien CRE. -- Harvest's underwriting of the loans looks to repayment from the small business cash flows and evaluates the small business borrower's ability to repay the loan from business cash flows. The weighted average original debt service coverage ratio (DSCR) for loans in the initial pool is 2.53x. -- A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. -- Collateral eligibility and concentration limits built into the prefunding parameters that ensure that the final collateral pool continues to maintain strong credit characteristics and collateral diversification. -- The legal structure and expected legal opinions that will address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2024 Update, published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. HAYFIN US XII: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-JR, B-R, C-1R, D-R, and E-R replacement debt and the new class C-JR debt from Hayfin US XII Ltd., a CLO originally issued in January 2021 that is managed by Hayfin Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A-L loans, class A notes, and class B-1, B-F, C, D, and E debt following payment in full on the March 4, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-JR, B-R, C-1R, C-JR, D-R, and E-R debt were issued at a lower spread than the original debt. The new floating spread replaced the current fixed and floating spreads. -- The new class C-JR debt was issued as part of this transaction. -- The stated maturity was extended by four years. -- The reinvestment period was extended by four years. -- The non-call period was extended by four years. -- The weighted average life test date was extended by 4.917 years. 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 Hayfin US XII Ltd./Hayfin US XII LLC Class A-1R, $207.96 million: AAA (sf) Class A-JR, $13.87 million: AAA (sf) Class B-R, $41.60 million: AA (sf) Class C-1R (deferrable), $20.80 million: A (sf) Class C-JR (deferrable), $3.46 million: A (sf) Class D-R (deferrable), $17.34 million: BBB (sf) Class E-R (deferrable), $13.85 million: BB- (sf) Ratings Withdrawn Hayfin US XII Ltd./Hayfin US XII LLC Class A-L loans to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-F to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Hayfin US XII Ltd./Hayfin US XII LLC Subordinated notes, $34.13 million: NR NR--Not rated. HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2025-1 D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the series 2025-1 and series 2025-2 rental car asset-backed notes to be issued by Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2025-1 notes and the series 2025-2 notes will have an expected final payment date in three and five years, respectively. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2025-1 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-1 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-1 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2025-2 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, with strong travel demand continuing to underpin rental demand, (5) the available credit enhancement, which consists of subordination and over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moody's applied in the analysis of these transactions are the same as those applied in the analysis of the series 2024-1 and series 2024-2 transactions, except for the share of program vehicles. Moody's increased the assumption of program vehicles to 4.8% from 2.4% due to the recent rapid increase in the concentration of program vehicles in the fleet and the sponsor's forecast for 2025. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Hertz Vehicle Financing III LLC, Series 2025-1 and Series 2025-2 pre-sale report. Detailed application of the assumptions is provided in the methodology. The required credit enhancement for the series 2025-1 and series 2025-2 notes will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. The series 2025-1 and 2025-2 class A, B, and C notes will also benefit from subordination of 31.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. For the series 2025-1 and 2025-2 notes, the minimum liquidity enhancement amount will be around 3.75% and 4.00% of the outstanding note balance, respectively, sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2025-1 and 2025-2 subordinated notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2025-1 and 2025-2 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HPS LOAN 2025-24: S&P Assigns Prelim BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings to HPS Loan Management 2025-24 Ltd./HPS Loan Management 2025-24 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 HPS Investment Partners CLO (UK) LLP. The preliminary ratings are based on information as of March 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Loan Management 2025-24 Ltd./HPS Loan Management 2025-24 LLC Class A-1, $288.000 million: AAA (sf) Class A-2, $9.000 million: AAA (sf) Class B, $45.000 million: AA (sf) Class C (deferrable), $27.000 million: A (sf) Class D-1 (deferrable), $27.000 million: BBB- (sf) Class D-2 (deferrable), $3.825 million: BBB- (sf) Class E (deferrable), $14.175 million: BB- (sf) Subordinated notes, $45.000 million: Not rated JMP MORGAN 2022-OPO: Moody's Lowers Rating on Cl. F Certs to B3 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO, Commercial Mortgage Pass-Through Certificates, Series 2022-OPO as follows: Cl. A, Downgraded to Aa2 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. C, Downgraded to Baa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Baa3 (sf) Cl. E, Downgraded to B2 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Ba2 (sf) Cl. F, Downgraded to B3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Ba3 (sf) Cl. X*, Downgraded to Aa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) RATINGS RATIONALE The ratings on six P&I classes were downgraded due to an increase in Moody's LTV primarily driven by lower than anticipated net operating income (NOI) due to higher operating expenses as well as weakened market fundamentals in the Chicago office market. While the property's revenue has increased since securitization and is generally performing in line with Moody's initial expectations, the property's operating expenses have increased significantly and through the trailing twelve-month period (TTM) ending September 2024 were well above Moody's initial expectations at securitization. The loan's first mortgage loan debt service coverage ratio (DSCR) was above 2.00X based on its fixed rate of 3.47% and had a total debt NOI DSCR above 1.50X inclusive of the encumbered fixed rate (8.5%) mezzanine debt through the third quarter of 2024. However, a combination of higher market vacancy rates and a higher interest rate environment compared to securitization may put the loan at heightened refinance risk upon its maturity date in January 2027. The loan is secured by the Old Post Office, which is a Class A office building located in the West Loop submarket of Chicago, Illinois that was 95% leased as of September 2024. While rental revenue has increased since securitization, property expense growth has outpaced revenue growth and has caused NOI to continue to be lower than expectations at securitization. Furthermore, expense reimbursements have not been commensurate with the pace of expense growth. The NOI for year-end 2023 and trailing twelve months (TTM) ending September 2024 was approximately 29% and 17% lower, respectively, than Moody's expectations at securitization. The rating on the IO class was downgraded based on a decline in the credit quality of its referenced classes. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking views of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the February 7, 2025 distribution date, the transaction's aggregate certificate balance was $705 million, the same as at securitization. The five-year, fixed-rate, interest-only mortgage loan has a total outstanding principal balance of $830.0, including a $125.0 million pari-passu portion which is not part of this trust. Additionally, there is $125.0 million of mezzanine financing held outside of the trust. The fixed rate loan matures in January 2027 and is secured by the fee simple interest in the Old Post Office, which is a 12-story, Class A office building in Chicago, Illinois. The property was originally constructed between 1916 and 1921 as a mail terminal building and post office for the United States Postal Service, eventually being placed to the National Register of Historic Places in 2001. The property contains approximately 2,331,477 rentable SF including approximately 2,206,116 SF of office space, 43,863 SF of retail space 80,948 SF of amenity space and approximately 550 SF of storage space. The building received an extensive $1.26 billion renovation prior to the securitization to transform the building use into a new modern business hub and is LEED Gold certified. The property's annualized NOI for the period ending September 2024 was approximately $62.2 million compared to $53.5 million in 2023 and $76.5 million underwritten at securitization. The largest tenant, UBER (368,179 SF; 15.8% of NRA; expiring 2030) has been subleasing some of its space but another tenant, Vizient, has been expanding into this space. Vizient increased its space from 110,000 SF to 136,000 SF from securitization, and is expected to increase to 190,000 SF after proposing to sub-lease additional space from UBER. Property occupancy has increased to 95% as of September 2024 compared to 92% at securitization and there is minimal rollover risk, with less than 2% of net rentable area (NRA) expiring prior to loan maturity. Annualized property operating expenses as of September 2024 were approximately 34% higher than underwritten levels, mainly due to higher management fees and G&A expenses (in addition to smaller increases across other expense categories). Additionally, the property has not been able to generate similar increases in expense reimbursement revenue to offset the increased operating expenses, further pressuring NOI. The Chicago West Loop submarket fundamentals have continued to weaken since securitization and the coronavirus pandemic. According to CBRE Econometric Advisors the class A submarket vacancy rate was 19.6% as of Q3 2024, compared to 14.8% at securitization. Moody's NCF is now $57.4 million compared to $63.8 million at securitization. Moody's LTV ratio for the first mortgage balance is 119.4% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 111.0% based on Moody's Value using a cap rate adjusted for the current interest rate environment compared to 93.1% at securitization. Moody's stressed debt service coverage ratio (DSCR) is 0.65X compared to 0.72X at securitization. There are minimal outstanding advances and no interest shortfalls as of the current distribution date. In addition to the mortgage loan, there is mezzanine financing secured by a pledge of the direct equity interests in the borrower of $125.0 million. The total debt Moody's LTV ratio increases to 137.4% based on the Moody's Value and 127.7%, based on the Moody's Value using a cap rate adjusted for the current interest rate environment. JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs -------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-WLDN issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN as follows: -- Class X-A at BB (sf) -- Class A at BB (low) (sf) -- Class B at B (low) (sf) -- Class C at CCC (sf) All trends are Stable, with the exception of Class C, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the overall stable performance of the underlying collateral since the last rating action in March 2024, as evidenced by the year-over-year growth in occupancy and in-line sales. The fixed-rate loan is secured by the fee-simple interest in the Walden Galleria, a 1.3 million-square-foot (sf) super-regional shopping mall in Cheektowaga, New York. The subject is the primary shopping destination in the Buffalo metropolitan area and is approximately 12 miles from the Canadian border. The mall is currently anchored by JCPenney (collateral) and Macy's (noncollateral), and major tenants include Dick's Sporting Goods (on a ground lease), Regal Cinemas, Dave & Buster's, and Zara, among others. The anchor space that was formerly occupied by Sears (noncollateral) through 2018 has been backfilled by Primark and Dick's Sporting Warehouse Sale Store (DSWSS), while the former Lord & Taylor space (noncollateral) remains dark since its closure in 2020. Although Lord & Taylor's space was set to be used as a co-working office center, its entire space is currently available as dividable retail space. The loan sponsor is The Pyramid Companies, the largest privately held shopping mall developer in the Northeastern U.S.; its affiliate, Pyramid Management Group, LLC, provides management services. The loan was originally structured with a 10-year term and transferred to special servicing for a second time in February 2022 for imminent maturity default. However, the loan returned to the master servicer in September 2022 following a modification, which extended the maturity to November 2024 with an additional six-month extension option, conditional upon the loan balance being the lessor of $225.0 million or 80.0% of its appraised value. Although the property has not been reappraised since 2022, the loan reported a current balance of $222.0 million as of February 2025, representing a collateral reduction of 17.5% since issuance, and the maturity has been extended to May 2025. Other notable terms include the conversion of the loan to interest-only (IO), and a cash trap that will remain in effect until the loan is paid in full. Since Morningstar DBRS' last credit action, the borrower has kept the loan current and has made monthly principal curtailments, with the loan continuing to perform in accordance with the modification terms. The subject property's occupancy continues to increase. According to the June 2024 rent roll, the entire mall was 90.4% occupied, an improvement from 88.0% as of YE2023. Per a December 2024 article from The Business Journals, several vacant units were backfilled with new and returning tenants, including Barnes & Noble, Abercrombie & Fitch, and Express Jewelers, in the second half of 2024, which may further increase the occupancy. According to the June 2024 rent roll, tenants representing approximately 18.4% of the net rentable area (NRA) had lease expirations through the next 12 months. Fifteen of these tenants (8.8% of the NRA) have surpassed their respective lease expirations to date, including major in-line tenants Forever 21 (2.4% of the NRA; expiration in January 2025) and DSWSS (1.6% of the NRA; expiration in September 2024). However, according to the mall's online directory, most of these tenants, including both Forever 21 and DSWSS, remain in occupancy, suggesting that lease extensions were executed. Given the recent leasing activity and stable sales, Morningstar DBRS believes the majority of the remaining tenants with upcoming expiries will renew and/or extend their leases, including anchor Best Buy (3.4% of the NRA; expiration in January 2025), which has been at the property since 2006. According to the Q4 2024 sales report provided by the servicer, the tenants' (excluding Apple) annualized in-line sales were approximately $619 per sf (psf), a notable increase from the YE2023 and issuance figure of $510 psf and $580 psf, respectively. Despite the improvement in occupancy and sales, the property's net cash flow (NCF) did not reflect a similar growth because of continued declines in base rents, with the trailing 12-month ended September 30, 2024, NCF reported at $23.1 million, slightly below the Morningstar DBRS NCF of $23.8 million assumed at last review. In comparison, the YE2023 and YE2022 NCF were $23.8 million and $25.2 million, respectively. For this review, Morningstar DBRS' credit ratings are based on the value analysis from the previous credit rating action, which considered the August 2022 appraised value of $219.0 million and the annualized trailing nine-month NCF of $23.8 million for the September 30, 2023, period, resulting in an implied cap rate of 10.9%. Based on the appraised value, the loan-to-value ratio (LTV) is 101.7% on current loan balance. Additionally, Morningstar DBRS maintained a positive qualitative adjustment to the final LTV sizing benchmarks, totaling 0.25% to reflect the property's dominant position in the market and the lack of local competition. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2013-LC11: S&P Lowers Cl. B Notes Rating to 'CCC-' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, a U.S. CMBS transaction. This is a U.S. CMBS transaction that is currently backed by four specially serviced assets, all of which are real estate-owned (REO), and one corrected mortgage loan, down from 52 loans at issuance. Rating Actions The downgrades on classes A-S and B, despite higher model-indicated ratings, primarily reflect: S&P's assessment that the transaction faces heightened liquidity risk due to adverse selection, as four ($245.1 million, 78.4% of total pool balance) of the five remaining assets in the pool are specially serviced. These four assets have been with the special servicer for some time and have a total of $13.4 million in servicer advances and interest thereon outstanding, including $10.9 million on the largest asset in the pool, World Trade Center I & II ($96.8 million, 31.0%), which has already been deemed nonrecoverable. S&P's review of the historical remittance reports indicates that the master servicer has been recouping any sporadic principal proceeds from the underlying assets to repay these outstanding advances, which leaves these funds unavailable to support liquidity for the rated classes, leaving them at an otherwise higher risk of liquidity interruption. In addition, the three other specially serviced assets ($148.3 million, 47.5%) all have appraisal reduction amounts and resultant appraisal subordination entitlement reductions (ASERs) in effect, which could worsen upon the receipt of updated appraisal valuations (which are all from early 2024). Furthermore, all three assets also have servicer advances outstanding, which increases the likelihood of them eventually being deemed nonrecoverable. In S&P's view, none of the four specially serviced assets have definitive disposition timeframes, which exacerbates these risks. While the Dulles View asset ($46.3 million, 14.8%) could reportedly liquidate sometime in the first quarter, its current analysis contemplates a potential delay of sale given the generally weak office sales market. The corrected Chandler Crossings Portfolio loan ($67.5 million, 21.6%) is scheduled to mature in June 2025. S&P said, "Based on the recent servicer-reported financials, we are maintaining our S&P Global Ratings' metrics for the loan, which indicate a 155.0% S&P Global Ratings' loan-to-value (LTV) ratio, which we feel indicates a potential refinance risk. Should the loan re-transfer to special servicing, it could incur fees and eventually ASERs, which would put additional liquidity pressure on the bonds." S&P said, "The downgrade of class B's rating to 'CCC- (sf)' further reflects our qualitative consideration that its repayment is dependent upon favorable business, financial, and economic conditions and that this class remains vulnerable to default. The trust bonds experienced $617,167 in monthly interest shortfalls, which resulted in class B shorting interest for the first time in its life, mainly comprising $354,170 of nonrecoverable interest on the specially serviced World Trade Center I & II asset, $211,484 in total monthly ASERs on the three other specially serviced assets, and $52,852 in monthly special servicing fees. "We lowered our rating on the class X-A interest-only (IO) certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount on class X-A references class A-S. "We will continue to monitor the transaction's performance, including the interest shortfalls, asset liquidations, and the upcoming Chandler Crossings Portfolio loan maturity. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate. "At issuance, we applied a transaction-level qualitative adjustment for high full-term and partial-term IO loan concentration, and a high concentration of loans with related borrowers. Given that the sole non-specially-serviced asset, Chandler Crossings Portfolio, is a partial-term IO loan, we maintained this adjustment in our current review." Loan Details World Trade Center I & II ($96.8 million; 31.0% of total pool balance) The REO asset is the largest in the pool and is comprised of two adjacent 1979-built class A office properties totaling 770,221 sq. ft. in the central business district of Denver. The properties are 28 and 29 stories tall and share an indoor and outdoor plaza between them. The special servicer's reporting comments indicate the property is currently just 32.0% occupied. The loan was transferred to special servicing in July 2020 during the pandemic and the asset became REO in July 2022. The asset has been deemed nonrecoverable and had reported exposure build-up of $12.2 million, comprised of $8.9 million in principal and interest advances, $442,107 in tax and insurance advances, $1.6 million in interest thereon, and $1.3 million in cumulative ASERs. According to the special servicer's reporting comments, the property failed to sell in 2023, and was again listed for sale in August 2024. Based on the January 2024 appraisal value of $34.1 million, as well as other value considerations in S&P's analysis, it expects a significant loss (over 60.0%) upon the eventual resolution of the asset. Pecanland Mall ($71.4 million; 22.8%) The REO asset is the second-largest in the pool and is comprised of 433,200 sq. ft. of a 965,238-sq.-ft. class B regional mall property in Monroe, La. Major anchors and tenants at the property include Dillard's (noncollateral; 165,930 sq. ft.), JCPenney (noncollateral; 138,426 sq. ft.), Belk (noncollateral; 105,650 sq. ft.), and Tilt Studio (collateral; 63,436 sq. ft.). The special servicer's reporting comments indicate the property was 81.2% occupied as of November 2024. The loan was transferred to special servicing in February 2023 due to imminent maturity default, and the asset became REO in December 2024. The asset had reported exposure build-up of $1.0 million, comprised of $591,263 in principal and interest advances, $156,527 in other expense advances, $19,153 in interest thereon, and $254,546 in cumulative ASERs. According to the special servicer's reporting comments, necessary repairs and capital items will be addressed as needed to prepare the property for listing and sale. Based on the May 2024 appraisal value of $31.5 million, as well as other value considerations in our analysis, S&P expects a significant loss (over 60.0%) upon the eventual resolution of the asset. Chandler Crossing Portfolio ($67.5 million; 21.6%) The corrected loan is the third-largest in the pool and is secured by the borrower's fee-simple interest in three adjacent multifamily student housing properties totaling 852 units (2,772 beds) in East Lansing, Mich. The subject properties are approximately 2.5 miles from Michigan State University. Current occupancy information was not available. The loan was transferred to special servicing in February 2023 due to imminent maturity default. The loan was subsequently modified and returned to the master servicer in November 2023, with modification terms that included a maturity date extension to June 2025 and a principal paydown of $3.6 million, amongst other updates. Servicer-reported net cash flow (NCF) was $4.0 million in 2022, dropped to $3.2 million in 2023, and rose to $4.3 million for the trailing 12 months ended September 2024. S&P said, "We are maintaining our S&P Global Ratings' NCF, capitalization rate, and expected-case value of $3.8 million, 8.75%, and $43.6 million, respectively, the same as our December 2023 published review, which implies an S&P Global Ratings' LTV ratio of 155.0%. In our view, this indicates a potential refinance risk. The $66.0 million March 2023 appraised value implies a similarly high 102.3% LTV ratio." Dulles View ($46.3 million; 14.8%) The REO asset is the fourth-largest in the pool and is comprised of two eight-story, suburban office buildings totaling 355,543 sq. ft. in Herndon, Va. The special servicer's reporting comments indicate the property was 71.2% occupied as of November 2024, down from 75.0% in 2023 and 80.0% in 2022. The loan was transferred to special servicing in March 2023 due to imminent maturity default, and the asset became REO in January 2024. The asset had reported exposure build-up of $308,284, comprised of $271,086 in principal and interest advances and $37,198 in cumulative ASERs. According to the special servicer's reporting comments, the original borrower had previous difficulty selling the asset, but a current sale has been approved with closing scheduled for March 2025. In S&P's analysis, it considered that, given the current difficult office sales market, the sale may be delayed. Based on the March 2024 appraisal value of $42.9 million, as well as other value considerations in S&P's analysis, it expecta a minimal loss (less than 25.0%) upon the eventual resolution of the asset. Tysons Commerce Center ($30.7 million; 9.8%) The REO asset is the smallest in the pool and is an eight-story office building totaling 181,542 sq. ft. in Tyson's Corner, Va. The property was just 66.0% occupied as of 2022 (more recent information is unavailable). The loan was transferred to special servicing in December 2022 at the borrower's request due to imminent maturity default, and the asset became REO in April 2024. The asset had reported exposure build-up of $2.0 million, comprised of $1.3 million in principal and interest advances, $97,157 in other expense advances, $55,559 in interest thereon, and $519,158 in cumulative ASERs. According to the special servicer's reporting comments, property management is addressing ongoing property needs and a couple of smaller tenants have extended their leases. Based on the June 2024 appraisal value of $17.4 million, S&P expects a moderate loss (between 26.0% and 59.0%) upon the eventual resolution of the asset. Transaction Summary As of the Feb. 18, 2025, trustee remittance report, the collateral pool balance was $312.6 million, which is 23.8% of the pool trust balance at issuance. The pool currently includes four specially serviced assets, all of which are REO, and one corrected mortgage loan, down from 52 loans at issuance. To date, the pool has experienced $2.3 million (0.2% of the original pool trust balance) in principal losses. S&P expects losses to reach approximately 12.5% of the original pool trust balance in the near term based on losses incurred to date and the additional losses upon the eventual resolution of the four specially serviced assets. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 Class A-S to 'BBB+ (sf)' from 'A+ (sf)' Class B to 'CCC- (sf)' from 'BB (sf)' Class X-A to 'BBB+ (sf)' from 'A+ (sf)' JP MORGAN 2019-FL12: S&P Lowers EYT2 Certs Rating to 'CCC (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-FL12, a U.S. CMBS transaction. This U.S. CMBS transaction is currently backed by one remaining floating-rate interest-only (IO) mortgage whole loan that is secured by the borrower's fee-simple interest in the Oswald Tower (formerly known as the Ernst & Young Tower), a 2013-built, 18-story, 475,188-sq.-ft. class A office building in Cleveland. The corrected mortgage loan, which was modified and extended in 2023, currently matures on June 9, 2025, with a one-year extension option that is exercisable if certain conditions are met. Rating Actions The downgrades on classes A, EYT1, and EYT2 primarily reflect: -- S&P's expected-case valuation, which is 6.1% lower than the valuation it derived in its last review due to reported lower revenue, still-weak office submarket fundamentals, and concentrated tenant rollover in 2030. According to the servicer-provided September 2024 rent roll, 38.4% of net rentable area (NRA) and 45.8% of S&P Global Ratings' gross rents expire in 2030. -- The fact that since our last review in April 2024, while the property has had leasing activity, new and renewal tenants are generally signing leases at or below prior in-place rental levels and at significant tenant improvement costs and concessions. -- S&P's belief that the sponsor may continue to face challenges refinancing the loan by its fully extended modified June 2026 maturity date if the property's net cash flow (NCF) and appraised market value do not improve. The revised "as stabilized" appraised value of $78.5 million as of May 2025, assuming a stabilized 90.0% occupancy rate (the property was 89.8% leased after adjusting the Sept. 30, 2024, rent roll for known tenant movements), represents a 41.4% decline from the appraised value at issuance of $134.0 million. The loan-to-value (LTV) ratio based on the revised "as stabilized" value and the current whole loan balance is 89.2%. In addition, there is a $25.0 million mezzanine loan outstanding, which increases the LTV ratio to 121.0%. -- The downgrade on class EYT2, which derives its cash flow from a subordinate component of the whole loan, to 'CCC (sf)' also reflects S&P's qualitative consideration that the repayment of the class is dependent upon favorable business, financial, and economic conditions and that the class is vulnerable to default. -- The downgrade on the class X IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X certificates references class A. S&P said, "We will continue to monitor the performance of the property and loan, as well as the borrower's ability to refinance the loan by its fully extended modified maturity date in June 2026. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond those that we have already considered, or if the loan transfers back to special servicing and the workout strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take further rating actions as we determine necessary." Property-Level Analysis Update S&P said, "In our April 2024 review, we noted that the second-largest tenant, Ernst & Young (15.3% of NRA), vacated the collateral office property in late 2023, bringing reported occupancy down to 77.2%. However, the servicer, KeyBank Real Estate Capital, confirmed that a new tenant, The James B. Oswald Co., signed a lease for 88,218 sq. ft. (18.6% of NRA), which would increase the property's occupancy to about 95.8%. KeyBank did not disclose any other lease terms at that time other than the tenant will not pay rent until July 2026, when its free rent period expires. We utilized a 15.0% vacancy rate, an S&P Global Ratings $33.38 per sq. ft. gross rent (assuming Oswald signed a 10-year lease, commencing in early 2024 at a base rental rate of approximately $30.00 per sq. ft.), a 51.5% operating expense ratio, and higher tenant improvement costs to derive a long-term sustainable NCF of $5.5 million. Using an S&P Global Ratings capitalization rate of 7.75%, we arrived at an expected-case value of $70.4 million, or $148 per sq. ft." The servicer reported a 67.6% occupancy rate and $3.2 million NCF, as of year-to-date September 2024. However, using the September 2024 rent roll and after adjusting for known tenant movements, including Oswald's lease, which commenced Oct. 15, 2024, S&P expects the property's occupancy to increase to about 89.8%. The five largest tenants comprise 55.9% of NRA. They are: -- Tucker Ellis & West LLP (20.2% of NRA; 26.0% of in-place gross rent as calculated by S&P Global Ratings; May 2030 lease expiration). According to KeyBank, the tenant has recently subleased 15.2% of its leased NRA until 2030. -- The James B. Oswald Co. (18.6%; 18.6%; July 2037). -- Kelley & Ferraro LLP (5.8%; 6.2%; June 2036). According to the September 2024 rent roll, the current tenant, Vectra Co., has a direct lease until June 2026. It has subleased its space to Kelley & Ferraro since 2017. -- AON Service Corporation (5.6%; 6.0%; September 2030). -- Dollar Bank FSB (5.6%; 6.3%; April 2038). The property faces minimal tenant rollover (less than 6.0% of NRA) each year through 2029, which is about three years past the loan's fully extended modified maturity date. There is concentrated tenant rollover in 2030, when 38.4% of NRA and 45.8% of S&P Global Ratings' in-place gross rent expire. According to CoStar, the Cleveland central business district office submarket, where the subject property is located, continues to be stressed, with a reported 13.4% vacancy rate, 14.4% availability rate, and a $25.73 per sq. ft. average asking rent for four- and five-star properties, as of February 2025. CoStar projects the vacancy to increase slightly to 14.1% by 2029, with the average asking rent growing modestly to $27.36 per sq. ft. This compares with a 10.2% adjusted in-place vacancy rate and a $32.72 per sq. ft. gross rent, as calculated by S&P Global Ratings. S&P said, "In our current analysis, we assumed a 15.0% vacancy rate, an S&P Global Ratings' $32.72 per sq. ft. gross rent, a 49.9% operating expense ratio, and higher tenant improvement costs to derive an S&P Global Ratings NCF of $5.1 million, 6.1% below the NCF we derived in our April 2024 review. "Utilizing an S&P Global Ratings' capitalization rate of 7.75% (the same as in our last review), we arrived at an S&P Global Ratings' expected case value of $66.2 million, which is 6.1% lower than that of our April 2024 review. This yielded an S&P Global Ratings' LTV ratio of 68.4% on the pooled trust balance and 105.8% on the whole loan balance." Table 1 Servicer-reported collateral performance Year-to-date September 2024(i) 2023(i) 2022(i) Occupancy rate (%) 67.6 77.2 92.3 Net cash flow (mil. $) 3.2 6.4 8.6 Debt service coverage (x) 0.74 1.19 1.45 Appraisal value (mil. $)(ii) 68.3 68.3 134.0 (i)Reporting period. (ii)"As is" appraised value. The revised "as stabilized" appraised value, assuming a 90.0% stabilized occupancy, as of May 5, 2025, was $78.5 million. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2025)(i) (April 2024)(i) (Sep 2019)(i) Whole loan balance (mil. $) 70.0 70.0 75.0 Occupancy rate (%) 85.0 85.0 90.0 Net cash flow (mil. $) 5.1 5.5 6.3 Capitalization rate (%) 7.75 7.75 7.50 Value (mil. $) 66.2 70.4 83.7 Value per sq. ft. ($) 139 148 176 Loan-to-value ratio (%)(ii) 105.8 99.4 89.6 (i)Review period. (ii)On the whole loan balance at the time of review. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-FL12 Class A to 'BBB- (sf)' from 'A- (sf)' Class X to 'BBB- (sf)' from 'A- (sf)' Class EYT1 to 'BB- (sf)' from 'BB (sf)' Class EYT2 to 'CCC (sf)' from 'B (sf)' JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019 - ICON issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-B at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) At the prior credit rating action, Morningstar DBRS changed the trends on Classes F and G to Negative from Stable following the loans' transfer to special servicing in February 2024 after the borrower was unable to secure takeout financing. With this review, Morningstar DBRS has changed the trends back to Stable after the loans were modified and transferred back to the master servicer. All other trends remain Stable. After the release of two properties since issuance, the trust is now secured by 16 separate nonrecourse, first-lien mortgage loans totaling $142.1 million, which include nine multifamily properties and seven mixed-use properties in Manhattan and Brooklyn, New York. The trust debt consists of $46.3 million of Trust A Notes and $72.9 million of Trust B Notes. The Trust A Notes are pari passu with $22.8 million of companion notes that were securitized in the JPMCC 2019-COR5 transaction (not rated by Morningstar DBRS). The loans were modified in April 2024 to extend their maturity dates one year to January 2025 and were subsequently returned to the master servicer. As a condition of the modification, the borrower was required to pay down each loan such that the individual trailing 12-month (T-12) debt yields were no less than 7.5% and the loans' loan-to-value ratios (LTVs) were no more than 75.0% based on undisclosed December 2023 appraisal values, resulting in a principal reduction totaling $9.3 million. Additionally, in July 2024, the 43 West 27th Street loan (Prospectus ID#4, previously 10.2% of the pool) was paid in full, resulting in a principal paydown of $14.5 million. As of the February 2025 remittance, collateral reduction totals 18.6%, with the whole loan paying down by nearly $30.0 million in the last 12 months. The modification allowed for an additional maturity extension to January 2026, conditional on debt yield and LTV hurdles of 8.25% and 70.0%, respectively. To satisfy those conditions, principal curtailments totaling $2.5 million were applied in January 2025. The maturity extension for each remaining loan has been exercised and the portfolio will remain in a cash trap until paid in full. Despite the maturity default, aggregate portfolio cash flows continue to trend higher, increasing each year since 2020. The remaining 16 properties reported net cash flow (NCF) totaling $11.8 million during the T-12 period ended September 30, 2024, representing a 9.6% increase over the T-12 ended September 30, 2023, NCF of $10.8 million. As of September 2024, the portfolio's weighted-average occupancy was reported to be 97.4%, up from 95.8% as of September 2023, with individual property occupancies ranging from 77.0% to 100.0%. In the analysis for this review, Morningstar DBRS updated its LTV sizing approach from the prior credit rating action, applying a capitalization (cap) rate of 7.25% to the T-12 September 2024 NCF of $11.8 million. The resulting Morningstar DBRS value of $162.6 million represents a whole-loan LTV of 87.4%, a 36.5% haircut from the issuance appraised value of $255.9 million for the remaining properties. Morningstar DBRS maintained a positive qualitative adjustment to the LTV sizing benchmarks totaling 4.5% to account for the collateral's lack of significant cash flow volatility, illustrated by stable reporting over the past several years, and strong market fundamentals as a result of the portfolio's location in Manhattan and Brooklyn. Although it is likely that the portfolio's value has deteriorated because of the current interest rate and cap rate environment, the significant amount of deleveraging in the last year and the sponsor's commitment to the collateral are notable mitigants, supporting the credit rating confirmations and trend changes back to Stable with this review. The Morningstar DBRS credit ratings assigned to Classes C, D, E, F, and G are lower than the results implied by the LTV sizing benchmarks. The variances are warranted given the loans' upcoming maturities in January 2026 and the uncertainty of the portfolio's current value given the current interest rate and cap rate environment. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2025-2: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 42 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2025-2, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB) and C.U.P. Holdings LLC. The securities are backed by a pool of prime jumbo (93.0% by balance) and GSE-eligible (7.0% 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 2025-2 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-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.50%, in a baseline scenario-median is 0.23% and reaches 7.65% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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-HE1: Fitch Assigns Bsf Final Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2025-HE1 (JPMMT 2025-HE1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2025-HE1 A-1 LT AAAsf New Rating AAA(EXP)sf M-1 LT AAsf New Rating AA(EXP)sf M-2 LT Asf New Rating A(EXP)sf M-3 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-X LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch expects to rate the residential mortgage-backed certificates backed by first and second lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2025-HE1 (JPMMT 2025-HE1), as indicated above. This is the seventh transaction to be rated by Fitch that includes prime-quality first and second lien HELOCs with open draws off the JPMMT shelf and the seventh second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 4,741 seasoned and non-seasoned, performing, prime-quality first and second lien HELOC loans with a current outstanding balance (as of the cutoff date) of $357.47 million. The collateral balance based on the maximum draw amount is $595.60 million, as determined by Fitch. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is $97.2 million, per transaction documents. As of the cutoff date, weighted average (WA) utilization of the HELOCs is 90.4%, per the transaction documents. Per Fitch's analysis, the main originators in the transaction are United Wholesale Mortgage (45.3%), loanDepot.com, LLC (25.8%) and Better Mortgage Corporation (23.8%). All other originators make up less than 10% of the pool. The loans are serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint [74.2%] and loanDepot.com LLC [25.8%]). Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Chase Bank, National Association (JPMCB). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2025-HE1 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. See the Highlights section for a description. In Fitch's analysis, Fitch assumes 100% of the HELOCs are 100% drawn on day one. As a result, all Fitch-determined percentages are based off the maximum HELOC draw amount. The servicers, Shellpoint and loanDepot.com, LLC, will not be advancing delinquent (DQ) monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans. These loans are adjusted based on the prime rate. The class A-1, M-1, M-2, M-3 and B-1 certificates are floating rate and use SOFR as the index; they are capped at the net WA coupon (WAC). The annual rate on class B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The participation interest is in a fixed pool of draws related to 4,741 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $595.60 million (includes the maximum HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of 10 months, according to Fitch, and five months, per the transaction documents. The pool has a WA original FICO score of 745, as determined by Fitch (743 per transaction documents), indicative of very high credit-quality borrowers. About 45.3% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value (CLTV) ratio of 70.7%, as determined by Fitch, translates to a sustainable LTV (sLTV) ratio of 77.9%. The transaction documents stated a WA drawn LTV of 19.2% and a WA drawn CLTV of 66.5%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 51.2% were originated by a retail or correspondent channel with the remaining 48.8% originated by a broker channel. Of the loans, 100% are underwritten to full documentation. Based on Fitch's documentation review, it considered 98.6% of the loans to be fully documented. Of the pool, 94.7% consists of loans where the borrower maintains a primary or secondary residence, and the remaining 5.3% represents investor loans. Single-family homes planned unit developments (PUDs), a townhouse and single-family attached dwellings constitute 92.6% of the pool (or 91.7%, per the transaction documents). Condominiums and a site condo make up 4.6% (5.3% per the transaction documents), while multifamily homes make up 2.8% (3.0% per the transaction documents). According to Fitch, the pool consists of loans with the following loan purposes: 98.7% cashout refinances (loans that have a cashout amount greater than 2% of the original balance), and 1.3% purchases. The transaction documents show 98.2% of the pool to be cashouts. Fitch considers a loan to be a rate term refinance if the cashout amount is less than $5,000, which explains the difference in the cashout amount percentages. Fitch viewed the collateral to be 99.9% current and 2.5% of the pool as having a prior delinquency. Fitch increased its losses by over 1.0% at 'AAAsf' to account for the delinquency profile of the loans in the pool. None of the loans in the pool are over $1.0 million, and the maximum draw amount is $500,000. Of the pool loans, 36.4% (35.6% per the transaction documents) are concentrated in California. The largest MSA concentration is in the Los Angeles MSA (12.7%), followed by the New York MSA (6.6%) and the San Diego MSA (5.2%). The top three MSAs account for 24.5% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Second Lien HELOC Collateral (Negative): Based on Fitch's analysis of the pool that is based on the maximum HELOC draw amount, the majority of the collateral pool (98.0%) consists of second lien HELOC loans originated by loanDepot.com, LLC, United Wholesale Mortgage, Better Mortgage Corporation and other originators (the second lien percentage is 97.5% based on the transaction documents). Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Modified Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a modified-sequential structure in which principal is distributed pro rata to classes A-1, M-1, M-2 and M-3 to the extent the performance triggers are passing. To the extent the triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, as well as cap carryover amounts. The transaction has a lockout feature benefiting more senior classes if performance deteriorates. If the applicable credit support percentage of classes M-1, M-2 or M-3 is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the NPL percentage plus (iii) the charged off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected toward the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the class M will be locked out starting on day one. Classes A-1, M-1, M-2, M-3, and B-1 are floating-rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the class B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. 180-Day Chargeoff Feature (Positive): Loans that become 180 days delinquent based on the Mortgage Bankers Association (MBA) delinquency method, except for those in a forbearance plan, will be charged off. The 180-day chargeoff feature will result in losses being incurred sooner, while a larger amount of excess interest is available to protect against losses. This compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.8% 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined 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. CRITERIA VARIATION Fitch rated the first JPMMT HELOC in 2023 and the shelf has been a programmatic HELOC issuer. As such, Fitch now has 12 months of performance data on post-crisis prime quality HELOC performance. Based on this additional historical performance data, Fitch reviewed its benchmark prepayment curves used for HELOCs and found that revisions were needed in order to more accurately reflect when prepayments occur and how fast prepayment speeds are based on this additional data and HELOC borrower behavior. For this transaction, Fitch applied a variation to Fitch's U.S. RMBS Cash Flow Analysis Criteria in order to change the shape and CPR speeds of the benchmark prepayment curves. Specifically, Fitch used benchmark prepayment curves that have the shape as Fitch's seven-year ARM prepayment curve and used benchmark prepayments speeds that range from 15% to 37.5% CPR. These changes more accurately reflect the historical prepayment behavior of HELOCs that tend to prepay closer to the end of the IO period and prepay slower than fixed rate second lien products and first lien products. Applying the variation resulted in ratings that are one rating category higher than existing criteria would suggest. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, and Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.98% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2025-VIS1: S&P Assigns B (sf) Rating on Cl. B2 Certs -------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2025-VIS1's mortgage pass-through certificates series 2025-VIS1. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans. The loans are secured by single-family residences, townhouses, planned-unit developments, two- to four-unit multifamily homes, and condominiums to both prime and nonprime borrowers. The mortgage pool consists of 1,339 business-purpose investment-property loans with a principal balance of approximately $372.62 million as of the cutoff date. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, mortgage aggregator and mortgage originators, and the representation and warranty framework; and -- S&P said, "A key change in our baseline forecast since September, outlining that we expect the Federal Reserve to reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026 (previously fourth-quarter 2025). We continue to expect real GDP growth to slow from above-trend growth to below-trend growth in 2025. The U.S. economy is expanding at a solid pace, and while President Donald Trump outlined numerous policy proposals during his campaign, S&P Global Ratings' U.S. economic outlook for 2025 has not changed appreciably, partly because we have taken a probabilistic approach and are assuming partial implementation of campaign promises. It will take time for changes in fiscal, trade, and immigration policy to be implemented and affect the U.S. economy. Therefore, our current market outlook, as it relates to the 'B' projected archetypal foreclosure frequency, is unchanged at 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through the general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Ratings Assigned(i) J.P. Morgan Mortgage Trust 2025-VIS1 Class A-1A, $199,725,000: AAA (sf) Class A-1B, $37,263,000: AAA (sf) Class A-1, $236,988,000: AAA (sf) Class A-2, $36,703,000: AA+ (sf) Class A-3, $44,342,000: A+ (sf) Class M-1, $20,867,000: BBB+ (sf) Class B-1, $15,650,000: BB (sf) Class B-2, $10,992,000: B (sf) Class B-3, $7,080,730: NR Class A-IO-S, $155,806,425(ii): NR Class XS, $372,622,730(iii): NR Class A-R, N/A: NR (i)The ratings address the ultimate payment of interest and principal and do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate unpaid principal balance of the mortgage loans serviced by Shellpoint Mortgage Servicing and Selene Finance as of the cutoff date. (iii)This class will receive certain excess amounts, including prepayment premiums and default interest. NR--Not rated. N/A--Not applicable. JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating on 2 Classes to BB -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on 11 classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C25 issued by JPMBB Commercial Mortgage Securities Trust 2014-C25 as follows: -- Class A-S to A (high) (sf) from AAA (sf) -- Class B to BBB (sf) from A (sf) -- Class C to BB (sf) from BBB (high) (sf) -- Class D to C (sf) from B (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-A to AA (low) (sf) from AA (sf) -- Class X-B to BBB (high) (sf) from A (high) (sf) -- Class X-C to BB (high) (sf) from A (low) (sf) -- Class X-D to C (sf) from BB (low) (sf) -- Class X-E to C (sf) from CCC (sf) -- Class EC to BB (sf) from BBB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class F at C (sf) The trends on Classes A-S, X-A, B, and X-B were changed to Stable from Negative. Classes C, X-C, and EC continue to carry Negative trends. Classes D, E, F, X-D, and X-E have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trend on Class A-5 is Stable. The credit rating downgrades reflect Morningstar DBRS' outlook for the remaining loans in the pool based on a recoverability analysis as the transaction is now in wind-down. Since the previous credit rating action in March 2024, a total of 38 loans have repaid from the trust, including 17 loans that were previously defeased, contributing to a principal repayment of nearly $477.0 million. As of the January 2025 remittance, only 13 loans remain in the pool with an aggregate principal amount of $383.0 million, representing a collateral reduction of 67.7% since issuance. Ten of these loans are specially serviced (81.6% of the pool), while two loans (15.3% of the pool) are being monitored on the servicer's watchlist for upcoming maturity dates and the remaining loan (3.0% of the pool) is defeased with a scheduled maturity in October 2025. To date, the trust has realized $14.2 million in losses, which have been contained to the nonrated Class G. Interest shortfalls have increased to $6.0 million as of the January 2025 reporting, compared with the $4.3 million shortfall reported at the last review. Classes E, F, and NR have not received any interest since at least October 2024, while Class D has received only partial interest since December 2024, receiving roughly 50% of interest due with the January 2025 remittance. Given the concentration of defaulted and under-performing assets, Morningstar DBRS' analysis considered liquidation scenarios for all 10 specially serviced loans and the one distressed performing loan, based on conservative stresses to the most recent appraised values to determine the recoverability of the outstanding bonds. Morningstar DBRS' estimated liquidated losses are likely to erode half of the Class D certificate, a primary consideration in the downgrades to the credit ratings of Classes D and E. While Classes A-S, B, and C would be insulated from losses based on the current liquidated loss projections, Morningstar DBRS' downgrades to these classes are reflective of the credit deterioration since issuance, the highly concentrated nature of the remaining pool, and the extended timeline for recoverability. Morningstar DBRS concluded that the senior Class A-5 continues to be insulated from losses and is likely to be fully recoverable from repayments and liquidation proceeds, the primary consideration in the credit rating confirmation of that class. Morningstar DBRS also remains concerned about the increased propensity for interest shortfalls given that most of the specially serviced loans are recent transfers with an uncertain resolution timeframe. The possibility of additional defaults; the increased propensity for interest shortfalls; and the further declines in value of the specially serviced loans, thus increasing in Morningstar DBRS' loss projections, are considered key drivers for the Negative trend on Class C. Morningstar DBRS' wind-down scenario, however, indicated that the senior investment-grade-rated classes are well insulated from losses, with nearly $85.0 million in remaining credit support beneath the Class B certificate based on current loss projections, thereby supporting the trend change on Classes A-S and B to Stable from Negative. Morningstar DBRS' loss expectations are primarily driven by the largest loan in the pool, CityPlace (Prospectus ID#1; 25.9% of the pool), backed by five office properties and one mixed-use property in the CityPlace Campus in Creve Coeur, Missouri. The loan transferred to special servicing in July 2024 because of imminent monetary default and subsequently failed to repay at maturity in October 2024. However, a loan modification was executed in December 2024, according to servicer commentary, and the loan is pending return to the master servicer. As per the terms of the loan modification agreement, the borrower is required to deposit $2.0 million into an excess cash reserve account in exchange for a 38-month maturity extension through December 2027, followed by a 12-month extension option, which is conditional on achieving a debt yield hurdle of 13.0% on a trailing 12-month basis, for a fully extended maturity date in December 2028. According to the June 2024 rent roll, the property was 85.7% occupied, with leases totaling approximately 35.0% of the net rentable area (NRA) scheduled to roll over in the next 12 months and 60.0% of the NRA scheduled to rollover by the loan's revised final maturity date. The debt service coverage ratio (DSCR) as of YE2023 was reported at 1.36 times (x), likely to be stressed further as leases roll. While the execution of the modification agreement is a positive development, Morningstar DBRS remains concerned about the recent maturity default, significant rollover risk prior to the maturity date, and softening submarket conditions as Reis reported an average vacancy rate of 24.1% in Q3 2024. As such, the loan was analyzed with a liquidation scenario based on a conservative haircut of 50% to the issuance appraised value to account for likely value deterioration given performance declines. The resulting projected loss severity is 35.0%, or approximately $35.0 million. Spectra Energy Headquarters (Prospectus ID#5; 13.4% of the pool) is secured by a 614,000 square foot office building in Houston. The loan was added to the servicer's watchlist in April 2024, ahead of its anticipated repayment date (ARD) of October 2024. The loan did not pay off by the ARD, thereby initiating ARD provisions wherein all excess cash flow will be applied to the repayment of the principal balance until the loan's maturity date in October 2027. The property is fully occupied by Enbridge, Inc. (Enbridge; formerly Spectra Energy Westheimer, LLC, a subsidiary of Spectra Energy Corporation, which was merged with Enbridge in 2017; rated A (low) with a Stable trend by Morningstar DBRS) on a lease through April 2026; however, the servicer confirms Enbridge no longer operates at the subject property. The DSCR remains above 2.0x as Enbridge continues to fulfil its lease payment obligations, however, unless the borrower is able to backfill the large vacancy at the subject, the loan is likely to default once Enbridge's payments cease at lease expiry. There is ample time for the borrower to find a replacement tenant, however, the average vacancy rate of 26.6% across office properties in the Galleria/West Loop submarket reported by Reis in Q4 2024 is likely to pose challenges in backfilling the large area at the subject. While the loan will continue to deleverage through Enbridge's lease expiration, Morningstar DBRS is concerned about the high risk of maturity default stemming from the property potentially becoming fully vacant in a softening submarket. As such, the loan was analyzed with a liquidation scenario based on a conservative haircut of 60% to the issuance appraised value, resulting in a projected loss severity of 35.0%, or approximately $17.5 million. Notes: All figures are in U.S. dollars unless otherwise noted. LIFE MORTGAGE 2022-BMR2: Moody's Cuts Rating on Cl. D Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on seven classes of LIFE 2022-BMR2 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2022-BMR2 as follows: Cl. A-1, Downgraded to Aa1 (sf); previously on May 24, 2022 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Downgraded to Aa1 (sf); previously on May 24, 2022 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on May 24, 2022 Definitive Rating Assigned Aa3 (sf) Cl. C, Downgraded to Baa2 (sf); previously on May 24, 2022 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on May 24, 2022 Definitive Rating Assigned Baa3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on May 24, 2022 Definitive Rating Assigned Ba1 (sf) Cl. HRR, Downgraded to B2 (sf); previously on May 24, 2022 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were downgraded due to an increase in Moody's loan to value (LTV) as a result of decline in financial performance. The portfolio's cash flow has generally declined since securitization driven primarily by a drop in occupancy and increase in operating expenses. The loan's debt service coverage ratio (DSCR) has also declined due to the combination of the lower cash flow and significantly higher floating interest rate. Moody's rating action also reflects the uncertainty around timing and extent of the portfolio's cash flow recovery given weaker life science fundamentals due to the amount of new construction completions resulting in vacancy increasing in the top life science markets. The portfolio's net operating income (NOI) for the trailing twelve months (TTM) ending September 2024 was approximately 8% lower than for the full year 2022. Furthermore, as a result of the decline in cash flow and the significant increase in the floating interest rate in recent years, the uncapped NOI DSCR on the mortgage debt was 1.19X as the TTM ending September 2024 compared to over 3.00X in 2022. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the structure and portfolio nature of the assets, analyzed multiple scenarios to reflect various levels of stress in property values and how they could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the February 2025 distribution date, the transaction's aggregate certificate balance remains unchanged at $2.875 billion. This securitization is collateralized by a first-lien mortgage on the fee and/or leasehold interests in 24 commercial properties, primarily of life science office build, totaling approximately 5.1 million square feet (SF) of rentable area. The portfolio is located across five markets in Cambridge/Boston (31% of ALA), San Francisco (30% of ALA), San Diego (20%), Boulder (7% of ALA), and Seattle with heavy exposure to Big 3 markets (Cambridge/Boston, San Francisco, and San Diego). The collateral for the loan consists of 17 lab-office properties, 5 office properties, a single multifamily property, and a single ground leased parcel. The sponsor is BioMed Realty, a fully integrated REIT that merged with Blackstone in 2015 and is focused on acquiring, developing, leasing, owning and managing laboratory and office space for the life science industry. The floating rate loan had an initial two-year term that matured in May 2024 with three, successive one-year extensions with the final maturity date in May 2027. The interest only loan accrues interest at one month Term SOFR, plus a weighted average spread of approximately 1.832%. During an extension period, the interest rate cap will have a strike price equal to a rate not more than the greater of 5.50% and a rate, that when added to the spread, would result in a minimum DSCR of 1.10x on the then outstanding debt. According to CBRE's 2025 US Life Sciences Outlook, the oversupply of life science lab/R&D space will persist, with 16.6 million square feet under construction as of Q3 2024. Seventy five percent of the remaining construction will be delivered in the first half of 2025 adding further strain on an already oversupplied lab/R&D market. The majority of these completions (68%) will occur in the Big 3 markets. While the overall vacancy rate is expected to increase, the construction pipeline will significantly ease by year-end. The portfolio's Cambridge/ Boston and San Francisco assets appear to be performing in line or better than what Moody's had anticipated at securitization, but five San Diego properties were not generating enough cash flow to cover operating expenses due to low occupancies or vacated tenants. Four properties representing approximately 10% of the allocated loan balance had an occupancy less than 50% as of the September 2024 rent roll. In general, the larger assets with higher allocated loan amounts appear to be performing as expected. Although the performance has generally declined since securitization, the portfolio still benefits from strong long-term tailwinds as healthcare expenditures are expected to continue increasing. The portfolio's TTM September 2024 NOI was approximately $217 million compared to $221 million achieved in 2023 and $236 million in 2022. The portfolio's occupancy was 76% based on the September 2024 rent roll, down from 96% at securitization. Given the higher market vacancies in combination with the lower portfolio occupancy and cash flow since securitization, Moody's lowered Moody's net cash flow (NCF) to $210 million from $219 million at securitization. Moody's LTV ratio for the first mortgage balance is 114% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 106% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.79x. There are no outstanding interest shortfalls or losses as of the current distribution date. MADISON PARK XLVI: Moody's Gives Ba3 Rating to $27MM E-RR Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Madison Park Funding XLVI, Ltd. (the "Issuer"). Moody's rating actions is as follows: US$415,800,00 Class A-RR Floating Rate Senior Notes due 2034, Assigned Aaa (sf) US$27,720,000 Class E-RR Deferrable Floating Rate Mezzanine Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. 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. UBS Asset Management (Americas) LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, other changes to transaction features in connection with the refinancing will include: extension of the non-call period 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 "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $692,056,447 Defaulted par: $4,108,349 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3021 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.25% Weighted Average Recovery Rate (WARR): 45.80% Weighted Average Life (WAL): 5.62 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MAGNETITE LTD XXXIV: Moody's Gives B3 Rating to $410,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Magnetite XXXIV, Limited (the Issuer): US$262,400,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$410,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology 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, cash and eligible investments 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 six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $410,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3045 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MAGNETITE XXXIV: Fitch Assigns 'BBsf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XXXIV, Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Magnetite XXXIV, Limited A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 55952MAC7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 55952MAE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 55952MAG8 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 55954VAA9 LT PIFsf Paid In Full BBsf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Magnetite XXXIV, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $410 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 (Positive): The indicative portfolio consists of 97.51% first-lien senior secured loans and has a weighted average recovery assumption of 75.19%. 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 (Positive): 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 (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XXXIV, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MARATHON CLO 14: S&P Affirms 'BB- (sf)' Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R2 and B-a-R2 replacement debt from Marathon CLO 14 Ltd./Marathon CLO 14 LLC, a CLO managed by Marathon Asset Management L.P. that was originally issued in December 2019 and underwent a partial refinancing in January 2024. At the same time, S&P withdrew its ratings on the class A-1A-R and B-a-R debt following payment in full on the Feb. 28, 2025, refinancing date. S&P also affirmed its ratings on the class A-2a, A-2b, B-b, C-1a, C-1b, C-2, and D debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period was extended to Aug. 28, 2025, for the refinanced debt. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class C-1a, C-1b, and D debt (which were not refinanced) than the rating action on the debt reflects. However, we affirmed our 'BBB (sf)' on the class C-1a debt, our 'BBB (sf)' rating on the class C-1b debt, and 'BB- (sf)' rating on the class D debt after considering the margin of failure and the transaction recently exited the reinvestment period in Jan. 20, 2025. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down." Replacement And January 2024 Debt Issuances Replacement debt -- Class A-1-R2, $247.85 million: Three-month CME term SOFR + 0.95% -- Class B-a-R2 (deferrable), $15.0 million: Three-month CME term SOFR + 1.85% January 2024 debt -- Class A-2a, $35.00 million: Three-month term SOFR + 2.72161% -- Class A-2b, $21.00 million: 4.06% -- Class B-b(deferrable), $7.00 million: 5.14% -- Class C-1a(deferrable), $10.00 million: Three-month term SOFR + 5.13161% -- Class C-1b(deferrable), $12.00 million: 6.49% -- Class C-2(deferrable), $10.00 million: Three-month term SOFR + 6.23161% -- Class D(deferrable), $6.00 million: Three-month term SOFR + 8.30161 -- Subordinated notes, $41.80 million: NR 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 Marathon CLO 14 Ltd./Marathon CLO 14 LLC Class A-1-R2, $247.85 million: AAA (sf) Class B-a-R2 (deferrable), $15.00 million: A (sf) Ratings Withdrawn Marathon CLO 14 Ltd./Marathon CLO 14 LLC Class A-1A-R to NR from 'AAA (sf)' Class B-a-R to NR from 'A (sf)' Ratings Affirmed Marathon CLO 14 Ltd./Marathon CLO 14 LLC Class A-2a: 'AA (sf)' Class A-2b: 'AA (sf)' Class B-b: 'A (sf)' Class C-1a: 'BBB (sf)' Class C-1b: 'BBB (sf)' Class C-2: 'BB+ (sf)' Class D: 'BB- (sf)' Other Debt Marathon CLO 14 Ltd./Marathon CLO 14 LLC Subordinated notes, $41.80 million: NR NR--Not rated. MFA TRUST 2025-NQM1: Fitch Assigns B-(EXP) Rating on B2 Certs ------------------------------------------------------------- Fitch Ratings has assigned expected ratings to MFA 2025-NQM1 Trust. Entity/Debt Rating ----------- ------ MFA 2025-NQM1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates to be issued by MFA 2025-NQM1 Trust (MFA 2025-NQM1), as indicated above. The certificates are supported by 515 nonprime loans with a total balance of approximately $305.0 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10% above a long-term sustainable level vs. 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 515 loans totaling $305.0 million and seasoned at approximately six months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 731 Fitch model FICO and moderate leverage with a 75.3% sustainable loan-to-value ratio (sLTV). The pool is 59.8% comprised of loans for homes in which the borrower maintains as a primary residence, while 40.2% comprises investor properties or second homes, as calculated by Fitch. Additionally, 56.9% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types, including second liens, foreign nationals and borrowers qualified with individual taxpayer identification numbers. Fitch's expected loss in the 'AAAsf' stress is 24.00%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 88.5% of loans in the pool were underwritten to less than full documentation and 41.7% were underwritten to a bank statement program for verifying income. The consumer loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 75.0%, compared with a transaction of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 198 debt service coverage ratio (DSCR) and 11 property focused investor loans, otherwise known as 'No Ratio' products in the pool (40.6% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 34.4% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of 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 to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2025-NQM1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. In Fitch's cashflow analysis, the class A-1 experienced small principal writedowns in three 'AAA' backloaded loss and benchmark prepayment scenarios up to approximately $336,000 or 0.15% of the class A-1 principal balance or 0.11% of the total principal balance. Per criteria, Fitch does not require all its cashflow scenarios to pass in determination of a rating and deems the writedown amounts for these bonds as immaterial. Fitch views the 28.65% credit enhancement for the class A-1 is sufficient for a 'AAAsf' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Clarifii, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, IngletBlair and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 47bps reduction to 'AAAsf' losses. ESG Considerations MFA 2025-NQM1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MIDOCEAN CREDIT VII: Moody's Cuts Rating on $28.5MM E Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MidOcean Credit CLO VII: US$34,500,000 Class D Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on August 12, 2024 Upgraded to A2 (sf) Moody's have also downgraded the rating on the following notes: US$28,500,000 Class E Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on August 12, 2024 Downgraded to Caa1 (sf) MidOcean Credit CLO VII, originally issued in July 2017 and partially refinanced in February 2020 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2021. A comprehensive review of all credit ratings for the respective transactions(s) has/have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class D is primarily a result of deleveraging of the senior notes and an increase in the notes' over-collateralization (OC) ratio since August 2024. The Class A-1-R and Class A-2-R notes have each been paid down fully, and Class B-R have been paid down by 97% or $50.3 million since then. Based on the trustee's February 2025 report[1], the OC ratio for the Class D notes is reported at 139.07%, versus Aug 2024[2] level of 119.44%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's Feb 2025 report[1], the OC ratio for the Class E notes is reported at 99.23% versus Aug 2024[2] level of 100.24%. Furthermore, the weighted average rating factor (WARF) has been deteriorating, and based on Moody's calculations, the current level is 3172 compared to 2768 in August 2024. No actions were taken on B-R, C-R and F notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $100,856,656 Defaulted par: $2,124,531 Diversity Score: 76 Weighted Average Rating Factor (WARF): 3172 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Recovery Rate (WARR): 48.01% Weighted Average Life (WAL): 2.74 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MILFORD PARK CLO: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Milford Park CLO, Ltd. (the Issuer): US$1,750,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$320,000,000 Class A-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$1,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of non-first lien loans, cash and eligible investments. Blackstone Liquid Credit Strategies LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the five other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and concentration limits; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3102 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MORGAN STANLEY 2016-C32: Fitch Lowers Rating on Class F Debt to CC ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed eight classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 (MSBAM 2016-C32). The Rating Outlook on classes B, X-B and C have been revised to Negative from Stable. Fitch assigned Negative Outlooks to classes D and X-D following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C32 A-3 61691GAR1 LT AAAsf Affirmed AAAsf A-4 61691GAS9 LT AAAsf Affirmed AAAsf A-S 61691GAV2 LT AAAsf Affirmed AAAsf A-SB 61691GAQ3 LT AAAsf Affirmed AAAsf B 61691GAW0 LT AAsf Affirmed AAsf C 61691GAX8 LT A-sf Affirmed A-sf D 61691GAC4 LT BB-sf Downgrade BBB-sf E 61691GAE0 LT CCCsf Downgrade BB-sf F 61691GAG5 LT CCsf Downgrade CCCsf X-A 61691GAT7 LT AAAsf Affirmed AAAsf X-B 61691GAU4 LT AAsf Affirmed AAsf X-D 61691GAA8 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 7.1% from 4.9% at Fitch's prior rating action. Ten loans (26.4% of the pool) have been flagged as Fitch Loans of Concern (FLOCs), including five loans in special servicing (4.2%), four (4%) of which remain current and are due to sponsor-related issues. The downgrades reflect increased pool loss expectations since the prior rating action, driven primarily by performance declines, tenant rollover and refinance concerns on the 191 Peachtree and 100 Hamilton office FLOCs. The Negative Outlooks reflect possible further downgrades with higher loss expectations on the larger office and regional mall FLOCs, particularly 191 Peachtree, 100 Hamilton, and Wolfchase Galleria, and/or more loans than expected in the pool default at maturity. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Classes B through F are exposed to loans with increased refinancing risk. This analysis also contributed to the Negative Outlooks. FLOCs; Largest Increase in Loss Expectations: The largest increase in loss expectations since the prior rating action is 100 Hamilton (6.5% of pool), which is secured by a 72,000-sf office property located in Pala Alto, CA. The property is occupied by single tenant, Palantir, through April 2027, four months after the loan's maturity. The property had previously served as Palantir's headquarters, but the company relocated its headquarters to Denver, CO in 2020. According to servicer updates, Palantir is still occupying the property and paying rent. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 22.8% reflects a 9.25% cap rate, 30% stress to the YE 2023 NOI due to the single tenant's above market rent and factored an increased probability of default given anticipated refinance challenges due to a lease expiration around the time of loan maturity. The second largest increase in loss expectations since the prior rating action is 191 Peachtree (6.7%), which is secured by a 1.2 million sf office tower located in Atlanta, GA and a leasehold interest in a parking garage. The loan is considered a FLOC due to declining occupancy, upcoming lease rollover concerns and maturity default risk. Upcoming rollover consists of 11.3% of the NRA (16.8% of base rent) across 10 leases in 2025. Occupancy declined to 67% as of the January 2025 rent roll from 84% at YE 2023 due to Deloitte downsizing from 19.4% of the NRA to 2.9% prior to its May 2025 lease expiration. As of February 2025, total reserves for the loan were $12.2 million. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 19% reflects a 9.5% cap rate and a 30% stress to the YE 2023 due to lower occupancy. Fitch's analysis also factored in an increased probability of default given anticipated refinance challenges. The largest contributor to overall loss expectations is the Wolfchase Galleria loan (6.4%), which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but it was subsequently returned to the master servicer in May 2021. Collateral occupancy has steadily declined year over year. As of March 2024, collateral occupancy was reported at 76%, which compares to 78% at YE 2023, 77.5% at YE 2021, 78.8% at YE 2020, 81.3% at YE 2019 and 84% at YE 2018. The YE 2023 servicer-reported NOI DSCR was 1.67x compared with 1.19x at YE 2022, 1.24x at YE 2021, 1.17x at YE 2020, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 36.7% reflects a 15% cap rate and a 7.5% stress to the YE 2023 NOI. Fitch's analysis also recognized a heightened probability of default due to sustained performance declines and expected refinance challenges. Increased Credit Enhancement (CE): As of the January 2025 distribution date, the pool's aggregate balance has been paid down by 9.6% to $819.6 million from $907 million at issuance. There have been no realized losses to date and interest shortfalls of approximately $265,000 are currently affecting the non-rated class G. Nine loans (41%) are full-term interest-only (IO), and loans with an initial partial interest-only period are now amortizing. Loan maturities are concentrated between July 2026 and January 2027. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to their position in the capital structure, sufficient CE relative to loss expectations and expected paydown from non-FLOCs, but may occur should interest shortfalls affect these classes. Downgrades to the 'AAsf', and 'A-sf' rated classes may occur should performance of the larger office and regional mall FLOCs, particularly 191 Peachtree, 100 Hamilton, and Wolfchase Galleria, deteriorate further, or if more loans than expected default during the term and/or at or prior to maturity. Downgrades to the classes rated 'BB-' are likely with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Further downgrades to the distressed rated classes would occur as losses are more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the classes rated 'AAsf' and 'A-sf' would be limited based on sensitivity to concentrations or the potential for future concentrations, but are possible with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including 191 Peachtree, 100 Hamilton, Wolfchase Galleria, Club Royale Apartments, Carelton Courtyard and University Place and Carelton Courtyard. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'BB-sf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to the distressed classes are not expected but could occur if loans expected to default at maturity successfully refinance and/or with significant and sustained performance improvement on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2018-BOP: DBRS Cuts Class B Certs Rating to CCC -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-BOP issued by Morgan Stanley Capital I Trust 2018-BOP as follows: -- Class A from AAA (sf) to BBB (low) (sf) -- Class B from A (sf) to CCC (sf) -- Class C from BBB (low) (sf) to C (sf) -- Class X-EXT from BB (low) (sf) to C (sf) -- Class D from B (high) (sf) to C (sf) -- Class E from CCC (sf) to C (sf) -- Class F (sf) from CCC (sf) to C (sf) Class A continues to carry a Negative trend, while Classes B, C, D, E, F, and X-EXT have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades are reflective of Morningstar DBRS' increased loss expectations for the underlying loan, driven by the trust's increasing exposure as the loan continues to be in default and in special servicing and by the most recent decline in appraised value. The most recent appraisal in June 2024 valued the collateral portfolio at $125.1 million, representing a 58.1% decline from its issuance value of $298.7 million for the remaining nine collateral properties, as three properties have been released since issuance. In addition to the decline in value, outstanding advances and shortfalls continue to accrue, increasing the loan's total exposure to $166.6 million as of the January 2025 remittance. Given these factors, Morningstar DBRS considered a liquidation scenario in the analysis for this review, the results of which suggest that losses could be incurred to Class B through Class F at disposition. In its liquidation scenario, Morningstar DBRS applied a 25.0% haircut to the June 2024 appraised value to provide cushion against the expected continued build of advances and the potential for further value decline, resulting in a liquidation value of $93.8 million (loan-to-value ratio (LTV) of 172.0%), and implying a capitalization rate of 13.5% on the YE2023 net operating income. Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all current outstanding advances, Morningstar DBRS' liquidation scenario considers that the total trust exposure could reach approximately $183.8 million. Although the results of the liquidation scenario suggest that Class A is insulated from loss at this point in time, the implied LTV for that class, based on the estimated amount of proceeds available after paying all outstanding and expected future advances, has increased beyond the LTV Sizing Benchmark at the credit rating category, supporting the credit rating downgrade and Negative trend. At issuance, the loan was secured by the fee-simple interest in a portfolio of 12 suburban Class B office properties comprising nearly 1.8 million square feet of office space in four different states. The borrower used initial proceeds of $278.4 million, including $55.0 million of mezzanine debt, to refinance existing debt of $259.4 million, fund upfront reserves, and cover closing costs. According to the January 2025 remittance, the loan had a balance of $161.4 million following the release of three properties, representing a collateral reduction of 27.6% since issuance. The portfolio now of consists of properties located across Maryland (six properties), Florida (two properties) Georgia (one property), and Virginia (one property). The interest-only (IO), five-year loan was repaid pro rata for the initial 20% of the trust amount as per the loan documents and is now paying sequentially. The loan was transferred to special servicing in March 2023 for monetary default ahead of its August 2023 maturity date. The borrower defaulted on both the mezzanine loan and the subject loan, which is now listed as nonperforming matured balloon. According to the servicer, foreclosure is actively being pursued on two assets, with receivership pending on the remainder of the properties; however, the preferred resolution strategy is listed as receivership sales. Following the most recent appraisal reduction, monthly interest shortfalls increased to $263,000 and have been affecting Class D as of the January 2025 remittance. Morningstar DBRS expects that interest shortfalls will continue to increase as the servicer works through the disposition of the remaining nine assets with no clear timeline provided. Based on the September 2024 rent rolls for the collateral, portfolio occupancy was 53.6%, a steep decline from 78.0% at issuance, with leases representing 16.4% of the portfolio net rentable area (NRA) scheduled to roll in 2025. In 2022, the sponsor successfully signed Eating Recovery Center, LLC (7.9% of portfolio NRA) to a 15-year lease; however, the servicer reported that the tenant has defaulted on its lease and is likely incapable of performing because of the company's financial distress. According the Q3 2024 reporting, the loan had an annualized net cash flow (NCF) of $10.8 million, a minor improvement from the YE2023 figure of $10.4 million and significantly less than the Morningstar DBRS NCF of $24.5 derived at issuance. Given the weaker market conditions coupled with the significant concentration of tenant rollover, Morningstar DBRS anticipates occupancy and NCF to further decline. Notes: All figures are in U.S. dollars unless otherwise noted. MSBAM 2025-5C1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to MSBAM 2025-5C1, commercial mortgage pass-through certificates, series 2025-5C1 as follows: - $430,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $275,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $378,796,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $654,226,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $96,966,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAAs(EXP)f'; Outlook Stable; - $47,898,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $35,048,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $179,912,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $19,861,000d class D 'BBB(EXP)sf'; Outlook Stable; - $9,346,000d class E 'BBB-(EXP)sf'; Outlook Stable; - $29,207,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $19,860,000d class F 'BB-(EXP)sf'; Outlook Stable; - $19,860,000cd class X-F 'BB-(EXP)sf'; Outlook Stable; - $11,683,000d class G-RR 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $39,721,352d class H-RR; - $24,772,216e class VRR Interest. (a) The exact initial certificate balances or notional amounts of the Class A-2, Class A-2-X1, Class A-2-X2, Class A-3, Class A 3-X1 and Class A-3-X2 trust components (and consequently, the exact initial certificate balance or notional amount of each class of Class A-2 Exchangeable Certificates and Class A-3 Exchangeable Certificates) are unknown and will be determined based on the final pricing of the certificates. However, the initial certificate balances, assumed final distribution dates, weighted average lives and principal windows of the Class A-2 and Class A-3 trust components are expected to be within the applicable ranges reflected in the following chart. The aggregate of the initial certificate balances of the Class A-2 and Class A-3 trust components is expected to be approximately $653,796,000, subject to a variance of plus or minus 5%. The Class A-2-X1 and Class A-2-X2 trust components will have initial notional amounts equal to the initial certificate balance of the Class A-2 trust component. The Class A-3 X1 and Class A-3-X2 trust components will have initial notional amounts equal to the initial certificate balance of the Class A-3 trust component. In the event that the Class A-3 trust component is issued with an initial certificate balance of $653,796,000, the Class A-2 trust component (and, correspondingly, the Class A-2 Exchangeable Certificates) will not be issued. The balances above reflect the highest and lowest respective value of each range. (b) The classes A2, A3, A-S, B and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional Amount and interest only. (d) Privately Placed and pursuant to Rule 144A. (e) Vertical-risk retention interest representing approximately 2.65% of the initial certificate balance of each class. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 67 commercial properties with an aggregate principal balance of $934,609,352 as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Argentic Real Estate Finance 2 LLC and Starwood Mortgage Capital LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be Argentic Services Company LP. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 89.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $83.9 million represents a 15.5% decline from the issuer's aggregate underwritten NCF of $99.3 million. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 101.9% is higher than both the 2024 and 2023 five-year multiborrower transaction averages of 95.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.0% is lower than both the 2024 and 2023 averages of 10.2% and 10.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 105.6% and 8.8%, respectively, compared with the equivalent 2024 five-year multiborrower LTV and DY averages of 99.1% and 9.9%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 10.1% of the pool by balance received an investment-grade credit opinion. Project Midway received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. The Spiral received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 2024 and 2023 five-year multiborrower transaction averages of 12.6% and 14.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 61.1% of the pool, which is higher than the 2024 five-year multiborrower average of 60.2% and lower than the 2023 average of 65.3%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.05%, which is below the 2024 and 2023 averages of 0.4%. The pool has 39 interest-only loans, or 99.0% of the pool by balance, which is higher than the 2024 and 2023 averages of 92.8% and 91.7%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MVW LLC 2023-1: Fitch Affirms 'BBsf' Rating on Class D Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings of MVW 2023-1 LLC (2023-1) and MVW 2024-1 LLC (2024-1). The Rating Outlook remains Stable on all classes. Entity/Debt Rating Prior ----------- ------ ----- MVW 2023-1 LLC A 62848PAA8 LT AAAsf Affirmed AAAsf B 62848PAB6 LT Asf Affirmed Asf C 62848PAC4 LT BBBsf Affirmed BBBsf D 62848PAD2 LT BBsf Affirmed BBsf MVW 2024-1 LLC A 62847RAA5 LT AAAsf Affirmed AAAsf B 62847RAB3 LT Asf Affirmed Asf C 62847RAC1 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS The affirmations of the notes reflect default coverage levels consistent with their current ratings. The Stable Outlook of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. As of the February 2025 distribution period, 61+ day delinquency rates for 2023-1 and 2024-1 are 2.22% and 2.21%, respectively. Cumulative gross defaults (CGDs) for 2023-1 and 2024-1 are currently at 10.15% and 5.39%, respectively. As a result of optional repurchases and substitutions of the defaulted loans by the seller, none of the transactions have experienced a net loss to date. To account for recent performance, the CGD proxy for 2023-1 was revised to 18.0% from 13.5%, due to an increase in Fitch's CGD projections since its last review. For 2024-1, the lifetime CGD proxy was maintained at 13.5% due to low seasoning of the pool. For 2023-1, the class A, class C and class D default coverages are slightly short of the 3.50x, 1.75x and 1.25x multiples for 'AAAsf', 'BBBsf' and 'BBsf'. However, the class B default coverage is able to support the multiple in excess of 2.50x for 'Asf'. For 2024-1, default coverages for the class A, class B and class C notes are able to support multiples in excess of 3.50x, 2.50x and 1.75x for 'AAAsf', 'Asf' and 'BBBsf'. The shortfalls are considered marginal and are still within the range of multiples for their current ratings. Additionally, Fitch also accounted for the seller's optional repurchase and substitution activities across all these transactions, resulting in zero net losses to date. The ratings also reflect the quality of Marriot Vacations Worldwide Corporation timeshare receivable originations, the sound financial and legal structure of the transaction, and the strength of servicing capabilities provided by Marriott Ownership Resorts, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare ABS and trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to one category of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NASSAU LTD 2019-II: Moody's Cuts Rating on $20MM Cl. E Notes to B2 ------------------------------------------------------------------ Moody's Ratings has taken the following rating actions on notes issued by Nassau 2019-II Ltd.: US$28M (Current outstanding amount US$26,000,000) Class BF Senior Secured Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Sep 16, 2019 Assigned Aa2 (sf) US$20M (Current outstanding amount US$22,000,000) Class BN Senior Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on Sep 16, 2019 Assigned Aa2 (sf) US$20M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Sep 16, 2019 Assigned A2 (sf) US$20M Class E Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Sep 1, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$25M (Current outstanding amount US$23,405,202) Class AF Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Sep 16, 2019 Assigned Aaa (sf) US$198M (Current outstanding amount US$185,369,198) Class AL Loans Notes, Affirmed Aaa (sf); previously on Sep 16, 2019 Assigned Aaa (sf) US$33M (Current outstanding amount US$30,894,866) Class AN Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 16, 2019 Assigned Aaa (sf) US$24M Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Sep 1, 2020 Confirmed at Baa3 (sf) Nassau 2019-II Ltd., issued in September 2019, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by NGC CLO Manager LLC. The transaction's reinvestment period ended in October 2024. RATINGS RATIONALE The upgrades on the ratings on the Class BF, Class BN and C notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in January 2024. The senior notes have paid down by approximately USD16.3 million (6.4% of original balance) in the last 12 months. The downgrade to the rating on the Class E notes reflects specific risks to the junior notes, largely driven by par loss observed in the underlying CLO portfolio since January 2024. This is also reflected in the deterioration in over-collateralisation (OC) ratios. According to the trustee report dated January 2025 [1], Class E OC ratio is in breach and reported at 102.8% compared to January 2024 [2] level of 104.4%, respectively. The affirmations on the ratings on the Class AF, AL, AN and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's use 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: USD361.0 million Defaulted Securities: USD1.5 million Diversity Score: 75 Weighted Average Rating Factor (WARF): 2557 Weighted Average Life (WAL): 4.0 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.2% Weighted Average Coupon (WAC): N/A Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: None The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NEUBERGER BERMAN 38: S&P Assigns BB- (sf) Rating on E-R2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-L, A-LR2, A-R2, B-R2, C-R2, D-R2, and E-R2 debt from Neuberger Berman Loan Advisers CLO 38 Ltd./Neuberger Berman Loan Advisers CLO 38 LLC, a CLO managed by Neuberger Berman Loan Advisers II LLC that was originally issued in October 2020 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the class A-L, A-R, B-R, C-R, D-R, and E-R notes and original class A-L loans following payment in full on the Feb. 26, 2025, refinancing date. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Feb. 26, 2026. Replacement And October 2021 Debt Issuances Replacement debt -- Class A-L loans, $156 million: Three-month CME term SOFR + 0.96% -- Class A-LR2, $0 million: Three-month CME term SOFR + 0.96% -- Class A-R2, $154 million: Three-month CME term SOFR + 0.96% -- Class B-R2, $70 million: Three-month CME term SOFR + 1.40% -- Class C-R2, $30 million: Three-month CME term SOFR + 1.88% -- Class D-R2, $30 million: Three-month CME term SOFR + 2.60% -- Class E-R2, $20 million: Three-month CME term SOFR + 4.60% October 2021 debt -- Class A-L loans, $156 million: Three-month CME term SOFR + 1.40161% -- Class A-L notes, $0 million: Three-month CME term SOFR + 1.40161 -- Class A-R, $154 million: Three-month CME term SOFR + 1.40161% -- Class B-R, $70 million: Three-month CME term SOFR + 1.91161 -- Class C-R, $30 million: Three-month CME term SOFR + 2.26161 -- Class D-R, $30 million: Three-month CME term SOFR + 3.26161 -- Class E-R, $20 million: Three-month CME term SOFR +6.51161 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 Neuberger Berman Loan Advisers CLO 38 Ltd./ Neuberger Berman Advisers CLO 38 LLC Class A-L loans, $156.00 million: AAA (sf) Class A-LR2, $0.00 million: AAA (sf) Class A-R2, $154.00 million: AAA (sf) Class B-R2, $70.00 million: AA (sf) Class C-R2, $30.00 million: A (sf) Class D-R2, $30.00 million: BBB- (sf) Class E-R2, $20.00 million: BB- (sf) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 38 Ltd./ Neuberger Berman Advisers CLO 38 LLC Class A-L loans to not rated from 'AAA (sf)' Class A-L notes to not rated from 'AAA (sf)' Class A-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Class D-R to not rated from 'BBB- (sf)' Class E-R to not rated from 'BB- (sf)' Other Debt Neuberger Berman Loan Advisers CLO 38 Ltd./ Neuberger Berman Advisers CLO 38 LLC Subordinated notes, $52.51 million: Not rated NEUBERGER BERMAN 42: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, A-LR, B-R, C-R, D-R, and E-R replacement debt from Neuberger Berman Loan Advisers CLO 42 Ltd./Neuberger Berman Loan Advisers CLO 42 LLC, a CLO managed by Neuberger Berman Loan Advisers II LLC that was originally issued in June 2021. At the same time, S&P withdrew its ratings on the class A, A-L, B, C, D, and E debt following payment in full on the Feb. 28, 2025, refinancing date. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Feb. 28, 2026. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $179.00 million: Three-month CME term SOFR + 0.95% -- Class A-LR loans, $190.00 million: Three-month CME term SOFR + 0.95% -- Class A-LR notes, $0.00 million: Three-month CME term SOFR + 0.95% -- Class B-R, $87.00 million: Three-month CME term SOFR + 1.40% -- Class C-R, $36.00 million: Three-month CME term SOFR + 1.85% -- Class D-R, $36.00 million: Three-month CME term SOFR + 2.50% -- Class E-R, $22.50 million: Three-month CME term SOFR + 4.60% Original debt -- Class A, $179.00 million: Three-month term SOFR + 1.36161% -- Class A-L loans, $190.00 million: Three-month CME term SOFR + 1.36161% -- Class A-l notes, $0.00 million: Three-month CME term SOFR + 1.36161% -- Class B, $87.00 million: Three-month CME term SOFR + 1.86161% -- Class C, $36.00 million: Three-month CME term SOFR + 2.11161% -- Class D, $36.00 million: Three-month CME term SOFR + 3.06161% -- Class E, $22.50 million: Three-month CME term SOFR + 6.21161% 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 Neuberger Berman Loan Advisers CLO 42 Ltd./ Neuberger Berman Advisers CLO 42 LLC Class A-R, $179.00 million: AAA (sf) Class A-LR loans, $190.00 million: AAA (sf) Class A-LR notes, $0.00 million: AAA (sf) Class B-R, $87.00 million: AA (sf) Class C-R, $36.00 million: A (sf) Class D-R, $36.00 million: BBB- (sf) Class E-R, $22.50 million: BB- (sf) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 42 Ltd./ Neuberger Berman Advisers CLO 42 LLC Class A to NR from 'AAA (sf)' Class A-L loans to NR from 'AAA (sf)' Class A-L notes to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Neuberger Berman Loan Advisers CLO 42 Ltd./ Neuberger Berman Advisers CLO 42 LLC Subordinated notes, $60.69 million: NR NR--Not rated. NMEF FUNDING 2025-A: Fitch Assigns BB(EXP) Rating on Cl. D Notes ---------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the NMEF Funding, LLC 2025-A (NMEF 2025-A) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by North Mill Equipment Finance, LLC (NMEF), and it is Fitch's inaugural rating of the equipment contract backed notes issued under the NMEF platform. Entity/Debt Rating ----------- ------ NMEF Funding 2025-A, LLC A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Diverse Segment Mix: The 2025-A transaction primarily consists of contracts secured by the following equipment types: medical (27.82%), all other (19.59%), franchise (12.21%), construction (11.56%) and vocational (11.17%). Medical equipment was first included in the 2019-A transaction and is the strongest performing segment to date. Similarly, 2025-A has also experienced a positive shift in credit tiers with approximately 81.32% in the best credits, tiers 1 and 2, compared to 74.09% in 2024-A. The WA FICO score is 733, the highest to date for the platform. Given the generally low obligor concentrations, the stress loss approach is the primary rating driver. Forward-Looking Approach to Derive Rating Case Loss Proxy: While default performance has been volatile historically, North Mill's managed portfolio and securitizations have experienced improved net losses largely due to shifts in collateral mix and improved credit tiering. Recent vintages have experienced marginally higher losses, attributable to the recent stress in the transportation sector. Fitch accounted for this volatility by assuming a stressed recovery rate and incorporating the performance of recent 2019-2021 vintages in its forward-looking rating case cumulative net loss (CNL) proxy derivation of 7.50%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 18.42% exposure to the transportation sector, lower than 31.97% for 2024-A, which has been under stress for over a year. The top 10 obligors represent 11.46% of the 2025-A pool, up from 4.42% in 2024-A; no obligors represent more than 1.21% of the pool. Initial credit enhancement (CE) to class A through D notes is adequate to support the default of the top 20, 14, 11 and eight obligors, respectively, on a net coverage basis at close under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2025-A is lower than in 2024-A and 2023-A, but higher than in historical transactions since 2021-A. Total initial hard CE for NMEF 2025-A class A, B, C and D notes is 37.90%, 24.00%, 16.40% and 11.20%, respectively, comprising subordination, a nondeclining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 10.20% of the initial discounted pool balance. Additionally, all classes benefit from 0.25% per annum of excess spread. At a 7.50% rating case CNL proxy, the transaction structure is able to support 5.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C and D notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes North Mill has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 6.50%, based on its global economic outlook and asset class outlook and North Mill's managed pool and historical securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage available to the notes. Unanticipated decreases in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch increases the rating case CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. These analyses are intended to indicate the rating sensitivity of notes to unexpected deterioration of a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for class B and C notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 100 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through via the link contained at the bottom of the related rating action commentary. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NYC COMMERCIAL 2025-3BP: Moody's Assigns Ba2 Rating to Cl. E Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by NYC Commercial Mortgage Trust 2025-3BP, Commercial Mortgage Pass-Through Certificates, Series 2025-3BP: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by a single floating-rate loan backed by the fee simple interest in 3 Bryant Park, a 42-story, Class A office tower and retail annex located in New York, NY. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. 3 Bryant Park is a 42-story, Class A office and retail tower located in the Midtown Manhattan neighborhood of New York, NY. It encompasses 1,175,203 SF, of which approximately 1,052,885 SF consists of office space, 99,210 SF is retail, and 11,593 SF is used for storage. The Property was originally built in 1972 as a Class B office and telephone switch facility for New York Telephone Company (Verizon predecessor). It also served as the company's headquarters. In 2009, the Property was fully redeveloped into the existing trophy office tower for approximately $305 million ($260 PSF). An additional $210 million ($179 PSF) was spent from 2009 to 2014 on the construction of the Property's retail component, which includes the Jewel Box and the Cubes. Collateral for the loan consists of four of 11 condominium units including: -- The principal unit (grade floor, floors 1-5, floors 13-20, and floors 23-41), -- The sixth floor unit (floor 6), -- The retail unit (portion of grade on the southwest corner of 42nd Street and Avenue of Americas), and -- The retail annex main unit (126-128 West 42nd Street). The remaining condominium units are owned by Verizon. The Property benefits from a central location in the core of Midtown Manhattan, along Sixth Avenue between 41st Street and 42nd Street. It lies directly across the street from Bryant Park and has excellent accessibility to public transportation given its close proximity to New York's three major commuter hubs - Port Authority Bus Terminal, Grand Central Terminal, and Penn Station. The subject's location is serviced by 16 MTA subway lines at the nearby 42 Street-Bryant Park station, Times Square-42 Street station, and Grand Central-42 Street station. The Property has averaged 94.8% occupancy since 2014. As of January 1, 2025, it is approximately 97.2% leased by 21 unique tenants. Tenants exhibit a 19.9-year weighted average tenure and a 7.2-year weighted average lease term. Tenants that Moody's either assigned a senior unsecured investment-grade rating (where ratings may reflect those of the parent company of the entity shown or a related business development company, whether or not that entity guarantees the lease) or are listed as AmLaw 100 law firms represent 75.2% of NRA and 79.3% of in-place GPR. The largest lease exposure is attributed to Metlife, which signed a 21 year lease in 2008 through 2029 for 411,255 SF (35.0% of NRA; 37.4% of base rent). However, MetLife vacated the premises back in 2015 upon consolidating their operations to 200 Park Avenue. They are currently subleasing their space to Salesforce, Apollo, US Bank. Inclusive of sublease tenants, the largest occupants by NRA are Salesforce (242,300 SF, 20.6 % of NRA and 20.3% of base rent), Dechert LLP (209,049 SF, 17.8% of NRA and 15.3% of base rent) and Standard Chartered Bank (107,885 SF, 9.2% of NRA and 12.1% of GPR). Moody's approaches to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.12X, compared to 1.07X at Moody's provisional ratings due to an interest rate decrease, which is higher than the first mortgage actual stressed DSCR (at a 9.25% constant) of 0.76X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $1,125,000,000 represents a Moody's LTV ratio of 110.8% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 102.9%, compared to 102.5% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 0.34. Notable strengths of the transaction include: (i) include iconic New York City real estate, (ii) prime location and accessibility, (iii) strong historical occupancy with institutional quality tenancy and (iv) experienced sponsorship. Notable concerns of the transaction include: (i) rollover risk, (ii) soft market fundamentals, (iii) high MLTV, (iv) floating-rate, interest-only profile, (v) single asset transaction and (vi) certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approaches for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. OCP CLO 2025-40: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OCP CLO 2025-40 Ltd./OCP CLO 2025-40 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC, a subsidiary of Onex Corp. The preliminary ratings are based on information as of March 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OCP CLO 2025-40 Ltd./OCP CLO 2025-40 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $49.60 million: Not rated OHA CREDIT X-R: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the X-R2, A-R2, B-1-R2, B-2-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from OHA Credit Partners X-R Ltd., a CLO managed by Oak Hill Advisors L.P. that was originally issued in December 2018 and underwent a previous refinancing in April 2021. The preliminary ratings are based on information as of March 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 11, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to March 11, 2027. -- The reinvestment period will be extended to March 11, 2030. -- The legal final maturity date will be extended to April 20, 2038. -- The target initial par amount will remain at $600 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2025. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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." Preliminary Ratings Assigned OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Class X-R2, $4.00 million: AAA (sf) Class A-R2, $366.00 million: AAA (sf) Class B-1-R2, $74.00 million: AA (sf) Class B-2-R2, $10.00 million: AA (sf) Class C-1-R2 (deferrable), $42.00 million: A (sf) Class C-1-R2 (deferrable), $6.00 million: A (sf) Class D-1-R2 (deferrable), $30.00 million: BBB- (sf) Class D-2-R2 (deferrable), $6.00 million: BBB- (sf) Class E-R2 (deferrable), $18.00 million: BB- (sf) Other Debt OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Subordinated notes, $101.50 million: Not rated PMT LOAN 2021-INV2: Moody's Hikes Rating on Cl. B-5 Debt to Ba1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from two US residential mortgage-backed transactions (RMBS), backed by investor property mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2019-1INV Cl. B-5, Upgraded to Aa2 (sf); previously on May 8, 2024 Upgraded to A1 (sf) Issuer: PMT Loan Trust 2021-INV2 Cl. B-2, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on May 31, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on May 31, 2024 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions continue to display strong collateral performance, with cumulative loss for each transaction under .02% and a small number of loans in delinquency. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 84.4% for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2025-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2025-INV2, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2025-INV2 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-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (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 February 7, 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 0.75%, in a baseline scenario-median is 0.45% and reaches 7.73% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. POST ROAD 2022-1: DBRS Hikes Class E Notes Rating to BB(high) ------------------------------------------------------------- DBRS, Inc. confirmed one and upgraded four credit ratings from Post Road Equipment Funding 2022-1 LLC as detailed in the summary chart below. -- Class A-2 Notes AAA (sf) Confirmed -- Class B Notes AAA (sf) Upgraded -- Class C Notes AA (high)(sf) Upgraded -- Class D Notes A (low)(sf) Upgraded -- Class E Notes BB (high)(sf) Upgraded Credit rating rationale includes the key analytical considerations: -- The current available hard credit enhancement (CE) in the form of overcollateralization (OC), subordination (as applicable), and amounts of deposit in the cash reserve account, as well as the change in the level of protection afforded by each form of credit enhancement since the closing of the transaction. -- The strong collateral performance has led to increasing CE levels that are now able to support a higher number of obligors defaulting relative to closing levels. As such, the Class B, C, D, and E Notes have been upgraded. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update," published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). PRPM 2025-NQM1: DBRS Gives Prov. BB(low) Rating on B1 Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM1 (the Certificates) to be issued by PRPM 2025-NQM1 Trust as follows: -- $348.9 million Class A-1 at (P) AAA (sf) -- $34.7 million Class A-2 at (P) AA (high) (sf) -- $39.4 million Class A-3 at (P) A (high) (sf) -- $25.6 million Class M-1A at (P) BBB (high) (sf) -- $21.4 million Class M-1B at (P) BBB (low) (sf) -- $7.3 million Class B-1 at (P) BB (low) (sf) The (P) AAA (sf) credit rating on the Class A-1 Certificates reflects 30.55% of credit enhancement provided by the subordinated certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), and (P) BB (low) (sf) credit ratings reflect 23.65%, 15.80%, 10.70%, 6.45%, and 5.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,098 mortgage loans with a total principal balance of $502,371,395 as of the Cut-Off Date (December 31, 2024). PRPM 2025-NQM1 represents the ninth securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP-LB VI AIV, LLC, a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Greenbox Loans, Inc. (11.9%) is the largest originator of the mortgage loans, 88.1% of the loans were originated by various originators, each of which originated less than 10% of the loans. Fay Servicing, LLC (73.7%), NewRez LLC doing business as Shellpoint Mortgage Servicing (Shellpoint; 21.4%), and SN Servicing Corporation (4.9%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as Custodians. For 31.1% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Approximately 7.6% 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 Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 40.8% of the pool, the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. 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 (15.6%), and QM Rebuttable Presumption (4.9%) by unpaid principal balance (UPB). The Sponsor, or the Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing 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 February 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 employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on Classes A-1, A-2, and A-3 before being applied sequentially to amortize the balances of the senior and subordinate Notes. After a Trigger Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 class balance, before a similar allocation of funds to the Class A-2 and more subordinate certificates (IPIP). Monthly Excess Cashflow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Classes A-1, A-2, A-3, M-1A, M-1B, B-1, B-2, and B-3 (if applicable). For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in March 2029. On or after March 2029, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2025-RCF1: DBRS Finalizes BB(low) Rating on M3 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RCF1 (the Notes) to be issued by PRPM 2025-RCF1, LLC (PRPM 2025-RCF1 or the Trust): -- $158.0 million Class A-1 at AAA (sf) -- $24.1 million Class A-2 at AA (high) (sf) -- $16.7 million Class A-3 at A (sf) -- $12.3 million Class M-1 at BBB (sf) -- $3.1 million Class M-2 at BBB (low) (sf) -- $8.9 million Class M-3 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 36.95% of credit enhancement provided by the subordinated notes. The AA (high) (sf), A (sf), BBB (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 27.35%, 20.70%, 15.80%, 14.55%, and 11.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of the Notes. The Notes are backed by 959 loans with a total principal balance of $250,623,880 as of the Cut-Off Date (December 31, 2024). Morningstar DBRS calculated the portfolio to be approximately 47 months seasoned on average, though the age of the loans is quite dispersed, ranging from three months to 375 months. Approximately 88.5% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, and consequently increased expected losses on the mortgage pool. In the portfolio, 15.1% of the loans are modified. The modifications happened more than two years ago for 76.2% of the modified loans. Within the portfolio, 131 mortgages have non-interest-bearing deferred amounts representing 0.8% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (13.3%) are not subject to or exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (42.7%), QM Rebuttable Presumption (5.0%), and Non-Qualified Mortgage (Non-QM; 39.0%) by UPB. PRP-LB VI, LLC (the Sponsor) acquired the mortgage loans prior to the upcoming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2025-RCF1, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, PRP-LB VI, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2025-RCF1 is the ninth "scratch and dent" rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. On or before 45 days after the closing date, loans serviced by interim servicers, representing 21.3% of the mortgage loans, will be transferred to SN Servicing Corporation, bringing total loans serviced to 61.7% of the pool. Nationstar Mortgage LLC doing business as Rushmore Servicing will service the remaining 38.3% of the pool. The Servicers will not advance any delinquent principal and interest on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in February 2027. Additionally, a failure to pay the Notes in full by the Payment Date in February 2030 will trigger a mandatory auction of the underlying certificates on the March 2030 payment date by the Asset Manager or an agent appointed by the Asset Manager. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequent auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, the holder of more than 50% of the Class M-3 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Expected Redemption Date (Payment Date in February 2029) or the occurrence of a Credit Event. Interest and principal collections are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sale proceeds of the mortgage loans. Prior to the Expected Redemption Date or a Credit Event, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in February 2029, the Class A-1 and the other offered Notes will be entitled to the initial Note Rate plus the step-up note rate of 1.00% per annum. If the does not redeem the rated Notes in full by the payment date in October 2031, or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Natural Disasters/Wildfires With regard to any mortgage loan that may have suffered material damage prior to the Closing Date as a result of the Los Angeles wildfires, the Sponsor will either remove or repurchase the Potentially Affected Wildfire Property, as defined in the Indenture, prior to the Closing Date within ninety (90) days of receipt of evidence and determination by the Sponsor at the Repurchase Price, as defined in the Indenture, and provide notice to the Indenture Trustee of such repurchase. Maryland Consumer Purpose In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted home equity line of credit (HELOC) must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation (OFR) issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 2.8% of the pool (25 loans) are Maryland consumer-purpose mortgage loans. Notes: All figures are in US dollars unless otherwise noted. RALI TRUST: Moody's Hikes 70 Ratings From 12 RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of 70 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Alt-A mortgages issued by RALI. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: RALI Series 2006-QA10 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: RALI Series 2006-QA11 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: RALI Series 2006-QA8 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Confirmed at Ca (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: RALI Series 2006-QA9 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Issuer: RALI Series 2006-QS13 Trust Cl. I-A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-2*, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-5, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-7, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-8, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Issuer: RALI Series 2006-QS14 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-12, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-13, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-14, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-15, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-19, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-22*, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-24, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-25, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: RALI Series 2006-QS15 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 21, 2010 Downgraded to Ca (sf) Cl. A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: RALI Series 2006-QS17 Trust Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. A-8, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: RALI Series 2006-QS18 Trust Cl. I-A-3, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Confirmed at Caa3 (sf) Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Confirmed at Caa3 (sf) Cl. II-A-1, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. II-A-5, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. II-A-6*, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. II-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. II-A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: RALI Series 2006-QS8 Trust Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-5*, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Ca (sf) Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Issuer: RALI Series 2007-QA1 Trust Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at Caa3 (sf) Issuer: RALI Series 2007-QS1 Trust Cl. I-A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010 Confirmed at Caa3 (sf) Cl. II-A-1*, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. II-A-5, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-6, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-7, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-8, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-9*, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-10, Upgraded to Caa2 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-11*, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. II-A-12, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-13, Upgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Ca (sf) Cl. II-A-P, Upgraded to Caa1 (sf); previously on Apr 10, 2013 Downgraded to Ca (sf) Cl. II-A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. No actions were taken on the remaining rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RATE MORTGAGE 2025-J1: DBRS Gives Prov. B Rating on Cl. B5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2024-J1 (the Notes) to be issued by RATE Mortgage Trust 2025-J1 (RATE 2025-J1, or the Trust) as follows: -- $311.0 million Class A-1 at (P) AAA (sf) -- $311.0 million Class A-2 at (P) AAA (sf) -- $311.0 million Class A-3 at (P) AAA (sf) -- $233.3 million Class A-4 at (P) AAA (sf) -- $233.3 million Class A-5 at (P) AAA (sf) -- $233.3 million Class A-6 at (P) AAA (sf) -- $186.6 million Class A-7 at (P) AAA (sf) -- $186.6 million Class A-8 at (P) AAA (sf) -- $186.6 million Class A-9 at (P) AAA (sf) -- $46.7 million Class A-10 at (P) AAA (sf) -- $46.7 million Class A-11 at (P) AAA (sf) -- $46.7 million Class A-12 at (P) AAA (sf) -- $124.4 million Class A-13 at (P) AAA (sf) -- $124.4 million Class A-14 at (P) AAA (sf) -- $124.4 million Class A-15 at (P) AAA (sf) -- $77.8 million Class A-16 at (P) AAA (sf) -- $77.8 million Class A-17 at (P) AAA (sf) -- $77.8 million Class A-18 at (P) AAA (sf) -- $35.3 million Class A-19 at (P) AAA (sf) -- $35.3 million Class A-20 at (P) AAA (sf) -- $35.3 million Class A-21 at (P) AAA (sf) -- $346.3 million Class A-22 at (P) AAA (sf) -- $346.3 million Class A-23 at (P) AAA (sf) -- $346.3 million Class A-24 at (P) AAA (sf) -- $346.3 million Class A-25 at (P) AAA (sf) -- $346.3 million Class A-X-1 at (P) AAA (sf) -- $311.0 million Class A-X-2 at (P) AAA (sf) -- $311.0 million Class A-X-3 at (P) AAA (sf) -- $311.0 million Class A-X-4 at (P) AAA (sf) -- $233.3 million Class A-X-5 at (P) AAA (sf) -- $233.3 million Class A-X-6 at (P) AAA (sf) -- $233.3 million Class A-X-7 at (P) AAA (sf) -- $186.6 million Class A-X-8 at (P) AAA (sf) -- $186.6 million Class A-X-9 at (P) AAA (sf) -- $186.6 million Class A-X-10 at (P) AAA (sf) -- $46.7 million Class A-X-11 at (P) AAA (sf) -- $46.7 million Class A-X-12 at (P) AAA (sf) -- $46.7 million Class A-X-13 at (P) AAA (sf) -- $124.4 million Class A-X-14 at (P) AAA (sf) -- $124.4 million Class A-X-15 at (P) AAA (sf) -- $124.4 million Class A-X-16 at (P) AAA (sf) -- $77.8 million Class A-X-17 at (P) AAA (sf) -- $77.8 million Class A-X-18 at (P) AAA (sf) -- $77.8 million Class A-X-19 at (P) AAA (sf) -- $35.3 million Class A-X-20 at (P) AAA (sf) -- $35.3 million Class A-X-21 at (P) AAA (sf) -- $35.3 million Class A-X-22 at (P) AAA (sf) -- $346.3 million Class A-X-23 at (P) AAA (sf) -- $346.3 million Class A-X-24 at (P) AAA (sf) -- $346.3 million Class A-X-25 at (P) AAA (sf) -- $346.3 million Class A-X-26 at (P) AAA (sf) -- $7.5 million Class B-1 at (P) AA (high) (sf) -- $7.5 million Class B-1A at (P) AA (high) (sf) -- $7.5 million Class B-X-1 at (P) AA (high) (sf) -- $4.6 million Class B-2 at (P) A (high) (sf) -- $4.6 million Class B-2A at (P) A (high) (sf) -- $4.6 million Class B-X-2 at (P) A (high) (sf) -- $3.7 million Class B-3 at (P) BBB (high) (sf) -- $1.8 million Class B-4 at (P) BB (high) (sf) -- $732,000,000 Class B-5 at (P) B (sf) -- $311.0 million Class A-1L at (P) AAA (sf) -- $311.0 million Class A-2L at (P) AAA (sf) -- $311.0 million Class A-3L at (P) AAA (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-2, A-1L, A-2L, and A-3L are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.35% of credit enhancement provided by subordinated certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 3.30%, 2.05%, 1.05%, 0.55%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Morningstar DBRS assigned provisional credit ratings to RATE 2025-J1, a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Notes The Notes are backed by 324 loans with a total principal balance of $365,884,030 as of the Cut-Off Date (February 1, 2025). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the tenth prime jumbo RATE deal. 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. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. Similar to the prior RATE securitizations, the Servicing Administrator will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association (MBA) method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor to the issuer instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. Maryland Consumer Purpose In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties. Approximately 1.4% of the pool (4 loans) are Maryland consumer-purpose mortgage loans. In the event losses are experienced on one of these loans, the Sponsor may be obligated to cure breach, pay the loss amount, repurchase, or replace the affected loan. Notes: All figures are in US dollars unless otherwise noted. RATE MORTGAGE i982025-J1: Fitch Assigns B Rating on Class B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by RATE Mortgage Trust 2025-J1 (RATE 2025-J1). Entity/Debt Rating Prior ----------- ------ ----- RATE 2025-J1 A-1 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-2L LT WDsf Withdrawn AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3L LT WDsf Withdrawn AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-10 LT AAAsf New Rating AAA(EXP)sf A-X-11 LT AAAsf New Rating AAA(EXP)sf A-X-12 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-14 LT AAAsf New Rating AAA(EXP)sf A-X-15 LT AAAsf New Rating AAA(EXP)sf A-X-16 LT AAAsf New Rating AAA(EXP)sf A-X-17 LT AAAsf New Rating AAA(EXP)sf A-X-18 LT AAAsf New Rating AAA(EXP)sf A-X-19 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-20 LT AAAsf New Rating AAA(EXP)sf A-X-21 LT AAAsf New Rating AAA(EXP)sf A-X-22 LT AAAsf New Rating AAA(EXP)sf A-X-23 LT AAAsf New Rating AAA(EXP)sf A-X-24 LT AAAsf New Rating AAA(EXP)sf A-X-25 LT AAAsf New Rating AAA(EXP)sf A-X-26 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-6 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf A-X-8 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1A LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2A LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B-X-1 LT AAsf New Rating AA(EXP)sf B-X-2 LT Asf New Rating A(EXP)sf COLLAT LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by RATE Mortgage Trust 2025-J1 (RATE 2025-J1) as indicated above. The certificates are supported by 324 loans with a total balance of approximately $365.9 million as of the cutoff date. The pool consists of prime fixed-rate mortgages originated by Guaranteed Rate, Inc. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Classes A-1L, A-2L and A-3L have been withdrawn by the issuer as they are not being funded at close and will not be funded at any point in the future. Therefore, Fitch has withdrawn the ratings for those classes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.2% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q24, down 0.5% from the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 3.8% yoy nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 324 loans, totaling $365.9 million and seasoned approximately four months in the aggregate (calculated as the difference between origination date and first pay date). The borrowers have a strong credit profile (781 FICO and 34.2% debt-to-income [DTI] ratio) and moderate leverage (72.8% current mark-to-market loan-to-value ratio [cLTV] and 81.3% sustainable loan-to-value [sLTV] ratio). Of the pool, 92.4% consists of loans to borrowers for their primary residence, while 7.6% consist of loans to borrowers for their second home. Additionally, 100.0% of the loans were originated through a retail channel and 100.0% are designated as safe-harbor qualified mortgage (QM). Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. Interest Reduction Risk (Negative): The transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. This feature can result in interest reductions to rated bonds in high-stress delinquency scenarios. A key difference with this transaction, compared to other transactions with stop-advance loans, is that liquidation proceeds are allocated to interest before principal. As a result, Fitch included the full interest carry in its loss projections and views the risk of permanent interest reductions as lower than for other programs with a similar feature. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress 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 10.2%. As shown in the table below, the analysis indicates that there is some potential rating migration with higher MVDs compared to the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 24bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2025-CES2: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES2 (RCKT 2025-CES2). Entity/Debt Rating Prior ----------- ------ ----- RCKT Mortgage Trust 2025-CES2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 5,478 closed-end second lien loans with a total balance of approximately $482.6 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.0% above a long-term sustainable level versus 11.1% on a national level as of 3Q24, down 0.5% since last quarter, based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 3.8% YoY nationally as of November 2024 despite modest regional declines but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 5,478 loans totaling about $483 million, seasoned at around four months in aggregate, as calculated by Fitch (one month, per the transaction documents), taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 741, a debt-to-income ratio (DTI) of 39.8% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77.1%. Second Lien Collateral (Negative): The entirety of the collateral pool consists of second lien loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Payment Structure (Positive): The transaction features a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cashflow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. 180 Day Charge Off Feature (Positive): The servicer can write off the balance of a loan at 180 days delinquent based on the MBA delinquency method, but it is not obligated to do so. If the servicer expects a meaningful recovery in a liquidation scenario, the Majority Class XS Noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day charge-off feature will cause losses to occur sooner while there is a larger amount of excess interest to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide additional benefit to the transaction above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' delinquent (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. In higher stress scenarios, Fitch does not expect loan workouts because less or negative equity will remain. In this situation, the six-month timeline is reasonable for cashflow analysis. In lower stresses, there is a higher possibility of charge off not occurring due to potential recoveries, which would be more positive than Fitch's analysis assumed. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.0% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 19bps reduction to the 'AAAsf' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. READY CAPITAL 2021-FL6: DBRS Confirms BB(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. upgraded its credit ratings on two classes of notes issued by Ready Capital Mortgage Financing 2021-FL6, LLC (the Issuer) as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) Morningstar DBRS also downgraded its credit ratings on one class of notes issued by the Issuer as follows: -- Class G to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed its credit ratings on the remaining classes of notes: -- 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) All trends are Stable with the exception of Class F and Class G. The trend on Class F was changed to Negative from Stable and Class G carries a credit rating that does not typically carry a trend in commercial mortgage-backed security (CMBS) credit ratings. The credit rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment. Since issuance, there has been collateral reduction of 51.6%, an increase of 13.5% from the previous Morningstar DBRS credit rating action in May 2024. While the specially serviced concentration as of January 2025 includes six loans, representing 48.2% of the current trust balance, the risk is slightly mitigated as the loans are secured by multifamily properties, which have historically been able to better retain property value when compared other commercial property types. Additionally, three of these loans, representing 20.5% of the current trust balance, are current on debt service payments. The credit rating downgrade to Class G is the result of ongoing accumulated interest shortfalls, which have persisted since June 2024 and have surpassed the maximum Morningstar DBRS tolerance for the BB or B credit rating category of six months. As of January 2025 reporting, cumulative interest shortfalls on Class G total $1.0 million. The increase in interest shortfalls is the result of increased loan defaults. According to January 2025 servicer reporting, three loans, representing 27.7% of the current trust balance, are delinquent. The servicer did note that one of these loans, Ivilla Garden Apartments (Prospectus ID#9; 8.2% of the current trust balance) is expected to be modified with potential terms that would include a forbearance, which would defer delinquent debt service payments and bring the loan current. Morningstar DBRS changed the trend on Class F to Negative from Stable as accumulated interest shortfalls have persisted on the class for four months (since October 2024 reporting) and totaled $0.4 million as of January 2025 reporting. While the shortfalls are being repaid as of the January 2025 remittance, Morningstar DBRS notes the interest shortfalls may remain outstanding past the maximum acceptable length of six reporting periods, justifying the Negative trend. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral pool consisted of 52 floating-rate mortgage assets with an aggregate cut-off date balance of $652.5 million secured by 55 mortgaged properties. As of the January 2025 remittance, the trust comprises 14 loans secured by multifamily properties with a cumulative balance of $321.8 million. The transaction benefits from overcollateralization as the outstanding cumulative bond balance is $315.6 million. Since the previous Morningstar DBRS credit rating action, five loans, with a former cumulative trust balance of $45.9 million, have been paid in full. Leverage across the pool has increased slightly from issuance levels as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 74.4%, with a current WA stabilized LTV of 69.4%. In comparison, these figures were 73.2% and 65.5%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and may not reflect the current rising interest rate or widening capitalization rate environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for 11 loans, representing 93.9% of the current trust balance, generally reflective of higher cap rate assumptions compared with the implied cap rates based on the appraisals. The largest loan in special servicing, Desert Gardens (Prospectus ID#3, 12.4% of the current trust balance), is secured by a 307-unit multifamily property in Glendale, Arizona. The loan transferred to special servicing in May 2024 for maturity default and remains due for the June 2024 payment. At loan closing, the borrower's business plan was to implement a $5.3 million capital expenditure (capex) plan, which included the renovation of all unit interiors as well as upgrades to property amenities and exteriors. Morningstar DBRS previously noted the borrower was behind in its plan, as only $1.4 million had been advanced to the borrower through March 2024. According to an update from the servicer, an additional $0.5 million had been advanced through December 2024. The sponsor has relinquished day-to-day control of the property to a limited partner, which has resulted in operational improvements, according to the servicer. Through August 2024, 117 units had been renovated and according to the October 2024 rent roll, the property was 93.5% occupied with an average rental rate of $1,034 per unit. The rental rate surpasses the Morningstar DBRS stabilized figure of $1,000 per unit but trails the Issuer stabilized figure of $1,143 per unit. In terms of net cash flow (NCF), Morningstar DBRS did not receive a trailing 12-month 2024 figure; however, the YE2023 figure was $2.4 million, which equals the Morningstar DBRS stabilized figure, but trails the Issuer figure of $3.0 million. According to the servicer, the likely resolution of the loan will be a modification and forbearance; however, the potential timing and future involvement of the original sponsor is unclear. Morningstar DBRS expects that all past due debt service payments and accrued interest may be deferred until loan maturity. In its current analysis Morningstar DBRS applied upward as-is and as-stabilized LTV adjustments of approximately 100.0% and 85.0%, respectively, as well as an increased Probability of Default penalty to reflect the increased credit risk of the loan. The loan expected loss is approximately two times greater than the expected loss for the pool. As of the January 2025 remittance, there are four loans are on the servicer's watchlist, representing 29.1% of the current trust balance. The loans have been flagged for below breakeven debt service coverage ratio (DSCRs), which are result of increased debt service payments on the floating-rate loans and lower than projected NCF. The transaction also faces upcoming maturity risk as seven loans, representing 32.6% of the current trust balance, have scheduled maturity dates throughout 2025. The risk is slightly mitigated as all borrowers have remaining loan extension options. While not all borrowers will qualify based on required property performance tests, Morningstar DBRS notes these loans may be modified by the Issuer to waive these tests, allowing borrowers to exercise loan extensions. In return, borrowers will likely be required to contribute fresh equity in the form of a principal curtailment, deposit into reserve accounts and/or the purchase of a new interest rate cap agreement. Through December 2024, the lender had advanced cumulative loan future funding of $21.8 million to 13 of the remaining individual borrowers to aid in property stabilization efforts, excluding any funds advanced at loan closing as working capital. The largest advance ($7.2 million) has been made to the borrower of the 79 Metcalf Apartments loan, which is secured by a 280-unit multifamily property in the Kansas City suburb of Overland Park, Kansas. Funds were advanced to the borrower to complete capex projects across the property. At closing, the borrower planned to renovate all existing units, convert previous storage space to 20 additional units, and upgrade common areas and property exteriors. The loan is currently on the servicer's watchlist for a low DSCR, which the servicer reported as 0.48 times at of Q3 2024. According to the servicer, the borrower has completed 86% of its capex plan, including the renovation of 176 units. According to the September 2024 rent roll, the property was 92.5% occupied with an average rental rate of $1,170 per unit. It appears the borrower may have chosen to not convert the former storage space to additional multifamily units as only 280 units were listed on the rent roll. The property is achieving an average rental rate above the Morningstar DBRS concluded stabilized figure of $1,106 per unit and the Issuer concluded stabilized figure of $1,159 per unit with a trailing 12-month's ended NCF of $1.6 million. The NCF figure trails the Morningstar DBRS projection of $2.1 million and given the loan matures in May 2025, it may be difficult for the borrower to achieve the stabilized projection prior to maturity. There remains one additional 12-month extension option available to the borrower; however, as well as $0.6 million of additional loan funding, which may provide additional time to complete the capex plan and increase cash flow. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2025-1: Fitch Assigns 'B(EXP)sf' Rating on Cl. G Certs ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Real Estate Asset Liquidity Trust 2025-1 (REAL-T 2025-1) commercial mortgage pass-through certificates, series 2025-1 as follows: - $290,000,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $153,474,000 class A-2 'AAA(EXP)sf'; Outlook Stable; - $13,324,000 class B 'AA(EXP)sf'; Outlook Stable; - $456,798,000a class X 'AA(EXP)sf'; Outlook Stable; - $15,226,000 class C 'A(EXP)sf'; Outlook Stable; - $2,310,000d class D-1 'BBB(EXP)sf'; Outlook Stable; - $7,841,000bcd class D-2 'BBB(EXP)sf'; Outlook Stable; - $5,076,000bc class E 'BBB-(EXP)sf'; Outlook Stable; - $6,979,000bc class F 'BB(EXP)sf'; Outlook Stable; - $5,075,000bc class G 'B(EXP)sf'; Outlook Stable; Fitch does not expect to rate the following classes: - $8,248,533bc class H; a) Notional amount and interest only. b) Non-offered certificates. c) Horizontal credit-risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. d) The approximate initial certificate balances of class D-1 and D-2 certificates will ultimately be determined such that the aggregate fair value of class D-2, E, F, G and H certificates will equal at least 5% of the estimated fair value of all classes of certificates issued by REAL-T. Distributions of interest, principal and realized losses to class D-1 and D-2 certificates will be pro rata and pari passu Transaction Summary The Real Estate Asset Liquidity Trust, Commercial Mortgage Pass-Through Certificates, Series 2025-1 (REAL-T 2025-1) represents the beneficial ownership interest in the trust that holds 70 loans secured by 102 commercial properties located in Canada with an aggregate principal balance of CAD507.6 million as of the cut-off date. The loans were contributed to the trust by Royal Bank of Canada and Bank of Montreal. The master servicer and special servicer is expected to be CMLS Financial Ltd. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 57.1% of the properties by balance, cash flow analyses of 72.4% of the pool, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 32 loans totaling 72.4% of the pool by balance. Fitch's resulting net cash flow (NCF) of CAD62.8 million represents a 10.4% decline from the issuer's underwritten NCF of CAD62.8 million. Lower Fitch Leverage: The pool has lower leverage compared to the previous Canadian multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 90.6% is lower than the 2019, 2020 and 2021 Canadian transactions' LTV of 103.2%, 109.5% and 107.4%, respectively. The pool's Fitch NCF debt yield (DY) of 11.1% is higher than the 2019, 2020, 2021 Canadian transactions' DY of 9.0%, 8.3%, 8.4%, respectively. Loan Amortization and Seasoning: There are no interest-only or partial IO loans in the pool. Additionally, the pool is scheduled to amortize 11.0% from cutoff balance to maturity, which is lower than the 2019, 2020 and 2021 Canadian transactions' scheduled amortization of 15.9%, 19.3% and 16.4%, respectively. In addition, the loans are seasoned 32.9 months on average. Recourse: Sixty-six loans, accounting for 81.2% of the pool, are either full or partial recourse to the borrowers, sponsors, or additional guarantors, which is above the 2019, 2020 and 2021 Canadian transactions' recourse percentages of 66.3%, 72.7% and 80.8%, respectively. In Fitch's analysis, all Canadian loans will receive a PD credit to reflect the lender-friendly Canadian foreclosure laws. For this pool, full recourse to non-investment-grade entities receives two-thirds of the full credit; partial recourse to non-investment-grade entities receives one-third of the full credit; no recourse receives no PD credit. Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate (CRE) loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as amortization (no interest-only [IO] loans) and recourse to the borrower, and additional guarantors on many loans. For more information on prior Canadian CMBS securitizations, see Fitch's "Canadian CMBS Default and Loss Study," dated December 2018,. 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' / 'AAsf' / 'Asf'/ 'BBBsf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'; - 10% NCF Decline: 'AA+sf' / 'AA-sf' / 'A-sf'/ 'BBBsf'/ 'BB+sf'/ 'B+sf'/ 'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAsf' / 'Asf'/ 'BBBsf'/ 'BBB-sf'/ 'BBsf'/ 'Bsf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf'/ 'Asf'/ 'BBB+sf'/ 'BBB-sf'/ 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link at the bottom of this report. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REGATTA XVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Regatta XVIII Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta XVIII Funding Ltd. X LT AAAsf New Rating A-1 75884EAA0 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating KEY RATING DRIVERS Asset Credit Quality (Negative): 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, versus a maximum covenant, in accordance with the initial expected matrix point of 25.68. 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 (Positive): The indicative portfolio consists of 97.84% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.38% versus a minimum covenant, in accordance with the initial expected matrix point of 68.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XVIII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RIDE 2025-SHRE: Moody's Assigns Ba2 Rating to Cl. E Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by RIDE 2025-SHRE, Commercial Mortgage Pass-Through Certificates, Series 2025-SHRE. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa2 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned Ba3 (sf) Cl. X-CP*, Definitive Rating Assigned Aa3 (sf) * Reflects interest-only classes Note: Moody's previously assigned a provisional rating of (P) Aa3 (sf) to Class X, described in the prior press release, dated February 5, 2025. Subsequent to the provisional ratings, the transaction was restructured so that Class X is no longer being offered. Based on the current structure, Moody's have withdrawn its provisional rating for this certificate. RATINGS RATIONALE The certificates are collateralized by a single, fixed-rate loan secured by the borrower's fee simple interest in the office condominium portions of 1655 & 1725 Third Street (collectively, the "Property" or "Uber Headquarters"), which consists of two adjacent Class A office buildings located in San Francisco, CA. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The Property is located in San Francisco's Mission Bay neighborhood, situated on the east side of Third Street between 16th Street and Warriors Way. The subject is situated approximately one block from the San Francisco Bay and is directly adjacent to Chase Center, the home arena of the NBA'S Golden State Warriors. Collateral for the loan consists of the fee simple interest in the office condominium portions of two office towers, 1655 Third Street and 1725 Third Street. The buildings were developed in 2019 and collectively offer approximately 586,208 SF of total net rentable area. The 1725 Third Street tower contains approximately 268,548 SF of NRA (45.8% of NRA, 45.8% of base rent), while the 1655 Third Street tower contains 317,660 SF of NRA (54.2% of NRA, 54.2% of base rent). The office towers are both LEED Gold certified and contain state-of-the-art building systems. Project amenities include expansive floor-to-ceiling windows, landscaped roof decks, indoor / outdoor collaboration areas and panoramic views of the San Francisco Bay. The Property also includes a 14,000 SF fitness center, two-story cafe, kitchens, coffee bar, smoothie bar and ground floor restaurants (non-collateral). Additionally, tenants have the right to use garage parking spaces, electric vehicle charging facilities and secure bike parking at the adjacent Chase Center complex. As of January 2025, the Property was 100.0% leased by Uber Technologies, Inc. ("Uber"; Baa2, senior unsecured). The tenant occupies its space pursuant to long-term, triple-net leases which expires in September 2039 (268,548 SF; 1725 Third Street) and October 2039 (317,660 SF; 1655 Third Street), respectively. Each lease is structured with a 14-year extension option and no termination options. The Property is a mission-critical location for Uber, since the buildings serve as the company's global headquarters. The securitization consists of the $416,666,667 portion (the "trust loan") of a first lien mortgage loan with an outstanding principal balance of $500,000,000 (the "whole loan" or the "loan"). The mortgage loan has a term of five years based on the anticipated repayment date ("ARD") in February 2030 with a final ten-year maturity date in February 2035. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainables cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.24x, compared with 1.16x at Moody's provisional ratings due to an interest rate decrease. Moody's first mortgage actual stressed DSCR is 0.86x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $500,000,000 represents a Moody's LTV ratio of 104.2% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 96.8%, compared with 96.4% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 0.75. Notable strengths of the transaction include: the Property's strong location, asset quality, investment grade tenancy, strong occupancy with no rollover, experienced sponsorship and cash equity. Notable concerns of the transaction include: soft market fundamentals, lack of asset diversification, tenant concentration, amortization profile and certain credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approaches for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. RR 20 LTD: S&P Assigns BB- (sf) Rating on Class D-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement debt from RR 20 Ltd./RR 20 LLC, a CLO originally issued in May 2022 that is managed by Redding Ridge Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, and D debt following payment in full on the Feb. 27, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower spread than the existing debt. -- The non-call period for the replacement debt was extended to February 2026. -- The reinvestment period and the legal final maturity dates for the replacement debt and the existing subordinated notes were unchanged. Replacement And Original Debt Issuances Replacement debt Class A-1-R, $240.00 million: Three-month CME term SOFR + 0.99% Class A-2-R, $56.00 million: Three-month CME term SOFR + 1.55% Class B-R, $32.00 million: Three-month CME term SOFR + 1.80% Class C-R, $24.00 million: Three-month CME term SOFR + 2.60% Class D-R, $13.40 million: Three-month CME term SOFR + 4.50% Original debt Class A-1, $240.00 million: Three-month CME term SOFR + 1.42% Class A-2, $56.00 million: Three-month CME term SOFR + 2.00% Class B, $32.00 million: Three-month CME term SOFR + 2.50% Class C, $24.00 million: Three-month CME term SOFR + 3.60% Class D, $13.40 million: Three-month CME term SOFR + 7.25% 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 RR 20 Ltd./RR 20 LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $56.00 million: AA (sf) Class B-R, $32.00 million: A (sf) Class C-R, $24.00 million: BBB- (sf) Class D-R, $13.40 million: BB- (sf) Ratings Withdrawn RR 20 Ltd./RR 20 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Class D to NR from 'BB- (sf)' Other Debt RR 20 Ltd./RR 20 LLC Subordinated notes, $39.00 million: NR NR--Not rated. RR 37 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class D Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RR 37 LTD. Entity/Debt Rating ----------- ------ RR 37 Ltd A-1a LT NR(EXP)sf Expected Rating A-1b LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating B LT A+(EXP)sf Expected Rating C-1a LT BBB(EXP)sf Expected Rating C-1b LT BBB-(EXP)sf Expected Rating C-2 LT BBB-(EXP)sf Expected Rating D LT BB+(EXP)sf Expected Rating E LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary RR 37 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 $450 million of primarily first-lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 (Positive): The indicative portfolio consists of 96.11% first-lien senior secured loans and has a weighted average recovery assumption of 74.8%. 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 (Positive): 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 (Neutral): 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 (Positive): 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 metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b notes, between 'BB+sf' and 'A+sf' for class A-2 notes, between 'B+sf' and 'BBB+sf' for class B notes, between less than 'B-sf' and 'BB+sf' for class C-1a notes, between less than 'B-sf' and 'BB+sf' for class C-1b notes, between less than 'B-sf' and 'BB+sf' for class C-2 notes, and between less than 'B-sf' and 'BB-sf' for class D notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2 notes, 'AA+sf' for class B notes, 'A+sf' for class C-1a notes, 'Asf' for class C-1b notes, 'Asf' for class C-2 notes, and 'BBB+sf' for class D notes. Key Rating Drivers and Rating Sensitivities are further described in the presale report, which is available at www.fitchratings.com. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for RR 37 LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RR 38 LTD: S&P Assigns BB-(sf) Rating on Class D Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to RR 38 Ltd./RR 38 LLC's class A-1a and D floating-rate debt. The 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 Redding Ridge Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned RR 38 Ltd./RR 38 LLC Class A-1a, $372.00 million: AAA (sf) Class A-1b, $30.00 million: NR Class A-2, $45.00 million: NR Class B (deferrable), $45.00 million: NR Class C-1 (deferrable), $36.00 million: NR Class C-2 (deferrable), $6.00 million: NR Class D (deferrable), $18.00 million: BB- (sf) Subordinated notes, $55.90 million: NR NR--Not rated. SCF EQUIPMENT 2022-2: Moody's Ups Rating on Class F-1 Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded 11 classes of notes issued by SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 L.P. (SCF 2021-1), SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing Canada 2022-2 Limited Partnership (SCF 2022-2) and SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership (SCF 2023-1). These transactions are backed by equipment loans and leases and/or owner-occupied commercial real estate loans and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership Class E Notes, Upgraded to Aaa (sf); previously on Sep 30, 2024 Upgraded to Aa2 (sf) Class F Notes, Upgraded to Baa2 (sf); previously on Feb 18, 2022 Upgraded to Ba2 (sf) Issuer: SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing Canada 2022-2 Limited Partnership Class B Notes, Upgraded to Aaa (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Baa1 (sf) Class E Notes, Upgraded to A3 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Ba1 (sf) Class F-1 Notes, Upgraded to Ba2 (sf); previously on Nov 22, 2022 Definitive Rating Assigned B2 (sf) Issuer: SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership Class C Notes, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Nov 15, 2023 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Nov 15, 2023 Definitive Rating Assigned Ba3 (sf) Class F Notes, Upgraded to B2 (sf); previously on Nov 15, 2023 Definitive Rating Assigned B3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. No action was taken on the remaining rated tranches because there were no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the three transactions due to deleveraging from sequential pay structures and steady performance with no cumulative net losses since their closing. Other considerations include the specific concentrations and residual risks associated with the transactions, inclusion of participation agreements, volatility in recoveries and projected asset values, and macroeconomic outlooks. The transactions are also supported by overcollateralization (OC) that builds to a target and reserve accounts. High level of pool concentrations in the transactions to large obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. Moody's analyzed this risk by applying stresses to the default probability, if applicable, and recovery rate of these large obligors. The top obligor concentration in the pools ranges from approximately 9% to 20% and top 10 obligor concentration in the pools ranges from 71% to 89%. Securitized residuals currently account for about 7% to 36% of the pools. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. Certain contracts in the pools are participation agreements which are ownership interests in the cash flows and therefore noteholders will, for the most part, not have control over the underlying contracts. Furthermore, collections of the cash flows from participations may be commingled with Stonebriar before being remitted to the lockbox account for the benefit of the issuers. Moody's analyzed this risk mainly by applying stresses to the default probability, if applicable, and recovery rate of these contracts. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. In addition, faster than expected reduction in residual value exposure could prompt upgrade of ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SCG COMMERCIAL 2025-DLFN: Fitch Assigns B+(EXP) Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to SCG Commercial Mortgage Trust 2025-DLFN, Commercial Mortgage Pass-Through Certificates, Series 2025-DLFN: - $256,900,000 class A 'AAAsf'; Outlook Stable; - $40,500,000 class B 'AA-sf'; Outlook Stable; --$31,800,000 class C 'A-sf'; Outlook Stable; - $44,800,000 class D 'BBB-sf'; Outlook Stable; - $60,150,000 class E 'BB-sf'; Outlook Stable; - $22,850,000 a class HRR 'B+sf'; Outlook Stable; Transaction Summary The SCG Commercial Mortgage Trust 2025-DLFN Commercial Mortgage Pass-through Certificates, Series 2025-DLFN, represent the beneficial ownership interest in a trust that will hold a $457.0 million, two-year, floating-rate, interest-only mortgage loan with three, one-year extension options. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of 38 last mile industrial assets, comprising about 5.0 million sf located across 10 states. Loan proceeds, along with approximately $257.1 million of sponsor equity, will be used to acquire the portfolio for $685.2 million and pay transaction closing costs of about $18.0 million. The loan is sponsored by Starwood Capital Group and Dalfen Industrial, collectively. The loan is expected to be co-originated by Wells Fargo Bank, National Association, UBS AG and Natixis Real Estate Capital LLC. Midland Loan Services, a Division of PNC Bank, National Association is expected to be the servicer, with Argentic Services Company LP as the special servicer. Computershare Trust Company, N.A. is expected to act as the trustee and certificate administrator. BellOak, LLC will act as operating advisor. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The transaction is scheduled to close on March 20, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $31.4 million. This is 10.2% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $433.5 million. High Fitch Leverage: The $457.0 million whole loan equates to debt of approximately 91.3 psf with a Fitch stressed loan-to value (LTV) ratio and debt yield of 105.4% and 6.8%, respectively. The loan represents approximately 63.0% of the appraised value of $725.8 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 38 primarily industrial properties (5.0 million sf) located across 10 states and 12 MSAs. The three largest state concentrations by ALA are Texas (1,422,713 sf; 10 properties), Tennessee (716,834 sf; three properties) and Florida (746,119 sf; eight properties). The three largest MSAs are Nashville, TN (14.3% of NRA; 18.2% ALA), Central Florida (14.9% of NRA; 16.3% of ALA) and Austin, TX (11.4% of NRA; 15.2% of ALA). The portfolio also exhibits significant tenant diversity, as it features 103 distinct tenants, with no tenant occupying more than 8.4% of NRA. Institutional Sponsorship: The sponsorship is a joint venture between Starwood Capital and Dalfen Industrial. Starwood Capital Group is a private investment firm focused on global real estate with an AUM of approximately $115 billion. Dalfen is a leading industrial real estate operator and developer in the U.S., specializing in the last mile industrial sector. The company owns and operates 55 million sf and over $4.7 billion in industrial real estate in the U.S. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf' - 10% NCF Decline: 'AAsf' / 'BBB+sf' / 'BBB-sf' / BBsf' / 'Bsf' / 'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf' - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BB+sf' / 'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third- party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA INFRASTRUCTURE I: S&P Affirms B- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings raised its rating on the class B notes from Sequoia Infrastructure Funding I Ltd., a CLO securitization backed by broadly syndicated speculative-grade senior secured term loans. At the same time, S&P affirmed its ratings on the class C, D, and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 7, 2025, trustee report. The transaction has paid down $52.13 million in collective paydowns to the class A and B notes since our Sept. 27, 2023, rating actions. These paydowns resulted in improved reported senior and mezzanine overcollateralization (O/C) ratios since the August 2023 trustee report, which S&P used for our previous rating actions: -- The class A/B O/C ratio improved to 223.25% from 153.46%. -- The class C O/C ratio improved to 153.27% from 130.27%. -- The class D O/C ratio improved to 121.52% from 115.69%. -- The class E O/C ratio declined to 104.25% from 106.19%. -- The higher coverage tests for the class B, C, and D notes indicate an increase in credit support at those class levels. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the class E O/C ratio declined and was failing as per the January 2025 trustee report, primarily due to increased haircuts following the portfolio's increased exposure to 'CCC' or lower rated assets, as well as par losses on the portfolio. The failing class E O/C caused a diversion of interest proceeds towards paying down the senior note principal balance. Collateral obligations with ratings in the 'CCC' category have increased to $18.40 million as of the January 2025 trustee report, compared with $10.91 million reported as of the August 2023 trustee report. The continued amortization of the collateral pool amplifies this increase in 'CCC' par by resulting in a greater proportion of the pool being represented by 'CCC'-rated assets. Over the same period, the par amount of defaulted collateral has decreased to $4.31 million from $9.70 million. However, despite the larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 2.71 years reported as of the January 2025 trustee report, compared with 3.30 years reported at the time of our September 2023 rating actions. The upgraded rating reflects the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though, in regard to the class E notes, any further deterioration in the credit support available could result in further rating changes. As the result of continued amortization, the CLO is no longer well diversified with only 19 unique obligors remaining. Since the CLO is facing increasing concentration risks, S&P's analysis and rating decisions also examined other metrics and qualitative factors, in addition to sensitivity cash flow results and top obligor test results. Given the increasing obligor concentration of this portfolio, the top obligor test indicates insufficient credit enhancement for the class C, D, and E notes. S&P said, "However, exceptional circumstances--such as an amortizing pool, lack of diversification, and a short weighted average life--warrant some adjustment of these supplemental tests to better address a transaction's specific risk profile, in line with paragraph 55 of our CLO methodology. Based on the seasoning of the underlying portfolio and strong O/C levels, we tested forward-looking assumptions on the recoveries and are of the opinion that sufficient credit enhancement is present at the current rating levels for the class C and D notes." On a standalone basis, the analysis regarding the top obligor test showed the class E notes do not have sufficient enhancement at a 'B' rating level. At this time, S&P does not feel that this class represents its definition of 'CCC' risk. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. S&P said, "In line with our criteria, we applied forward-looking assumptions and our analysis--that included other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Rating Raised Sequoia Infrastructure Funding I Ltd. Class B to 'AAA (sf)' from 'AA+ (sf)' Ratings Affirmed Sequoia Infrastructure Funding I Ltd. Class C: A (sf) Class D: BBB- (sf) Class E: B- (sf) SEQUOIA MORTGAGE 2025-3: Fitch Assigns B(EXP) Rating on B5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-3 (SEMT 2025-3). Entity/Debt Rating ----------- ------ SEMT 2025-3 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 440 loans with a total balance of approximately $521.8 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 440 loans totaling approximately $521.8 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 777 and a 35.5% debt-to-income ratio (DTI). The borrowers also have moderate leverage, with an 80.6% sustainable loan-to-value ratio (sLTV) and a 71.7% mark-to-market combined loan-to-value ratio (cLTV). Overall, 93.7% of the pool loans are for a primary residence, while 6.3% are loans for second homes; 78.0% of the loans were originated through a retail channel. In addition, 100.0% of the loans are designated as safe-harbor qualified mortgage (SHQM) loans. Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (versus 11.1% on a national level as of 3Q24, down 0.5% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.8% yoy nationally as of November 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially — first to the super-senior classes (A-9, A-12 and A-18) concurrently on a pro rata basis and then to the senior-support A-21 certificate. SEMT 2025-3 will feature the servicing administrator (RRAC), following initial reductions in the class A-IOS strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. 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 42.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24-bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-3 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIXTH STREET XVII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R and proposed new class X debt from Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC, a CLO originally issued in March 2021 that is managed by Sixth Street CLO XVII Management LLC. The preliminary ratings are based on information as of Feb. 28, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 6, 2025, refinancing date, the proceeds from the replacement debt and proposed new debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement and proposed new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original 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 weighted average cost of the replacement debt is expected to be lower than the original debt. -- The non-call period will be extended to March 6, 2027. -- The reinvestment period will be extended to April 17, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 17, 2038. -- New class X debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first eight payment dates, beginning with the July 2025 payment date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC Class X, $1.00 million: AAA (sf) Class A-1-R, $259.25 million: AAA (sf) Class A-2-R, $4.25 million: AAA (sf) Class B-R, $58.45 million: AA (sf) Class C-1-R (deferrable), $18.05 million: A+ (sf) Class C-2-R (deferrable), $8.50 million: A (sf) Class D-1-R (deferrable), $25.50 million: BBB- (sf) Class D-2-R (deferrable), $1.50 million: BBB- (sf) Class E-R (deferrable), $15.50 million: BB- (sf) Other Debt Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC Subordinated notes, $43.00 million: NR NR--Not rated. SOUND POINT 35: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sound Point CLO 35, Ltd. reset transaction Entity/Debt Rating Prior ----------- ------ ----- Sound Point CLO 35, Ltd. X-R LT NRsf New Rating NR(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-1-R LT A+sf New Rating A+(EXP)sf C-2-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Sound Point CLO 35, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Sound Point CLO C-MOA, LLC that originally closed in December 2022. The CLO's secured notes were refinanced on Feb. 27, 2025 from proceeds of the new secured notes. 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. The original secured notes will be paid in full. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 22.5, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. 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 (Positive): The indicative portfolio consists of 94.81% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.47% versus a minimum covenant, in accordance with the initial expected matrix point of 70.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-1-R, between 'B+sf' and 'BBB+sf' for class C-2-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1-R, 'AAsf' for class C-2-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee Feb 23, 2025 ESG Considerations Fitch does not provide ESG relevance scores for Sound Point CLO 35, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SOUND POINT XVI: Moody's Affirms Ba3 Rating on $40MM Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO XVI, Ltd.: US$48M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 12, 2023 Upgraded to Aa2 (sf) US$40M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Dec 12, 2023 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$520M (Current outstanding amount US$35,641,833) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 18, 2021 Assigned Aaa (sf) US$88M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 12, 2023 Upgraded to Aaa (sf) US$40M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 18, 2020 Confirmed at Ba3 (sf) Sound Point CLO XVI, Ltd., issued in June 2017 and later partially refinanced in March 2021, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrades on the Class C-R and D notes are primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in December 2023. The affirmations on the ratings on the Class A-R, B-R and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by USD262.5 million (50.5% of the original balance) since the last rating action in December 2023 and USD484.3 million (93.1%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated February 2025 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 211.83%, 152.59%, 123.75% and 104.08% compared to February 2024 [2] levels of 141.62%, 123.29%, 111.29% and 101.4%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD267.6m Defaulted Securities: USD10.1m Diversity Score: 51 Weighted Average Rating Factor (WARF): 3401 Weighted Average Life (WAL): 3.1 years Weighted Average Spread (WAS): 3.62% Weighted Average Recovery Rate (WARR): 46.5% Par haircut in OC tests and interest diversion test: 2.9% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. TCW CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, A-1R, A-JR, B-R, C-R, D-1R, D-FR, D-JR, and E-R debt from TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC, a CLO managed by TCW Asset Management Co. LLC that was originally issued in April 2022. The preliminary ratings are based on information as of March 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 13, 2025 refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Jan. 20, 2027. -- The reinvestment period will be extended to Jan. 20, 2030. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to Jan. 20, 2038. -- The target initial par amount will remain at $400.00 million and the first payment date following the refinancing will be July 20, 2025. -- Additional subordinated notes with a notional balance of $5.50 million will be issued on the refinancing date. -- The class X-R notes are expected to be paid down using interest proceeds during the first 19 payment dates beginning with the payment date in July 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC Class X-R, $4.00 million: AAA (sf) Class A-1R, $252.00 million: AAA (sf) Class A-JR, $12.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $18.00 million: BBB (sf) Class D-FR (deferrable), $4.00 million: BBB (sf) Class D-JR (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC Subordinated notes, $42.60 million: Not rated TIKEHAU US VII: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Tikehau US CLO VII Ltd./Tikehau US CLO VII 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 Tikehau Structured Credit Management LLC. The preliminary ratings are based on information as of March 5, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Tikehau US CLO VII Ltd./Tikehau US CLO VII LLC Class A-1 $310 million: AAA (sf) Class A-2 $15 million: AAA (sf) Class B $55 million: AA (sf) Class C (deferrable) $30 million: A (sf) Class D-1 (deferrable) $30 million: BBB- (sf) Class D-2 (deferrable) $5 million: BBB- (sf) Class E (deferrable) $15 million: BB- (sf) Subordinated notes $50 million: Not rated TOORAK MORTGAGE 2025-RRTL1: DBRS Gives Prov. B Rating on B1 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) to be issued by Toorak Mortgage Trust 2025-RRTL1 (TRK 2025-RRTL1 or the Issuer) as follows: -- $185.0 million Class A at (P) BBB (low) (sf) -- $170.8 million Class A-1 at (P) A (low) (sf) -- $14.2 million Class A-2 at (P) BBB (low) (sf) -- $15.1 million Class M-1 at (P) BB (low) (sf) -- $17.0 million Class B at (P) B (low) (sf) -- $12.5 million Class B-1 at (P) B (sf) -- $4.5 million Class B-2 at (P) B (low) (sf) Classes A and B are exchangeable notes. These classes can be exchanged for proportionate shares of the exchange notes as specified in the offering documents. The (P) A (low) (sf) credit rating reflects 24.10% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), (P) B (sf), and (P) B (low) (sf) credit ratings reflect 17.80%, 11.10%, 5.55%, and 3.55% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Statistical Calculation Date, the Notes are backed by: -- 429 mortgage loans with a total principal balance of $193,945,944. -- Approximately $31,054,056 in the Funding Account. -- Approximately $1,600,000 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TRK 2025-RRTL1 represents the 11th RTL securitization issued by the Sponsor, Toorak Capital Partners LLC (Toorak). Formed in 2016 and headquartered in Tampa, Florida, Toorak is a mortgage loan aggregator that partners with third-party loan originators to acquire business purpose residential, multifamily, and mixed-use bridge and term loans. Toorak is the named Servicer for the transaction, and the loans will be subserviced by Merchants, BSI, FCI, and RCN. Merchants is the largest originator in the revolving portfolio and will subservice the Merchants-originated loans. The revolving portfolio consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of five to 37 months. The loans also include extension options, which may lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum nonzero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA As-Is Loan-to-Value ratio (LTV) of 85.0%. -- A maximum NZ WA Loan-to-Cost ratio of 85.0%. -- A maximum NZ WA As Repaired LTV of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed-used properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the TRK 2025-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved rehab, construction, or repairs of the property upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TRK 2025-RRTL1 eligibility criteria, unfunded commitments are limited to 35.0% of the portfolio by unpaid principal balance (UPB) and (2) amounts in the Funding Account and the Reserve Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the revolving period, the Notes will generally be IO. After the revolving period, or on the Redemption Date, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month (step up event). There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer, the Subservicers, or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties; -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property; -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions; and -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A-1 and A-2 Note amounts. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account during the revolving period, which is used to fund draws and purchase additional loans. A Reserve Account, which is used to fund purchases of additional loans solely from Merchants, is also available for the transaction. During the revolving period, the Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. The Reserve Account is replenished from the Funding Account from time to time at the direction of the Depositor. Amounts held in the Funding Account and Reserve Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 96.45%, which maintains a minimum level of CE to the most subordinate rated class. Toorak 2025-RRLT1 incorporates the maximum effective advance rate as a Trigger Event. During the revolving period (and prior to September 2027), if CE is not maintained for all tranches, on the third consecutive such month, a Trigger Event will occur, leading to an Amortization event. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover the initial three interest payments to the Notes. Such account is funded upfront in an amount equal to $1,600,000. On the payment dates occurring in March 2025 and April 2025, the Paying Agent will withdraw a specified amount to be included in available funds, and on the payment date in May 2025, any unused related amounts will otherwise be allocated in the payment waterfall. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated historical mortgage repayments relative to draw commitments for Toorak's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related presale report for more details. Other Transaction Features Discretionary Sales The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Optional Redemption On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Optional Repurchase of Delinquent Loans Similar to certain other issuers, each Seller will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a Seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early. U.S. Credit Risk Retention As the Sponsor, Toorak, or one or more majority-owned affiliates, will retain a 5% eligible horizontal residual interest in the securities to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas (such as those affected by the greater Los Angeles wildfires). Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the affected area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with Representations and Warranties (R&W) specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2025-CRM1: DBRS Finalizes B Rating on B2 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2025-CRM1 (the Notes) issued by Towd Point Mortgage Trust 2025-CRM1 (TPMT 2025-CRM1 or the Trust): -- $251.2 million Class A1 at AAA (sf) -- $22.3 million Class A2 at AA (high) (sf) -- $16.3 million Class M1 at A (sf) -- $13.8 million Class M2 at BBB (low) (sf) -- $10.3 million Class B1 at BB (low) (sf) -- $6.3 million Class B2 at B (sf) -- $22.3 million Class A2A at AA (high) (sf) -- $22.3 million Class A2AX at AA (high) (sf) -- $22.3 million Class A2B at AA (high) (sf) -- $22.3 million Class A2BX at AA (high) (sf) -- $22.3 million Class A2C at AA (high) (sf) -- $22.3 million Class A2CX at AA (high) (sf) -- $22.3 million Class A2D at AA (high) (sf) -- $22.3 million Class A2DX at AA (high) (sf) -- $16.3 million Class M1A at A (sf) -- $16.3 million Class M1AX at A (sf) -- $16.3 million Class M1B at A (sf) -- $16.3 million Class M1BX at A (sf) -- $16.3 million Class M1C at A (sf) -- $16.3 million Class M1CX at A (sf) -- $16.3 million Class M1D at A (sf) -- $16.3 million Class M1DX at A (sf) -- $13.8 million Class M2A at BBB (low) (sf) -- $13.8 million Class M2AX at BBB (low) (sf) -- $13.8 million Class M2B at BBB (low) (sf) -- $13.8 million Class M2BX at BBB (low) (sf) -- $13.8 million Class M2C at BBB (low) (sf) -- $13.8 million Class M2CX at BBB (low) (sf) -- $13.8 million Class M2D at BBB (low) (sf) -- $13.8 million Class M2DX at BBB (low) (sf) The AAA (sf) credit rating on the Notes reflects 24.60% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 17.90%, 13.00%, 8.85%, 5.75%, and 3.85% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2025-CRM1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) and first- and junior-lien revolving home equity lines of credit (HELOCs) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2025-CRM1 (the Notes). The Notes are backed by 3,868 mortgage loans with a total principal balance of $333,157,392 (CES mortgage loans totaling to $242,944,527 as of the CES Mortgage Cut-Off Date (January 1, 2025), and HELOC total outstanding balance of $90,212,865 as of the HELOC Loan Mortgage Cut-off Date (December 31, 2024). TPMT 2025-CRM1 represents the ninth junior lien securitization by FirstKey Mortgage, LLC and first by CRM 2 Sponsor, LLC. Spring EQ, LLC (Spring EQ; 76.5%) is the top originator for the mortgage pool. Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 84.9%) and loanDepot.com LLC (loanDepot; 15.1%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Administrative Trustee, Note Registrar, and Administrator. U.S. Bank National Association and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodians. CRM 2 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2025-CRM1 (the Grantor Trust). The Grantor Trust will issue two classes of certificates - P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than Class D or any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 9.3% of the loans are designated as non-QM, 11.6% are designated as QM Rebuttable Presumption, and 50.7% are designated as QM Safe Harbor. Approximately 1.3% and 27.1% of the mortgages are loans made to investors for business purposes and HELOC loans, respectively, and were not subject to the QM/ATR rules. For the CES mortgage loans, the Servicers will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. For the HELOC mortgage loans, there will not be any advancing of delinquent principal or interest on any mortgages by the Servicers. In addition, for all the mortgage loans, the related servicer may be obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any junior lien loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. On or after (1) the payment date in January 2028 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Certificates minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). Approximately 4.6% of the mortgage pool contains loans secured by mortgage properties that are located within zip codes identified by FEMA as having been affected by the California wildfires. Each of the mortgaged property located in these zip codes were inspected prior to the Closing Date. Each such property inspection report came back with no damage as of the date of such reports. 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 water, fire, earthquake, earth movement other than earthquake, windstorm, flood, tornado or similar casualty). The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update, published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. TRESTLES CLO VI: Fitch Assigns 'B+sf' Final Rating on Cl. F-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the Trestles CLO VI, Ltd. Reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Trestles CLO VI, Ltd. X LT AAAsf New Rating AAA(EXP)sf A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-1R LT A+sf New Rating A+(EXP)sf C-2R LT Asf New Rating A(EXP)sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf F-R LT B+sf New Rating B+(EXP)sf Transaction Summary Trestles CLO VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by APC Asset Development II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 23.64, versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 (Positive): The indicative portfolio consists of 99.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.62% versus a minimum covenant, in accordance with the initial expected matrix point of 70.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-1R, between 'B+sf' and 'BBB+sf' for class C-2R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, between less than 'B-sf' and 'BB-sf' for class E-R and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1R, 'AAsf' for class C-2R, 'Asf' for class D-1R, 'A-sf' for class D-2R, 'BBB+sf' for class E-R and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee February 19, 2025 ESG Considerations Fitch does not provide ESG relevance scores for Trestles CLO VI, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. UNITED AUTO 2025-1: S&P Assigns Prelim BB (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization Trust 2025-1's (UACST 2025-1) automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 27, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 63.7%, 54.5%, 46.4%, 35.6%, and 29.6% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.30x, 1.95x, 1.50x, and 1.25x of our 23.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of United Auto Credit Corp. (UACC) as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmarks. -- The transaction's payment and legal structures. In rating the UACST 2025-1 transaction, S&P Global Ratings considered the recapitalization and emergence of Vroom Inc.--the holding company of the operating subsidiary (UACC), and the sponsor and servicer of the ABS issued by UACST--from a prepackaged Chapter 11 bankruptcy. In S&P's view, the operational risk assessment of UACC as servicer does not constrain the ratings. Preliminary Ratings Assigned United Auto Credit Securitization Trust 2025-1 Class A, $145.583 million: AAA (sf) Class B, $53.110 million: AA (sf) Class C, $34.380 million: A (sf) Class D, $53.490 million: BBB (sf) Class E, $37.440 million: BB (sf) VELOCITY COMMERCIAL 2025-1: DBRS Finalizes B Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2025-1 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2025-1 (VCC 2025-1 or the Issuer) as follows: -- $241.4 million Class A at AAA (sf) -- $20.2 million Class M-1 at AA (low) (sf) -- $22.2 million Class M-2 at A (low) (sf) -- $30.4 million Class M-3 at BBB (low) (sf) -- $23.7 million Class M-4 at BB (sf) -- $4.9 million Class M-5 at B (high) (sf) -- $4.4 million Class M-6 at B (sf) -- $241.4 million Class A-S at AAA (sf) -- $241.4 million Class A-IO at AAA (sf) -- $20.2 million Class M1-A at AA (low) (sf) -- $20.2 million Class M1-IO at AA (low) (sf) -- $22.2 million Class M2-A at A (low) (sf) -- $22.2 million Class M2-IO at A (low) (sf) -- $30.4 million Class M3-A at BBB (low) (sf) -- $30.4 million Class M3-IO at BBB (low) (sf) -- $23.7 million Class M4-A at BB (sf) -- $23.7 million Class M4-IO at BB (sf) -- $4.9 million Class M5-A at B (high) (sf) -- $4.9 million Class M5-IO at B (high) (sf) -- $4.4 million Class M6-A at B (sf) -- $4.4 million Class M6-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 31.35% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) credit ratings reflect 25.60%, 19.30%, 10.65%, 3.90%, 2.50%, and 1.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2025-1 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial (SBC) mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. Five of these loans were originated through the U.S. SBA 504 loan program and are backed by first-lien, owner-occupied, commercial real estate. The securitization is funded by the issuance of the Certificates, which are backed by 793 mortgage loans with a total principal balance of $351,581,520 as of the Cut-Off Date (January 1, 2025). Approximately 41.1% of the pool comprises residential investor loans, about 57.9% are traditional SBC loans, and about 0.9% are the aforementioned SBA 504 loans. Most of the loans in this securitization (82.3%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Thirty-eight loans (17.7%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the five SBA 504 loans, which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day-originated loans, underwriting was based on business cash flows, but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC filed a suit in the U.S. District Court for the Central District of California against certain employees of New Day Business Finance LLC and Velocity d/b/a New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act, and the California Unfair Competition Law. New Day has indicated that it does not believe the suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as Subservicer for the 38 New Day-originated loans (including the five SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer for loans that default or become 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-Off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-Off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY - SMALL BALANCE COMMERCIAL (SBC) LOANS The collateral for the SBC portion of the pool consists of 299 individual loans (six loans are collateralized by adjacent properties owned by the same borrower and treated as one loan) secured by 297 commercial and multifamily properties. All commentary in this report will refer to the pool as a 294-loan pool because Morningstar DBRS treated the six related loans as one. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 11.2%. This is approximately 20 basis points (bps) higher than the VCC 2024-6 transaction, 50 bps higher than the VCC 2024-5 transaction, 20 bps lower than the VCC 2024-4 transaction, 50 bps lower than the VCC 2024-3 transaction, and 40 bps lower than the VCC 2024-2 and VCC 2024-1 transactions. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 15 loans, which represent 7.8% of the SBC pool, have an initial interest-only (IO) period of 60 or 120 months. All of the SBC loans were originated between September 2018 and December 2024 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.7 months. The SBC pool has a WA original term length of 360 months, or approximately 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 59.7%. However, Morningstar DBRS made LTV adjustments to 38 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 63.0%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization, greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' North American CMBS Multi-Borrower Rating methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, 168 SBC loans (approximately 56.9% of the deal) have an Issuer net operating income debt service coverage ratio less than 1.0 times, which is in line with the previous 2024 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 712 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $692,680, a concentration profile equivalent to that of a transaction with 81 equal-size loans, and a top 10 loan concentration of 23.7%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains one loan that is collateralized by residential land, though the site is currently used by the borrower for its stone carving business. There is no lease or cash flow in place to support the debt service for this loan. Morningstar DBRS applied a loss given default (LGD) and POD penalty to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (29.6% of the SBC pool) and office (16.6% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent approximately 46.1% of the SBC pool balance. Morningstar DBRS applied a 20.0% reduction to the net cash flow (NCF) for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in commercial mortgage-backed securities (CMBS) analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, two were Average + quality (4.8%), 20 were Average quality (27.9%), 37 were Average - quality (48.0%), 16 were Below Average quality (15.3%), and five were Poor quality (4.1%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for sampled loans within the top 23 of the pool, which represent 35.8% of the SBC pool balance. These appraisals were issued between November 2024 and December 2024 when the respective loans were originated. Morningstar DBRS was able to perform a loan-level cash flow analysis on 23 loans in the pool. The NCF haircuts for these loans ranged from 3.3% to 54.3%, with an average of 18.7%; however, Morningstar DBRS generally applied more conservative haircuts on the nonsampled loans. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements are provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.2%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan through December 31, 2024. If any loan has more than two late payments within this period or is currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This occurred for two loans, representing 0.3% of the SBC pool balance. SBA 504 LOANS The transaction includes five SBA 504 loans, totaling approximately $3.3 million or 0.94% of the aggregate VCC 2025-1 collateral pool. These are owner-occupied, first-lien commercial real estate (CRE)-backed loans, originated via SBA 504 in conjunction with community development companies (CDC), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between November 2024 and December 2024 via New Day, which will also act as Subservicer of the loans. The total outstanding principal balance as of the Cut-Off Date is approximately $3,315,917, with an average balance of $663,183. The WA interest rate is 10.24%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties that are owner-occupied by the small business owner. WA LTV is 58.52%. WA DSCR is 1.07 times (x) and the WA FICO of this subpool is 689. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions" methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of LGD stratified by property type, LTV, and market rank. Morningstar DBRS input these into its proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 489 mortgage loans with a total balance of approximately $144.6 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update," published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. VERUS SECURITIZATION 2025-2: S&P Assigns Prelim B+(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-2's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,280 loans backed by 1,297 properties, which are QM/non-HPML (safe harbor), QM rebuttable presumption, non-QM/ATR-compliant, and ATR-exempt loans. Of the 1,280 loans, three loans are cross-collateralized loans backed by 20 properties. The preliminary ratings are based on information as of March 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- S&P outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings(i) Assigned Verus Securitization Trust 2025-2 Class A-1, $456,769,000: AAA (sf) Class A-2, $45,964,000: AA- (sf) Class A-3, $66,712,000: A+ (sf) Class M-1, $36,069,000: BBB- (sf) Class B-1, $13,725,000: BB- (sf) Class B-2, $8,299,000: B+ (sf) Class B-3, $10,853,540: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the term sheet dated Feb. 28, 2025; the preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)Interest can be deferred on the classes. Fixed coupons on the class A-1, A-2, A-3, M-1, and B-1 notes are subject to the pool's net weighted average coupon cap. VOYA CLO 2021-2: Fitch Assigns BB-sf Final Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Voya CLO 2021-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Voya CLO 2021-2, Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Voya CLO 2021-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Voya Alternative Asset Management LLC that originally closed in October 2021. The existing secured notes will be redeemed in whole on Feb. 25, 2025 with proceeds from the new secured notes. Net proceeds from the issuance of the secured and new subordinated notes along with the existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): 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 23.0, versus a maximum covenant, in accordance with the initial expected matrix point of 23.5. 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 (Positive): The indicative portfolio consists of 96.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.3% versus a minimum covenant, in accordance with the initial expected matrix point of 67.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% 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 (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2021-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. WELLS FARGO 2016-C35: Fitch Lowers Rating on Cl. E Notes to 'B-sf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2016-C35 (WFCM 2016-C35). Fitch assigned Negative Outlooks to classes D, X-D and E following their downgrades. Fitch also affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2016-C34 (WFCM 2016-C34) and revised the Rating Outlooks for classes C and D to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-C35 A-3 95000FAS5 LT AAAsf Affirmed AAAsf A-4 95000FAT3 LT AAAsf Affirmed AAAsf A-4FL 95000FBA3 LT AAAsf Affirmed AAAsf A-4FX 95000FBC9 LT AAAsf Affirmed AAAsf A-S 95000FAV8 LT AAAsf Affirmed AAAsf A-SB 95000FAU0 LT AAAsf Affirmed AAAsf B 95000FAY2 LT AAsf Affirmed AAsf C 95000FAZ9 LT A-sf Affirmed A-sf D 95000FAC0 LT BBsf Downgrade BBB-sf E 95000FAE6 LT B-sf Downgrade Bsf F 95000FAG1 LT CCCsf Affirmed CCCsf X-A 95000FAW6 LT AAAsf Affirmed AAAsf X-D 95000FAA4 LT BBsf Downgrade BBB-sf WFCM 2016-C34 A-2 95000DBB6 LT AAAsf Affirmed AAAsf A-3 95000DBC4 LT AAAsf Affirmed AAAsf A-3FL 95000DAG6 LT AAAsf Affirmed AAAsf A-3FX 95000DAJ0 LT AAAsf Affirmed AAAsf A-4 95000DBD2 LT AAAsf Affirmed AAAsf A-S 95000DBF7 LT AAAsf Affirmed AAAsf A-SB 95000DBE0 LT AAAsf Affirmed AAAsf B 95000DBJ9 LT Asf Affirmed Asf C 95000DBK6 LT BBB-sf Affirmed BBB-sf D 95000DAL5 LT B-sf Affirmed B-sf E 95000DAN1 LT CCsf Affirmed CCsf F 95000DAQ4 LT CCsf Affirmed CCsf X-A 95000DBG5 LT AAAsf Affirmed AAAsf X-B 95000DBH3 LT Asf Affirmed Asf X-E 95000DAA9 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.9% in WFCM 2016-C34 and 8% in WFCM 2016-C35. Fitch Loans of Concerns (FLOCs) comprise 16 loans (47.7% of the pool) in WFCM 2016-C34, including two specially serviced loans (15%), and 14 loans (27.4%) in WFCM 2016-C35, including four specially serviced loans (7.8%). The downgrades in WFCM 2016-C35 are due to an increase in 'Bsf' rating case losses since the prior rating action reflecting refinancing concerns, most notably for FLOCs The Mall at Rockingham Park (7.4%), Pinnacle II (2.5%), specially serviced Doubletree Overland Park (2.4%) and the specially serviced Mall at Turtle Creek (2.1%). The Negative Outlooks reflect the potential for higher expected losses on the pool if more loans than expected default at maturity, and the potential for 100% or higher losses on Mall at Turtle Creek. The affirmations in WFCM 2016-C34 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks for classes C and D reflect the reliance on FLOCs for paydown, refinancing concerns for FLOCs secured by retail properties, particularly Congressional North Shopping Center & 121 Congress (11%), Embassy Plaza (3.1%) and Perrysburg Market Center (2.4%), and the potential for higher losses from the specially serviced Regent Portfolio (11.2%) loan. The largest contributor to overall loss expectations in WFCM 2016-C35 is The Mall at Rockingham Park loan which is a FLOC due to declining NOI and low occupancy. The loan is secured by 540,867-sf of a one million-sf regional mall located in Salem, NH. Lord and Taylor (formerly 29.3% NRA; 2.7% of base rents; March 2027 lease expiration), vacated in December 2020 after filing for chapter 11 bankruptcy reducing occupancy to 54% as of YE 2021 from 90% at YE 2020 and 96% at YE 2019. As of September 2024, collateral occupancy was 55%. NOI has decreased since issuance due to year-over-year revenue declines, with YE 2023 and annualized September 2024 NOI 14% below Fitch's issuance net cash flow (NCF). Fitch's 'Bsf' rating case loss of 27% (prior to concentration add-ons) reflects a 15% cap rate and 15% stress to the annualized September 2024 NOI and elevated probability of default given concerns with refinanceability and potential for maturity default. The second largest driver of expected losses is the specially serviced Mall at Turtle Creek loan which transferred in August 2020 due to imminent monetary default. At issuance, the loan was secured by 329,398-sf of in-line space within an enclosed mall located in Jonesboro, AR. In March 2020, a tornado caused significant damage to the collateral, resulting in the majority of the collateral being demolished. None of the non-collateral anchors suffered major damages and all have reopened since. Per updates from the servicer, the borrower is unwilling to reconstruct the property and carry the loan. In December 2022, the trust took title to the property and received substantial insurance proceeds. The special servicer continues to work through required site work per agreements with non-collateral anchors to maximize recovery and will ultimately seek a sale of the site. Fitch's 'Bsf' rating case loss of 88% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal. The third largest contributor of expected losses is the specially serviced DoubleTree Overland Park loan which transferred in May 2020 for imminent monetary default. A receiver was appointed in October 2020 and the foreclosure sale occurred in November 2021 and title was received in January 2022. The special servicer is working to stabilize the asset. Per servicer reporting, as of TTM November 2024, occupancy stands at 44.8%, with an ADR of $142.91 and a RevPAR of $64.03, compared to the previous year's figures of 43.7% occupancy, $135.83 ADR, and $59.29 RevPAR for TTM November 2023. Fitch's 'Bsf' rating case loss of 34% (prior to concentration add-ons) reflects a stress to the most recently reported appraisal. The largest contributor to overall loss expectations in WFCM 2016-C34 is the specially serviced Regent Portfolio loan which transferred in June 2019 for delinquent payments and the loan remains in payment default. The loan was structured as a five-year loan with a two-year interest only period. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The loan was originally secured by 13 buildings (352,001 total SF of mostly medical office space) in New Jersey (11 properties), New York (one property), and Florida (one property); one property was released in 2020 and 12 became REO in February 2023. One warehouse was sold in October 2023 and four properties were sold as REO in 2024. The portfolio now consists of seven properties. Fitch's 'Bsf' rating case loss of 40% (prior to concentration add-ons) reflects a stress to the most recently reported appraised value. The Embassy Plaza loan, an anchored retail center in Tucson, AZ, experienced the largest increase in expected losses since Fitch's last rating action and is the third largest driver of these losses. Classified as a FLOC due to declining occupancy and NOI, the property saw occupancy drop to 52.2% as of the September 2024 rent roll from 94% at YE 2023. This decline followed the departures of its top two tenants, Big Lots (32.8% NRA, lease expiring January 2031) and Spirit Halloween (15.6% NRA, lease expired November 2024). Big Lots vacated in November 2024, and Spirit Halloween left at lease expiration. Previously, Walmart vacated the premises in 2018, causing occupancy to fall to 63% by YE, and its lease, originally expiring in 2032, was terminated in January 2020. Big Lots subsequently relocated into the former Walmart space. Fitch's 'Bsf' rating case loss of 25% (prior to concentration add-ons) reflects a 9% cap rate and 15% stress to YE 2023 NOI and elevated probability of default. The Congressional North Shopping Center & 121 Congress loan is the fourth largest driver of expected losses and is a FLOC due to declines in occupancy and NOI following the closure of the Bed Bath & Beyond store in 2023. As of September 2024, the annualized NOI is 31% lower than YE 2023 and 25% below Fitch's issuance NCF. Bed Bath & Beyond accounted for approximately 24% of the total annual rent as of June 2023. The collateral includes an anchored retail property and an adjacent mixed-use property, totaling 232,201 square feet, located in Rockville, Maryland, roughly 17 miles northwest of Washington, D.C. Occupancy dropped to 67.1% at YE 2023 from 92% at YE 2022 due to the bankruptcy and closure of Bed Bath & Beyond. By September 2024, occupancy had risen to 94.3% as Spirit Halloween temporarily occupied the former Bed Bath & Beyond space. However, this tenant has since vacated, according to the servicer. Fitch's 'Bsf' rating case loss of 5% (prior to concentration add-ons) reflects a 9% cap rate and the annualized September 2024 NOI with no stress. The Perrysburg Market Center loan represents the second largest increase in expected losses since Fitch's last rating action and is a FLOC due to a low debt service coverage ratio. The collateral is a 144,976-sf retail property in Perrysburg, OH. While NOI peaked in 2022, it has declined since securitization, primarily due to the departures of Best Buy and Bed Bath & Beyond. As a result, YE 2023 NOI is 9% below Fitch's issuance NCF, and the annualized June 2024 NOI is 36% below YE 2023 and 42% below the issuance NCF. Best Buy, which occupied 29,497-sf, closed in October 2017, and its lease expired on Jan. 31, 2018. The borrower partially re-leased this space to Boot Barn, which occupies 12,052-sf with a lease expiring in 2032. Bed Bath & Beyond vacated the premises in 2022. Fitch's 'Bsf' rating case loss of 22% (prior to concentration add-ons) reflects a 9% cap rate and the YE 2023 NOI with a 7.5% stress and elevated probability of default. Increased Credit Enhancement (CE): As of the January 2025 remittance report, the aggregate balances of the WFCM 2016-C34 and WFCM 2016-C35 transactions have been reduced by 24.3% and 21.1%, respectively, since issuance. Respective defeasance percentages in the WFCM 2016-C34 and WFCM 2016-C35 transactions include 12.7% (15 loans) and 18.1% (27 loans). Loan maturities are concentrated in 2026 with 58 loans for 87% of the pool in WFCM 2016-C34 and 88 loans for 98% of the pool in WFCM 2016-C35. Cumulative interest shortfalls for the WFCM 2016-C34 and WFCM 2016-C35 transactions are $2 million and $3.4 million, respectively; in both transactions, they are affecting the non-rated class G and H. WFCM 2016-C34 has realized losses of $8.8 million affecting the non-rated class H and WFCM 2016-C35 has realized losses of $611,300 affecting the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential maturity defaults and further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the high credit enhancement, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Regent Portfolio, Congressional North Shopping Center & 121 Congress, Embassy Plaza and Perrysburg Market Center in WFCM 2016-C34 and The Mall at Rockingham Park and Mall at Turtle Creek in WFCM 2016-C35. Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories, all of which have Negative Outlooks, are likely with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Regent Portfolio, Congressional North Shopping Center & 121 Congress, Embassy Plaza and Perrysburg Market Center in WFCM 2016-C34 and The Mall at Rockingham Park and Mall at Turtle Creek in WFCM 2016-C35. Upgrades of these classes to 'AAAsf' will also consider the concentration of the transaction and potential for interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'Bsf' category rated classes are not expected, but possible only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' and 'CCsf' are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2025-C64: Fitch Assigns B-sf Final Rating on J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-C64 commercial mortgage pass-through certificates, series 2025-C64, as follows: - $11,231,000 class A-1 'AAAsf'; Outlook Stable; - $21,000,000 class A-2 'AAAsf'; Outlook Stable; - $16,454,000 class A-SB 'AAAsf'; Outlook Stable; - $65,200,000 class A-4 'AAAsf'; Outlook Stable; - $461,633,000 class A-5 'AAAsf'; Outlook Stable; - $575,518,000a class X-A 'AAAsf'; Outlook Stable; - $143,879,000a class X-B 'A-sf'; Outlook Stable; - $68,856,000 class A-S 'AAAsf'; Outlook Stable; - $43,164,000 class B 'AA-sf'; Outlook Stable; - $31,859,000 class C 'A-sf'; Outlook Stable; - $21,818,000ab class X-D 'BBB-sf'; Outlook Stable; - $13,596,000b class D 'BBBsf'; Outlook Stable; - $8,222,000b class E 'BBB-sf'; Outlook Stable; - $15,180,000bc class F-RR 'BB+sf'; Outlook Stable; - $11,305,000bc class G-RR 'BB-sf'; Outlook Stable; - $13,360,000bc class J-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $41,108,756bc class K-RR. (a) Notional amount and interest-only. (b) Privately placed pursuant to Rule 144A. (c) Classes F-RR, G-RR, J-RR and K-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 62 commercial properties with an aggregate principal balance of $822,168,756 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company, Citi Real Estate Finding, Inc., UBS AG, Societe Generale Financial Corporation, JPMorgan Chase Bank, National Association, Bank of Montreal, LMF Commercial LLC and Natixis Real Estate Capital LLC. The master servicer is Wells Fargo Bank, National Association and the special servicer is Rialto Capital Advisors, LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. Since Fitch published its expected ratings on Feb. 3, 2025, the following changes have occurred: The balances for classes A-4, A-5, X-D, E and F-RR were finalized. The initial certificate balance of the class A-4 was expected to be in the range of $0-$250,000,000 and the initial certificate balance of the class A-5 was expected to be in the range of $276,833,000-$526,833,000. The final class balances for classes A-4 and A-5 are $65,200,000 and $461,633,000, respectively. The initial certificate balance of the class X-D was expected to be in the range of $20,143,000-$21,818,000, the initial certificate balance of the class E was expected to be in the range of $6,547,000-$8,222,000, and the initial certificate balance of the class F-RR certificates was expected to be in a range of $15,180,000-$16,855,000. The final class balances for classes X-D, E and F-RR are $21,818,000, $8,222,000 and $15,180,000, respectively, and the resulting credit support for the class E is 9.846%. There were no other material changes. The deal structure and ratings reflect information provided by the issuer as of Feb. 25, 2025. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 24 loans totaling 91.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $88.1 million represents a 13.0% decline from the issuer's aggregate underwritten NCF of $101.2 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 95.3% is higher than the 2024 and 2023 averages of 84.5% and 87.2%, respectively. The pool's Fitch NCF debt yield (DY) of 10.7% is lower than the 2024 and 2023 averages of 12.3% and 11.1%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 99.1% and 10.1%, respectively, compared to the equivalent 2024 LTV and DY averages of 91.5% and 10.9%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 11.9% of the pool by balance received an investment grade credit opinion. Soho Grand & The Roxy Hotel (8.5%) received an investment grade credit opinion of 'A-sf*' on a standalone basis. Newport Centre (3.4%) received an investment grade credit opinion of 'BBBsf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2024 and 2023 averages of 21.4% and 20.1%, respectively. Lower Pool Concentration: The pool is less concentrated than recent Fitch-rated transactions. The top 10 loans in the pool make up 58.8% of the pool, lower than the 2024 and 2023 averages of 63.0% and 62.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'. - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/ WIND RIVER 2016-1K: Moody's Cuts Rating on $14.1MM E-R2 Notes to B1 ------------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (collectively, the "Refinancing Debt") issued by Wind River 2016-1K CLO Ltd. (the "Issuer"). Moody's rating actions is as follows: US$213,097,324 Class A-1-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$14,000,000 Class A-2-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$33,200,000 Class B-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$18,700,000 Class C-R3 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$17,200,000 Class D-1-R3 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) Additionally, Moody's have taken rating actions on the following outstanding notes originally issued by the Issuer on October 15, 2021 (the "Prior Reset Date"): US$14,100,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on October 15, 2021 Assigned Ba3 (sf) US$5,000,000 Class F-R2 Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to Caa2 (sf); previously on October 15, 2021 Assigned B3 (sf) A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. First Eagle Alternative Credit, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued three other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Debt, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period. Moody's rating actions on the Class E-R2 Notes and Class F-R2 Notes reflect the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's February 2025 report[1], the OC ratio for the Class E-R2 notes is reported at 103.99% versus February 2024[2] level of 106.61%. No action was taken on the Class D-2-R2 notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $332,706,935 Defaulted par: $2,463,852 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2754 Weighted Average Spread (WAS): 3.12% Weighted Average Recovery Rate (WARR): 45.84%% Weighted Average Life (WAL): 5.5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. WIND RIVER 2021-3: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-1R, C-2R, D-1a-R, D-1b-R, D-2-R, and E-R replacement debt from Wind River 2021-3 CLO Ltd./Wind River 2021-3 CLO LLC, a CLO managed by First Eagle Alternative Credit LLC that was originally issued in August 2021. The original debt, which was not rated by S&P Global Ratings, was paid in full on the March 5, 2025, refinancing date. The replacement 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 replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- The reinvestment period was extended to April 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were, both, extended to April 20, 2038. -- No additional assets were purchased on the March 5, 2025, refinancing date, and the target initial par amount remains $470.0 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2025. -- The required minimum coverage ratios were amended. -- The transaction was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Wind River 2021-3 CLO Ltd./Wind River 2021-3 CLO LLC Class A-1-R, $296.1 million: AAA (sf) Class A-2-R, $9.4 million: AAA (sf) Class B-R, $51.7 million: AA (sf) Class C-1R (deferrable), $20.7 million: A (sf) Class C-2R (deferrable), $7.5 million: A (sf) Class D-1a-R (deferrable), $18.5 million: BBB+ (sf) Class D-1b-R (deferrable), $5.0 million: BBB+ (sf) Class D-2-R (deferrable), $9.4 million: BBB- (sf) Class E-R (deferrable), $14.1 million: BB- (sf) Subordinated notes, $81.7 million: NR NR--Not rated. WOODMONT 2022-10: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, A-2L, B-R, C-R, D-R, and E-R replacement debt from Woodmont 2022-10 Trust, a CLO originally issued in November 2022 that is managed by MidCap Financial Services Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the March 3, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to March 3, 2027. -- The reinvestment period was extended to April 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to April 15, 2038. -- No additional assets were purchased on the March 3, 2025, refinancing date, and the target initial par amount was upsized to $1,112.5 million by combining two existing transactions. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2025. -- The required minimum overcollateralization and interest coverage ratios were be amended. -- An additional $45.335 million in subordinated notes was issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 Woodmont 2022-10 Trust Class A-1-R, $645.250 million: AAA (sf) Class A-2-R, $9.500 million: AAA (sf) Class A-2L loans, $35.000 million: AAA (sf) Class B-R, $66.750 million: AA (sf) Class C-R (deferrable), $89.000 million: A (sf) Class D-R (deferrable), $66.750 million: BBB- (sf) Class E-R (deferrable), $66.750 million: BB- (sf) Ratings Withdrawn Woodmont 2022-10 Trust Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Woodmont 2022-10 Trust Certificates, $121.475 million: NR NR--Not rated [] DBRS Reviews 308 Classes From 10 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 308 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 10 transactions reviewed, three are classified as HELOC, three as re-performing, three as seasoned, and one as prime. Of the 308 classes reviewed, Morningstar DBRS upgraded its credit ratings on 153 classes and confirmed its credit ratings on 155 classes. The Affected Ratings are available at https://bit.ly/4hhxUe8 The Issuers are: New Residential Mortgage Loan Trust 2017-2 AJAX Mortgage Loan Trust 2023-A Ajax Mortgage Loan Trust 2019-D Towd Point HE Trust 2021-HE1 Citigroup Mortgage Loan Trust 2023-RP1 New Residential Mortgage Loan Trust 2017-4 New Residential Mortgage Loan Trust 2020-2 BRAVO Residential Funding Trust 2021-HE2 BRAVO Residential Funding Trust 2021-HE1 GS Mortgage-Backed Securities Trust 2024-PJ2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 41 Classes From 7 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 41 classes from seven U.S. residential mortgage-backed securities (RMBS) transactions. Of the seven transactions reviewed, six are classified as non-qualified mortgage transactions, and one is classified as a securitization of a two-year revolving portfolio of residential transition loans (RTL). Of the 41 classes reviewed, Morningstar DBRS upgraded its credit ratings on 14 classes and confirmed its credit ratings on 27 classes. The Affected Ratings are available at https://bit.ly/3Xx2gCl The Issuers are: PRPM 2023-NQM1 Trust HOMES 2023-NQM1 Trust PRKCM 2024-AFC1 Trust PRKCM 2023-AFC1 Trust Toorak Mortgage Trust 2024-RRTL1 Mill City Mortgage Loan Trust 2023-NQM1 BRAVO Residential Funding Trust 2024-NQM2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 414 Classes From 39 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 414 classes from 39 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as legacy RMBS. Of the 414 classes reviewed, Morningstar DBRS upgraded its credit ratings on 14 classes, confirmed its credit ratings on 399 classes, and discontinued its credit rating on one class. The Affected Ratings are available at https://bit.ly/41MsaVc The Issuers are: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1 RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A C-BASS 2004-CB4 Trust Ameriquest Mortgage Securities Inc. Series 2004-R11 Structured Adjustable Rate Mortgage Loan Trust 2008-2 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10 New Century Home Equity Loan Trust 2005-1 New Century Home Equity Loan Trust 2005-3 ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4 Sequoia Mortgage Trust 2005-3 Aegis Asset Backed Securities Trust 2005-2 Security National Mortgage Loan Trust 2004-1 Soundview Home Loan Trust 2005-B SG Mortgage Securities Trust 2006-FRE2 SG Mortgage Securities Trust 2006-OPT2 Soundview Home Loan Trust 2007-OPT5 Citigroup Mortgage Loan Trust 2007-WFHE1 Structured Asset Investment Loan Trust, Series 2006-BNC3 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2 Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5 First Franklin Mortgage Loan Trust, Series 2005-FF1 Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC2 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1 Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2 Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC2 First Franklin Mortgage Loan Trust, Series 2004-FF10 Citigroup Mortgage Loan Trust Inc., Series 2005-WF2 Structured Asset Securities Corporation Mortgage Loan Trust 2005-OPT1 Accredited Mortgage Loan Trust 2006-1 Accredited Mortgage Loan Trust 2005-1 Accredited Mortgage Loan Trust 2005-2 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The discontinued credit rating reflects the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [] Moody's Hikes Ratings on 12 Bonds from 10 Scratch & Dent RMBS ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 12 bonds from 10 US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Ocwen Residential MBS Corporation Series 1998-R1 B-1, Upgraded to Caa1 (sf); previously on Jul 30, 2015 Downgraded to Caa2 (sf) B-2, Upgraded to Caa3 (sf); previously on Dec 20, 2017 Downgraded to C (sf) Issuer: Quest Trust 2006-X1 Cl. A-2, Upgraded to Caa2 (sf); previously on Jul 5, 2012 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Jul 5, 2012 Downgraded to Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAAC Series 2006-RP2 Trust Cl. M-1, Upgraded to Caa1 (sf); previously on Nov 22, 2016 Upgraded to Caa3 (sf) Issuer: RAAC Series 2006-RP3 Trust Cl. M-1, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2007-RP3 Trust Cl. A, Upgraded to B1 (sf); previously on May 4, 2009 Downgraded to Caa3 (sf) Issuer: RAAC Series 2007-RP4 Trust Cl. A, Upgraded to B2 (sf); previously on May 4, 2009 Downgraded to Caa3 (sf) Issuer: RFSC Series 2004-RP1 Trust M-3, Upgraded to Caa3 (sf); previously on Jan 20, 2016 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corporation 2006-GEL3 Cl. M1, Upgraded to Caa1 (sf); previously on Apr 25, 2018 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corporation 2007-GEL1 Cl. A3, Upgraded to Caa3 (sf); previously on Mar 5, 2009 Downgraded to C (sf) Issuer: Yale Mortgage Loan Trust 2007-1 Cl. A, Upgraded to Caa2 (sf); previously on May 20, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 23 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 23 bonds from 10 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HSI Asset Securitization Corporation Trust 2006-OPT4 Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 7, 2018 Upgraded to Caa3 (sf) Issuer: IXIS Real Estate Capital Trust 2005-HE2 Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-ACC1 Cl. M-2, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 24, 2009 Downgraded to C (sf) Issuer: Long Beach Mortgage Loan Trust 2005-WL3 Cl. M-2, Upgraded to Caa3 (sf); previously on May 17, 2018 Upgraded to Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-2 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-4 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-6 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-7 Cl. I-A, Upgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. II-A2, Upgraded to Caa2 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Apr 30, 2010 Confirmed at Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-8 Cl. I-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE1 Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 30 Bonds From 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 30 bonds from nine US residential mortgage-backed transactions (RMBS), backed by Subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Alt-A Trust 2006-6 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. III-1A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2015 Downgraded to Ca (sf) Cl. III-2A-1, Upgraded to Caa2 (sf); previously on Aug 6, 2015 Downgraded to Ca (sf) Issuer: Bear Stearns Alt-A Trust 2007-1 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns ALT-A Trust 2007-2 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Jul 19, 2018 Upgraded to Caa3 (sf) Issuer: ChaseFlex Trust Series 2006-1 Cl. A-4, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Jul 8, 2016 Downgraded to Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-FX1 Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Confirmed at Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AHL3 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-3A, Upgraded to Caa1 (sf); previously on Dec 4, 2015 Downgraded to Ca (sf) Cl. A-3B, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-3C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AMC1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Nov 8, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Confirmed at Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-AMC3 Cl. A-1, Upgraded to B2 (sf); previously on Nov 20, 2018 Upgraded to Caa1 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WF1 Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 16, 2013 Downgraded to Caa3 (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-2E, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. A-2F, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Most of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrade for Cl. A-1 from Citigroup Mortgage Loan Trust 2007-AMC3 is a result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. Credit enhancement grew by 5.3% for this bond over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 8 Bonds From 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds and two underlying bonds from three US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM and scratch and dent mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: HarborView Mortgage Loan Trust 2006-10 Cl. 1A-1A, Upgraded to Caa1 (sf); previously on May 28, 2021 Confirmed at Caa2 (sf) Cl. 2A-1B, Upgraded to Caa1 (sf); previously on May 31, 2017 Upgraded to Ca (sf) Issuer: Impac CMB Trust Series 2007-A Cl. M-1, Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 11, 2009 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 11, 2009 Downgraded to C (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 11, 2009 Downgraded to C (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 11, 2009 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2005-8 Cl. 2-A3, Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. 2-A4A, Upgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 9 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds from two US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors Trust 2006-WMC1 Cl. A-1A, Upgraded to A1 (sf); previously on Oct 24, 2019 Upgraded to Ba3 (sf) Cl. A-1B, Underlying Rating: Upgraded to A1 (sf); previously on Oct 24, 2019 Upgraded to Ba3 (sf) Financial Guarantor: Assured Guaranty Inc. (Upgraded to A1, Outlook Stable on July 10, 2024) Cl. A-2D, Upgraded to B1 (sf); previously on Oct 24, 2019 Upgraded to Caa1 (sf) Issuer: TBW Mortgage-Backed Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 Cl. A-1-A, Upgraded to Caa1 (sf); previously on Oct 21, 2010 Downgraded to Ca (sf) Cl. A-1-B, Upgraded to Ca (sf); previously on Oct 21, 2010 Downgraded to C (sf) Cl. A-2-A, Upgraded to Caa2 (sf); previously on Oct 21, 2010 Downgraded to Ca (sf) Cl. A-3-A, Upgraded to Caa2 (sf); previously on Oct 21, 2010 Downgraded to Ca (sf) Cl. A-4-B, Underlying Rating: Upgraded to Caa3 (sf); previously on Oct 21, 2010 Downgraded to Ca (sf) Financial Guarantor: Assured Guaranty Inc. (Upgraded to A1, Outlook Stable on July 10, 2024) Cl. A-6-A, Upgraded to Caa2 (sf); previously on Oct 21, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 86 Classes From 11 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 86 ratings from 11 U.S. RMBS transactions issued between 2002 and 2007. The review yielded four downgrades, 53 affirmations, and 29 withdrawals. A list of Affected Ratings can be viewed at: https://tinyurl.com/4ywzsrsn Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The downgrades primarily reflect an erosion of credit support available to the classes due to passing triggers. Additionally, as a result, we applied our principal-only criteria. "We withdrew our ratings on 29 classes from seven transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***