/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250316.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 16, 2025, Vol. 29, No. 74 Headlines 1828 CLO: Moody's Cuts Rating on $26MM Class D-R Notes to B1 AFFIRM MASTER 2025-1: DBRS Gives Prov. BB Rating on B Notes AIMCO CLO 2017-A: S&P Assigns Prelim B- (sf) Rating on F-R2 Notes ALLEGRO CLO XV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ALLEGRO CLO XV: Moody's Assigns B3 Rating to $2MM Class F-R Notes BAIN CAPITAL 2019-4: Moody's Gives Ba3 Rating to $33MM E-RR Notes BARROW HANLEY II: S&P Assigns BB- (sf) Rating on Class E-R Notes BASEPOINT MCA: DBRS Confirms BB Rating on Class B Notes BCP TRUST 2021-330N: Moody's Lowers Rating on 2 Tranches to C BENCHMARK 2022-B32: Fitch Lowers Rating on Two Tranches to CCC BENCHMARK 2025-V13: DBRS Finalizes BB(low) Rating on 2 Tranches BOWLING GREEN CLO: Moody's Gives Ba3 Rating to $19.8MM E-RR Notes BX TRUST 2025-VLT6: DBRS Gives Prov. B(high) Rating on HRR Certs CANYON CLO 2022-2: Fitch Assigns 'BB+sf' Rating on Class E-R Notes CANYON CLO 2022-2: Moody's Assigns B3 Rating to $250,000 F-R Notes CARVANA AUTO 2025-N1: DBRS Finalizes BB Rating on E Notes CEDAR FUNDING XII: S&P Assigns BB- (sf) Rating on Class E-RR Notes CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on E Certs CIFC FUNDING 2013-IV: Moody's Gives Ba3 Rating to $26MM E-R2 Notes CIFC FUNDING 2014-IV-R: Moody's Assigns Ba3 Rating to D-RR Notes COMM 2013-300P: DBRS Cuts Class E Certs Rating to B(low) COMM MORTGAGE 2014-UBS5: Moody's Cuts Rating on Cl. C Certs to B1 CONNECTICUT AVE 2025-R02: Moody's Gives (P)Ba1 Rating to 4 Tranches CROWN POINT 11: Fitch Assigns 'BB+sf' Rating on Class E-R Notes CROWN POINT 11: Moody's Assigns (P)B3 Rating to $250,000 F Notes CROWN POINT 11: Moody's Assigns B3 Rating to $250,000 Cl. F Notes DIAMETER CAPITAL 9: S&P Assigns BB- (sf) Rating on Class E Notes DRYDEN 41 SENIOR: Moody's Cuts Rating on $25.3MM E-R Notes to B1 ELEVATION CLO 2021-14: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ELEVATION CLO 2021-14: Moody's Assigns B3 Rating to Cl. F-R Notes EXETER AUTOMOBILE 2021-4: DBRS Confirms B Rating on F Notes EXETER AUTOMOBILE 2025-2: S&P Assigns Prelim BB- Rating on E Notes FIDELIS MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on B Notes FLAGSHIP CREDIT 2022-4: S&P Places BB- E Notes Rating on Watch Neg GALAXY XXVII CLO: Moody's Ups Rating on $22MM Cl. E Notes to Ba2 GLS AUTO 2025-1: DBRS Finalizes BB Rating on Class E Notes GOLDENTREE LOAN 6: S&P Assigns B- (sf) Rating on Cl. F-R-2 Notes GOLUB CAPITAL 53(B): Moody's Assigns Ba3 Rating to $26MM E-R Notes GREAT LAKES 2019-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes GREAT WOLF 2024-WOLF: DBRS Confirms B(low) Rating on G Certs GS MORTGAGE 2014-GC26: DBRS Cuts Rating on Class PEZ Certs to C(sf) GS MORTGAGE 2014-GC26: Moody's Lowers Rating on Cl. C Certs to B1 GS MORTGAGE 2017-GS5: DBRS Cuts Rating on 2 Tranches to C(sf) GS MORTGAGE 2025-CES1: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes GSCG TRUST 2019-600C: S&P Lowers Class A Certs Rating to 'D (sf)' GUGGENHEIM CLO 2022-2: Fitch Assigns BB-sf Rating on Cl. E-R Notes HARVEST COMMERCIAL 2025-1: DBRS Finalizes B Rating on M-5 Notes HPS LOAN 2025-24: S&P Assigns BB- (sf) Rating on Class E Notes JP MORGAN 2020-MKST: Moody's Downgrades Rating on 2 Tranches to C JP MORGAN 2025-2: DBRS Gives Prov. B(low) Rating on B-5 Certs JPMBB COMMERCIAL 2014-C18: Moody's Cuts Rating on C Certs to Ba3 JPMBB COMMERCIAL 2014-C24: Moody's Cuts Cl. C Certs Rating to B2 KKR CLO 25: Moody's Assigns Ba3 Rating to $21.375MM Cl. E-R2 Notes KKR CLO 37: Moody's Assigns B3 Rating to $200,000 Class F-R Notes KRR CLO 37: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MADISON PARK XLIX: S&P Assigns BB- (sf) Rating on Class E-R Notes MARBLE POINT XVIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes MORGAN STANLEY 2014-C19: DBRS Lowers Rating on 4 Tranches to C(sf) MORGAN STANLEY 2018-BOP: S&P Assigns 'D(sf)' Rating on X-EXT Notes MORGAN STANLEY 2019-NUGS: Moody's Lowers Rating on 2 Tranches to C MORGAN STANLEY 2025-1: Fitch Assigns B(EXP) Rating on B-5 Certs NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Ca NEWARK BSL 1: Moody's Affirms Ba3 Rating on $20MM Class D-R Notes NYMT LOAN 2025-INV1: S&P Assigns Prelim 'B-' Rating on B-2 Notes OCP CLO 2023-26: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OCTAGON INVESTMENT XXI: Moody's Assigns Ba3 Rating to D-R3 Notes OHA CREDIT X-R: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes PALMER SQUARE 2025-1: S&P Assigns BB- (sf) Rating on Cl. E Notes POLEN CAPITAL 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes PPM CLO 8: Fitch Assigns BBsf Rating on Cl. E Notes, Outlook Stable PREFERRED TERM XXI: Moody's Upgrades Rating on 2 Tranches to B1 PRPM TRUST 2025-NQM1: DBRS Finalizes BB(low) Rating on B-1 Certs QVC GROUP: Fitch Lowers LongTerm IDR to 'B-', Outlook Stable RFR TRUST 2025-SGRM: Fitch Assigns 'B+sf' Rating on Class F Notes ROC MORTGAGE 2025-RTL1: DBRS Gives Prov. B(low) Rating on M2 Notes RR 37 LTD: Fitch Assigns 'BB+sf' Rating on Class D Notes RR 37 LTD: Moody's Assigns B3 Rating to $450,000 Class E Notes SBNA AUTO 2024-A: Fitch Affirms 'BBsf' Rating on Class E Notes SIERRA TIMESHARE 2025-1: Fitch Assigns 'BB(EXP)' Rating on D Notes SIERRA TIMESHARE 2025-1:S&P Assigns Prelim 'BB-' Rating on D Notes SIXTH STREET XVII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes SOUND POINT XXV: Moody's Cuts Rating on $18MM Cl. E-R Notes to B1 STEELE CREEK 2019-2: S&P Assigns BB-(sf) Rating on Class E-R Notes STWD LTD 2019-FL1: DBRS Confirms B Rating on Class G Notes SWCH COMMERCIAL 2025-DATA: DBRS Finalizes B(high) on HRR Certs SYCAMORE TREE 2025-6: S&P Assigns Prelim BB-(sf) Rating on E Notes TRIMARAN CAVU 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes TRIMARAN CAVU 2025-1: S&P Assigns Prelim BB- sf) Rating on E Notes TRINITAS CLO VII: S&P Affirms 'B- (sf)' Rating on Cl. F-R Notes TRUPS FINANCIALS 2025-1: Moody's Gives Ba1 Rating to $17MM D Notes UNITED AUTO 2025-1: S&P Assigns BB (sf) Rating on Class E Notes WBRK 2025-WBRK: Fitch Assigns 'BB-sf' Final Rating on Cl. HRR Certs WELLINGTON MANAGEMENT 4: S&P Assigns Prelim 'BB-' Rating on E Notes WELLS FARGO 2016-C32: DBRS Cuts Rating on 2 Tranches to CCC(sf) WELLS FARGO 2016-C34: DBRS Confirms C(sf) Rating on 3 Tranches WELLS FARGO 2016-NXS5: DBRS Cuts Rating on Class D Certs to B(low) [] DBRS Hikes 7 Credit Ratings From 6 Regional Transactions [] Fitch Affirms 23 Tranches From 11 SLM Private Credit Trusts [] Fitch Takes Various Rating Actions on 34 FFELP SLABS [] Moody's Hikes 80 Ratings From 13 Deals Issued by CWALT Inc. [] Moody's Hikes 93 Ratings From Five Freddie Mac Deals [] Moody's Takes Action on 48 Bonds From 12 US RMBS Deals [] Moody's Takes Action on 9 Bonds From 4 US RMBS Deals [] Moody's Upgrades 45 Bonds From 12 JP Morgan RMBS Deals [] Moody's Upgrades Rating on 94 Bonds From 14 US RMBS Deals [] Moody's Upgrades Ratings on 24 Bonds From 10 US RMBS Deals [] Moody's Upgrades Ratings on 33 Bonds from 12 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds From 7 US RMBS Deals [] Moody's Ups Ratings on 6 Bonds on 4 RMBS Deals From RAMP Series [] S&P Takes Various Actions on 182 Classes From 70 US RMBS Deals ********* 1828 CLO: Moody's Cuts Rating on $26MM Class D-R Notes to B1 ------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by 1828 CLO Ltd.: Class B-Ra Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on October 12, 2023 Upgraded to A1 (sf) US$10,300,000 Class B-Rb3 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on October 12, 2023 Upgraded to A1 (sf) US$10,300,000 Class B-Rb4 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on October 12, 2023 Upgraded to A1 (sf) US$17,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to A3 (sf); previously on October 12, 2023 Upgraded to Baa2 (sf) US$17,200,000 Class 3 Rated Structured Notes due 2031 (the "Class 3 Rated Structured Notes ") (composed of components representing US$1,350,000 of Class A-2-Rb3 Notes, US$10,300,000 of Class B-Rb3 Notes, and US$5,550,000 of Subordinated Notes (collectively, the "Underlying Components")) (current outstanding balance of $10,107,111.46), Upgraded to Aa1 (sf); previously on October 12, 2023 Upgraded to A1 (sf) US$17,200,000 Class 4 Rated Structured Notes due 2031 (the "Class 4 Rated Structured Notes ") (composed of components representing US$1,350,000 of Class A-2-Rb4 Notes, US$10,300,000 of Class B-Rb4 Notes, and US$5,550,000 of Subordinated Notes (collectively, the "Underlying Components")) (current outstanding balance of $10,107,111.46), Upgraded to Aa1 (sf); previously on October 12, 2023 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$26,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on October 14, 2020 Confirmed at Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the notes over-collateralization (OC) ratios since February 2024. The Class A-1-S-1-R and Class A-2-S-R notes have been collectively paid down by approximately 64% or $133.7 million in total since that time. As a result, based on the trustee's February 2025 report [1], the OC ratios for the Class B and Class C notes are reported at 133.33% and 120.77%, respectively, versus February 2024 levels [2] of 122.68% and 115.96%, respectively. The downgrade rating action on the Class D-R 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 February 2025 report[3], the OC ratio for the Class D-R notes is reported at 105.94% versus February 2024 level [4] of 107.23%. Furthermore, weighted average rating factor (WARF) has also been deteriorating since that time. As per Moody's calculations, the current WARF level is 3248 compared to 2962 in February 2024. The upgrade rating actions on the Class 3 Rated Structured Notes and Class 4 Rated Structured notes ("Structured Notes") are primarily the result of reduction of their outstanding balance and increased collateral coverage from the underlying rated debt components. Each of the Structured Notes have been paid down by $1.5 million or 13% since February 2024. Additionally, the current outstanding balance of these Structured Notes are fully covered by outstanding balance of underlying rated debt components. No actions were taken on the Class A-1-S-1-R, Class A-1-S-2-R, Class A-1-J-R, Class A-2-Ra, Class A-2-Rb1, Class A-2-Rb2, Class A-2-Rb3, Class A-2-Rb4 and Class 1 Rated Structured Notes 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: $225,963,394 Defaulted par: $3,993,545 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3248 Weighted Average Spread (WAS): 3.27% Weighted Average Recovery Rate (WARR): 46.4% Weighted Average Life (WAL): 3.4 years Par haircut in OC tests and interest diversion test: 1.8% 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, volatility in interest rates 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. AFFIRM MASTER 2025-1: DBRS Gives Prov. BB Rating on B Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following notes to be issued by Affirm Master Trust Series 2025-1 (AFRMT 2025-1): -- $559,490,000 Class A Notes at (P) AAA (sf) -- $48,600,000 Class B Notes at (P) AA (high) (sf) -- $49,380,000 Class C Notes at (P) A (high) (sf) -- $38,490,000 Class D Notes at (P) BBB (high) (sf) -- $54,040,000 Class B Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all (P) AAA (sf), (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BB (sf) stress scenarios in accordance with the terms of the AFRMT 2025-1 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2025-1 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2025-1 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) 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. (4) The experience, sourcing, and servicing capabilities of Affirm. (5) The experience, underwriting, and origination capabilities of ALS, CRB, Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2025-1 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2025-1 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2025-1 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a Contract Rate less than or equal to 12% if the loan was originated by CRB, Celtic Bank, or Lead Bank. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2025-1 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Notes: All figures are in US dollars unless otherwise noted. AIMCO CLO 2017-A: S&P Assigns Prelim B- (sf) Rating on F-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-R2, B-R2, C-R2, D-1-R2, D-2-R2, E-R2, and F-R2 replacement debt from AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC, a CLO managed by Allstate Investment Management Co. that was originally issued in May 2017 and underwent a previous reset in April 2021. The 2017 issuance was not rated by S&P Global Ratings. The preliminary ratings are based on information as of March 6, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 12, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the 2021 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: -- Additional subordinated notes will be issued in the amount of $8.8 million, and the stated maturity of the original subordinated notes will be extended to Jan. 20, 2038. -- The reinvestment period will be extended to Jan. 20, 2030. -- The non-call period will be extended to March 12, 2027. -- The original class D-R debt will be replaced by class D-1R2 and D-2R2 debt. -- The class X-R2 debt will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 18 payment dates beginning with the third payment period. 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 AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC Class X-R2, $3.00 million: AAA (sf) Class A-R2, $256.00 million: AAA (sf) Class B-R2, $48.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1-R2 (deferrable), $24.00 million: BBB- (sf) Class D-2-R2 (deferrable), $4.00 million: BBB- (sf) Class E-R2 (deferrable), $12.00 million: BB- (sf) Class F-R2 (deferrable), $6.00 million: B- (sf) Other Debt AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC Subordinated notes(i), $44.80 million: Not rated (i)$8.80 million of additional subordinated notes are expected to be issued in connection with this refinancing ALLEGRO CLO XV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO XV, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Allegro CLO XV, Ltd. A-1-R LT NRsf New Rating A-1L-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-1-R LT A+sf New Rating C-2-R LT Asf New Rating D-1A-R LT BBB+sf New Rating D-1B-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating X LT NRsf New Rating Transaction Summary Allegro CLO XV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by AXA Investment Managers US Inc. that originally closed on June 10, 2022. The secured notes will be refinanced in whole on March 6, 2025. Net proceeds from 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. 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 98.18% first-lien senior secured loans and has a weighted average recovery assumption of 73.68%. 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-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+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 'BBsf' 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-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, 'AA+sf' for class C-2-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 Allegro CLO XV, 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. ALLEGRO CLO XV: Moody's Assigns B3 Rating to $2MM Class F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and one class of loans (the Refinancing Notes) incurred by Allegro CLO XV, Ltd. (the Issuer): US$3,000,000 Class X Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$162,500,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$93,500,000 Class A-1L-R Loans maturing 2038, Assigned Aaa (sf) US$2,000,000 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and bonds. AXA Investment Managers US 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, 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 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: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3034 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.00 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 2019-4: Moody's Gives Ba3 Rating to $33MM E-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of refinancing notes (the "Refinancing Notes") issued by Bain Capital Credit CLO 2019-4, Limited (the "Issuer"). Moody's rating actions are as follows: US$378,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$19,000,000 Class A-2-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$59,000,000 Class B-RR Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$27,000,000 Class C-RR Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$36,000,000 Class D-RR Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$33,000,000 Class E-RR 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. 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, other changes to transaction features in connection with the refinancing include extension of the Refinancing Notes' 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: $582,748,263 Defaulted par: $4,928,732 Diversity Score: 89 Weighted Average Rating Factor (WARF): 2887 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 46.21% Weighted Average Life (WAL): 5.46 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. BARROW HANLEY II: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class D-R and E-R replacement debt from Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC, a CLO originally issued in September 2023 that is managed by BH Credit Management LLC. At the same time, S&P withdrew its ratings on the original class D-1, D-2, and E debt following payment in full on the March 7, 2025, refinancing date. S&P also affirmed its ratings on the class A-1, A-2, B, and C 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 for the refinancing notes will end on Oct. 20, 2025. -- The reinvestment period and the legal final maturity dates were not extended. -- The original class D-1 and D-2 debt were combined into the class D-R debt, with the principal balance equal to the aggregate principal balance of the original class D-1 and D-2 debt. Replacement And Original Debt Issuances Replacement debt -- Class D-R, $23.00 million: Three-month CME term SOFR + 2.65% -- Class E-R, $12.00 million: Three-month CME term SOFR + 5.10% Original debt -- Class D-1, $20.00 million: Three-month CME term SOFR + 5.75% -- Class D-2, $3.00 million: 9.62% -- Class E, $12.00 million: Three-month CME term SOFR + 8.37% 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 Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC Class D-R, $23.00 million: BBB- (sf) Class E-R, $12.00 million: BB- (sf) Ratings Withdrawn Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC Class D-1 to NR from 'BBB- (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Ratings Affirmed Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC Class A-1: 'AAA (sf)' Class A-2: 'AAA (sf)' Class B: 'AA (sf)' Class C: 'A (sf)' Other Debt Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC Subordinated notes, $39.60 million: NR NR--Not rated. BASEPOINT MCA: DBRS Confirms BB Rating on Class B Notes ------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on the following classes of notes issued by BasePoint MCA Securitization LLC: -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) The credit rating actions are based on the following analytical considerations: -- Credit enhancement is in the form of overcollateralization, a reserve account, subordination, and excess spread. Credit enhancement levels are sufficient to cover Morningstar DBRS-expected losses at their current respective rating levels. -- Credit quality of the collateral pool and historical performance. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - 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. Notes: The principal methodology applicable to the credit rating is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). BCP TRUST 2021-330N: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in BCP Trust 2021-330N, Commercial Mortgage Pass-Through Certificates, Series 2021-330N as follows: Cl. A, Downgraded to Ba1 (sf); previously on Aug 29, 2024 Downgraded to A1 (sf) Cl. B, Downgraded to B1 (sf); previously on Aug 29, 2024 Downgraded to Baa1 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Aug 29, 2024 Downgraded to Ba1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Aug 29, 2024 Downgraded to Ba3 (sf) Cl. E, Downgraded to C (sf); previously on Aug 29, 2024 Downgraded to Caa1 (sf) Cl. F, Downgraded to C (sf); previously on Aug 29, 2024 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on six principal and interest (P&I) classes were downgraded primarily due to the loan's delinquency status and an increase in Moody's loan-to-value (LTV) ratio resulting from the recent and anticipated further declines in the property's net cash flow (NCF). The property's cash flow has declined since 2023 driven by lower occupancy and higher operating expenses. Additionally, the property also faces lease rollover concentration and the expiration of the current tax benefit in 2027, which will lead to further increased expenses. The decline in cash flow combined with the significant increase in the loan's floating interest rate since 2022 caused both the loan's capped (expiring in June 2025) and uncapped debt service coverage ratio (DSCR) to drop well below 1.00X based on the annualized September 2024 NCF. The loan also accrued increased servicer advances and interest shortfalls since last review, and Moody's expects interest shortfalls to continue due to the recent significant appraisal reduction amount (ARA) from the most recent reported appraisal value being 44% below the outstanding loan balance. As of the February 2025 remittance statement interest shortfalls totaled $2.2 million, impacting up to Cl. D and there were outstanding loan advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) totaling approximately $9.5 million. The rating action also reflects the weaker Downtown Chicago office fundamentals which have seen a continued increase in vacancies in recent years. The interest only, floating rate loan is secured by the fee interest in a Class A office building and the leasehold interest in a parking garage in the Chicago CBD. The loan had an initial two-year term with three, one-year extension options and shortly after the borrower exercised the second option (extending the maturity to June 2025) the loan transferred to special servicing in July 2024 due to imminent monetary default. Subsequently, the servicer initiated foreclosure and a receiver was appointed in January 2025. As of the February 2025 distribution date, the loan was last paid through its September 2024 payment date. 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. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking 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 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. DEAL PERFORMANCE As of the February 2025 distribution date, the transaction's certificate balance was $370.0 million, the same as at securitization. The interest only, floating rate loan is secured by the fee simple interest in floors 14-52 of a 52-story Class A office property located at 330 North Wabash Avenue, and the leasehold interest in a 904 space parking garage, located adjacent at 401 North State Street, in Chicago, IL. The loan had an initial maturity in June 2023 with three, one year extension options. The borrower exercised the second extension option in June 2024, extending the maturity to June 2025, however, the loan then transferred to special servicing in July 2024 after the borrower indicated potential future debt service payments may not be made. The loan remained current through the September 2024 payment date, however, no debt service payments have been subsequently made. The property was originally built in 1972 and was designated a Chicago landmark in 2008 and added to the National Register of Historic Places in 2010. From 2010 to 2020, the subject underwent a comprehensive $155.2 million ($131 PSF) renovation that completely redeveloped the interior of the landmark structure. The property is classified as a Class L "Historical Building" by Cook County and benefits a specific tax abatement that will expire in 2027. Under the Class L incentive, assessment levels for the building-portion of the assessment are assessed at 10% of market value for 2014-2023, 15% in 2024, and 20% in year 2025, before returning to the market assessment level of 25% thereafter. The property's financial performance has declined since 2023 and remains well below expectations at securitization. The cash flow declines have been driven by a combination of higher expenses and lower occupancy resulting from downsizing and departures of multiple tenants between 2022 and 2024. The property's occupancy was 79% in September 2024, compared to 94% in June 2021. Furthermore, leases representing approximately 28% of the property's NRA are scheduled to expire in 2027, which coincides with the expiration of the property's tax abatement, putting potential further downward pressure on the property's cash flow. The property's annualized net operating income (NOI) as of September 2024 was $17.6 million, significantly lower than the NOI of $27.4 million in 2023 and $29.6 million in 2022. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's uncapped and capped debt service coverage ratio (DSCR) has dropped to well below 1.00X based on the September 2024 annualized NCF. The loan's current interest rate cap expires at the loan's June 2025 maturity. An updated appraised value reported as of the February 2025 remittance report showed a decline of 62% from the appraised value at securitization and was 44% lower than the outstanding balance of the loan, which has caused an ARA of $188.7 million. As a result, interest shortfalls totaling $2.2 million affected up to Cl. D as of the February 2025 remittance statement and there are also outstanding loan advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) of $9.5 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. While the property is well-located in the Chicago CBD within the North Michigan Avenue submarket, the Chicago CBD office market vacancies have increased significantly since securitization. According to CBRE Econometric Advisors, the North Michigan Avenue submarket included 4.9 million SF of Class A office space as of Q4 2024 with a vacancy rate of 22.2%, compared to a vacancy rate of 15.8% in 2023 and 11.40% at securitization. The North Michigan Avenue submarket has seen consecutive years of negative net absorption since 2020. Given the weak fundamentals of the submarket market and the concentrated lease expiration in 2027, the property faces significant upcoming lease rollover risks. Moody's capitalization rate was increased and Moody's NCF is now $14.8 million compared to $17.9 million at last review and $24.9 million at securitization. Moody's LTV ratio is 232% based on Moody's Value. The Adjusted Moody's LTV ratio is 216% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed debt service coverage ratio (DSCR) is now 0.43X. BENCHMARK 2022-B32: Fitch Lowers Rating on Two Tranches to CCC -------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 16 classes of Benchmark 2022-B32 Mortgage Trust (BMARK 2022-B32). Fitch assigned Negative Outlooks to classes G and X-FG following their downgrades. The Rating Outlooks for nine affirmed classes have been revised to Negative from Stable. Fitch has also affirmed 17 classes of Benchmark 2022-B33 Mortgage Trust (BMARK 2022-B33) and 15 classes of Benchmark 2022-B37 Mortgage Trust (BMARK 2022-B37). Seven classes of BMARK 2022-B33 and one class of BMARK 2022-B37 have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2022-B32 A-1 08163NBE4 LT AAAsf Affirmed AAAsf A-2 08163NBF1 LT AAAsf Affirmed AAAsf A-2A1 08163NAA3 LT AAAsf Affirmed AAAsf A-3 08163NBG9 LT AAAsf Affirmed AAAsf A-4 08163NBH7 LT AAAsf Affirmed AAAsf A-5 08163NBJ3 LT AAAsf Affirmed AAAsf A-S 08163NBN4 LT AAAsf Affirmed AAAsf A-SB 08163NBK0 LT AAAsf Affirmed AAAsf B 08163NBP9 LT AA-sf Affirmed AA-sf C 08163NBQ7 LT A-sf Affirmed A-sf D 08163NAL9 LT BBBsf Affirmed BBBsf E 08163NAN5 LT BBB-sf Affirmed BBB-sf F 08163NAQ8 LT BB+sf Affirmed BB+sf G 08163NAS4 LT Bsf Downgrade BB-sf H 08163NAU9 LT CCCsf Downgrade B-sf X-A 08163NBL8 LT AAAsf Affirmed AAAsf X-B 08163NBM6 LT A-sf Affirmed A-sf X-D 08163NAC9 LT BBB-sf Affirmed BBB-sf X-FG 08163NAE5 LT Bsf Downgrade BB-sf X-H 08163NAG0 LT CCCsf Downgrade B-sf BMARK 2022-B37 A-1 08161QAA8 LT AAAsf Affirmed AAAsf A-2 08161QAB6 LT AAAsf Affirmed AAAsf A-4 08161QAC4 LT AAAsf Affirmed AAAsf A-5 08161QAD2 LT AAAsf Affirmed AAAsf A-S 08161QAH3 LT AAAsf Affirmed AAAsf A-SB 08161QAE0 LT AAAsf Affirmed AAAsf B 08161QAJ9 LT AA-sf Affirmed AA-sf C 08161QAK6 LT A-sf Affirmed A-sf D 08161QAN0 LT BBBsf Affirmed BBBsf E-RR 08161QAQ3 LT BBB-sf Affirmed BBB-sf F-RR 08161QAS9 LT BBsf Affirmed BBsf G-RR 08161QAU4 LT B+sf Affirmed B+sf H-RR 08161QAW0 LT B-sf Affirmed B-sf X-A 08161QAF7 LT AAAsf Affirmed AAAsf X-D 08161QAL4 LT BBBsf Affirmed BBBsf BMARK 2022-B33 A-1 08163PBC3 LT AAAsf Affirmed AAAsf A-2 08163PBD1 LT AAAsf Affirmed AAAsf A-3-1 08163PBE9 LT AAAsf Affirmed AAAsf A-3-2 08163PAA8 LT AAAsf Affirmed AAAsf A-5 08163PBG4 LT AAAsf Affirmed AAAsf A-S 08163PBL3 LT AAAsf Affirmed AAAsf A-SB 08163PBH2 LT AAAsf Affirmed AAAsf B 08163PBM1 LT AA-sf Affirmed AA-sf C 08163PBN9 LT A-sf Affirmed A-sf D 08163PAL4 LT BBBsf Affirmed BBBsf E 08163PAN0 LT BBB-sf Affirmed BBB-sf F 08163PAQ3 LT BB-sf Affirmed BB-sf G 08163PAS9 LT B-sf Affirmed B-sf X-A 08163PBJ8 LT AAAsf Affirmed AAAsf X-D 08163PAC4 LT BBB-sf Affirmed BBB-sf X-F 08163PAE0 LT BB-sf Affirmed BB-sf X-G 08163PAG5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.1% in BMARK 2022-B32, 4.1% in BMARK 2022-B33, and 4.3% in BMARK 2022-B37. Fitch Loans of Concerns (FLOCs) include seven loans (11.1% of the pool) in BMARK 2022-B32, with two specially serviced loans (2.5%), four loans (10.6%) in BMARK 2022-B33, and five loans (9.2%) in BMARK 2022-B37. The downgrades in BMARK 2022-B32 reflect increased pool loss expectations since the prior rating action, driven by continued underperformance of FLOCs: Moonwater Office Portfolio (3.6%), specially serviced The Onyx (2.1%) and specially serviced Lakeville Townhomes (0.4%). The Negative Outlooks in BMARK 2022-B32 reflect the recent transfers of The Onyx loan (2.1%) and the Lakeville Townhomes loan (0.4%) to special servicing and the potential for future downgrades if the performance of these specially serviced loans and/or office FLOCs continues to deteriorate. The office FLOCs include single-tenant properties and those with exposure to General Service Administration (GSA) tenants: Moonwater Office Portfolio (3.6%), Benefitfocus HQ (2.3%: single-tenant and vacant), 425 Eye Street (2.2%: GSA exposure), 45 Liberty Boulevard (1.4%), Raleigh GSA (0.7%: GSA exposure), AT&T Chicago (0.6%: single-tenant and vacant) and Metro Place (0.4%). The pool has a high office concentration of 51.7%, with fully vacated single-tenant office properties, including Benefitfocus HQ and AT&T Chicago. The affirmations in BMARK 2022-B33 and BMARK 2022-B37 reflect generally the stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks in BMARK 2022-B33 reflect a high office concentration of 38.8% and the potential for future downgrades if the performance of FLOCs, including Twin Spans Business Park and Delaware River Industrial Park (4.6%), 200 West Jackson (4.2%) and 200 Haven Avenue (2.5%), fails to stabilize. The Negative Outlooks in BMARK 2022-B37 reflect the pool's office concentration of 26.0% and the potential for further downgrades if the performance of the FLOCs, including A&R Hospitality Portfolio (1.9%), PentaCentre Office (1.6%) and Peery Hotel (1.5%), deteriorates beyond current expectations. FLOCs: The largest increase in loss expectations since the prior rating action and the largest contributor to loss in the BMARK 2022-B32 transaction is The Onyx loan (2.1%), secured by a 438-unit garden-style multifamily property built in 1979 in Houston, TX. The loan transferred to special servicing in Feb. 2025 due to payment default. As of June 2024, the property was 88% occupied with net operating income (NOI) debt service coverage ratio (DSCR) of 1.56x, compared with occupancy and NOI DSCR of 88% and 1.52x, respectively, at YE 2023 and 94% and 2.12x, respectively, at YE 2022. Fitch's 'Bsf' rating case loss of 33.0% (prior to concentration adjustments) reflects an 8.75% cap rate, 7.5% stress to the TTM June 2024 NOI, and factors in the delinquent loan status. The largest increase in loss expectations since the prior rating action and the largest contributor to loss in the BMARK 2022-B33 transaction is the 200 West Jackson loan (4.2%), secured by a 29-story, 481,801-sf office building located in the central business district of Chicago, IL. Property performance has declined, with occupancy falling to 78% as of Dec. 2024 from 87% at YE 2023 and 93% at issuance. Occupancy has declined, primarily due to the departure of major tenants, Redstone Funding (3.6% of the NRA) and Level-1 Global Solutions (2.1%). Additionally, the largest tenant, TNC US Holdings (42.2%; lease expiration in Dec. 2034), a Nielsen Holdings' subsidiary, has listed most of its space for sublease, according to CoStar. The property has 296,073 sf (60.7%) of total available space, of which 141,204 sf (29.3%) is from the sub-lease space of the largest tenant, according to CoStar. The West Loop office of the Downtown Chicago submarket has a vacancy rate of 24.4% and an availability rate of 30.6%. Fitch's 'Bsf' rating case loss of 31.5% (prior to concentration adjustments) reflects a 10.5% cap rate and 40% stress to the YE 2023 NOI, given the declining occupancy, high availability at the subject and submarket concerns. The largest increase in loss expectations since the prior rating action in the BMARK 2022-B37 transaction is the PentaCentre Office loan (1.6%), secured by a 734,156-sf suburban office property located in Troy, MI. The property's major tenants include Midland Credit Management, Inc. (8.5% of NRA; lease expiration in April 2032), One10, LLC (7.0%, August 2029) and J.D. Power (4.2%, January 2027). Property occupancy continues to decline, most recently reported at 50% as of the Dec. 2024 rent roll, compared with 55% at YE 2023 and 58% at YE 2022. Occupancy has declined due to major tenant Midland Credit Management (previously 12.7% of the NRA) downsizing to 8.5% of the building. The servicer-reported NOI DSCR was 1.36x as of Sept. 2024, which compares with 0.92x at YE 2023 and 1.86x at YE 2022. The loan reported a total of $4.5 million ($6.1 psf) in reserves as of the Feb. 2025 loan level reserve report. According to CoStar, the property lies within the Troy South office submarket of Detroit, MI. As of 4Q24, average submarket rental and vacancy rates were $21.4 psf and 18.5%, respectively. Fitch's 'Bsf' case loss of 17.7% (prior to concentration adjustments) is based on a 10.5% cap rate and 10.0% stress to the YE 2023 NOI. GSA Exposure: Two loans, 425 Eye Street (2.2%) and Raleigh GSA (0.7%) in the BMARK 2022-B32 transaction have exposure to GSA tenants. The 425 Eye Street loan is secured by a 374,667-sf office property located in Washington, DC. Two GSA tenants, Department of Veterans Affairs (64.4% of NRA) and Medicare Payment Advisory Commission (3.8%) have lease expirations in June 2026 and August 2037, respectively. Fitch's analysis included a 40% stress to servicer reported YE 2023 NOI, reflecting the potential for the Veterans Affairs lease to be cancelled or not renewed at the 2026 expiration, resulting in a 'Bsf' case loss of 9.8% (prior to concentration adjustments). The Raleigh GSA loan is secured by a 46,697-sf single-tenant office building located in Raleigh, NC. The property was built to suit for the Social Security Administration with lease expiration in August 2036. Given the concern with the status of the lease, Fitch included an additional 20% stress to the servicer-reported YE 2023 NOI, resulting in a 'Bsf' case loss of 14.1% (prior to concentration adjustments). Single-Tenant Concentration: In the BMARK 2022-B32 transaction, seven loans representing 11.3% of the pool are secured by single-tenant office properties, including the Novo Nordisk HQ (3.4% of the pool), ADS Corporate Headquarters (2.7%), Benefitfocus HQ (2.3%), ABB Office (1.3%), Raleigh GSA (0.7%), AT&T Chicago (0.6%) and Bankwell HQ (0.5%). The nearest lease expiration is in April 2027 for the AT&T Chicago loan. Benefitfocus HQ is a 145,800-sf property located in Charleston, SC and is currently vacant with the entire space listed for sublease. The tenant is currently paying $40.38 psf in rent through the 2031 lease expiration. According to CoStar, the current submarket asking rental rate is $38.03 psf (compared to the sublease asking rate of $29.00 psf) with a vacancy of 25.5%. Fitch's analysis included a 30% stress to the servicer-reported NOI, resulting in a value of approximately $32.6 million, which approaches Fitch's dark value analysis performed at issuance. The 'Bsf' case loss is 5.5% (prior to concentration adjustments). AT&T Chicago, a 93,086-sf office property located in Chicago, IL, is also vacant with the entire space listed for sublease. Fitch's analysis includes 10% stress to the YE 2023 NOI and a higher probability of default, resulting in a 'Bsf' case loss of 13.8% (prior to concentration adjustments). Limited Change to Credit Enhancement (CE): Per the Feb. 2025 remittance report, the aggregate pool balances of the BMARK 2022-B32, BMARK 2022-B33, and BMARK 2022-B37 transactions have been paid down 0.2%, 0.2%, and 0.6%, respectively, since issuance. One loan (0.3%) in the BMARK 2022-B32 transaction is fully defeased. No loans in the other two transactions are defeased. Cumulative interest shortfalls of $36,498 are affecting Class K in the BMARK 2022-B32 transaction, $17,631 are affecting Class H in BMARK 2022-B33, and $9,386 are affecting Class J-RR in the BMARK 2022-B37 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to high CE, senior the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes in BMARK 2022-B32 currently on Rating Outlook Negative are possible with continued performance declines of the specially serviced loans and office FLOCs. These FLOCs include Moonwater Office Portfolio, vacant single-tenant property Benefitfocus HQ, 425 Eye Street (GSA exposure), 45 Liberty Boulevard, Raleigh GSA, AT&T Chicago and Metro Place. 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 Moonwater Office Portfolio, Benefitfocus HQ, 425 Eye Street, 45 Liberty Boulevard, Raleigh GSA, AT&T Chicago and Metro Place in BMARK 2022-B32, Twin Spans Business Park and Delaware River Industrial Park, 200 West Jackson and 200 Haven Avenue in BMARK 2022-B33 and A&R Hospitality Portfolio, PentaCentre Office and Peery Hotel in BMARK 2022-B37. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particular those with Negative Outlooks, could occur 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 would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations from performance stabilization of the FLOCs, including Moonwater Office Portfolio, Benefitfocus HQ, 425 Eye Street, 45 Liberty Boulevard, Raleigh GSA, AT&T Chicago and Metro Place in BMARK 2022-B32, Twin Spans Business Park and Delaware River Industrial Park, 200 West Jackson and 200 Haven Avenue in BMARK 2022-B33 and A&R Hospitality Portfolio, PentaCentre Office and Peery Hotel in BMARK 2022-B37. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. 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. BENCHMARK 2025-V13: DBRS Finalizes BB(low) Rating on 2 Tranches --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Herald Center Loan-Specific Certificates, issued by Benchmark 2025-V13 Mortgage Trust (the Trust): -- Class HCB at AA (low) (sf) -- Class HCC at A (low) (sf) -- Class HCD at BBB (low) (sf) -- Class HCE at BB (low) (sf) -- Class HCRR at BB (low) (sf) All trends are Stable. The Herald Center Loan-Specific Certificates are secured by the borrower's fee-simple interest in a mixed-use nine-story retail and office/university property totaling 267,207 square feet (sf) in the Herald Square area of Manhattan. Herald Square is between Midtown and Koreatown and is a highly trafficked retail corridor of New York City that was recently revitalized with increased public pedestrian space, including seating areas and bike lanes. The property is between West 34th Street, 6th Avenue, West 33rd Street, and 7th Avenue, and is surrounded by a mix of commercial developments, including the flagship Macy's store. The property was built in 1902, rebuilt in 1986, and renovated in 2015 by the borrower, who acquired the property in 1986. The property is in a prime location for accessibility, situated above the 34th Street-Herald Square Subway Station, which provides access to the B, D, F, M, N, Q, R, and W trains and 0.2 miles from Penn Station, which provides access to the 1, 2, 3, A, C, E, LIRR, PATH, and Amtrak trains. The Herald Center is currently 97.9% leased with a weighted average remaining lease term of 25.1 years. There are eight tenants at the property, including two antenna tenants, T-Mobile Northeast, LLC and New Cingular Wireless PCS, LLC. The property is anchored by H&M and other retail tenants Verizon, Bank of America, and Hey Tea. Three of the property's retail tenants have investment-grade credit ratings, including H&M, Bank of America, and Verizon. Yeshiva University's (Yeshiva) dental school will begin occupying 155,025 square feet on floors five through nine plus a mezzanine entry area in phases beginning in 2025. Yeshiva University is a private Orthodox Jewish university based in the lower east side neighborhood of Manhattan. The Joint Industry Board of the Electrical Industry (JIBEI) leases 29,279 sf of office space on the fourth floor. The three largest tenants at the property are Yeshiva University, H&M, and the Joint Industry Board of the Electrical Industry. These tenants collectively represent 92.5% of square footage and 79.2% of Morningstar DBRS gross rent. Following closing, the borrower will convert the property to a leasehold condominium structure, whereby one unit totaling 112,182 sf will be retained by the borrower, and the other unit, totaling 155,025 sf, will be conveyed to Yeshiva University. Under its lease agreement, Yeshiva University will be required to pay common charges, including ground rent. As a result of the condominium structure, real estate taxes are anticipated to decrease significantly as Yeshiva University will apply for and be granted tax exemption under Section 420-a of the New York Real Property Tax Law. The sponsor of the transaction is JEMB Realty Corporation, a family-run real estate development, investment, and management group based in New York City. The firm was established in 1990 and has an asset base across the U.S. and Canada totaling more than 7 million square feet. The same borrower owns Herald Towers, which are located across 6th Avenue from the collateral. Overall, Morningstar DBRS has a favorable view of the credit characteristics of the collateral. Given its central location in a prime retail corridor of Manhattan, investment-grade tenant concentration, easy accessibility via transit, incoming university tenant, and knowledgeable local sponsorship, Herald Center is poised to benefit from the diversification of its mixed-used offerings. Notes: All figures are in U.S. dollars unless otherwise noted. BOWLING GREEN CLO: Moody's Gives Ba3 Rating to $19.8MM E-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Bowling Green Park CLO, LLC (the "Issuer"). US$312,100,000 Class A-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$19,825,000 Class E-RR 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. Clover 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, a variety of other changes to transaction features will occur in connection with the refinancing. These include: Extension of non-call period, change the matrix and related terms, and changes to the Class E overcollateralization test and interest diversion test 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: $493,548,459 Defaulted par: $761,907.16 Diversity Score: 84 Weighted Average Rating Factor (WARF): 3026 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.10% Weighted Average Life (WAL): 5.46 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. BX TRUST 2025-VLT6: DBRS Gives Prov. B(high) Rating on HRR Certs ---------------------------------------------------------------- DBRS Limited assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-VLT6 (the Certificates) to be issued by BX Trust 2025-VLT6: -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (high) (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. BX Trust 2025-VLT6 is a securitization collateralized by the borrower's fee-simple interest in four data center properties in Virginia (three) and Atlanta (one). Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, and desirable efficiency metrics. QTS is one of the largest data center owners globally with a portfolio containing more than 65 data centers across 19 global markets, totaling more than 1,000 customers with 99% leased capacity, including the subject portfolio. QTS demonstrates 99% occupancy across its facilities. Founded in 2003, QTS started with a single data center in Kansas, but it continued acquiring data centers, and by 2008, QTS had a presence in Atlanta, Georgia, Silicon Valley, and Florida. Based on QTS' Sustainability Report, QTS' Freedom standard data center design, which standardizes every element of the data center, further supports QTS' advanced purchasing model. Utilizing consistent equipment across QTS' portfolio of Freedom design facilities, QTS can lean in and buy hundreds of megawatts worth of equipment. Freedom Design data centers are a water-free cooling system that delivers a Water Usage Effectiveness of 0 for data center operations, and it provides access to electric vehicle charging stations. Morningstar DBRS' credit ratings on the certificates reflect the elevated leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the quality of service provided by QTS, the access to key fiber nodes, and the technology that can maintain the data centers' relevance into the future. The data centers backing this financing are generally well built and benefit from strong connectivity. QTS is responsible for servicing a diverse tenant base, with more than 1,200 customers around the world. The well-seasoned QTS management team boasts at least 20 years of operating history and a relatively strong track record. Additionally, QTS is committed to providing an environment of sustainability within its operations. It has committed to designing 100% of its buildings to green building standards, recycling 90% of operational waste by 2025, and making 100% of new builds reliant on zero water for cooling. Delivered in 2023, RIC2DC1 and RIC2DC2 data centers use QTS' Freedom Design with a water-free cooling system. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and colocation data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing information, whereas colocation centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2022-2: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2022-2, Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Canyon CLO 2022-2, Ltd A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 13877LAC0 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 13877LAE6 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 13877LAG1 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 13877MAA2 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Canyon CLO 2022-2, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Canyon CLO Advisors LLC that originally closed Jan. 18, 2023. The existing secured notes will be refinanced in full on March 7, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with 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 98.51% first-lien senior secured loans and has a weighted average recovery assumption of 74.46%. 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-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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, 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 CIFC Funding 2020-IV, 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. CANYON CLO 2022-2: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Canyon CLO 2022-2, Ltd. (the Issuer): US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating 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-senior secured loans. Canyon CLO Advisors L.P. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, and the other classes of secured notes a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; 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: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "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. CARVANA AUTO 2025-N1: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------- DBRS, Inc finalized its provisional credit ratings on the classes of notes issued by Carvana Auto Receivables Trust 2025-N1 (CRVNA 2025-N1 or the Issuer) as follows: -- $27,500,000 Class A-1 Notes at R-1 (high) (sf) -- $82,300,000 Class A-2 Notes at AAA (sf) -- $68,110,000 Class A-3 Notes at AAA (sf) -- $23,540,000 Class B Notes at AA (sf) -- $41,400,000 Class C Notes at A (sf) -- $22,660,000 Class D Notes at BBB (sf) -- $34,500,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Initial credit enhancement is in the form of overcollateralization, subordination, a fully funded 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. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana has a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 45,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the January 30, 2025 Cut-Off Date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a nonzero weighted-average (WA) FICO score of 589, a WA annual percentage rate of 22.09%, and a WA loan-to-value ratio of 100.59%. Approximately 66.32%, 25.27%, and 8.42% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. -- Additionally, 0.75% is composed of obligors with FICO scores greater than 751, 40.82% consists of FICO scores between 601 and 750, and 58.43% is from obligors with FICO scores less than or equal to 600 or with no FICO score. Carvana currently uses FICO 8 scores designed specifically for automotive financing. -- Morningstar DBRS analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2025-N1 pool. (6) The Morningstar DBRS CNL assumption is 15.90% based on the cut-off date pool composition. -- The transaction assumptions consider Morningstar DBRS's 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) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. CEDAR FUNDING XII: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 managed by Aegon USA Investment Management LLC that was originally issued in November 2021 and has underwent a second. At the same time, S&P withdrew its ratings on the class X-R, A-1-R, B-R, C-R, and D-R debt following payment in full on the March 6, 2025, refinancing date. The class A-2-R and E-R debt were not rated. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-RR, A-RR, B-RR, C-RR, D-1RR, D-FRR, and E-RR debt was 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 was issued at a floating and fixed spread, replacing the prior floating spread. -- The stated maturity was extended 3.25 years. -- The reinvestment period was extended 3.25 years. -- The non-call period was extended to but excluding the payment date in January 2027. -- The weighted average life test date was extended to 8.9 years. -- Class X-RR debt will be issued in connection with this refinancing. This debt will 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. 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 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) Ratings Withdrawn Cedar Funding XII CLO Ltd./Cedar Funding XII CLO LLC Class X-R to NR from 'AAA (sf)' Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Other Debt Cedar Funding XII CLO Ltd./Cedar Funding XII CLO LLC Subordinated notes, $39.015 million: NR +NR—Not rated. CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-FAX issued by CFK Trust 2019-FAX as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the underlying collateral's stable performance, as exhibited by year-over-year increases in rental rates as part of ongoing unit renovations. The transaction's underlying loan is secured by the Fairfax Multifamily Portfolio, which consists of three cross-collateralized and cross-defaulted Class B+ multifamily properties totaling 870 units in Fairfax and Herndon, Virginia. The previous owner invested more than $22.8 million in capital improvements and renovated 248 of the 870 units in the portfolio. In December 2022, The Milestone Group purchased the portfolio and assumed the subject loan. At issuance, it was noted that an additional $11.0 million, or $12,800 per unit, was allocated for future renovations and upgrades, aimed at tapping potential upside in rental revenues. As of the January 2025 reporting, $3.3 million of future funding remained in a reserve account. Morningstar DBRS has reached out to the servicer for an update on the status of the planned renovations and the plan to spend the remainder of the reserve funds; as of the date of this press release, the response is pending. The $82.0 million trust loan consists of two senior notes ($15.0 million) and two junior notes ($67.0 million). In addition to the trust loan, five senior notes comprise a $70.0 million nontrust pari passu companion loan, a $25.0 million senior mezzanine loan, and a $20.0 million junior mezzanine loan, which are held outside of the trust. The loan is interest only (IO) throughout its 10-year loan term and matures in January 2029. Based on the financials for the trailing 12-month (T-12) period ended September 30, 2024, the portfolio reported a net cash flow (NCF) of $15.1 million (reflecting a debt service coverage ratio of 1.70 times), which is equivalent to a whole loan debt yield of 9.9%, excluding mezzanine debt. Cash flows have shown an upward trajectory since issuance because of increased rental rates driven by the ongoing unit renovations. The NCF for the T-12 period ended September 30, 2024, was 7.9% above the YE2023 figure and 30.1% above the Morningstar DBRS NCF. Although units are likely being taken offline for some period of time while renovations are completed, the portfolio-level weighted-average (WA) occupancy has recently remained generally stable. As of the September 2024 rent roll, the WA occupancy rate was 95.2%, a slight decline from 97.0% at YE2023. The September 2024 occupancy rate is in line with the issuance levels. Ongoing renovations have gradually increased the portfolio-level WA rental rate from $1,801 per unit at issuance to $2,165 per unit at September 2023 and, again, up to $2,308 per unit according to the September 2024 rent roll. At issuance, renovated units were fetching average rental premiums of $126 over unrenovated units; however, it is noteworthy that there had only been 248 unit renovations completed at that time. As part of the analysis for this review, the Morningstar DBRS value was updated. The Morningstar DBRS NCF was based on a haircut to the NCF figure of $15.1 million for the T-12 period ended September 30, 2024. A capitalization rate (cap rate) of 6.75% was applied and a small credit was considered to account for the remaining renovation work to be completed. The resulting Morningstar DBRS value of $222.8 million represents a variance of -11.4% from the appraised value at issuance of $251.5 million. In addition, Morningstar DBRS maintained positive qualitative adjustments totaling 2.5% to reflect the low cash flow volatility and healthy market fundamentals. Given the significant performance improvements, which have contributed to the increase from the Morningstar DBRS value of $183.3 million derived at issuance, a stressed scenario was considered to evaluate the potential for credit rating upgrades. That analysis considered a 20.0% haircut to the NCF for the T-12 period ended September 30, 2024, for all three properties. The same 6.75% cap rate was applied. The results of that analysis did not provide enough cushion to warrant credit rating upgrades with this review. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC FUNDING 2013-IV: Moody's Gives Ba3 Rating to $26MM E-R2 Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by CIFC Funding 2013-IV, Ltd. (the "Issuer"). Moody's rating action is as follows: US$84,369,094 Class A-1-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$15,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$59,000,000 Class B-R2 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$23,500,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Assigned Aaa (sf) US$31,500,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2031, Assigned A2 (sf) US$26,000,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2031, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction 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. CIFC Asset Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. 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, a change to transaction features will occur in connection with the refinancing: extension of the non-call period. No action was taken on the Class F-RR notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $262,145,132 Defaulted par: $522,011 Diversity Score: 63 Weighted Average Rating Factor (WARF): 3045 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.41% Weighted Average Recovery Rate (WARR): 47.44% Weighted Average Life (WAL): 3.0 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 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. CIFC FUNDING 2014-IV-R: Moody's Assigns Ba3 Rating to D-RR Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (collectively, the "Refinancing Debt") issued by CIFC Funding 2014-IV-R, Ltd. (the "Issuer"). Moody's rating action is as follows: US$325,500,000 Class A-1a-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$15,750,000 Class A-1b-RR Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$48,750,000 Class A-2a-RR Senior Secured Floating Rate Notes due 2035, Assigned Aa1 (sf) US$25,200,000 Class B-RR Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned A1 (sf) US$32,550,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$26,250,000 Class D-RR Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) Additionally, Moody's have taken rating action on the following outstanding notes originally issued by the Issuer on 12/30/2021 (the "First Refinancing Date"): US$9,000,000 Class A-2b-R Senior Secured Fixed Rate Notes due 2035, Upgraded to Aa1 (sf); previously on December 30, 2021 Assigned Aa2 (sf) A comprehensive review of all credit ratings for the respective transaction 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. CIFC Asset 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 three other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, the non-call period for those notes will be extended. Moody's rating action on the Class A-2b-R Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. No action was taken on the Class X-R Notes and Class E-R Notes notes because their expected losses remain commensurate with their 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: $517,079,225 Defaulted par: $3,251,068 Diversity Score: 91 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.27% Weighted Average Recovery Rate (WARR): 46.1% Weighted Average Life (WAL): 5.61 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. COMM 2013-300P: DBRS Cuts Class E Certs Rating to B(low) -------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on the following classes of COMM 2013-300P Mortgage Trust, Commercial Mortgage Pass-Through Certificates issued by COMM 2013-300P Mortgage Trust: -- Class B to BBB (high) (sf) from A (low) (sf) -- Class C to BB (high) from BBB (low) (sf) -- Class D to B (high) from BB (low) (sf) -- Class E to B (low) from B (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-1 at AA (low) (sf) -- Class A1P at AA (low) (sf) -- Class X-A at AA (sf) All trends have been changed to Stable from Negative. The credit rating downgrades reflect the expectation that, while the collateral office property has recently shown performance improvements and the loan benefits from an experienced and what appears to be a committed sponsor, the significant delta between the issuance cash flows and what the property is likely to achieve over the near to moderate term is expected to remain. The credit rating confirmations and change to Stable trends reflect the overall stable to improving outlook for the underlying collateral, as further outlined below. Although performance declines related to a major tenant downsizing have been monitored for the past few years, there have been recent improvements and the submarket remains a relatively strong performer as office demand continues to stabilize, particularly in New York where return to office traffic has generally led the pack for core markets in the United States. In April 2024, Morningstar DBRS downgraded its credit ratings across the capital stack, reflective of an updated Morningstar DBRS value for the collateral office building to reflect the sustained cash flow declines from issuance, as well as the general view that office property types were exposed to increased risks that were expected to be sustained through the longer term. The Negative trends placed on all classes as part of the April 15, 2024, credit rating action generally reflected the view that the collateral property's value had declined significantly from the issuance figure, putting significant pressure on the sponsor's ability to secure a replacement loan at the 2025 maturity. With this credit rating action, the credit rating downgrades for the four lowest classes in the capital stack reflect those increased risks and as such, the Negative trends were moved back to Stable. Although there remain concerns surrounding the refinance prospects given the general lack of liquidity and/or willingness to lend on office property types in the current environment, as well as the high leverage implied by the Morningstar DBRS value, there are mitigating factors in the subject's location, recent leasing traction and experienced sponsorship that support an overall optimistic view that a takeout or another maturity extension with additional sponsor equity contributed will be achieved. The underlying loan for the transaction is secured by the borrower's fee-simple interest in 300 Park Avenue, also known as the Colgate Palmolive Building, a Class A, LEED Silver-certified office tower on the west side of Park Avenue between 49th Street and 50th Street. The property was constructed in 1954 and, in addition to the office tower, the collateral consists of ground floor retail and storage space components. The property is in the Grand Central submarket and stands 25 stories tall, with just over 770,000 sf of rentable space (as calculated at issuance) and is LEED Silver-certified. The loan is sponsored by Prime Plus Investments, LLC, which is indirectly owned by Tishman Speyer Crown Equities 2007 LLC; the National Pension Service acting for the National Pension Fund of the Republic of Korea; the Government of Singapore Investment Corporation (Realty) Pte Ltd.; and Andra AP-fonden, the Second Swedish National Pension Fund (AP2) of the Kingdom of Sweden. At closing in 2013, the $485 million subject transaction was used to refinance and pay off existing debt of $135.2 million, with an equity return of $334.3 million to the sponsors. The loan is interest only (IO) and was originally structured with a 10-year term, maturing in August 2023. However, as part of a loan modification that was granted by the servicer in June 2023, a one-year extension with an additional one-year extension option was granted, ultimately pushing the maturity out to August 2025. As part of the loan modification, all excess cash after debt service is to be trapped and held as additional collateral through the end of the extended loan term. In addition, the sponsor contributed approximately $20.0 million into a capital reserve account to fund capital expenses and leasing costs, as well as a $5.0 million shortfall reserve that was subject to replenishment provisions should any funds be drawn. As of the February 2025 reporting, the servicer reported $11.5 million held across all reserve accounts. The property's largest tenant, Colgate-Palmolive Company (Colgate), operates its global headquarters at the subject and at issuance, represented approximately 65.3% of the net rentable area (NRA) on a lease through June 2023. However, in 2019, Colgate executed an extension through 2033 that also resulted in a graduated reduction in its footprint between 2020 and 2022 and reduced its rental rate from $126 per square foot (psf) to an initial rental rate of $93 psf. According to the September 30, 2024, rent roll provided by the servicer, Colgate represents approximately 30% of the NRA with a rental rate of $99.10 psf and a scheduled rent step in July 2029. Following the downsizing of Colgate, the property's occupancy rate fell from 91.6% at issuance to a low of 79.3% in 2021. Leasing momentum over the last few years has been generally steady; however, with the September 30, 2024 leased rate at 92.2%, up from an occupancy rate of 83.1% at YE2023. The property benefits from its location within Midtown Manhattan on Park Avenue, where demand in the post-pandemic environment has been reported consistently healthy. The superior proximity to Grand Central Station is also a significant draw for the subject, and likely a contributor to the leasing traction in the last few years. Three leases shown in the September 30, 2024 rent roll were scheduled to begin in Q1 2025, with terms ranging between five and 10 years. Office leases showing 2024 start dates had rental rates between $63 psf and $87 psf and typically included a free rent period of six months (or slightly longer for longer-term leases). Reis reported a Q4 2024 vacancy rate of 12.3% for the Grand Central submarket overall, with average effective rents of $57.76 psf. Reis forecasts slight upticks in vacancy over the next five years, but expects demand to remain generally healthy, with a projected vacancy rate of 13.7% by the end of 2029. The servicer reported YE2023 net cash flow (NCF) of just under $30.0 million, with a debt service coverage ratio (DSCR) of 1.38 times (x); cash flows fell to an annualized figure of $27.6 million, with a DSCR of 1.27x as of Q3 2024. However, the free rent periods for leases signed in 2023 and 2024, as well as the pending lease commencement dates for the tenants taking occupancy in 2025, are significant contributors to the reported cash flow declines. Given the annualized rent figures shown in the September 30, 2024, rent roll, Morningstar DBRS anticipates revenues will significantly increase in the coming year, back toward the 2022 figures when NCF was reported at $33.9 million and the DSCR was reported at 1.56x. However, it is expected that cash flows will remain well below the issuance projections given the lower in-place rents following Colgate's downsize. The Morningstar DBRS value of $484.4 million, derived as part of the April 2024 credit rating action, represents a loan-to-value ratio (LTV) of 100.1% on the trust balance of $485.0 million. The Morningstar DBRS value is based on the YE2022 NCF of $33.9 million and a cap rate of 7.0%. The issuance appraised value was $1.0 billion, implying an LTV of 49.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM MORTGAGE 2014-UBS5: Moody's Cuts Rating on Cl. C Certs to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in COMM 2014-UBS5 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5 as follows: Cl. A-M, Downgraded to Aa3 (sf); previously on Oct 30, 2024 Affirmed Aa1 (sf) Cl. B, Downgraded to Baa1 (sf); previously on Oct 30, 2024 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Oct 30, 2024 Downgraded to Ba2 (sf) Cl. PEZ, Downgraded to Ba1 (sf); previously on Oct 30, 2024 Downgraded to Baa2 (sf) Cl. X-B-1*, Downgraded to Baa1 (sf); previously on Oct 30, 2024 Downgraded to A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes, Cl. A-M, Cl. B and Cl. C, were downgraded due to interest shortfall risks and the potential for higher expected losses from the significant exposure to specially serviced loans. Eight loans, representing 74% of the pool balance, are in special servicing and Moody's identified two additional troubled loans (24% of the pool) with either distressed occupancy or cash flow performance. Seven of the specially serviced and troubled loans (75% of the pool) are secured by office properties which were unable to pay off at their initial maturity or anticipated repayment dates (ARD), of which the three largest (Summit Rancho Bernardo, State Farm Portfolio and Quakerbridge), representing 46% of the pool, have significant single tenant concentrations. Furthermore, two specially serviced loans (16% of the pool) have already been deemed non-recoverable as of the February 2025 remittance statement. All the remaining loans have now passed their initial maturity dates or anticipated repayment dates and the risk of interest shortfalls and potential for higher losses may increase if the outstanding loans become further delinquent or are unable to pay off at their extended or final maturity dates. The rating on the IO Class (Cl. X-B-1) was downgraded due to a decline in the credit quality of its referenced classes. The rating on the exchangeable class (Cl. PEZ) was downgraded based on a decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 34.0% of the current pooled balance, compared to 31.6% at Moody's last review. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance, compared to 11.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 74% of the pool is in special servicing and Moody's have identified additional troubled loans representing 24% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the February 12, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $320 million from $1.42 billion at securitization. The certificates are collateralized by 11 mortgage loans and all remaining loans are either in special servicing or have passed their original maturity dates. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of nine, the same as at Moody's last review. As of the February 2025 remittance report, loans representing 44% were current or within their grace period on their debt service payments, and 56% were past maturity, foreclosure or real estate owned (REO). Three loans, constituting 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $59.9 million (for an average loss severity of 76%). Eight loans, constituting 74% of the pool, are currently in special servicing. The largest specially serviced loan is the Summit Rancho Bernardo Loan ($55.7 million -- 17.4% of the pool), which is secured by a five-story, 196,734 square feet (SF) Class A office property located within the Rancho San Bernardo master-planned community in San Diego, California. The asset is also encumbered with $10.0 million of mezzanine debt. The property was formerly 100% leased to Nokia, a subsidiary of Microsoft Corporation, through August 2020, however, in May 2017 Nokia elected to exercise its early-termination rights and paid a $13.3 million termination fee. As of October 2024, the property was fully leased to Apple, Inc., with a lease expiration in January 2028. The loan has amortized 13.0% since securitization and as of June 2024, the NOI DSCR was 1.85X based on amortizing payments and a fixed interest rate of 4.4%. The loan transferred to special servicing in September 2024 as it failed to pay off at its September 2024 maturity date. The borrower and lender executed a loan modification in November 2024 that extends the maturity date September 2025 to allow the borrower to work on securing financing. In exchange, the borrower committed cash equity to paydown the loan, as well as agreed to hyper amortization. The loan remains current on debt service payments. The second largest specially serviced loan is the Quakerbridge Loan ($42.8 million -- 13.4% of the pool), which is secured by a 425,859 SF office property located in Hamilton, New Jersey. As of June 2024, the NOI DSCR was 2.01X with 95% occupancy, compared to 1.53X and 94% as of year-end 2022, respectively. The largest tenant is the State of New Jersey, occupying 332,494 SF (78% of the net rentable area (NRA)), with a lease expiration in June 2031. The loan transferred to special servicing in September 2024 as it failed to pay off at the September 2024 maturity date. The property is generating sufficient cash flow to cover debt service, however, the property has significant tenant concentration risk. As of the February 2025 remittance statement the loan has amortized approximately 11% since securitization and was classified as performing maturity balloon. The special servicer is currently working with the borrower on a loan modification that will extend the maturity date by two years. The third largest specially serviced loan is the Town Park Ravine I, II, III Loan ($37.2 million -- 11.6% of the pool), which is secured by a portfolio of the three suburban office properties totaling 367,090 SF, located in Kennesaw, Georgia. The property's performance has declined in recent years due to lower occupancy and revenue. As of June 2024, the NOI DSCR was 1.21X and the property was 52% leased as of January 2025. The loan transferred to special servicing in September 2024 after it failed pay off at the August 2024 maturity date. The borrower indicated their intent to hand back the keys to the property and the lender is currently facilitating the transition to the receiver. The loan was last paid through its July 2024 payment date. The fourth specially serviced loan is the Harwood Center Loan ($26.4 million -- 8.2% of the pool), which represents a pari-passu portion of a $79.1 million mortgage loan. The loan is secured by a leasehold interest in a multi-tenant CBD office building containing 723,963 SF NRA of office space constructed in 1982. The loan transferred to special servicing in May 2020 for imminent monetary default and became REO in November 2021. As of November 2024, the building was 51.2% occupied and the lender was working on various renovation and upgrade projects at the property. The loan has been deemed non-recoverable and is paid through its July 2021 payment date. The remaining four specially serviced loans are secured by two office properties and two retail properties, comprising 23.1% of the pool balance. Moody's have also assumed a high default probability for two poorly performing loans, constituting 23.7% of the pool, and have estimated an aggregate loss of $108.9 million (a 34.9% expected loss on average) from these specially serviced and troubled loans. The troubled loans are discussed in detail further below. As of the February 2025 remittance statement cumulative interest shortfalls were $8.1 million and impact up to Cl. D. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The non-specially serviced loans represent 26.2% of the pool balance. The largest loan is the State Farm Portfolio Loan ($47.4 million -- 14.8% of the pool), which represents a pari passu portion of a $327.6 million mortgage loan. The loan was originally secured by fee simple interests in 14 suburban office properties across 11 states (13 properties remain currently as the Tulsa property was sold and released). At securitization, all properties were 100% leased and occupied by State Farm pursuant to individual leases executed by State Farm in November 2013. All leases have a 15-year term and run until November 2028, except the leases for Greeley South property and the Greeley North property. The loan passed its anticipated repayment date ("ARD") in April 2024 and as a result, all excess cash flow after debt service is swept and applied to pay down principal. The loan has a final maturity date in April 2029. It is reported that State Farm has vacated all of the properties and offered up many of the locations for sublease. State Farm has no lease termination rights and continues to pay rent and perform its obligations under the lease. In September 2023, the loan transferred to special servicing due to non-monetary default ahead of the April 2024 maturity date. The loan was recently returned to the master servicer in January 2025 after the sale and release of the Tulsa property which resulted in a principal paydown. The loan will remain in a cash sweep through maturity with no possibility of cure. As of the February 2025 remittance, the loan was current on debt service payments and had amortized almost 15% since securitization, mainly due to the paydown from the Tulsa property sale. Given the tenancy profile, the loan may face heightened refinance risk at its final maturity, however, the loan is expected to amortize further and may further paydown if there are additional asset sales. The second largest loan is the Breakwater Hotel Loan ($28.5 million -- 8.9% of the pool), which is secured by a 99-room full-service hotel located in Miami Beach, Florida. Property performance has recovered since 2020, however, the year-end 2023 NOI remained well below the level at securitization. The loan transferred to special servicing in November 2022 due to a judgement lien being attached to the borrower but was recently transferred back to the master servicer in January 2025 after being resolved. The loan term increased by 12 months, with the maturity date in September 2025. The loan remains current on debt service payments and has amortized almost 9% since securitization. An updated appraisal from March 2024 valued the property at $40 million, a 17% decline in value since securitization but 29% above the outstanding loan balance. CONNECTICUT AVE 2025-R02: Moody's Gives (P)Ba1 Rating to 4 Tranches ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 63 classes of credit risk transfer (CRT) residential mortgage-backed securities (RMBS) to be issued by Connecticut Avenue Securities Trust 2025-R02, and sponsored by Federal National Mortgage Association (Fannie Mae). The securities reference a pool of mortgage loans acquired by Fannie Mae, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Connecticut Avenue Securities Trust 2025-R02 Cl. 1A-1, Assigned (P)Aa3 (sf) Cl. 1M-1, Assigned (P)A3 (sf) Cl. 1M-2, Assigned (P)Baa3 (sf) Cl. 1M-2A, Assigned (P)Baa2 (sf) Cl. 1M-2B, Assigned (P)Baa2 (sf) Cl. 1M-2C, Assigned (P)Baa3 (sf) Cl. 1E-A1, Assigned (P)Baa2 (sf) Cl. 1E-A2, Assigned (P)Baa2 (sf) Cl. 1E-A3, Assigned (P)Baa2 (sf) Cl. 1E-A4, Assigned (P)Baa2 (sf) Cl. 1A-I1*, Assigned (P)Baa2 (sf) Cl. 1A-I2*, Assigned (P)Baa2 (sf) Cl. 1A-I3*, Assigned (P)Baa2 (sf) Cl. 1A-I4*, Assigned (P)Baa2 (sf) Cl. 1E-B1, Assigned (P)Baa2 (sf) Cl. 1E-B2, Assigned (P)Baa2 (sf) Cl. 1E-B3, Assigned (P)Baa2 (sf) Cl. 1E-B4, Assigned (P)Baa2 (sf) Cl. 1B-I1*, Assigned (P)Baa2 (sf) Cl. 1B-I2*, Assigned (P)Baa2 (sf) Cl. 1B-I3*, Assigned (P)Baa2 (sf) Cl. 1B-I4*, Assigned (P)Baa2 (sf) Cl. 1E-C1, Assigned (P)Baa3 (sf) Cl. 1E-C2, Assigned (P)Baa3 (sf) Cl. 1E-C3, Assigned (P)Baa3 (sf) Cl. 1E-C4, Assigned (P)Baa3 (sf) Cl. 1C-I1*, Assigned (P)Baa3 (sf) Cl. 1C-I2*, Assigned (P)Baa3 (sf) Cl. 1C-I3*, Assigned (P)Baa3 (sf) Cl. 1C-I4*, Assigned (P)Baa3 (sf) Cl. 1E-D1, Assigned (P)Baa2 (sf) Cl. 1E-D2, Assigned (P)Baa2 (sf) Cl. 1E-D3, Assigned (P)Baa2 (sf) Cl. 1E-D4, Assigned (P)Baa2 (sf) Cl. 1E-D5, Assigned (P)Baa2 (sf) Cl. 1E-F1, Assigned (P)Baa3 (sf) Cl. 1E-F2, Assigned (P)Baa3 (sf) Cl. 1E-F3, Assigned (P)Baa3 (sf) Cl. 1E-F4, Assigned (P)Baa3 (sf) Cl. 1E-F5, Assigned (P)Baa3 (sf) Cl. 1-X1*, Assigned (P)Baa2 (sf) Cl. 1-X2*, Assigned (P)Baa2 (sf) Cl. 1-X3*, Assigned (P)Baa2 (sf) Cl. 1-X4*, Assigned (P)Baa2 (sf) Cl. 1-Y1*, Assigned (P)Baa3 (sf) Cl. 1-Y2*, Assigned (P)Baa3 (sf) Cl. 1-Y3*, Assigned (P)Baa3 (sf) Cl. 1-Y4*, Assigned (P)Baa3 (sf) Cl. 1-J1, Assigned (P)Baa3 (sf) Cl. 1-J2, Assigned (P)Baa3 (sf) Cl. 1-J3, Assigned (P)Baa3 (sf) Cl. 1-J4, Assigned (P)Baa3 (sf) Cl. 1-K1, Assigned (P)Baa3 (sf) Cl. 1-K2, Assigned (P)Baa3 (sf) Cl. 1-K3, Assigned (P)Baa3 (sf) Cl. 1-K4, Assigned (P)Baa3 (sf) Cl. 1M-2X*, Assigned (P)Baa3 (sf) Cl. 1M-2Y, Assigned (P)Baa3 (sf) Cl. 1B-1, Assigned (P)Ba1 (sf) Cl. 1B-1A, Assigned (P)Ba1 (sf) Cl. 1B-1B, Assigned (P)Ba2 (sf) Cl. 1B-1X*, Assigned (P)Ba1 (sf) Cl. 1B-1Y, Assigned (P)Ba1 (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 GSE's oversight of originators and servicers, and the third-party review. Moody's expected loss for this pool in a baseline scenario-mean is 0.64%, in a baseline scenario-median is 0.39% and reaches 5.66% 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. CROWN POINT 11: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Crown Point CLO 11 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Crown Point CLO 11 Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1A-R LT BBB+sf New Rating D-1B-R LT BBB+sf New Rating D-2-R LT BBBsf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Crown Point CLO 11 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Pretium Credit CLO Management, LLC that originally closed in December 2021. This is the first refinancing where the existing secured notes will be refinanced in whole on March 6, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 99.5% first-lien senior secured loans and has a weighted average recovery assumption of 75.94%. 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BBB-sf' for class D-1A-R notes, between less than 'B-sf' and 'BBB-sf' for class D-1B-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes, and between less than 'B-sf' and 'BB-sf' for class E-R notes. 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 notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1A-R notes, 'A+sf' for class D-1B-R notes, 'A+sf' for class D-2-R notes, and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Crown Point CLO 11 Ltd. reset transaction. 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. CROWN POINT 11: Moody's Assigns (P)B3 Rating to $250,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Crown Point CLO 11 Ltd. (the Issuer): US$240,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$250,000 Class F Secured Deferrable Junior Floating Rate Notes due 2038, Assigned (P)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 second lien loans, unsecured loans or permitted non-loan assets. Pretium Credit CLO 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 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 seven other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3062 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% 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. CROWN POINT 11: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Crown Point CLO 11 Ltd. (the Issuer): US$240,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Junior Floating Rate Notes due 2038, Definitive Rating 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 second lien loans, unsecured loans or permitted non-loan assets. Pretium Credit CLO 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 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 seven other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3062 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% 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. DIAMETER CAPITAL 9: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diameter Capital CLO 9 Ltd./Diameter Capital CLO 9 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Diameter Capital CLO 9 Ltd./Diameter Capital CLO 9 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 (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $43.00 million: NR NR--Not rated. DRYDEN 41 SENIOR: Moody's Cuts Rating on $25.3MM E-R Notes to B1 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 41 Senior Loan Fund: US$28.35M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 7, 2024 Upgraded to Aa3 (sf) US$35.75M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Sep 15, 2020 Confirmed at Baa3 (sf) US$25.3M Class E-R Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Sep 15, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$357.5M (Current outstanding amount US$154,800,116) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 14, 2018 Assigned Aaa (sf) US$61.9M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 7, 2024 Upgraded to Aaa (sf) US$8.25M Class F-R Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Jul 10, 2024 Downgraded to Caa3 (sf) Dryden 41 Senior Loan Fund, originally issued in October 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class C-R and Class D-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2024. The downgrade to the rating on the Class E-R notes reflects specific risks to the junior notes, largely driven by par loss observed in the underlying CLO portfolio since July 2024. The affirmations on the ratings on the Class A-R, B-R and F-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD133.8 million (37.4% of original balance) since the last rating action in July 2024 and USD202.7 million (56.7% of original balance) 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 and Class D ratios are reported at 146.8%, 129.8% and 113.3% compared to May 2024 [2] levels of 129.9%, 120.2% and 109.8%, 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: USD315.1 million Defaulted Securities: USD6.9 million Diversity Score: 74 Weighted Average Rating Factor (WARF): 2790 Weighted Average Life (WAL): 3.3 years Weighted Average Spread (WAS): 3.0% Weighted Average Coupon (WAC): 12.0% Weighted Average Recovery Rate (WARR): 47.4% 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. -- 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. ELEVATION CLO 2021-14: Fitch Assigns 'BBsf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Elevation CLO 2021-14, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elevation CLO 2021-14, Ltd. X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-1A-R LT A+sf New Rating C-1B-R LT A+sf New Rating C-2-R LT Asf New Rating D-1A-R LT BBB+sf New Rating D-1B-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Elevation CLO 2021-14, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by ArrowMark Colorado Holdings, LLC, that originally closed in Oct. 2021. 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. 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 96.44% first lien senior secured loans and has a weighted average recovery assumption of 75.66%. 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (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 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 'A-sf' for class C-1-R, between 'Bsf' and 'BBB+sf' for class C-2-R, between less than 'B-sf' and 'BBB-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, 'AA+sf' for class C-1-R, 'AAsf' for class C-2-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 Elevation 2021-14, 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. ELEVATION CLO 2021-14: Moody's Assigns B3 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Elevation CLO 2021-14, Ltd. (the Issuer): US$300,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa(sf) US$250,000 Class F-R Secured Deferrable Floating Rate Notes due 2038, Assigned B3(sf) RATING RATIONALE The rationale for the rating is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first-lien senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of senior unsecured loans, second lien loans, first-lien last-out loans and permitted non-loan assets. ArrowMark Colorado Holdings 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 ten other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; additions to the CLO's ability to hold certain workout and restructured assets; 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: 80 Weighted Average Rating Factor (WARF): 2878 Weighted Average Spread (WAS): 3.10% 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. REGULATORY DISCLOSURES The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument. For any affected securities or rated entities receiving direct credit support/credit substitution from another entity or entities subject to a credit rating action (the supporting entity), and whose ratings may change as a result of a credit rating action as to the supporting entity, the associated regulatory disclosures will relate to the supporting entity. Exceptions to this approach may be applicable in certain jurisdictions. For ratings issued on a program, series, category/class of debt or security, certain regulatory disclosures applicable to each rating of a subsequently issued bond or note of the same series, category/class of debt, or security, or pursuant to a program for which the ratings are derived exclusively from existing ratings, in accordance with Moody's rating practices, can be found in the most recent Credit Rating Announcement related to the same class of Credit Rating. For provisional ratings, the Credit Rating Announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. Moody's does not always publish a separate Credit Rating Announcement for each Credit Rating assigned in the Anticipated Ratings Process or Subsequent Ratings Process. EXETER AUTOMOBILE 2021-4: DBRS Confirms B Rating on F Notes ----------------------------------------------------------- DBRS, Inc. upgraded two credit ratings and confirmed seven credit ratings from three Exeter Automobile Receivables Trust transactions. Exeter Automobile Receivables Trust 2021-4 -- Class D AAA(sf) Confirmed -- Class E BBB(sf) Upgraded -- Class F B(sf) Confirmed Exeter Automobile Receivables Trust 2022-1 -- Class C Notes AAA(sf) Confirmed -- Class D Notes AAA(sf) Confirmed -- Class E Notes BB(sf) Confirmed Exeter Automobile Receivables Trust 2022-4 -- Class C Notes AAA(sf) Confirmed -- Class D Notes AA(high)(sf) Upgraded -- Class E Notes BB(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns 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). EXETER AUTOMOBILE 2025-2: S&P Assigns Prelim BB- Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2025-2's 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 March 12, 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 56.29%, 50.16%, 41.71%, 31.29%, and 24.97% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P's expected cumulative net loss of 20.75% for classes A, B, C, D, and E, 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, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the collateral's credit risk, S&P's updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- 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 Exeter Automobile Receivables Trust 2025-2 Class A-1, $104.50 million: A-1+ (sf) Class A-2, $205.13 million: AAA (sf) Class A-3, $210.80 million: AAA (sf) Class B, $109.76 million: AA (sf) Class C, $118.69 million: A (sf) Class D, $148.62 million: BBB (sf) Class E, $119.73 million: BB- (sf) FIDELIS MORTGAGE 2025-RTL1: DBRS Finalizes B(low) Rating on B Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) issued by Fidelis Mortgage Trust 2025-RTL1 (Fidelis Mortgage Trust 2025-RTL1 or the Issuer) as follows: -- $121.9 million Class A at BBB (low) (sf) -- $112.4 million Class A-1 at A (low) (sf) -- $9.5 million Class A-2 at BBB (low) (sf) -- $10.7 million Class M-1 at BB (low) (sf) -- $12.0 million Class B at B (low) (sf) The A (low) (sf) credit rating reflects 25.08% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 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. FLAGSHIP CREDIT 2022-4: S&P Places BB- E Notes Rating on Watch Neg ------------------------------------------------------------------ S&P Global Ratings placed its ratings on nine class D and E notes from five Flagship Credit Auto Trust (FCAT) on CreditWatch with negative implications. The CreditWatch placements reflect each transaction's current and expected collateral performance, structure, and credit enhancement level. Additionally, S&P incorporated its most recent macroeconomic outlook, which includes a baseline forecast for U.S. GDP and unemployment. These classes, except the series 2022-3 and 2022-4 class D notes, were previously placed on CreditWatch negative. The series 2022-1 class E notes were subsequently lowered to 'BB- (sf)' from 'BB (sf)' and removed from CreditWatch, while the ratings on the other classes were affirmed and removed from CreditWatch. These rating actions partially reflected FC Funding LLC's one-time capital contributions to series 2022-3 and 2022-4 to build their overcollateralization (O/C) to their targets and increase the series' reserve account. S&P said, "Since our last review, cumulative gross losses have increased (significantly in some cases), which, coupled with lower cumulative recoveries, are resulting in elevated cumulative net losses (CNLs). Additionally, we observe that excess spread after covering net losses is insufficient to build O/C and that the build in O/C, as well as the O/C amount, has either stagnated or declined." For series 2022-3 and 2022-4, the O/C decline is partially offset by the increased reserve amount. As such, given the transactions' recent performance, S&P questions whether the classes are adequately enhanced at their current ratings relative to the potentially higher-than-expected losses. Table 1 FCAT 2021-3 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-2024 33.61 15.10 40.31 9.01 8.98 2.57 Apr-2024 32.26 15.56 40.38 9.28 8.81 1.73 May-2024 30.93 16.09 40.35 9.60 8.95 2.79 Jun-2024 29.70 16.55 40.29 9.88 9.21 2.86 Jul-2024 28.47 17.00 40.19 10.17 9.81 3.51 Aug-2024 27.23 17.45 40.00 10.47 9.78 4.02 Sep-2024 26.00 17.87 39.95 10.73 9.80 3.99 Oct-2024 25.02 18.25 39.71 11.00 10.24 3.84 Nov-2024 23.93 18.59 39.78 11.20 9.81 5.07 Dec-2024 22.93 18.96 39.64 11.45 9.97 3.64 Jan-2025 21.90 19.35 39.41 11.73 10.76 3.54 Feb-2025 20.99 19.61 39.27 11.91 10.74 3.83 (i)As of the monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. D elinq.--Delinquencies. Ext.--Extensions. Table 2 FCAT 2021-4 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-2024 38.35 15.26 38.24 9.42 8.18 2.98 Apr-2024 37.02 15.67 38.13 9.69 8.56 1.85 May-2024 35.63 16.16 38.32 9.97 8.95 2.51 Jun-2024 34.29 16.63 38.22 10.27 9.50 2.77 Jul-2024 32.94 17.11 37.83 10.64 9.65 2.99 Aug-2024 31.59 17.65 37.65 11.00 9.36 3.68 Sep-2024 30.36 18.12 37.57 11.32 9.71 4.23 Oct-2024 29.25 18.55 37.52 11.59 10.61 3.09 Nov-2024 27.99 19.09 37.24 11.98 10.60 5.41 Dec-2024 26.85 19.50 37.11 12.26 10.26 3.51 Jan-2025 25.66 20.04 36.73 12.68 10.74 3.18 Feb-2025 24.37 20.56 36.36 13.08 10.21 3.75 (i)As of the monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 3 FCAT 2022-1 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-2024 44.55 15.87 39.83 9.55 8.18 3.80 Apr-2024 43.01 16.49 39.86 9.92 8.62 1.92 May-2024 41.47 17.12 39.83 10.30 8.44 3.10 Jun-2024 39.87 17.74 39.66 10.70 8.30 3.46 Jul-2024 38.37 18.35 39.51 11.10 9.34 3.43 Aug-2024 36.84 18.96 39.35 11.50 9.50 3.22 Sep-2024 35.32 19.56 39.34 11.87 9.65 4.13 Oct-2024 33.98 20.10 39.19 12.22 9.53 3.30 Nov-2024 32.61 20.63 39.02 12.58 9.10 5.02 Dec-2024 31.34 21.12 38.87 12.91 9.94 4.52 Jan-2025 30.11 21.60 38.65 13.25 10.04 3.94 Feb-2025 28.72 22.11 38.39 13.62 9.49 3.46 (i)As of the monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. CGL—Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 4 FCAT 2022-3 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-2024 57.42 16.20 35.75 10.41 9.23 3.64 Apr-2024 55.39 17.11 35.91 10.97 8.82 3.15 May-2024 53.50 18.07 36.28 11.51 8.90 3.70 Jun-2024 51.57 18.95 36.32 12.07 8.97 4.63 Jul-2024 49.92 19.70 36.38 12.54 9.79 4.61 Aug-2024 48.08 20.66 36.51 13.12 10.28 4.33 Sep-2024 46.23 21.55 36.57 13.67 11.00 4.11 Oct-2024 44.53 22.37 36.56 14.19 11.37 3.52 Nov-2024 42.78 23.21 36.28 14.79 11.52 5.29 Dec-2024 41.05 24.04 36.11 15.36 12.09 3.65 Jan-2025 39.29 25.02 35.77 16.07 12.56 3.44 Feb-2025 37.55 25.85 35.65 16.63 11.38 3.60 (i)As of monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 5 FCAT 2022-4 collateral performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Mar-2024 64.58 12.86 36.55 8.16 8.30 2.55 Apr-2024 62.49 13.79 36.90 8.70 8.35 1.36 May-2024 60.35 14.84 37.71 9.24 8.69 2.19 Jun-2024 58.25 15.80 37.78 9.83 8.89 3.93 Jul-2024 56.21 16.71 37.65 10.42 8.85 4.38 Aug-2024 54.24 17.61 37.36 11.03 8.58 4.61 Sep-2024 52.19 18.57 37.37 11.63 8.78 4.22 Oct-2024 50.68 19.28 37.63 12.02 9.32 3.74 Nov-2024 48.83 20.11 37.70 12.53 9.46 4.44 Dec-2024 47.15 20.85 37.69 12.99 9.96 3.58 Jan-2025 45.26 21.85 37.42 13.67 10.18 4.05 Feb-2025 43.60 22.55 37.20 14.16 9.69 3.37 (i)As of the monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 6 Current overcollateralization (%)(ii) FCAT FCAT FCAT FCAT FCAT Mo.(i) 2021-3 2021-4 2022-1 2022-3 2022-4 Jan-2024 3.10 3.68 3.44 3.89 7.61 Feb-2024 3.37 4.00 3.74 6.56(iii) 7.49 Mar-2024 3.36 4.00 3.69 6.27 7.27 Apr-2024 3.40 4.00 3.71 6.18 7.25 May-2024 3.29 4.00 3.54 5.93 9.89(iii) Jun-2024 3.31 4.00 3.42 5.71 9.83 Jul-2024 3.21 3.77 3.14 5.53 9.64 Aug-2024 3.02 3.52 2.85 5.08 9.31 Sep-2024 3.00 3.47 2.69 4.75 9.10 Oct-2024 2.79 3.36 2.37 4.33 9.05 Nov-2024 2.90 2.84 2.04 3.70 8.87 Dec-2024 2.73 2.65 1.73 3.07 8.69 Jan-2025 2.31 1.84 1.25 1.92 7.95 Feb-2025 2.45 1.13 0.76 1.20 7.75 (i)As of the monthly distribution date. (ii)Percentage of the current collateral pool balance. (iii)FC Funding LLC's one-time capital contribution. FCAT--Flagship Credit Auto Trust. Mo.--Month. Table 7 Current overcollateralization and reserve($)(i) Current Target Target O/C O/C Reserve reserve FCAT 2021-3 1,956,928 3,798,838 3,798,838 3,798,838 FCAT 2021-4 858,871 3,106,106 3,106,106 3,106,106 FCAT 2022-1 762,821 4,443,038 6,504,528 6,504,528 FCAT 2022-3 2,458,771 13,778,907 9,024,337 5,476,676 FCAT 2022-4 14,192,284 18,128,017 5,934,792 4,200,000 (i)As of the February 2025 monthly distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Table 8 Overcollateralization and reserve targets (%)(i) Target O/C Reserve O/C floor target(ii) FCAT 2021-3 3.40 1.00 1.00 FCAT 2021-4 4.00 1.00 1.00 FCAT 2022-1 4.40 1.00 1.85 FCAT 2022-3 6.70 1.00 1.00 FCAT 2022-4 9.90 1.00 1.00 (i)O/C target is the greater of the target percentage times the current collateral pool balance and the floor percent times the initial pool balance. FCAT--Flagship Credit Auto Trust. (ii)Percent of the initial pool balance. Notwithstanding the stagnation or decrease in O/C, the transactions' sequential principal payment structures have led to an increase in the other components of hard credit enhancement (subordination and nonamortizing reserve amounts, as a percentage of the current collateral pool balance), which benefit the senior notes as their collateral pools amortize. Table 9 Hard credit enhancement(i) Total hard Current total Current CE at hard CE Series Class rating Issuance (%) (% of current) 2021-3 C AA (sf) 12.40 59.15 2021-3 D A- (sf) 5.60 26.75 2021-3 E BB (sf)/Watch Neg 1.50 7.22 2021-4 B AAA (sf) 23.05 93.68 2021-4 C AA (sf) 12.50 50.38 2021-4 D A- (sf)/Watch Neg 5.50 21.66 2021-4 E BB (sf)/Watch Neg 1.50 5.24 2022-1 B AAA (sf) 24.80 85.36 2022-1 C AA- (sf) 14.25 48.63 2022-1 D BBB+ (sf)/Watch Neg 6.65 22.17 2022-1 E BB- (sf)/Watch Neg 2.35 7.20 2022-3 A3 AAA (sf) 34.05 89.87 2022-3 B AA+ (sf) 27.00 71.10 2022-3 C A (sf) 16.20 42.33 2022-3 D BBB (sf)/Watch Neg 9.20 23.70 2022-3 E BB- (sf)/Watch Neg 2.40 5.58 2022-4 A3 AAA (sf) 37.70 84.85 2022-4 B AA (sf) 31.00 69.48 2022-4 C A (sf) 20.10 44.48 2022-4 D BBB (sf)/Watch Neg 14.00 30.49 2022-4 E BB- (sf)/Watch Neg 5.50 10.99 (i)As of the February 2025 distribution date. (CE--Credit enhancement. Although each class's hard credit enhancement has increased since issuance, the notes remain highly dependent on excess spread and vulnerable to continued losses, which can exacerbate the decline in O/C. We believe the evolving economic headwinds and potential negative impact on consumers could result in a greater proportion of delinquencies and extensions ultimately defaulting, which are risks to excess spread and O/C. While we have not taken any rating action on the senior classes of each capital structure, continued performance deterioration and O/C erosion, unless remedied, could cause result in rating actions on the affected classes. We will continue to monitor these transactions and plan to resolve each CreditWatch placement after gathering sufficient data to more accurately project future losses, develop a loss-timing forecast, and conduct cash flow analysis. RATINGS PLACED ON CREDIT WATCH NEGATIVE Flagship Credit Auto Trust Rating Series Class To From 2021-3 E BB (sf)/Watch Neg BB (sf) 2021-4 D A- (sf)/Watch Neg A- (sf) 2021-4 E BB (sf)/Watch Neg BB (sf) 2022-1 D BBB+ (sf)/Watch Neg BBB+ (sf) 2022-1 E BB- (sf)/Watch Neg BB- (sf) 2022-3 D BBB (sf)/Watch Neg BBB (sf) 2022-3 E BB- (sf)/Watch Neg BB- (sf) 2022-4 D BBB (sf)/Watch Neg BBB (sf) 2022-4 E BB- (sf)/Watch Neg BB- (sf) GALAXY XXVII CLO: Moody's Ups Rating on $22MM Cl. E Notes to Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Galaxy XXVII CLO, Ltd.: US$20M Class C Deferrable Mezzanine Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 4, 2024 Upgraded to Aa1 (sf) US$24M Class D Deferrable Mezzanine Floating Rate Notes, Upgraded to Aa3 (sf); previously on Mar 4, 2024 Upgraded to A3 (sf) US$22M Class E Deferrable Junior Floating Rate Notes, Upgraded to Ba2 (sf); previously on Sep 14, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$254M (Current outstanding amount US$59,285,215) Class A Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 17, 2018 Assigned Aaa (sf) US$24.84M Class B-1 Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 23, 2023 Upgraded to Aaa (sf) US$23.16M Class B-2-R Senior Fixed Rate Notes, Affirmed Aaa (sf); previously on Mar 23, 2023 Upgraded to Aaa (sf) US$8M Class F Deferrable Junior Floating Rate Notes, Affirmed Caa1 (sf); previously on Sep 14, 2020 Downgraded to Caa1 (sf) Galaxy XXVII CLO, Ltd., originally issued in April 2018 and refinanced in September 2020, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Pinebridge Investments LLC. The transaction's reinvestment period ended in May 2023. RATINGS RATIONALE The rating upgrades on the Class C, Class D and Class E notes are primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in March 2024. The affirmations on the ratings on the Class A, Class B-1, Class B-2-R and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD143.76m (56.60%) since the last rating action in March 2024 and USD194.71m (76.66%) 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, Class E and Class F OC ratios are reported at 163.39%, 142.31%, 123.24%, 109.75% and 105.55% compared to February 2024 [2] levels of 131.69%, 122.90%, 113.79%, 106.55% and 104.14%, respectively. Moody's notes that the February 2025 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD191.47m Defaulted Securities: USD1.43m Diversity Score: 57 Weighted Average Rating Factor (WARF): 2860 Weighted Average Life (WAL): 3.18 years Weighted Average Spread (WAS): 2.95% Weighted Average Recovery Rate (WARR): 47.75% 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. GLS AUTO 2025-1: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by GLS Auto Receivables Issuer Trust 2025-1 (the Issuer) as follows: -- $85,000,000 Class A-1 Notes at R-1 (high) (sf) -- $160,710,000 Class A-2 Notes at AAA (sf) -- $83,670,000 Class A-3 Notes at AAA (sf) -- $101,330,000 Class B Notes at AA (sf) -- $94,960,000 Class C Notes at A (sf) -- $93,910,000 Class D Notes at BBB (low) (sf) -- $46,960,000 Class E Notes at BB (sf) The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit 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 expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The quality and consistency of provided historical static pool data for Global Lending Services LLC (GLS or the Company) originations and performance of the GLS auto loan portfolio. (4) The credit quality of the collateral and performance of GLS' auto loan portfolio, as of the Statistical Calculation Date: -- The pool will include approximately 85.7% used and 14.3% new vehicles, 85.1% of which are from franchise dealers. -- The loans in the pool will have a weighted-average FICO of 580 and a weighted-average annual percentage rate of 20.88%. (5) The Morningstar DBRS CNL assumption is 18.90% based on the Cutoff Date pool composition. (6) The capabilities of GLS with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of GLS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. (7) The consistent operational history of GLS and the overall strength of the Company and its management team. -- The GLS senior management team has considerable experience within the auto finance industry, with most of the executives having been with the Company for most of its 13-year history. (8) Morningstar DBRS used the static pool approach exclusively because GLS has enough data to generate a sufficient amount of static pool projected losses. -- Morningstar DBRS was conservative in the loss forecast analysis performed on the static pool data. (9) 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. (10) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with GLS, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." GLS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The credit ratings on the Class A-1, Class A-2, and Class A-3 Notes reflect 54.35% of initial hard credit enhancement provided by the subordinated notes in the pool (47.75%), the reserve account (1.00%), and OC (5.60%). The credit ratings on the Class B, C, D, and E Notes reflect 40.00%, 26.55%, 13.25%, and 6.60% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in US dollars unless otherwise noted. GOLDENTREE LOAN 6: S&P Assigns B- (sf) Rating on Cl. F-R-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R-2, B-R-2, C-R-2, D-R-2, E-R-2, and F-R-2 debt and class A-L loan from GoldenTree Loan Management US CLO 6 Ltd./GoldenTree Loan Management US CLO 6 LLC, a CLO managed by GoldenTree Loan Management LP that was originally issued in December 2019 and reset in February 2022. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, E-R, and F-R debt following payment in full on the March 6, 2025, refinancing date. The class X-R debt was paid in full on the January 2025 payment date and its rating was, subsequently, withdrawn. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. The class A-R-2 debt and the class A-L loan are pro-rata. According to the conformed indenture, the non-call period for the replacement debt was set to Sept. 6, 2025. Replacement and February 2022 Debt Issuances Replacement debt -- Class A-R-2, $270.94 million: Three-month CME term SOFR + 0.97% -- Class A-L loan, $81.06 million: Three-month CME term SOFR + 0.97% -- Class B-R-2, $66.00 million: Three-month CME term SOFR + 1.40% -- Class C-R-2, $33.00 million: Three-month CME term SOFR + 1.75% -- Class D-R-2, $33.00 million: Three-month CME term SOFR + 2.45% -- Class E-R-2, $22.00 million: Three-month CME term SOFR + 4.50% -- Class F-R-2, $11.00 million: Three-month CME term SOFR + 8.00% February 2022 debt -- Class A-R, $352.00 million: Three-month CME term SOFR + 1.32% -- Class B-R, $66.00 million: Three-month CME term SOFR + 1.80% -- Class C-R, $33.00 million: Three-month CME term SOFR + 2.10% -- Class D-R, $33.00 million: Three-month CME term SOFR + 3.10% -- Class E-R, $22.00 million: Three-month CME term SOFR + 6.70% -- Class F-R, $11.00 million: Three-month CME term SOFR + 8.44% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class F-R-2 debt. Given the overall credit quality of the portfolio and the passing coverage tests, we assigned a 'B- (sf)' rating to the class F-R-2 debt, which is the same rating that was assigned to the class F-R debt prior to withdrawal. Additionally, the class F-R-2 debt does not meet our 'CCC' rating definition. "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 GoldenTree Loan Management US CLO 6 Ltd./ GoldenTree Loan Management US CLO 60 LLC Class A-R-2, $270.94 million: AAA (sf) Class A-L loan, $81.06 million: AAA (sf) Class B-R-2, $66.00 million: AA (sf) Class C-R-2, $33.00 million: A+ (sf) Class D-R-2, $33.00 million: BBB (sf) Class E-R-2, $22.00 million: BB- (sf) Class F-R-2, $11.00 million: B- (sf) Ratings Withdrawn GoldenTree Loan Management US CLO 6 Ltd./ GoldenTree Loan Management US CLO 60 LLC Class X-R to NR from 'AAA (sf)' Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A+ (sf)' Class D-R to NR from 'BBB (sf)' Class E-R to NR from 'BB- (sf)' Class F-R to NR from 'B- (sf)' Other Debt GoldenTree Loan Management US CLO 6 Ltd./ GoldenTree Loan Management US CLO 60 LLC Subordinated notes, $32.85 million: NR NR--Not rated. GOLUB CAPITAL 53(B): Moody's Assigns Ba3 Rating to $26MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of refinancing notes (collectively, the "Refinancing Notes") issued by Golub Capital Partners CLO 53(B), Ltd. (the "Issuer"). Moody's rating actions are as follows: US$283,500,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$53,500,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$22,500,000 Class C-R Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$28,500,000 Class D-R Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$26,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions(s) 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. OPAL BSL LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer 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, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period; changes to certain collateral quality tests; 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: $448,471,261 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3040 Weighted Average Spread (WAS) if floors are explicitly modeled: 3.23% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.91% Weighted Average Life (WAL): 5.37 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. GREAT LAKES 2019-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement debt and the 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 2019 and underwent a partial refinancing on July 15, 2021. At the same time, S&P withdrew its ratings on the class A-L loans and class A-L-R, A-R, B-R, C-R, D-R, and E debt following payment in full on the March 6, 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 6, 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, 2037. -- Additional assets were purchased on the March 6, 2025, refinancing date, and the target initial par amount reduced to $330.00 million. There was 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 new class X debt was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction was updated to conform to the 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." Ratings Assigned Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class X, $21.600 million: AAA (sf) 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) Ratings Withdrawn Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class A-L loans to NR from 'AA (sf)' Class A-R to NR from 'AAA (sf)' Class A-L-R to NR from 'AA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Other Debt Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Subordinated notes, $45.600 million: NR NR--Not rated. GREAT WOLF 2024-WOLF: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WOLF issued by Great Wolf Trust 2024-WOLF as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which closed in March 2024. The transaction is collateralized by the borrower's fee and/or leasehold interests in eight Great Wolf Lodge resorts, totaling 3,044 keys, 461,521 square feet (sf) of indoor water park space, and 60,459 sf of meeting space across seven states. The properties are generally in drive-to locations from major metropolitan areas, which provide the demand base for these leisure-oriented assets. In addition, the properties benefit from a range of amenities, with a combination of indoor waterpark, lodging, and dining options, along with additional exclusive attractions. The sponsor has invested approximately $94.3 million, or $30,985 per key toward capital improvements across the portfolio since 2020, excluding construction costs for the two new assets in Manteca, California, and Scottsdale, Arizona. Whole-loan proceeds of $1.0 billion and sponsor equity of approximately $9.6 million was used to repay circa $702.0 million of existing debt and $287.6 million of construction debt for the Manteca and Scottsdale assets in addition to funding closing costs. The interest-only loan is structured with an initial two-year term and three one-year extension options. The transaction allows for the release of properties from the portfolio subject to a release price of 105% of the allocated loan amount for the initial 30% of the total balance and a release price of 110% of the allocated loan amount for the remaining 70% of the total balance. As part of this transaction, the borrower had to obtain an interest rate cap agreement that was the lower of 5.50% or a strike rate that resulted in a minimum debt service coverage ratio (DSCR) of 1.10 times (x). According to the financial reporting for the trailing twelve (T-12) month period ended September 30, 2024, the portfolio generated $120.1 million of net cash flow (NCF), resulting in a DSCR of 1.41x, compared with the issuer's underwritten figure and Morningstar DBRS' figure of $129.5 million (a DSCR of 1.51x) and $106.3 million (a DSCR of 1.20x), respectively. Per the September 2024 STR report, the portfolio's reported weighted average (WA) occupancy rate, average daily rate, and revenue per available room (RevPAR) metrics were 79.8%, $258.0, and $206.1, respectively, compared with 81.5%, $266.4, and $217.1 as of YE2023. Morningstar DBRS believes that the strong 2023 performance is at least partially the result of a higher transient proportion in the hotel sector resulting from pent-up demand after pandemic-related restrictions and, as such, Morningstar DBRS expected room rates to normalize. At issuance, Morningstar DBRS concluded to a stabilized RevPAR figure of $207.65. The portfolio continues to outperform its competitive set with a WA RevPAR penetration rate of 180.4% per the September 2024 STR report. At issuance, Morningstar DBRS derived a value of $1.1 billion based on a capitalization rate of 9.93% and the Morningstar DBRS NCF noted above. The Morningstar DBRS value represents a -26.4% variance from the issuance appraised value of $1.5 billion. The resulting Morningstar DBRS loan-to-value ratio (LTV) was 93.4% compared with the LTV of 68.7% based on the appraised value at issuance. Morningstar DBRS maintained positive qualitative adjustments totaling 4.25% to reflect the portfolio's generally low cash flow volatility, good property quality, and strong market fundamentals. Overall, Morningstar DBRS has a favorable outlook on the portfolio throughout the five-year fully extended term given the property's experienced management and sponsor's continued capex commitment. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2014-GC26: DBRS Cuts Rating on Class PEZ Certs to C(sf) ------------------------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC26 issued by GS Mortgage Securities Trust 2014-GC26 as follows: -- Class A-S to A (sf) from AAA (sf) -- Class B to CCC (sf) from AA (sf) -- Class C to C (sf) from BB (sf) -- Class D to C (sf) from CCC (sf) -- Class X-A to A (high) from AAA (sf) -- Class X-B to CCC (sf) from AA (high) (sf) -- Class PEZ to C (sf) from BB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class E at C (sf) -- Class F at C (sf) The trends on Classes A-S and X-A remain Negative. The remaining classes do not have trends as they have credit ratings that do not typically carry trends in commercial mortgage-backed security (CMBS) credit ratings. The credit rating downgrade on Class D reflects Morningstar DBRS' increased loss projections across four of the five specially serviced loans in the transaction, which collectively represent 99.0% of the current trust balance. In its analysis, Morningstar DBRS liquidated four loans from the trust, applying conservative haircuts to the issuance or most recent appraisal values. The analysis suggests losses will fully erode the outstanding principal balance of Classes E through H as well as a significant portion of Class D. The credit rating downgrade on Class C reflects the reduced credit enhancement to the bond as a result of the loan liquidation analysis as well as Morningstar DBRS' expectation that interest shortfalls will continue to accrue on that class. The downgrade on Class B is a result of increasing cumulative interest shortfalls affecting the bond, which have persisted since December 2024 reporting. According to the February 2025 remittance, the servicer is no longer advancing any interest due to the class as a result of the specially serviced loan concentration. Morningstar DBRS expects the servicer will continue to not advance interest up to and past the maximum Morningstar DBRS tolerance of six months for the BB or B credit rating category, justifying the credit rating downgrade to CCC (sf). While the Class A-S bondholders continue to receive the full monthly interest due, Morningstar DBRS downgraded that class and maintained a Negative trend on the class to reflect its concern that interest shortfalls may continue to accrue throughout the capital stack and potentially affect Class A-S, which has minimal cushion below it. As of the February 2025 remittance, cumulative unpaid interest totaled $11.4 million, up from $6.2 million at Morningstar DBRS' previous credit rating action in March 2024. Over the last six reporting periods, unpaid interest continues to accrue due to interest payments deemed nonrecoverable by the servicer related to the largest loan in the pool, Queen Ka'ahumanu Center (Prospectus ID#1; 31.6% of the current pool balance). With the February 2025 remittance, the 1201 North Market Street loan (Prospectus ID#2; 29.0% of the current pool balance) started accruing interest shortfalls. As of the February 2025 remittance, six of the original 95 loans remain outstanding with a pool balance of $256.0 million. Since the previous credit rating action, 40 loans have successfully repaid from the trust with a collateral reduction of 79.6% since issuance. The Queen Ka'ahumanu Center loan is secured by the borrower's fee-simple interest in a 570,904-square-foot (sf) mixed-use regional mall in Kahului, Hawaii, on the island of Maui. The loan initially transferred to special servicing in July 2020 and became real estate owned in July 2022. According to the January 2025 servicer commentary, there are currently no disposition plans for the property; however, in January 2024, the planning commission voted unanimously to approve the rezoning of the site to a B-3 Central Business District, allowing the subject to transform into a mixed-use property. According to the November 2024 rent roll, the subject was 73.5% occupied, a slight decrease from the November 2023 figure of 79.3%; however, approximately 18.2% of the net rentable area (NRA) is leased on a temporary basis. Over the next 12 months, there is tenant rollover risk of 18.0%, suggesting the occupancy rate may decrease further. Despite the potential opportunity for redevelopment of the site, the year-over-year decline in the property's as-is value continues to indicate a significant loss at resolution. The most recent appraisal dated June 2024 valued the property at $37.6 million, which was only a slight decline from the July 2023 appraised value of $38.5 million but well below the issuance appraised value of $120.0 million. Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 20.0% haircut to the July 2024 appraisal. Inclusive of the outstanding advances and expected servicer expenses, the resulting loan loss severity was in excess of 70.0% or approximately $58.0 million. The 1201 North Market Street loan is secured by a 447,439-sf office property in Wilmington, Delaware. The loan transferred to special servicing in November 2024 for maturity default after the borrower failed to pay off the loan. According to communication with the special servicer, it plans to pursue foreclosure but will also continue to entertain alternative workout discussions with the borrower. Prior to the loan transferring to special servicing, it was being monitored for a low debt service coverage ratio (DSCR) as property operations yielded a DSCR of 1.04 times at YE2023 and 1.08 times at Q3 2024. Performance remains depressed, as according to the June 2024 rent roll, the subject was 73.6% occupied, remaining similar to the 71.8% figure as of September 2023 and 84.5% at issuance. The largest tenants include Morris Nichols Arsht & Tunnell (18.5% of NRA; lease expiry in December 2028), DaSTOR Wilmington LLC (7.7% of NRA; lease expiry in December 2037), and The Siegfried Group (6.7% of NRA; lease expiry in October 2028).) No leases are scheduled to expire in the next 12 months. Although an updated appraisal has not been provided, Morningstar DBRS expects the property value has declined significantly since issuance given the continued depressed performance and weakened market fundamentals for the property type. Morningstar DBRS' analysis for the loan included a liquidation scenario based on a 70% haircut to the issuance appraised value of $123.0 million. Inclusive of the outstanding advances and expected future servicer expenses, the resulting loan loss severity was in excess of 60.0%, or approximately $48.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2014-GC26: Moody's Lowers Rating on Cl. C Certs to B1 ----------------------------------------------------------------- Moody's Ratings has affirmed the ratings on two classes and downgraded the ratings on four classes in GS Mortgage Securities Trust 2014-GC26, Commercial Mortgage Pass-Through Certificates, Series 2014-GC26 as follows: Cl. A-S, Affirmed Aa1 (sf); previously on Aug 9, 2023 Affirmed Aa1 (sf) Cl. B, Downgraded to Baa2 (sf); previously on Aug 9, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Aug 9, 2023 Downgraded to Ba1 (sf) Cl. PEZ, Downgraded to Ba1 (sf); previously on Aug 9, 2023 Downgraded to Baa1 (sf) Cl. X-A*, Affirmed Aa1 (sf); previously on Aug 9, 2023 Affirmed Aa1 (sf) Cl. X-B*, Downgraded to Baa2 (sf); previously on Aug 9, 2023 Downgraded to A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. A-S, was affirmed due to its significant credit support as well as the expected principal recoveries or paydowns from the remaining loans in the pool. The ratings on two P&I classes, Cl. B and Cl. C, were downgraded primarily due to increased interest shortfalls and anticipated losses from the significant exposure to specially serviced loans with significant performance declines. Five loans, representing 99% of the pool, are in special servicing and the two largest specially serviced loans, Queen Ka'ahumanu Center (32% of the pool) and 1201 North Market Street (29%) have been deemed non-recoverable by the master servicer causing interest shortfalls to impact up to Cl. B. While Cl. B has significant credit support, and the interest shortfalls are likely to be repaid, the timing of such repayment remains uncertain. Furthermore, all the remaining loans have passed their original maturity dates and given the higher interest rate environment and loan performance, there is risk of higher interest shortfalls for the outstanding classes. The rating on the IO class, Cl. X-A, was affirmed based on the credit quality of its referenced class. The rating on the IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEZ, was downgraded based on a decline in the credit quality of its referenced exchangeable classes. Social risk for this transaction is higher (IPS S-4) and Moody's revised the transaction's Credit Impact Score to CIS-4 from CIS-2. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 58.1% of the current pooled balance, compared to 15.3% at Moody's last reviews. Moody's base expected loss plus realized losses is now 14.3% of the original pooled balance, compared to 12.1% at the last review. 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. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 99% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the February 10, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 80% to $256 million from $1.26 billion at securitization. The certificates are collateralized by six mortgage loans, all of which have now passed their original maturity dates. Five loans have been liquidated from the pool, contributing to an aggregate realized loss of $30.3 million (for a weighted average loss severity of 33%). As of the February 2025 remittance statement cumulative interest shortfalls were $11.4 million and impact up to class B. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Five loans, constituting 99% of the pool, are currently in special servicing. The largest specially serviced loan is the Queen Ka'ahumanu Center Loan ($81.1 million – 31.6% of the pool), which is secured by the borrowers' fee simple interest in a 507,904 square foot (SF) regional mall located on the island of Maui in Kahului, Hawaii. The mall features an open-air design and is the only regional mall in Maui. The property's net operating income (NOI) had been declining since 2016 due to both declining rental revenue and rising expenses. In June 2020, the loan transferred to special servicing after the property's cash flow was further impacted by the coronavirus pandemic, leading to the asset becoming real estate owned (REO) in June 2022. As of January 2025, the property was 73% leased, with 55% occupied by permanent tenants and 18% by temporary tenants. The loan was originally structured with a five-year interest-only period that ended in October 2019 and has since amortized 8.3% from securitization. A June 2024 appraisal valued the property 69% below the securitization value and 54% below the outstanding loan balance. As of the February 2025 remittance date, the servicer has deemed this loan non-recoverable, and the loan was last paid through the June 2022 payment date. The second largest specially serviced loan is the 1201 North Market Street Loan ($74.4 million – 29.0% of the pool), which is secured by a 23-story, 447,440 SF, Class A office building located in Wilmington, Delaware. Property performance has declined since securitization due to decreased rental revenue and increased expenses. As of December 2024, the property was 73% leased, compared to 71% in December 2023 and 73% in December 2012. In November 2024, the loan transferred to special servicing as it failed to pay off at its original maturity date. The loan has amortized by 12.9% following an initial three-year interest-only period. As of the February 2025 remittance date, the servicer has deemed this loan non-recoverable, and the loan was last paid through the January 2025 payment date. The special servicer is dual tracking foreclosure while discussing workout alternatives with the borrower. The third largest specially serviced loan is the 5599 San Felipe Loan ($75.0 million – 8.4% of the pool), which is secured by a 20-story, 436,253 SF, Class A office building located in Houston, Texas. The property includes an eight-level parking garage, an on-site deli and panoramic views of downtown Houston and the Galleria district. In October 2024, the loan transferred to special servicing as it failed to pay off at its original maturity date. The borrower was unable to refinance primarily due to near term lease rollover. The loan has amortized by 9.3% following an initial five-year interest-only period and remains current on debt service payments. The special servicer commentary indicates that the borrower has executed a loan modification that includes a 36-month maturity extension to November 2027. The fourth largest specially serviced loan is the Bank of America Plaza Loan ($23.3 million – 9.1% of the pool), which represents a pari passu portion of a $400 million mortgage loan. The loan is secured by a 55-story, 1.43 million SF, Class-A office tower located in downtown Los Angeles, California. The loan transferred to special servicing in July 2024 for imminent maturity default ahead of its September 2024 maturity date. The property was 78% leased as of October 2024 compared to 86% in December 2023, compared to 84% in December 2021, and 89% in December 2019. Property performance has declined in recent years due to lower rental revenue and higher operating expenses. A January 2024 appraisal valued the property 65% below the securitization value and 47% below the outstanding loan balance. As of the February 2025 remittance date, the servicer has recognized an appraisal reduction of 51% of the current loan balance and the loan was last paid through its January 2025 payment date. The sponsor is Brookfield Office Properties Inc. and the guarantor of certain nonrecourse carveouts is Brookfield DTLA Holdings LLC. The servicer is evaluating possible workout strategies. The remaining specially serviced loan is secured by a retail property located in Pontiac, Minnesota. Moody's estimates an aggregate $149.2 million loss for the specially serviced loans (58.7% expected loss on average). One non-specially serviced loan ($2.4 million – 0.9% of the pool) is secured by a mixed-use property located in Bronx, New York. The loan failed to pay off at its original maturity date in November 2024, however, it remains current on debt service payments. GS MORTGAGE 2017-GS5: DBRS Cuts Rating on 2 Tranches to C(sf) ------------------------------------------------------------- DBRS Limited downgraded the credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2017-GS5 issued by GS Mortgage Securities Trust 2017-GS5 as follows: -- Class X-B to A (high) (sf) from AA (sf) -- Class B to A (sf) from AA (low) (sf) -- Class X-C to BBB (low) (sf) from A (sf) -- Class C to BB (high) (sf) from A (low) (sf) -- Class X-D to CCC (sf) from BBB (sf) -- Class D to CCC (sf) from BBB (low) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes A-S, B, C, X-A. X-B, and X-C to Negative from Stable. Classes D, E, F, and X-D no longer carry a trend given the CCC (sf) or lower credit rating. The trends on all other classes are Stable. The credit rating downgrades are reflective of Morningstar DBRS' increased loss projections, driven by four of the five loans in special servicing: Lafayette Centre (Prospectus ID#2; 8.6% of the pool), Writer Square (Prospectus ID#7; 6.3% of the pool), 20 West 37th Street (Prospectus ID#16; 2.9% of the pool), and 604 Mission Street (Prospectus ID#19; 1.7% of the pool). Two loans have transferred to special servicing since last review in August 2024, including Lafayette Centre. Morningstar DBRS' analysis includes liquidation scenarios for the four loans that result in a total implied loss in excess of $75.0 million. The projected loss would fully erode Classes E, F, and G, and partially erode Class D, while significantly reducing the credit support provided to Classes B and C, supporting the credit rating downgrades. Morningstar DBRS believes that current performance trends for the specially serviced loans indicates the potential for further value decline and outside of the loans in special servicing, Morningstar DBRS notes the high concentration of loans backed by office properties, with a number of those loans exhibiting performance declines from issuance approaching maturity in 2027, most notably GSK R&D Centre (Prospectus ID#4; 5.3% of the pool) and 700 Broadway (Prospectus ID#9; 5.2% of the pool). For this review, Morningstar DBRS analyzed three loans exhibiting increased credit risks with elevated probability of default (POD) penalties and/or stressed loan-to-value ratios (LTVs). As a result, the pool's overall adjusted expected loss (EL) has increased since the previous credit rating action. These are the primary considerations for the Negative trends. As of the February 2025 remittance, 28 of the original 32 loans remain in the pool, representing a collateral reduction of 10.1% since issuance. Four loans, representing 10.5% of the pool, are secured by collateral that has been defeased. There are five loans in special servicing (24.8% of the pool), all of which are secured by office properties, and seven loans (24.8% of the pool) on the servicer's watchlist, which are predominantly monitored for servicing trigger events, among others. By property type, the pool is most concentrated by office properties, representing 40.2% of the pool, followed by retail and mixed-used properties, representing 19.5% and 16.7% of the pool, respectively. The largest loan in special servicing, Lafayette Centre, is secured by three class A office properties, totaling 794,025 square feet (sf), in the Central Business District of Washington, D.C. The subject loan has two pari passu companion notes held in two other transactions, none of which are rated by Morningstar DBRS. The loan transferred to special servicing in May 2024 for imminent monetary default as the property's largest tenant, Commodity Future Trading Commission (CFTC; 36.4% of the net rentable area (NRA)), has confirmed its intent to vacate the property at its lease expiration in September 2025. According to the February 2025 remittance, negotiations regarding the workout strategy remains ongoing, with the borrower and lender discussing a potential receivership and leasing opportunities. Per the June 2024 reporting, the property was 73.9% occupied, a decline from 84.0% as of YE2022 following the departure of AT&T (formerly 10.0% of the NRA). Although the loan is current as of February 2025, it was previously delinquent from June to August 2024, and with the upcoming departure of CFTC, Morningstar DBRS expects a high likelihood of payment default in the near term as the debt service coverage ratio will likely fall below breakeven once occupancy potentially drops to 37.5%. Given the property's older vintage and soft submarket, Morningstar DBRS believes the borrower will face challenges in backfilling the vacant space. For this review, Morningstar DBRS analyzed this loan with a liquidation scenario based on a conservative haircut to the issuance appraisal value, which resulted in an implied loss in excess of $32.0 million, or a loss severity approaching 40.0%. The 700 Broadway loan is secured by an office property in Denver. The loan was previously monitored on the servicer's watchlist because of the largest tenant's, Elevance Health (86.0% of the NRA), lease expiration in December 2024; however, transferred to special servicing in November 2024 for imminent monetary default. The servicer has confirmed the tenant's intent to downsize its space by 258,611 sf, while extending its lease for the remainder of its space of 106,565 sf (25.1% NRA) to June 2030. Given the downsizing, the property's occupancy is expected to drop from 88.0%, as of June 2024, to 26.6%. The borrower will have access to $8.5 million in reserves available, as of February 2025 reporting, including $4.6 million for tenant rollovers, $2.1 million to tenant improvement and leasing costs, and $1.5 million to building expenses, among others. While discussions between the special servicer and borrower are ongoing, the master servicer had stated in Q4 2024 that there were prospective tenants interested in leasing at the property. Additionally, the borrower was also planning to renovate the lower vacant floors for alternative uses, as noted the October 2024 servicer commentary; however, there have been no updates provided to date in regard to the execution. Given the loan's recent transfer to special, the collateral's location in a soft submarket, and the imminent performance decline, Morningstar DBRS applied an LTV of 100%, to account for Elevance Health's downsizing, and POD adjustments for this loan, which resulted in an EL that was over three times the pool's average. The GSK R&D Centre loan is pari passu with the note held in the GSMS 2017-GS6 transaction, which is not rated by Morningstar DBRS. The loan is secured by a single tenant office/research and development complex in Rockville, Maryland, and was placed on the servicer's watchlist in January 2025 because the property is dark, following the departure of Human Genome Sciences, Inc. (HGS) prior to its lease expiration in May 2026. As a result of the departure, a cash trap has been activated, with excess funds being kept in a lockbox reserve. As of February 2025, approximately $7.1 million of lockbox reserves has been disbursed, with only $600 remaining. Additionally, approximately $5.8 million of reserves remain available in the lease sweep account. As HGS' lease did not feature a termination option, Morningstar DBRS expects the tenant to continue to honor its rent obligations through its expiry. However, as the loan is set to mature in January 2027, beyond HGS' lease expiry, Morningstar DBRS conducted an updated dark value analysis based on current market conditions. Morningstar DBRS' concluded dark value of $114.0 million, which resulted in an implied LTV of 121.1%. Additionally, Morningstar DBRS also increased the loan's POD adjustment to account for the impending performance decline once HGS' lease expires, resulting in an EL that was nearly 1.5 times above the pool's average. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2025-CES1: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2025-CES1 (GSMBS 2025-CES1). Entity/Debt Rating ----------- ------ GSMBS 2025-CES1 A-1A LT AAA(EXP)sf Expected Rating A-1X LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,214 closed-end second (CES) loans with a total balance of approximately $311 million as of the cutoff date. The transaction is expected to close on 3/12/2025. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.9% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24). Affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 4,214 loans totaling approximately $311 million and seasoned at about 11 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 724, a debt-to-income ratio (DTI) of 41.1% and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 74.4%. Of the pool, 96.3% of the loans are of a primary residence, 2.4% are investor homes, and 1.3% represent second homes. 76.6% of loans were originated through a retail channel. Additionally, 34.5% of loans are designated as non-qualified mortgages (NQMs), 31.8% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 31.5% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second Lien Collateral (Negative): The entire collateral pool comprises CES loans contributed by various originators. Fitch assumed no recovery and a 100% LS 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 to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow 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 Chargeoff Feature (Positive): The servicer has the ability, but not the obligation, to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. The controlling holder must be notified of the decision and respond within five business days with their disagreement or the servicer may treat a lack of response as consent and proceed with the chargeoff. To the extent the servicer expects meaningful recovery in any liquidation scenario, they may continue to monitor the loan and not charge it off. While the 180-day chargeoff feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. 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 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Per its U.S. RMBS Rating Criteria, Fitch must assess originators that make up over 15% of a loan pool. Although Amerisave comprises roughly 40% of the loans in the pool, Fitch did not conduct an assessment for it. Instead Fitch received a presentation from Amerisave that described their management structure and provided operational details that Fitch would typically obtain during an operational risk review. Fitch also confirmed that the loans were underwritten to Goldman Sach's underwriting guidelines. Fitch is comfortable with the portion of the pool originated by Amerisave due to the following factors: the firm provided adequate information, the loans were underwritten to Goldman's guidelines, the credit profile of the loans, the seasoning and pay history of the loans, and GS is an 'Above Average' aggregator that conducts operational risk reviews over their originators. There was no impact to the losses due to this variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. Goldman will also help facilitate a review after the transaction closes. 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 and Opus Capital Markets Consultants, 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 100% of the pool by loan count in which diligence was conducted. This adjustment resulted in an 86bps 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. GSCG TRUST 2019-600C: S&P Lowers Class A Certs Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on 12 classes of commercial mortgage pass-through certificates from six U.S. CMBS transactions. S&P also lowered the ratings on three interest-only classes from three of these transactions. S&P said, "The downgrades to 'D (sf)' on the 11 principal and interest paying classes from the six transactions reflect our expectation that the accumulated interest shortfalls outstanding will remain outstanding for the foreseeable future. The downgrade to 'CCC- (sf)' on GS Mortgage Securities Trust 2018-TWR's class A certificates reflects our consideration that the specially serviced loan may be resolved in the near term, which may repay the class's outstanding principal balance and interest shortfall. Our assessment also indicates that some of these classes may also incur principal losses upon the eventual liquidation of the specially serviced assets in the respective transactions (details below). "The downgrade of the interest-only (IO) certificates reflects our criteria for rating IO securities, which state that the rating on the IO security would not be higher than that of the lowest rated reference class." The interest shortfalls are primarily due to nonrecoverable determination as a result of a new lower appraisal value received; the appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; loan modification between the special servicer and the borrower, which converted the loan to a fixed-rate coupon from a floating-rate coupon; and additional trust expenses related to the servicer withdraws from available funds to cover legal fees and/or prior advances for the previously disposed property. S&P said, "Our analysis primarily considered ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance determinations and special servicing fees, which are likely, in our view, to cause recurring interest shortfalls." The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance determinations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverability has been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. GSCG Trust 2019-600C S&P said, "We lowered our rating on the class A certificates from GSCG Trust 2019-600C, a U.S. CMBS transaction to 'D (sf)' from 'CCC (sf)'. The downgrade reflects the accumulated interest shortfalls, which we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our analysis, we also believe this class has a high probability to incur principal loss upon the eventual resolution of the specially serviced 600 California Street loan." According to the Feb. 12, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $826,666.67, primarily due to nonrecoverable determination on the specially serviced loan. The nonrecoverable determination is primarily the result of a new lower appraisal value received for the office property of $109.0 million (as of October 2024), down from $124.0 million (as of January 2024). This resulted in class A experiencing interest shortfalls for at least three consecutive months. COMM 2019-521F Mortgage Trust S&P said, "We lowered our ratings on the class E and F certificates from COMM 2019-521F Mortgage Trust, a U.S. CMBS transaction, to 'D (sf)' from 'CCC- (sf)'. The downgrades reflect the accumulated interest shortfalls, which we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our analysis, we also believe these classes have a high probability to incur principal loss upon the eventual resolution of the specially serviced 521 Fifth Avenue loan." According to the Feb. 18, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $182,161.06, due to an ASER amount after the servicer reported ARA of $30.9 million in the February 2025 payment period. The revised ARA is based on a lower appraisal value received for the office property securing the loan. The appraised value declined from $395.0 million (as of May 2019) to $244.0 million (as of August 2024). This resulted in classes E and F experiencing interest shortfalls for at least three consecutive months. COMM 2012-CCRE4 Mortgage Trust S&P said, "We lowered our ratings on the class A-3 and A-M certificates from COMM 2012-CCRE4 Mortgage Trust, a U.S. CMBS transaction, to 'D (sf)' from 'BB (sf)' and 'CCC (sf)', respectively. The downgrades reflect the accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future. While the credit enhancement level on class A-3 indicates the class is unlikely to experience principal loss, we considered the expected prolonged period of interest shortfalls in our rating action." According to the Feb. 18, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $886,766.48, due to special servicing fees of $52,743 related to the two remaining special serviced loans and additional trust expenses related to the servicer withdraws from available funds to cover litigation expenses incurred by the special servicer and/or prior servicer advances for the previously disposed property, Fashion Outlets of Las Vegas (now known as Prizm Outlet). Based on S&P's communication with the master servicer, it is its understanding that litigation remains ongoing and that additional expenses will be passed to the trust. Furthermore, there are approximately $7.6 million of prior servicer advances remaining to be recovered from the trust. The ongoing trust expenses as well as the servicer recovery of prior advances from trust proceeds resulted in class A-3 and all subordinate classes receiving no interest payments in the February 2025 period. S&P also lowered its rating on the class X-A IO certificates to 'D (sf)' from 'CCC (sf)' based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated referenced class. Class X-A references the aggregate of the certificate balances of the class A-3 and A-M certificates. BANK 2017-BNK6 S&P said, "We lowered our rating on the class F certificates from BANK 2017-BNK6, a U.S. CMBS transaction, to 'D (sf)' from 'CCC- (sf)'. The downgrade reflects the accumulated interest shortfalls that we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our analysis, we also believe this class has a high probability to incur principal loss upon the eventual resolution of the specially serviced Trumbull Marriott loan." According to the Feb. 18, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $81,621.13 due to the specially serviced loan, Trumbull Marriott, having been deemed nonrecoverable, as well as special servicing fees. This resulted in class F experiencing interest shortfalls for at least 12 consecutive months. S&P also lowered its rating on the class X-F IO certificates to 'D (sf)' from 'CCC- (sf)' based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the rated referenced class. Class X-F references the class F certificate. GS Mortgage Securities Corp. Trust 2021-ROSS S&P said, "We lowered our rating on the class D certificates from GS Mortgage Securities Corp. Trust 2021-ROSS, a U.S. CMBS transaction, to 'D (sf)' from 'B (sf)'. The downgrade reflects the accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future." According to the Feb. 18, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $2,645,131.25 because of the recent loan modification between the special servicer and the borrower. Amongst the terms modified, including an extension of the loan's maturity date to December 2027, there was also a conversion of the loan to a fixed-rate coupon with a current coupon rate of 3.00% from a floating-rate coupon. This decline in interest proceeds from the loan resulted in interest shortfalls to class D. Furthermore, because class D remains a floating-rate paying class and the loan collateral pays a fixed rate, class D is also subject to rising interest rate risk. GS Mortgage Securities Corp. Trust 2018-TWR S&P said, "We lowered our ratings on the class A certificates from GS Mortgage Securities Corp. Trust 2018-TWR, a U.S. CMBS transaction, to 'CCC- (sf)' from 'BB (sf)' and the class B, C, D, and E certificates to 'D (sf)' from' B- (sf)', 'CCC (sf)', 'CCC- (sf)', and 'CCC- (sf)', respectively. The downgrades to classes B, C, D, and E reflect the accumulated interest shortfalls, which we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. While class A also has interest shortfalls outstanding, we considered the potential that the specially serviced loan may be resolved in the near term and the recovered proceeds from the resolution may be sufficient to repay the class's outstanding principal balance and interest shortfalls. If the interest shortfalls on class A remain outstanding for a prolonged period, we may take additional rating action." According to the Feb. 18, 2025, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $1,180,882.56 due to nonrecoverable determination made on the sole specially serviced Tower Place loan. This is primarily the result of the release of an updated appraisal value on the collateral property to $153.0 million (as of August 2024), down from $277.0 million (as of July 2018). The nonrecoverable determination resulted in class A and all subordinate classes experiencing interest shortfalls in the February 2025 remittance report. S&P said, "We also lowered our rating on the class X-NCP IO certificates to 'D (sf)' from 'CCC- (sf)' based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated referenced class. Class X-NCP references the aggregate of the certificate balances of the class A, class B, class C and class D certificates." Ratings Lowered GSCG Trust 2019-600C Class A to 'D (sf)' from 'CCC (sf)' COMM 2019-521F Mortgage Trust Class E to 'D (sf)' from 'CCC- (sf)' Class F to 'D (sf)' from 'CCC- (sf)' COMM 2012-CCRE4 Mortgage Trust Class A-3 to 'D (sf)' from 'BB (sf)' Class A-M to 'D (sf)' from 'CCC (sf)' Class X-A to 'D (sf)' from 'CCC (sf)' BANK 2017-BNK6 Class F to 'D (sf)' from 'CCC- (sf)' Class X-F to 'D (sf)' from 'CCC- (sf)' GS Mortgage Securities Corp. 2021-ROSS Class D to 'D (sf)' from 'B (sf)' GS Mortgage Securities Corp. Trust 2018-TWR Class A to 'CCC- (sf)' from 'BB (sf)' Class B to 'D (sf)' from 'B- (sf)' Class C to 'D (sf)' from 'CCC (sf)' Class D to 'D (sf)' from 'CCC- (sf)' Class E to 'D (sf)' from 'CCC- (sf)' Class X-NCP to 'D (sf)' from 'CCC- (sf)' GUGGENHEIM CLO 2022-2: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Guggenheim CLO 2022-2, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Guggenheim CLO 2022-2, Ltd. A-1R LT NRsf New Rating A-2 40172PAC6 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 40172PAE2 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 40172PAG7 LT PIFsf Paid In Full Asf C-1R LT Asf New Rating C-2R LT Asf New Rating D 40172PAJ1 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 40172YAC7 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Guggenheim CLO 2022-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Guggenheim Partners Investment Management, LLC that originally closed on Jan. 25, 2023. The secured notes will be refinanced in whole on March 4, 2025. Net proceeds from the issuance of certain of the secured notes will provide financing on a portfolio of approximately $390.79 million (excludes defaults) 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 26.15, versus a maximum covenant, in accordance with the initial expected 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 96.66% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.73% versus a minimum covenant, in accordance with the initial expected matrix point of 62.5%. Portfolio Composition (Neutral): The largest three industries may comprise up to 36.25% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 1.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (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. Key Provisional Changes: The refinancing is being implemented via the supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Class A-1, A-2, B, C, D, and E notes are being refinanced to new class A-1R, A-2R, B-R, C-1R, C-2R, D-R, and E-R notes. Class C-2R is a fixed rate note. - The spreads and coupon for classes A-1R, A-2R, B-R, C-1R, C-2R, D-R, and E-R notes are 1.15%, 1.40%, 1.80%, 2.00%, (fixed) 6.11%, 3.85%, and 6.50%, respectively, compared to the spreads of 2.65%, 3.30%, 3.80%, 4.50%, 5.95%, and 9.24% for classes A-1, A-2, B, C, D, and E notes, respectively; and - The non-call period for the refinancing notes will end in March 2026. The reinvestment period and stated maturity remained the same. Fitch Analysis: The current portfolio presented to Fitch includes 276 assets from 256 primarily high-yield obligors. The portfolio balance, including the amount of principal cash, was approximately $390.79 million (excluding defaults). As per the January 2025 trustee report, the transaction passes all its coverage tests, concentration limitations and Collateral Quality Tests. Aside from the Moody's Caa S&P CCC, Weighted Average Spread, Fitch WARR tests. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 42.5% of the current portfolio par balance. Ratings for 57.0% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. Assets that are unrated by Fitch and have no public ratings from other agencies constitute 0.5% of the portfolio. Analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Fitch WARF: 26.50 - Fitch WARR: 62.50% - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries of 14.25%, 11.00% and 11.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 3.40%; - Fixed rate assets: 5.0%; - Assets rated 'CCC+' or below: 7.5% - Minimum weighted average coupon of 7.0%. The transaction will exit reinvestment period on Jan. 15, 2027. Projected default and recovery statistics for the performing collateral of the FSP were generated using Fitch's portfolio credit model. The rating actions reflect that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios 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-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-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-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 Guggenheim CLO 2022-2, 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. HARVEST COMMERCIAL 2025-1: DBRS Finalizes B Rating on M-5 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following notes issued by Harvest Commercial Capital Loan Trust 2025-1 (Harvest 2025-1): -- $171,454,000 Class A Notes at AAA (sf) -- $23,019,000 Class M-1 Notes at AA (sf) -- $14,420,000 Class M-2 Notes at A (sf) -- $14,553,000 Class M-3 Notes at BBB (sf) -- $ 13,362,000 Class M-4 Notes at BB (sf) -- $7,144,000 Class M-5 Notes at B (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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 legal opinions that 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. Morningstar DBRS' credit rating on the Notes referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are for the Class A and Class M-1 Notes are the Interest Payment Amount (including any unpaid interest from prior periods) and the Note Principal Balance. The associated financial obligations for the Class M-2, M-3, M-4, and M-5 Notes are the Interest Payment Amount, the Interest Carryforward Amount, and the Note Principal Balance. Notes: All figures are in US dollars unless otherwise noted. HPS LOAN 2025-24: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned 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 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 HPS 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 JP MORGAN 2020-MKST: Moody's Downgrades Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Ratings has affirmed one and downgraded six classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST, Commercial Mortgage Pass-Through Certificates, Series 2020-MKST as follows: Cl. A, Downgraded to B1 (sf); previously on Jul 9, 2024 Downgraded to Baa2 (sf) Cl. B, Downgraded to B3 (sf); previously on Jul 9, 2024 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Jul 9, 2024 Downgraded to B1 (sf) Cl. D, Downgraded to C (sf); previously on Jul 9, 2024 Downgraded to B3 (sf) Cl. E, Downgraded to C (sf); previously on Jul 9, 2024 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 9, 2024 Downgraded to C (sf) Cl. X-CP*, Downgraded to Caa1 (sf); previously on Jul 9, 2024 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on five P&I classes were downgraded primarily due to the continued loan delinquency and an increase in Moody's loan-to-value (LTV) ratio resulting from recent and anticipated further declines in property cash flow. The property's occupancy has remained low in recent years and also faces further lease rollovers through year-end 2025. The decline in cash flow combined with the significant increase in the floating interest rate since 2022 has caused the uncapped net cash flow (NCF) DSCR on the mortgage debt to decline to less than 0.50X as the trailing twelve month (TTM) period ending September 2024 compared to over 1.76X at securitization. Furthermore, the most recent reported appraised value represented a 24% decline from the prior 2023 value and was approximately 39% below the outstanding loan balance and the Philadelphia office fundamentals remain weak with continued elevated vacancies in recent years. The downgrades also reflect the interest shortfalls and the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution. The loan was last paid through its November 2023 payment date, and the master servicer made a non-recoverability determination in February 2025 on the loan in relation to P&I advances. As a result, no interest was distributed to any of the outstanding classes and Moody's expects interest shortfalls to continue to impact all outstanding classes. The outstanding interest shortfalls totaled $17.2 million and there was also a cumulative advance amount (P&I and cumulative accrued unpaid advance interest) of $28.3 million as of the February 2025 remittance statement. The rating on Cl. F was affirmed based on its expected loss. The rating on the interest only (IO) class, Cl. X-CP, was downgraded due to 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 that 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 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, an increase in realized and expected losses or increased 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 2025 distribution date, the transaction's certificate balance was $368 million, the same as at securitization. The interest only, floating rate loan has been in special servicing since August 2022 and the special servicer has previously filed a motion for foreclosure and appointed a receiver in May 2023. The mortgage loan (approximately $376 million) consists of the trust loan of $368 million and approximately $7.6 million of the funded portion from the original non-trust note for pari passu future funding. The future advance loan is not an asset of the trust. At securitization, non-trust pari passu future funding up to $22 million was to be advanced in connection with lender-approved capital spending and leasing expenses, however, the future funding period has since expired. Moody's have taken the additional funded leverage of $7.6 million in Moody's analysis. The loan is secured by a fee simple interest in 1500 Market Street, a 1.8 million SF office building in downtown Philadelphia. The collateral for the loan was built in 1974 and primarily comprises two towers — the East Tower and the West Tower. The towers are connected by a three-story atrium. 1500 Market Street occupies an entire city block at 15th and Market Streets in Philadelphia's CBD, directly adjacent to City Hall. The subject is the only office complex in Philadelphia's CBD that features its own on-site subterranean parking garage with access to Philadelphia's SEPTA and New Jersey Transit's transportation networks. The Philadelphia CBD submarket fundamentals have significantly weakened since securitization. According to CBRE, the Class A direct vacancy rate was 19.5% in downtown Philadelphia as of Q4 2024, slightly worse than 18.5% at Moody's last review and much higher than 6.6% in 2019. The property was also only 63% leased as of the September 2024 rent roll and faces further declines in occupancy as leases representing 23% of the NRA expire through year-end 2025. The property's financial remains well below expectations at securitization and the September 2024 TTM NCF dropped to $14.5 million due to increased expenses and capital expenditures as compared to those of 2023 and 2022. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's floating rate DSCR has now dropped to well below 1.00X. Additionally, as a result of the non-recoverability determination in February 2025 no interest was distributed to any of the outstanding classes and there were aggregate outstanding interest shortfalls totaling $17.2 million. Interest shortfalls are expected to continue to accumulate across all classes until the ultimate disposition of the asset. The first mortgage balance (including the non-trust pari passu balance of $7.6 million) represents a Moody's LTV of 272% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 253% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.42X. JP MORGAN 2025-2: DBRS Gives Prov. B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) to be issued by the J.P. Morgan Mortgage Trust 2025-2 (JPMMT 2025-2): -- $493.0 million Class A-1 at (P) AAA (sf) -- $362.2 million Class A-2 at (P) AAA (sf) -- $362.2 million Class A-3 at (P) AAA (sf) -- $362.2 million Class A-3-X at (P) AAA (sf) -- $271.6 million Class A-4 at (P) AAA (sf) -- $271.6 million Class A-4-A at (P) AAA (sf) -- $271.6 million Class A-4-X at (P) AAA (sf) -- $90.5 million Class A-5 at (P) AAA (sf) -- $90.5 million Class A-5-A at (P) AAA (sf) -- $90.5 million Class A-5-X at (P) AAA (sf) -- $217.3 million Class A-6 at (P) AAA (sf) -- $217.3 million Class A-6-A at (P) AAA (sf) -- $217.3 million Class A-6-X at (P) AAA (sf) -- $144.9 million Class A-7 at (P) AAA (sf) -- $144.9 million Class A-7-A at (P) AAA (sf) -- $144.9 million Class A-7-X at (P) AAA (sf) -- $54.3 million Class A-8 at (P) AAA (sf) -- $54.3 million Class A-8-A at (P) AAA (sf) -- $54.3 million Class A-8-X at (P) AAA (sf) -- $40.2 million Class A-9 at (P) AAA (sf) -- $40.2 million Class A-9-A at (P) AAA (sf) -- $40.2 million Class A-9-X at (P) AAA (sf) -- $90.5 million Class A-11 at (P) AAA (sf) -- $90.5 million Class A-11-X at (P) AAA (sf) -- $90.5 million Class A-12 at (P) AAA (sf) -- $90.5 million Class A-13 at (P) AAA (sf) -- $90.5 million Class A-13-X at (P) AAA (sf) -- $90.5 million Class A-14 at (P) AAA (sf) -- $90.5 million Class A-14-X at (P) AAA (sf) -- $90.5 million Class A-14-X2 at (P) AAA (sf) -- $90.5 million Class A-14-X3 at (P) AAA (sf) -- $90.5 million Class A-14-X4 at (P) AAA (sf) -- $493.0 million Class A-X-1 at (P) AAA (sf) -- $17.8 million Class B-1 at (P) AA (low) (sf) -- $17.8 million Class B-1-A at (P) AA (low) (sf) -- $17.8 million Class B-1-X at (P) AA (low) (sf) -- $9.6 million Class B-2 at (P) A (low) (sf) -- $9.6 million Class B-2-A at (P) A (low) (sf) -- $9.6 million Class B-2-X at (P) A (low) (sf) -- $5.9 million Class B-3 at (P) BBB (low) (sf) -- $2.4 million Class B-4 at (P) BB (low) (sf) -- $1.9 million 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-1. 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 (Class A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.4A5% 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 4.10%, 2.30%, 1.20%, 0.75%, 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 to be funded by the issuance of the Certificates. The Certificates are backed by 397 loans with a total principal balance of $532,645,316 as of the Cut-Off Date (February 1, 2025). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 93.0% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 7.0% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 55.1% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Cenlar (55.1%), Shellpoint (35.7%) and PennyMac (8.1%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (June 1, 2025). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. As of the Closing Date, C.U.P Holdings LLC, or one of its affiliates, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the EU/UK Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Certificates (other than the Class X and Class A-R Certificates) and the Retained Interest to satisfy the credit risk retention requirements in Articles 6(3) of the EU Securitization Regulation and 6(3) of the UK Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C18: Moody's Cuts Rating on C Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes in JPMBB Commercial Mortgage Securities Trust 2014-C18, Commercial Mortgage Pass-Through Certificates, Series 2014-C18 as follows: Cl. B, Downgraded to Baa1 (sf); previously on Dec 5, 2023 Affirmed A2 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Dec 5, 2023 Downgraded to Ba1 (sf) Cl. EC, Downgraded to Ba1 (sf); previously on Dec 5, 2023 Downgraded to Baa1 (sf) RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were downgraded primarily due to higher anticipated losses and increased risk of interest shortfalls from the significant exposure to specially serviced loans and/or loans that have passed their original maturity dates. Three loans, representing 68% of the pool, are in special servicing, the largest of which, the Miami International Mall Loan (56.6% of the pool) has experienced material declines in cash flow and value since securitization. Additionally, Moody's identified one troubled loan, the Meadows Mall Loan (21.4% of the pool), which was modified after passing its initial maturity date in July 2023 and has had a decline in peformance. The master servicer has recognized appraisal reductions on the three specially serviced loans ranging from 10% to 83% of their current loan balance. Due to the exposure to specially serviced and troubled loans, if the outstanding loans become further delinquent or are unable to pay off at their extended maturity dates, there will be increased risk of interest shortfalls and higher potential losses. The rating on the exchangeable class, Cl. EC, was downgraded based on the credit quality of the referenced exchangeable classes. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick- and-mortar discretionary retailers. The transaction's Issuer Profile Score (IPS) is S-4 and the Credit Impact Score is CIS-4. Moody's rating action reflects a base expected loss of 30.5% of the current pooled balance, compared to 8.6% at Moody's last reviews. Moody's base expected loss plus realized losses is now 8.5% of the original pooled balance, compared to 7.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans 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. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 68% of the pool is in special servicing and Moody's have identified an additional troubled loan representing 21% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loan to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the February 15th, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 82% to $169 million from $958 million at securitization. The certificates are collateralized by five mortgage loans. Two loans, constituting 32% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $29 million (for an average loss severity of 97%). Three loans, constituting 68% of the pool, are currently in special servicing. The largest specially serviced loan is the Miami International Mall Loan ($95.6 million – 56.6% of the pool), which represents a pari passu portion of $154.3 million mortgage loan. The loan is secured by an approximately 307,000 square feet (SF) portion of a 1.1 million SF super-regional mall located in Miami, Florida. The mall's non-collateral anchors include Macy's, JC Penney and Kohl's. The former Sears (non-collateral) closed its location at the mall in 2018. Major collateral tenants include H&M, Gap, Old Navy, Victoria's Secret and Forever 21. As of September 2024, the annualized NOI was 10% lower compared to 2014. The loan transferred to special servicing in February 2024 due to maturity default. The lender and borrower executed a forbearance agreement for one year, extending the loan through February 2025, with an option to extend for an additional 12 months to February 2026. The forbearance terms include an initial loan paydown of $2,000,000 and an additional $3,000,000 paydown upon exercising the 12-month extension option. The borrower has elected to exercise the 12-month extension option. An updated appraisal from July 2024 valued the property 60% below the value at securitization but remained above the outstanding loan balance. The second largest specially serviced loan is the Geneva Shopping Center Loan ($10.9 million – 6.5% of the pool), which is secured by a 189,227 SF anchored retail center located in Geneva, New York, approximately 40 miles west of Syracuse and 40 miles east of Rochester. Property performance has generally declined since 2017, and the property did not generate sufficient cash flow to cover debt service as of June 2024. Property occupancy was 45% as of June 2024, compared to 84% in 2021 and 94% in 2017. The loan transferred to special servicing in December 2020 due the monetary default. The loan subsequently went into foreclosure and became REO in June 2023. As of the February 2025 remittance, the loan has amortized by 17.3% since securitization and the loan was last paid through its May 2022 payment date. An updated appraisal from February 2023 valued the property 75% below the value at securitization and 54% below the outstanding loan amount. The master servicer has recognized an appraisal reduction of $9.1 million as of the February 2025 remittance date. The third largest specially serviced loan is the One Thorn Run Center Loan ($8.2 million – 4.9% of the pool), which is secured by a 100,877 SF, Class B office building in Moon Township (Pittsburgh area), Pennsylvania. The property is comprised of one five-story building built in 1986 situated on 6.4 acres with 334 parking spaces. Property performance has deteriorated since securitization as a result of a decline in occupancy. The loan transferred to special servicing in April 2022 and became REO in November 2023. The most recent appraisal from August 2024 valued the property 44% below the value at securitization. Moody's have also assumed a high default probability for one poorly performing loan, constituting 21.4% of the pool, and have estimated an aggregate loss of $51.4 million (a 34% expected loss on average) from the specially serviced and troubled loans. The troubled loan is the Meadows Mall Loan ($36.1 million – 21.4% of the pool), which represents a pari-passu portion of a $109.1 million mortgage loan. The loan is secured by an approximately 308,000 SF portion of a 945,000 SF regional mall located five miles west of the Strip in Las Vegas, Nevada. At securitization, the mall was anchored by non-collateral anchors Dillard's, JC Penney, Sears and Macy's. Sears closed their stores at this location in February 2020 and the space was partially backfilled by Round1 Bowling and Amusement. The property's performance had deteriorated before the coronavirus outbreak and the property's NOI further declined in recent years. As of September 2024, the NOI was 35% lower than at securitization. The loan transferred to special servicing in October 2020 due to monetary default. Cash management was implemented and a three-year loan extension to July 2026 was finalized in February 2024. The most recent appraisal from July 2023 valued the property 52% below the value at securitization. The loan was returned to the master servicer in May 2024. As of the February 2025 remittance date, the loan has amortized 32.8% since securitization. As of the February 2025 remittance statement cumulative interest shortfalls were $1.6 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The only performing loan is the Rosedale Commons Loan ($17.9 million – 10.5% of the pool), which is secured by a 168,049 SF, anchored retail center located in Roseville, Minnesota. The building was constructed in 1985 and renovated in 2013. As of September 2024, the NOI was 22% lower than the year-end 2023 NOI as a result of the second largest tenant, Bed, Bath & Beyond, declaring bankruptcy and vacating the property in 2023. According to recent leasing updates from the servicer, HomeGoods has occupied the former Bed Bath & Beyond space as of October 2024. As of October 2024, the occupancy was 84% occupied, compared to 87% in 2023 and 95% at securitization. As of the February 2025 remittance date, the loan has amortized 14.5% since securitization and is current on P&I payments. Moody's LTV and stressed DSCR are 107% and 0.99X, respectively. JPMBB COMMERCIAL 2014-C24: Moody's Cuts Cl. C Certs Rating to B2 ---------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on six classes in JPMBB Commercial Mortgage Securities Trust 2014-C24, Commercial Pass-Through Certificates, Series 2014-C24 as follows: Cl. A-5, Affirmed Aaa (sf); previously on Jul 17, 2023 Affirmed Aaa (sf) Cl. A-S, Downgraded to A2 (sf); previously on Jul 17, 2023 Downgraded to Aa3 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Jul 17, 2023 Downgraded to Baa2 (sf) Cl. C, Downgraded to B2 (sf); previously on Jul 17, 2023 Downgraded to Ba3 (sf) Cl. EC, Downgraded to Ba2 (sf); previously on Jul 17, 2023 Downgraded to Baa3 (sf) Cl. X-A*, Downgraded to A1 (sf); previously on Jul 17, 2023 Affirmed Aa1 (sf) Cl. X-B-1*, Downgraded to Ba1 (sf); previously on Jul 17, 2023 Downgraded to Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. A-5, was affirmed due to its significant credit support as well as the expected principal recoveries or paydowns from the remaining loans in the pool. The ratings on three P&I classes, Cl. A-S, Cl. B and Cl. C, were downgraded primarily due to increased risk of interest shortfalls and the potential for higher expected losses due to the significant exposure to specially serviced loans with declining performance. Nine loans, representing 74% of the pool, are in special servicing and have passed their original maturity dates. Five of the specially serviced loans (51% of the pool) have been deemed non-recoverable by the master servicer as of the February 2025 remittance date causing interest shortfalls to impact up to Cl. B. Additionally, all the remaining loans have passed their original maturity dates or anticipated repayment dates (ARD) and the risk of higher interest shortfalls and higher potential losses if the outstanding loans remain delinquent or are unable to pay off at their extended maturities dates. The rating on two IO classes, Cl. X-A and Cl. X-B, were downgraded based on a decline in the credit quality of their referenced classes. The rating on the exchangeable class, Cl. EC, was downgraded based on a decline in the credit quality of its referenced exchangeable classes. Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 35.6% of the current pooled balance, compared to 12.6% at Moody's last review. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance, compared to 9.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans 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. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 74% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the February 18, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 69% to $397 million from $1.27 billion at securitization. The certificates are collateralized by eleven mortgage loans, ranging in size from less than 1% to 22.0% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, compared to 12 at Moody's last review. As of the February 2025 remittance report, all remaining loans are in special servicing and have passed their original maturity dates or ARD dates. Five loans representing nearly 51% of the pool were deemed non-recoverable by the Master Servicer. No loans have been liquidated from the pool, and the deal has incurred an aggregate realized loss of $9.2 million. As of the February 2025 remittance statement cumulative interest shortfalls were $11.9 million and impact up to class B. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Nine loans, constituting 74% of the pool, are currently in special servicing. The largest specially serviced loan is the 635 Madison Avenue Loan ($82.8 million – 20.8% of the pool), which is secured by the leasehold interest in a 19 story, 177,000 square foot (SF) mixed-use property located in Midtown New York City. The property includes street level retail and a mix of traditional office and medical office space. The property is subject to a ground lease with a fully extended term through 2051. The property is also encumbered with a $35 million mezzanine loan. The loan transferred to special servicing in August 2020 for payment default and became real estate owned (REO) in June 2024. As of the December 2024, the property was 61% occupied, compared to 71% in December 2021, 86% in December 2018 and 94% at securitization. The most recent appraisal from June 2024 valued the property 60% lower than the value at securitization and 33% below the total outstanding debt. As of the February 2025 remittance, the servicer has deemed this loan non-recoverable, and the loan was last paid through the August 2023 payment date. The most recent servicer commentary indicates that the property is actively marketing its vacant space through a newly appointed property manager/leasing agent and is not listed for sale at this time. The second largest specially serviced loan is the 17 State Street Loan ($75 million – 18.9% of the pool), which represents a pari passu portion of a $180 million senior mortgage loan. The property is also encumbered with a $40 million mezzanine loan. The loan is secured by a 42-story, 560,210 SF, Class-A office tower located in downtown New York City. As of September 2024, the property was 93% leased compared to 91% in December 2021, 87% in December 2018 and 91% at securitization. The loan transferred to special servicing in August 2024 due to maturity default. The most recent appraisal from December 2024 valued the property 34% lower than the value at securitization and slightly below the total outstanding debt. As of the February 2025 remittance, the loan is current. The most recent servicer commentary indicates that the borrower has executed a loan modification that includes a 24-month maturity extension to January 2027, with an option to extend an additional year to January 2028, contingent upon property performance. The third largest specially serviced loan is North Riverside Park Mall Loan ($66.9 million – 16.8% of the pool), which is secured by a 429,000 SF portion of a 1.1 million SF regional mall located in the west Chicago suburbs. The loan had previously transferred to special servicing in August 2019 due to imminent default ahead of its October 2019 maturity date. The loan was modified in May 2021 which included a five-year maturity extension, and an A/B note split into a $45 million A-note (11.3% of pool) and $21.9 million B-note (5.5% of pool). The loan was returned to the master servicer in August 2021. The loan transferred back to special servicing in October 2024 after failing to pay off by its extended maturity date. As of September 2024, the collateral was 88% occupied compared to 89% in December 2021, 90% in December 2018 and 94% at securitization. The most recent appraisal from November 2024 valued the property 70% lower than the value at securitization and significantly below the outstanding loan amount. As of the February 2025 remittance, the loan was last paid through December 2024. The most recent servicer commentary indicates that the borrower and servicer are in discussions regarding a workout plan, which include considering another maturity extension and a new equity contribution, while concurrently proceeding with foreclosure actions. The fourth largest specially serviced loan is the Hilton Houston Post Oak Loan ($30.7 million – 7.7% of the pool), which represents a pari-passu portion of a $70.1 million whole loan. The loan is secured by a 448-unit, full-service hotel located in Houston, Texas. The loan transferred to special servicing in May 2020 for payment default. The borrower filed for bankruptcy in late 2021 and the loan eventually went into foreclosure, becoming REO in September 2022. The most recent appraisal from September 2024 valued the property 45% lower than the value at securitization, and slightly below the outstanding loan amount. As of the February 2025 remittance, the loan was last paid through April 2024. The most recent servicer commentary indicates that asset management is working to stabilize the property for eventual sale in 2025. The remaining specially serviced loans are secured by a retail property located in Fort Wayne, Indiana; an office property in Meriden, Connecticut; an office property in Philadelphia, Pennsylvania; and an industrial property in Cheektowaga, New York. Moody's estimates an aggregate $121.6 million loss for the specially serviced loans (41.5% expected loss on average). Two non-specially serviced loans represent 26.3% of the pool balance. The largest non-specially serviced loan is the Columbus Square Portfolio Loan ($87.6 million – 22.0% of the pool), which represents a pari passu portion of a $363.9 million mortgage loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The property contains 31 condominium units at 775, 795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue, a retail component, which contains approximately 276,000 SF and three parking garages. As of September 2024, the property was 97% leased compared to 94% in December 2021, 98% in December 2018 and 91% at securitization. Property performance has been stable since securitization. The loan transferred to special servicing in November 2023 for imminent maturity default and was returned to the master servicer in June 2024 after receiving a three-year maturity extension with the extended maturity date in August 2027. The loan remains current on debt service payments. As of February 2025 remittance, the loan has amortized by 9.0% since securitization. Moody's LTV and stressed DSCR are 119% and 0.74X, respectively, compared to 122% and 0.72X at the last review. The other non-specially serviced loan is the Holiday Inn French Quarter-Chateau Lemoyne Loan ($17.0 million – 4.3% of the pool), which is secured by a 171-key lodging property located New Orleans, Louisiana. The loan is past its anticipated repayment date (ARD) in November 2024, and its final legal maturity is now November 2044. As of February 2025 remittance, the loan has amortized by 27.7% since securitization. Moody's LTV and stressed DSCR are 81% and 1.57X, respectively. KKR CLO 25: Moody's Assigns Ba3 Rating to $21.375MM Cl. E-R2 Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by KKR CLO 25 Ltd. (the "Issuer"). Moody's rating action is as follows: US$279,000,000 Class A-R2 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$59,625,000 Class B-R2 Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$23,625,000 Class C-R2 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$29,250,000 Class D-R2 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$21,375,000 Class E-R2 Junior Secured Deferrable Floating Rate 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. KKR Financial Advisors II, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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, 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 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: $444,936,948 Defaulted par: $7,845,622 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2984 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.45% Weighted Average Recovery Rate (WARR): 46.5% 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 a 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. KKR CLO 37: Moody's Assigns B3 Rating to $200,000 Class F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to four classes of CLO refinancing notes issued and one class of loans incurred by KKR CLO 37 Ltd. (the Issuer): US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$100,000,000 Class A-R Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$220,000,000 Class A-LR Loans maturing 2038, Assigned Aaa (sf) Up to US$220,000,000 Class A-LR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$200,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the "Refinancing Debt." On the closing date, the Class A-LR Loans and the Class A-LR Notes have a principal balance of $220,000,000 and $0, respectively. At any time, the Class A-LR Loans may be converted in whole or in part to Class A-LR Notes, thereby decreasing the principal balance of the Class A-LR Loans and increasing, by the corresponding amount, the principal balance of the Class A-LR Notes. The aggregate principal balance of the Class A-LR Loans and Class A-LR Notes will not exceed $220,000,000 less the amount of any principal repayments. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and non-loan assets as permitted under the CLO's documents; provided that not more than 3.0% may consist of second lien loans, not more than 5.0% may consist of permitted non-loan assets and not more than 2.5% may consist of unsecured permitted non-loan assets. KKR Financial Advisors II, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended 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 Debt, the other five classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in 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): 3053 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.1 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 Debt is subject to uncertainty. The performance of the Refinancing Debt 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 Debt. KRR CLO 37: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 37 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 37, Ltd. X-R LT NRsf New Rating A-2 48254FAE8 LT PIFsf Paid In Full AAAsf A-L LT NRsf New Rating A-R LT NRsf New Rating B-1 48254FAG3 LT PIFsf Paid In Full AAsf B-2 48254FAJ7 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 48254FAL2 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D 48254FAN8 LT PIFsf Paid In Full BBBsf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary KKR CLO 37 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. KKR CLO 37 originally closed in December 2021. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $492 million of primarily first-lien senior secured leveraged loans (excluding defaulted obligations). 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 96.32% first-lien senior secured loans and has a weighted average recovery assumption of 74.16%. 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (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 a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-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 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, 'Asf' 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 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 KKR CLO 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. MADISON PARK XLIX: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, C-R, D-R, and E-R replacement debt from Madison Park Funding XLIX Ltd./Madison Park Funding XLIX LLC, a CLO originally issued in November 2021 that is managed by UBS Asset Management (Americas) LLC. At the same time, S&P withdrew its ratings on the original class A, B-1, C, D, and E debt following payment in full on the March 6, 2025, refinancing date. S&P also affirmed its rating on the class B-2 debt, which was not refinanced. The replacement debt were 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 6, 2026. -- No additional assets were purchased on the March 6, 2025, refinancing date, and the target initial par amount remains the same. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 19, 2025. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $450.00 million: Three-month CME term SOFR + 1.05% -- Class B-1-R, $110.00 million: Three-month CME term SOFR + 1.45% -- Class C-R, $45.00 million: Three-month CME term SOFR + 1.80% -- Class D-R, $45.00 million: Three-month CME term SOFR + 2.80% -- Class E-R, $24.38 million: Three-month CME term SOFR + 4.60% Original debt -- Class A, $450.00 million: Three-month CME term SOFR + 1.13% + CSA(i) -- Class B-1, $110.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C, $45.00 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class D, $45.00 million: Three-month CME term SOFR + 3.20% + CSA(i) -- Class E, $24.38 million: Three-month CME term SOFR + 6.25% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Madison Park Funding XLIX Ltd./Madison Park Funding XLIX LLC Class A-R, $450.00 million: AAA (sf) Class B-1-R, $110.00 million: AA (sf) Class C-R (deferrable), $45.00 million: A (sf) Class D-R (deferrable), $45.00 million: BBB- (sf) Class E-R (deferrable), $24.38 million: BB- (sf) Ratings Withdrawn Madison Park Funding XLIX Ltd./Madison Park Funding XLIX LLC Class A to NR from 'AAA (sf)' Class B-1 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)' Rating Affirmed Madison Park Funding XLIX Ltd./Madison Park Funding XLIX LLC Class B-2, $10.00 million: 'AA (sf)' Other Outstanding Ratings Madison Park Funding XLIX Ltd./Madison Park Funding XLIX LLC Subordinated notes, $68.40 million: NR NR--Not rated. MARBLE POINT XVIII: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Marble Point CLO XVIII Ltd reset transaction. Entity/Debt Rating ----------- ------ Marble Point CLO XVIII Ltd. X LT NRsf New Rating A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-AR2 LT BBB-sf New Rating D-1-BR2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Marble Point CLO XVIII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Marble Point CLO Management LLC. This is the second reset where the existing secured notes will be refinanced in whole on March 5, 2025. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $498 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 23.98, versus a maximum covenant, in accordance with the initial expected matrix point of 25. 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 97.66% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.24% versus a minimum covenant, in accordance with the initial expected matrix point of 70.6%. 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 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (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 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. 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 Marble Point CLO XVIII 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. MORGAN STANLEY 2014-C19: DBRS Lowers Rating on 4 Tranches to C(sf) ------------------------------------------------------------------ DBRS Limited downgraded the credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C19 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 as follows: -- Class D to C (sf) from BBB (low) (sf) -- Class X-D to C (sf) from BBB (sf) -- Class E to C (sf) from CCC (sf) -- Class X-E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class X-C at AA (low) (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes C, X-C, and PST to Negative from Stable. 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 trends on all remaining classes are Stable. Since the previous credit rating action in February 2024, a total of 48 loans have been repaid in full, including 300 North LaSalle (Prospectus ID#2), contributing to a principal repayment of nearly $106.0 million as of the August 2024 payment period and leaving the trust with a current balance of $270.8 million as of the January 2025 reporting. In addition, one formerly real estate owned (REO) loan was liquidated from the trust at a price below Morningstar DBRS' expectations, bringing the total realized losses to the trust to $12.9 million, all of which are contained to the nonrated Class G certificate. The driver of the credit rating downgrades to Classes D, E, X-D, and X-E is sustained interest shortfalls that have exceeded Morningstar DBRS' tolerance level for bonds rated at the BBB (low) (sf) credit rating category. The Negative trends assigned to Classes C and X-C reflect the potential for further accumulation of interest shortfalls, given the large concentration of defaulted and/or underperforming assets in the pool. Per the January 2025 reporting, cumulative unpaid interest totaled $6.2 million, up from $3.5 million at the last credit rating action. Classes E, F, and G have not received any interest payments since at least September 2023, while Class D has been shorted interest payments since September 2024, receiving only $16,000 of interest payments with the January 2025 remittance. Morningstar DBRS' tolerance for unpaid interest is limited to one to two remittance periods at the AA (sf) and A (sf) credit rating categories, and three to four remittance periods at the BBB (sf) credit rating category. As of the January 2025 reporting,13 of the original 77 loans remain in the pool, representing a collateral reduction of 81.6% since issuance, with 10 loans (62.1% of the pool) in special servicing, including four REO loans (20.0% of the pool). As the pool continues to wind down, Morningstar DBRS considered liquidation scenarios for all specially serviced loans to determine the recoverability of the outstanding certificates. The results indicate that liquidated losses would be contained to the Class F certificate. While three loans current, including the largest loan in the pool, Gantry Park Landing (Prospectus ID#4; 24.0% of the pool), Morningstar DBRS notes that the risk of further value deterioration for select specially serviced loans, such as the Ormsby Office Building (Prospectus ID #7; 19.5% of the pool) that was recently transferred to special servicing for maturity default in November 2024 and has yet to be reappraised, is likely (please see below for more details). Additionally, given the current higher interest rate/widening capitalization-rate environment, the refinance risk for the outstanding loans is elevated, which may affect the recoverability timeline for the outstanding bonds and increase the propensity for interest shortfalls. The largest contributor to Morningstar DBRS' cumulative projected loss amount of $50.4 million is the third-largest loan remaining in the pool, PacStar Retail Portfolio (Prospectus ID#9; 15.5% of the pool), which is backed by two anchored retail properties (Yards Plaza in Chicago and Willowbrook Court Shopping Center in Houston). The loan transferred to special servicing in September 2021 for imminent nonmonetary default and, following an extended period of delinquency, it failed to repay at maturity in December 2024. Per the servicer's most recent commentary, the Yards Plaza property is currently being marketed for sale; however, litigation against the guarantor remains ongoing as a result of structural damage to the property and the incurrence of unpermitted debt, which could further delay the workout. A November 2024 appraisal valued the property at $22.9 million, 67.1% below the issuance appraised value of $69.6 million. Based on the most recent value, Morningstar DBRS analyzed the loan with a liquidation scenario based on a 10% haircut to the November 2024 value, which resulted in a loss severity in excess of 70.0%. Two loans (21.5% of the pool) are secured by office collateral, including the largest special serviced loan, Ormsby Office Building, which is backed by three office properties in Louisville, Kentucky. While the collateral's performance has historically been stable with the most recent occupancy rate and debt service coverage ratio reported at 85.0% and 1.77 times, respectively, as of Q2 2024, the loan was not repaid at maturity in October 2024, and has been delinquent since, with the borrower reported as unresponsive. In addition, the property has a heightened tenant rollover risk during the next 12 months, with leases representing more than 21.0% of the net rentable area due to expire. Per Reis, the Far East Louisville submarket reported a vacancy of 21.1%, with an asking rental rate of $20.35 per square feet (psf), lower than the collateral's average rental rate of $22.86 psf as of June 2024. No updated appraisal has been received to date; however, to account for the likely decline in performance and the soft submarket for office assets in Louisville, Morningstar DBRS considered a conservative haircut of nearly 30% to the issuance appraised value, with a resulting value of approximately $54.2 million and a resulting liquidated loss severity of 11.0%. The largest loan in the pool, Gantry Park Landing, is secured by a multifamily property in Long Island City, New York, and is the only loan currently on the servicer's watchlist where it is being monitored for its December 2024 maturity. Per the servicer's most recent commentary, the borrower is working on refinancing the loan and has been granted a 60-day forbearance to facilitate the repayment. Additionally, as the property's performance remains stable based on the most recent financials, Morningstar DBRS expects no loss upon the loan's resolution. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2018-BOP: S&P Assigns 'D(sf)' Rating on X-EXT Notes ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2018-BOP, a U.S. CMBS transaction. The transaction backed by a floating-rate, interest-only (IO) mortgage loan currently secured by the borrowers' fee simple interests in nine suburban class A and B office properties totaling 1.4 million sq. ft. and located in Florida, Georgia, Maryland, and Virginia. Since S&P's last review in May 2024, the office portfolio continues to underperform its expectations. The specially serviced loan is currently delinquent and has a reported foreclosure-in-progress payment status. Of the remaining nine properties, the special servicer has appointed receivers to seven and expects to appoint receivers to the other two after foreclosure is completed, which is anticipated by April 2025. In addition, in the January 2025 reporting period, the special servicer released a revised appraisal value of $119.8 million dated as of June 2024 (a 59.9% decline from the issuance appraisal value). The downgrades on the class A, B, C, and D certificates primarily reflect: -- S&P's revised expected-case value, which is 15.7% lower than the valuation it derived in its May 2024 review, primarily due to observed and expected decreases in occupancy and base rental income at the remaining properties. -- Vacancy and availability rates, although stabilizing, remain elevated in the properties' office submarkets. S&P believes the ongoing weakened office fundamentals will continue to challenge leasing efforts for vacant spaces. -- S&P's view that the servicer's willingness to continue advancing interest payments and net recoveries to the bondholders could be reduced by increases in the advancing amount or an updated appraisal value, which will likely be lower than the June 2024 appraised value of $119.8 million. According to the February 2025 trustee remittance report, the master servicer has advanced $5.6 million for interest and other expenses. Further, because there is no interest rate cap agreement currently in place, the floating-rate debt service obligation is fully exposed to changes in one-month SOFR. The current elevated interest rate environment also exacerbates the risk of servicer advances building up. S&P said, "The downgrade on class C to 'CCC (sf)' also reflects our qualitative consideration that the class's repayment depends on favorable business, financial, and economic conditions, and it is vulnerable to default. "The downgrade on class D to 'D (sf)' also reflects interest shortfalls that we expect to remain outstanding for the foreseeable future. Based on our analysis, we believe this class may incur principal losses upon the eventual resolution of the specially serviced loan. As of the February 2025 trustee remittance report, the trust incurred monthly interest shortfalls totaling $261,079 due to an appraisal subordinate entitlement reduction amount from an appraisal reduction amount (ARA) of $50.5 million that was implemented in January 2025. The current monthly interest shortfalls affected classes subordinate to and including class D. "The downgrade on the class X-EXT IO certificates to 'D (sf)' also reflects 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 of the class X-EXT certificates references classes B, C, and D. "We will continue to monitor the performance of the office properties and loan, including the ultimate liquidation of the loan and properties. If we receive information that differs materially from our expectations, such as an updated appraisal value from the special servicer that is substantially below our revised expected-case value, property performance that is below our expectations, or a higher ARA or nonrecoverable determination that negatively impacts the transaction's liquidity and recovery, we may revisit our analysis and take additional rating actions as we deem appropriate." Property-Level Analysis Updates S&P said, "In our May 2024 review, we noted that net cash flow (NCF) and occupancy had declined at the remaining office properties. Additionally, the borrower had become delinquent on its debt service payments, and the special servicer was pursuing foreclosure. As a result, assuming an in-place 56.5% occupancy rate, a $33.74 per sq. ft. S&P Global Ratings gross rent, and a 48.2% operating expense ratio, we derived a long-term sustainable NCF of $10.7 million. Using a weighted-average 9.59% S&P Global Ratings capitalization rate, we arrived at an S&P Global Ratings expected-case value of $111.9 million or $81 per sq. ft. "The servicer reported a 53.7% occupancy rate and a $10.9 million NCF as of the trailing-12-months ended Sept. 30, 2024. However, using the September 2024 rent roll and after adjusting for known tenant movements, we expect the properties' occupancy to decrease to approximately 45.9%, largely due to the largest tenant, Eating Recovery Center (7.5% of net rentable area [NRA]), defaulting on its lease. While the lease does not expire until 2038, the special servicer has stated that the tenant is not performing under its lease. As a result, we excluded the tenant from our current analysis." According to the September 2024 rent roll, the five largest tenants, excluding Eating Recovery Center, comprise 9.8% of NRA. They are: -- Montgomery County, Md. (3.0% of NRA, 5.3% of gross rent as calculated by S&P Global Ratings, March 2029 and February 2031 lease expirations). -- State of Maryland (2.0%, 3.3%, December 2024). -- American Kidney Fund (1.9%, 3.8%, August 2025). -- The George Washington University (1.6%, 2.9%, July 2025). -- Avison Young, Washington D.C. LLC (1.3%, 2.6%, April 2028). According to CoStar, the office submarkets where the properties are located have elevated vacancies that are projected to stabilize over the next five years. As of year-to-date March 2025, submarket vacancies range from 18.5% to 29.6%, with availability rates between 19.9% and 33.4%. Submarket rents range from $25.74 per sq. ft. to $40.89 per sq. ft. for the same period. Submarket vacancies are projected to remain relatively flat in 2026, ranging from 19.9% to 28.6%. This compares with the portfolio's adjusted in-place vacancy of 54.1% and S&P Global Ratings' gross rent of $35.15 per sq. ft. In S&P's current analysis, we assumed a 54.1% vacancy rate, a $35.15 per sq. ft. S&P Global Ratings' gross rent, a 52.2% operating expense ratio, and higher tenant improvement costs to derive an S&P Global Ratings NCF of $9.1 million, which is 15.7% below the NCF we derived in our May 2024 review. Utilizing an S&P Global Ratings' weighted-average capitalization rate of 9.59% (the same as in our May 2024 review), we arrived at an S&P Global Ratings' expected case value of $94.4 million, which is 15.7% lower than that of our May 2024 review and a 21.2% decline from the June 2024 appraised value of $119.8 million. This yielded an S&P Global Ratings' LTV ratio of 171.0% on the current loan balance. Table 1 Servicer-reported collateral performance TTM ended Sept. 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 53.7(ii) 56.5(ii) 59.2(ii) Net cash flow (mil. $) 10.9 10.4 12.2 Debt service coverage (x) 0.70 0.69 1.47 Appraisal value (mil. $) 119.8 166.9 298.7 (i)Reporting period for the nine remaining properties. (ii)Weighted-averages by net rentable area, based on the borrower-provided rent rolls for each period. TTM--Trailing-12-months. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2025)(i) (May 2024)(i)(August 2018)(i) Occupancy rate (%) 45.9 56.5 74.2 Net cash flow (mil. $) 9.1 10.7 18.4 Capitalization rate (%) 9.59 9.59 9.14 Value (mil. $) 94.4 111.9 205.7 Value per sq. ft. ($) 68 81 149 Loan-to-value ratio (%)(ii)171.0 144.2 78.5 (i)Review period for the nine remaining properties. (ii)On the current trust loan balance of $161.4 million. Ratings Lowered Morgan Stanley Capital I Trust 2018-BOP Class A to 'BBB- (sf)' from 'A- (sf)' Class B to 'B (sf)' from 'BB (sf)' Class C to 'CCC (sf)' from 'B (sf)' Class D to 'D (sf)' from 'CCC (sf)' Class X-EXT to 'D (sf)' from 'CCC (sf)' MORGAN STANLEY 2019-NUGS: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on five classes in Morgan Stanley Capital I Trust 2019-NUGS as follows: Cl. A, Downgraded to Ba2; previously on Sep 23, 2024 Downgraded to Baa1 Cl. B, Downgraded to B3; previously on Sep 23, 2024 Downgraded to Ba2 Cl. C, Downgraded to Caa2; previously on Sep 23, 2024 Downgraded to B1 Cl. D, Downgraded to C; previously on Sep 23, 2024 Downgraded to Caa1 Cl. E, Downgraded to C; previously on Sep 23, 2024 Downgraded to Ca RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio driven by the decline in the loan and property performance and the weak office fundamentals in the Denver downtown market. Due to lower occupancy and rental revenue, the property's reported 2024 net operating income (NOI) was significantly lower than in previous years and well below expectations at securitization. The decline in cash flow combined with the significant increase in the loan's floating interest rate since 2022 caused the senior mortgage loan's uncapped debt service coverage ratio (DSCR) to drop to approximately 1.00X based on the reported 2024 NOI, however, the total debt DSCR (inclusive of the non-pooled B-note and mezzanine debt) was well below 1.00X. The downgrades also reflect the current and expectation of future interest shortfalls resulting from the increased appraisal reduction amount (ARA) due to a recently reported appraisal value that was 37% below the outstanding senior mortgage balance. As a result, interest shortfalls totaling $2.4 million impacted up to Cl. C as of the February 2025 remittance report. The interest only, floating rate loan is secured by a Class A office building in the Denver downtown submarket. The loan has been in special servicing since December 2022 after failing to pay off or extend at its first extended maturity date. The property was 66% leased as of December 2024, compared to 79% in March 2023 and 87% at securitization. Due to the declining occupancy and increased debt service payments, the loan is unlikely to cover the senior mortgage debt service amount in 2025. Moody's also expects interest shortfalls to remain outstanding and continue to increase because of the recent ARA. As of the February 2025 remittance, the loan remained current on its debt service payments and there was a reported aggregate reserve balance of $6 million, of which approximately $5.5 million was in tenant or leasing reserves. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy/ dominant nature 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. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. 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. 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. DEAL PERFORMANCE As of the February 2025 distribution date, the transaction's aggregate certificate balance remained unchanged at $277.1 million. The initial 5-year (including three one-year extensions with a final maturity date in December 2024), interest only, floating rate loan is secured by a 1,195,149 square feet (SF), Class A, office property comprised of 52-story tower and an adjoining 12-story garage located in the central business district (CBD) of Denver, Colorado. In addition, the property is encumbered by a $50.6 million non-pooled B-note and $45.3 million of non-pooled mezzanine debt. The borrower previously exercised the loan's first extension option which extended the maturity date to December 2022, however, the loan transferred to special servicing at its extended December 2022 maturity. Subsequently, a receiver was appointed in August 2023 with CBRE appointed as property manager. The property has seen continued decline in its occupancy since securitization after several large tenants downsized their spaces at the property. As of December 2024, the property was 66% leased, compared to 79% in March 2023 and 87% at securitization. The property's reported NOI in 2024 was 21% lower than the NOI in 2023 and well below expectations at securitization. Based on the 2024 reported NOI and the current SOFR rate, the senior mortgage loan balance of $277.1 million had an uncapped DSCR of approximately 1.00X and the total debt DSCR (inclusive of the non-pooled B-note and mezzanine debt) was well below 1.00X. While the property faces limited further lease rollover until 2028, the recent declines in occupancy and increased debt service payments in recent years will likely cause the senior mortgage debt DSCR to decline to below 1.00X in 2025. The property is well-located in the Denver CBD, however, the office market vacancies of downtown Denver have increased significantly since securitization. According to CBRE Econometric Advisors, the Downtown submarket in Denver included 27.4 million SF of Class A office space as of Q4 2024 with a vacancy of 29.7%, compared to a vacancy rate of 11.3% in 2019 and 26.7% in 2023. The Downtown Denver office submarket has seen consecutive years of negative net absorption since 2020. Given the property's size and weak office market fundamentals, there is uncertainty in the ability of the property to lease-up its vacant space. An updated appraised value reported as of the February 2025 remittance report showed a 39% decline from 2023 appraised value and a 63% decline from securitization. The updated appraised value was also 37% lower than the outstanding balance of the senior mortgage, which has caused ARA of $113.8 million as of the February 2025 remittance report. Moody's capitalization rate was increased and Moody's NCF is now $12.5 million compared to $15.0 million at last review. Moody's LTV ratio for the senior mortgage balance is 216% based on Moody's Value. Adjusted Moody's LTV ratio for the senior mortgage balance is 201% based on Moody's Value using a cap rate adjusted for the current interest rate environment. As of the February 2025 remittance, there are outstanding interest shortfalls totaling $2.4 million affecting up to Cl. C and no realized losses as of the current distribution date. MORGAN STANLEY 2025-1: Fitch Assigns B(EXP) Rating on B-5 Certs --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2025-1 (MSRM 2025-1). Entity/Debt Rating ----------- ------ MSRM 2025-1 A-1 LT AAA(EXP)sf Expected Rating A-X-IO1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-12-IO LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-IO LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-3-A LT BBB-(EXP)sf Expected Rating B-3-X LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary This is the 22nd post-crisis transaction off the MSRM shelf. The first MSRM transaction was issued in 2014. In addition, this is the 20th MSRM transaction to comprise loans from various sellers acquired by Morgan Stanley in its prime-jumbo aggregation process, and the first MSRM prime transaction this year. The certificates are supported by 291 prime-quality loans with a total balance of about $336.95 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The largest originator is PennyMac Loan Services, LLC at 22.3%. All other originators make up less than 10% of the overall pool. 50.1% of the loans will be serviced by Shellpoint Mortgage Servicing and the remaining 49.9% will be serviced by PennyMac (which is inclusive of PennyMac Loan Services and PennyMac Corp). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.2% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The remaining 0.8% are higher priced QM APOR loans. The collateral comprises 100% fixed-rate loans, and the certificates are (i) fixed rate and capped at the net weighted average coupon (WAC), and (ii) have coupons based on the net WAC. As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.0% 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 has reached its worst level 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 collateral consists of 100% first lien, prime-quality, 30-year, fixed-rate, fully amortizing mortgage loans seasoned at approximately 5.4 months in aggregate, as determined by Fitch (three months per the transaction documents). Of the loans, 35.6% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 769 WA FICO, according to Fitch's analysis (FICO scores range from 662 to 820), and represent either owner-occupied homes or second homes. Of the pool, 94.9% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up 4.0%, and multi-family homes make up the remaining 1.1%. There are no investor loans in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 73.7%, which translates to an 81.2% sustainable LTV (sLTV) as determined by Fitch. The 73.7% CLTV is driven by the large percentage of purchase loans (82.7%), which have a WA CLTV of 75.6%. A total of 165 loans are over $1.0 million, and the largest loan totals $2.99 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Three loans in the pool comprise a nonpermanent resident, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, these loans did not receive additional adjustments in the loss analysis. Approximately 36.6% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the San Francisco MSA (8.1%), followed by the Los Angeles MSA (6.9%) and the San Diego MSA (6.4%). The top three MSAs account for 21.4% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (291 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 252. The loan count concentration for this pool results in a 1.08x penalty, which increases loss expectations by 67 bps at the 'AAAsf' rating category. Shifting-Interest Structure and 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 servicers will provide full advancing for the life of the transaction. Although full principal and interest (P&I) advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicers look to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. Nationstar is the master servicer and will advance if the servicers are unable to so. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.35% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.40% 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 were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined 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 MVD, which is 41.5% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, reduced the 'AAAsf' expected loss by 0.37% 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 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 of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF 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. NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Ca ---------------------------------------------------------------- Moody's Ratings took various rating actions on $72 million CLO notes of Nassau 2017-II Ltd. Moody's Ratings has taken a variety of rating actions on the following notes: US$25.5M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 1, 2024 Upgraded to Aa1 (sf) US$28M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa3 (sf); previously on Jul 1, 2020 Downgraded to Ba1 (sf) US$18.5M Class E Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on Jul 1, 2024 Downgraded to Caa3 (sf) Moody's have also affirmed the rating on the following notes: US$52M (Current outstanding amount US$28.7M) Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on May 12, 2023 Upgraded to Aaa (sf) Nassau 2017-II Ltd., issued in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by NGC CLO Manager LLC. The transaction's reinvestment period ended in January 2022. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2024. The rating downgrade on the Class E notes reflect the specific risks to the junior notes posed by the deterioration in over-collateralisation ratios and par loss observed in the underlying CLO portfolio since the last rating action in July 2024. The affirmation on the rating on the Class B notes is 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-L and Class A-F notes have paid down collectively by approximately USD70.4 million (24.3%) since the last rating action in July 2024 and they are now fully repaid and Class B notes have paid down by approximately USD23.3 million (44.8%) since last rating action in July 2024. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated February 2025 [1] the Class A/B, Class C and Class D OC ratios are reported at 335.02%, 177.38% and 116.95% compared to July 2024 [2] levels of 157.54%, 130.39% and 109.64% respectively. The over-collateralisation ratios of Class E has deteriorated since the rating action in July 2024 driven by the loss of par and is currently failing. According to the trustee report dated February 2025 [1] Class E OC ratios are reported at 95.47% compared to July 2024 [2] levels of 99.21%, respectively. Furthermore Class D and Class E interest coverage tests are failing. 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: USD95.8m Defaulted Securities: USD0.6m Diversity Score: 35 Weighted Average Rating Factor (WARF): 2911 Weighted Average Life (WAL): 2.97 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.26% Weighted Average Recovery Rate (WARR): 47.25% 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. -- 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. NEWARK BSL 1: Moody's Affirms Ba3 Rating on $20MM Class D-R Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Newark BSL CLO 1, Ltd.: US$32.5M Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 22, 2024 Upgraded to Aa2 (sf) US$27.5M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on May 20, 2022 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$72,197,564) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 14, 2020 Assigned Aaa (sf) US$60M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 22, 2024 Upgraded to Aaa (sf) US$20M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 15, 2020 Confirmed at Ba3 (sf) Newark BSL CLO 1, Ltd., issued in December 2016, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in January 2022. RATINGS RATIONALE The rating upgrades on the Class B-R and Class C-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2024. The affirmations on the ratings on the Classes A-1-R, A-2-R and D-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD125.0 million (39.1% of original balance) since the last rating action in July 2024 and USD247.8 million (77.4%) 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, Class B, Class C and Class D OC ratios are reported at 151.1%, 128.0%, 113.3% and 104.6% compared to May 2024 [2] levels of 136.6%, 121.3%, 110.8% and 104.2%, respectively. Moody's notes that the January 2025 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD225.2 million Defaulted Securities: USD4.5 million Diversity Score: 66 Weighted Average Rating Factor (WARF): 2893 Weighted Average Life (WAL): 3.0 years Weighted Average Spread (WAS): 3.1% Weighted Average Coupon (WAC): 12.0% Weighted Average Recovery Rate (WARR): 47.0% 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. -- 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. NYMT LOAN 2025-INV1: S&P Assigns Prelim 'B-' Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to NYMT Loan Trust 2025-INV1's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, five- to 10-unit multifamily properties, and a manufactured home. The pool consists of 1,493 business-purpose investment property loans (including 29 cross-collateralized loans backed by 112 properties) which are all ability-to-repay-exempt. The preliminary ratings are based on information as of March 11, 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 aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) NYMT Loan Trust 2025-INV1 Class A-1A, $144,764,000: AAA (sf) Class A-1B, $26,734,000: AAA (sf) Class A-1, $171,498,000: AAA (sf) Class A-2, $23,393,000: AA- (sf) Class A-3, $31,546,000: A- (sf) Class M-1, $17,110,000: BBB- (sf) Class B-1, $11,362,000: BB- (sf) Class B-2, $7,753,000: B- (sf) Class B-3, $4,678,483: NR Class A-IO-S, Notional(ii): NR Class XS, 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 state principal balance of the mortgage loans as of the first day of the related due period and is initially $267,340,483. NR--Not rated. OCP CLO 2023-26: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC, a CLO originally issued in March 2023 that is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of March 10, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 17, 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 March 17, 2026. -- The reinvestment period will be extended to April 17, 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 17, 2037. -- Additional assets may be purchased to replace some existing assets on the March 17, 2025, refinancing date, but the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 17, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes or preference shares will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC Preference shares, $18.60 million: Not rated Subordinated notes, $17.00 million: Not rated OCTAGON INVESTMENT XXI: Moody's Assigns Ba3 Rating to D-R3 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by Octagon Investment Partners XXI, Ltd. (the "Issuer"). Moody's rating actions are as follows: US$224,547,338 Class A-1A-R4 Senior Secured Floating Rate Notes due 2031 (the "Class A-1A-R4 Notes"), Assigned Aaa (sf) US$86,250,000 Class A-2-R4 Senior Secured Floating Rate Notes due 2031 (the "Class A-2-R4 Notes"), Assigned Aaa (sf) US$36,000,000 Class B-R4 Secured Deferrable Floating Rate Notes due 2031 (the "Class B-R4 Notes"), Assigned Aa1 (sf) US$40,250,000 Class C-R4 Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R4 Notes"), Assigned A3 (sf) US$37,000,000 Class D-R3 Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R3 Notes"), Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction 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. Octagon Credit Investors, LLC (the "Manager") will continue to direct the acquisition and disposition of certain assets on behalf of the Issue. 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 one other class of secured notes, other changes to transaction features will include the extension of the non-call period. No action was taken on the Class E-RR notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $491,602,124 Defaulted par: $6,630,420 Diversity Score: 71 Weighted Average Rating Factor (WARF): 2892 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.34% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.08% Weighted Average Life (WAL): 3.57 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. OHA CREDIT X-R: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class 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./OHA Credit Partners X-R LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in December 2018 and underwent a refinancing in April 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt following payment in full on the March 11, 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 11, 2027. -- The reinvestment period was extended to March 11, 2030. -- The legal final maturity date was extended to April 20, 2038. -- The target initial par amount remains at $600 million. There is 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." 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-2-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) Ratings Withdrawn OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-1-R (deferrable) to NR from 'BBB (sf)' Class D-2-R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Subordinated notes, $101.50 million: NR NR--Not rated. PALMER SQUARE 2025-1: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Palmer Square CLO 2025-1 Ltd./Palmer Square CLO 2025-1 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 Palmer Square Capital 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2025-1 Ltd./Palmer Square CLO 2025-1 LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $7.50 million: AAA (sf) Class B, $52.50 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, $45.50 million: NR NR--Not rated. POLEN CAPITAL 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Polen Capital CLO 2025-1, Ltd. Entity/Debt Rating ----------- ------ Polen Capital CLO 2025-1, LTD. X LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Polen Capital CLO 2025-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Polen Capital CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured 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 95.8% first lien senior secured loans and has a weighted average recovery assumption of 73.7%. 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 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 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 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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 Polen Capital CLO 2025-1, LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PPM CLO 8: Fitch Assigns BBsf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PPM CLO 8 Ltd. Entity/Debt Rating ----------- ------ PPM CLO 8 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary PPM CLO 8 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PPM Loan Management Company 2, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 99.25% first-lien senior secured loans and has a weighted average recovery assumption of 74.39%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (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 a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. 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 PPM CLO 8 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. PREFERRED TERM XXI: Moody's Upgrades Rating on 2 Tranches to B1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXI, Ltd.: US$105,300,000 Floating Rate Class A-2 Senior Notes Due 2038 (current balance of $96,881,234.45), Upgraded to Aaa (sf); previously on September 11, 2019 Upgraded to Aa1 (sf) US$46,000,000 Floating Rate Class B-1 Mezzanine Notes Due 2038 (current balance of $42,322,286.66), Upgraded to A1 (sf); previously on September 11, 2019 Upgraded to Baa1 (sf) US$35,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due 2038 (current balance of $32,937,779.64), Upgraded to A1 (sf); previously on September 11, 2019 Upgraded to Baa1 (sf) US$48,500,000 Floating Rate Class C-1 Mezzanine Notes Due 2038 (current balance of $45,214,612.50), Upgraded to B1 (sf); previously on September 11, 2019 Upgraded to B2 (sf) US$28,350,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due 2038 (current balance of $26,429,572.49), Upgraded to B1 (sf); previously on September 11, 2019 Upgraded to B2 (sf) Preferred Term Securities XXI, Ltd., issued in March 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, insurance, and REIT trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the notes and an increase in the transaction's over-collateralization (OC) ratios since March 2024. The Class A-1 notes have paid down by approximately 3.41% or $4.7 million since March 2024, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-2, Class B, and Class C notes have improved to 175.68%, 132.44%, and 107.31%, respectively, from March 2024 levels of 169.64%, 129.22%, and 105.33%, respectively. The notes will continue to benefit from the diversion of excess interest and the Class A-1 notes will continue benefit from the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on 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 (after treating deferring securities as performing if they meet certain criteria): $405,044,000 Defaulted/deferring par: $87,500,000 Weighted average default probability: 13.31% (implying a WARF of 1387) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions was taken on the Class A-1 notes because its expected loss remains commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRPM TRUST 2025-NQM1: DBRS Finalizes BB(low) Rating on B-1 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2025-NQM1 (the Certificates) issued by PRPM 2025-NQM1 Trust (the Issuer) as follows: -- $348.9 million Class A-1 at AAA (sf) -- $34.7 million Class A-2 at AA (high) (sf) -- $39.4 million Class A-3 at A (high) (sf) -- $25.6 million Class M-1A at BBB (high) (sf) -- $21.4 million Class M-1B at BBB (low) (sf) -- $7.3 million Class B-1 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 30.55% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and 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 Mortgage Pass-Through Certificates, Series 2025-NQM1 (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. (Greenbox; 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 (Fay; 73.7%), NewRez LLC d/b/a 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 (DTI). Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 40.8% of the pool, the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. 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 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 unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction 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 US dollars unless otherwise noted. QVC GROUP: Fitch Lowers LongTerm IDR to 'B-', Outlook Stable ------------------------------------------------------------ Fitch Ratings has downgraded the Long-Term Issuer Default Ratings for QVC Group, Inc. (QVC, formerly Qurate Retail, Inc.) and its subsidiaries Liberty Interactive LLC and QVC Inc. to 'B-' from 'B'. The Outlook is Stable. The downgrade follows weakening revenue performance, which is expected to pressure EBITDA and leverage metrics, raising concerns about the company's ability to stabilize operating performance in the medium term. Revenue in 2024 was $10 billion, meaningfully below the 2020 peak of $12.5 billion (adjusting for the sale of Zulily), while EBITDA nearly halved to $1.1 billion from about $2.1 billion. Assuming EBITDA trends in the mid- to high-$900 million range beginning in 2025, EBITDAR leverage could trend in the low-to-mid 6x. QVC's rating continues to reflect its reasonable cash flow generation and limited debt maturities before 2029 following recent paydowns and exchanges, except for its $3.25 billion revolver that matures in October 2026. Key Rating Drivers Topline Declines: QVC's revenue has been challenged, falling to $10 billion in 2024 from $11.9 billion pre-pandemic and a peak of about $12.5 billion in 2020 (both figures exclude Zulily, which was sold in early 2023). This revenue contraction mirrors declines in linear television viewership. These declines are expected to persist in the medium term, creating ongoing topline headwinds and raising concerns about the timing and degree of long-term operating stability. Despite efforts to stabilize revenue in recent years, including the April 2024 launch of its Age of Possibility marketing initiative to attract female customers over 50, revenue declines moderately accelerated to down 5% in 1H24 and down 6% in 2H24, from down 3% in 2H23. The company expects industry headwinds to persist into 2025, with operational challenges potentially worsened by the impact of tariffs on product inflation and consumer spending. Fitch projects revenue could decline another 4%-5% in 2025. Pivot to Social Commerce: The company is executing plans to expand its business in social commerce, including platforms like Instagram and TikTok, to mitigate declines in its primary QVC/HSN businesses. However, its social commerce platform remains somewhat nascent, and Fitch notes potential execution risks as the company reworks content production and other operational elements to align with new platforms. If the company is successful in driving social commerce, overall revenue declines could improve toward the low-single digits in 2026. Cost Reductions Support EBITDA: QVC's EBITDA was flattish around $1.1 billion in 2022-2024 despite about $2 billion in revenue declines as the company executed "Project Athens". The project focused on improving product mix, cost structure reduction, and efficiency efforts in supply chain operations. EBITDA margins improved from about 8.7% in 2022 to 11% in 2024. Fitch expects EBITDA margins could contract over the next 12-24 months to about 10%, yielding EBITDA trending in the mid- to high-$900 million range because QVC will likely need to invest in initiatives to support social commerce growth. Positive Cash Flow: QVC generates reasonable FCF, including about $230 million in 2024. Fitch projects annual FCF near $150 million starting in 2025, given Fitch's EBITDA assumptions, interest expense of about $400 million, and capex in the $300 million range. The company could use FCF to address revolver borrowings ($1.2 billion at YE 2024) and modest secured notes maturities in 2027/2028 in the context of the company's 2.5x net leverage target and equating to low-5x on a Fitch EBITDAR leverage basis. In 2024, the company repaid about $440 million of net debt. Elevated Leverage: QVC's EBITDAR leverage was high at about 6.1x in 2024. Fitch expects EBITDAR leverage to trend in the mid-6x range with EBITDAR coverage in the high-1x range over the next 12-24 months. The company expects to extend and potentially downsize its $3.25 billion revolver, which currently matures in October 2026. Following the recent repayment of about $586 million of secured debt in 1Q25 using cash and revolver borrowings, the company faces modest note maturities in 2027/2028 of about $116 million and will need to address about $1.2 billion of debt due in 2029. Parent Subsidiary Linkage: Fitch's analysis includes a strong subsidiary and weak parent approach between the parents, QVC and Liberty, and their respective subsidiaries, Liberty and QVC, Inc., given their proximity to operating assets. Fitch assesses the quality of the overall linkages as high, which results in an equalization of the ratings. The equalization reflects open legal ring-fencing and open access and control across the capital structure. Peer Analysis QVC's 'B-'/Stable Issuer Default Rating (IDR) reflects Fitch's concerns regarding the company's ability to stabilize market share and improve its elevated leverage profile following recent revenue declines across its business. QVC's cash flow generation remains good, with annual FCF expected to be at least $150 million, which could support some debt reduction. QVC's peers include national department store competitors Macy's Inc. (BBB-/Stable), Kohl's Corp (BB/Stable), and Nordstrom, Inc. (BB/Stable). Each of these companies contend with secular headwinds affecting the department store industry and are continuously refining strategies to defend their market share. Initiatives include investments in omnichannel models, portfolio reshaping to reduce exposure to weaker indoor malls, and efforts to strengthen merchandise assortments and service levels. Each of these competitors operate with leverage well below that of QVC. Kohl's ratings remain Under Criteria Observation (UCO) post the publication of Fitch's new lease criteria on Dec. 6, 2024. The UCO designation indicates that the existing ratings may change due to the application of the final criteria. Key Assumptions - Fitch projects 2025 revenue could decline by about 5% to approximately $9.6 billion, given the ongoing headwinds affecting linear television viewership and consumer spending on discretionary goods categories like apparel and home. Revenue in 2026 could decline modestly, in the 1%-2% range, assuming continued challenges to QVC's linear TV business and some customer count contractions are mitigated by growth in new businesses like social commerce; - EBITDA in 2025/2026 could moderate to the mid- to high-$900 million range from $1.1 billion in 2024 given the sales contraction. Margins could decline toward 10% from the 11% recorded in 2025 as the company concludes the bulk of its cost-reduction program; - FCF, which was about $230 million in 2024, could trend around $200 million beginning 2025, given Fitch's EBITDA projections and about $400 million of annual cash interest and $300 million of annual capex. Fitch expects the company could use FCF to reduce debt, including its revolver and modest maturities in 2027/2028; - EBITDAR leverage, which was about 6.1x in 2024, could trend in the mid-6x range in 2025/2026 assuming EBITDA declines are modestly offset by debt reduction. Recovery Analysis Fitch's recovery analysis assumes QVC's value is maximized as a going concern in a post default scenario, given a going concern valuation of about $5 billion relative to a liquidation value of about $1.7 billion. Fitch's going concern value is derived from a projected EBITDA of about $900 million. The scenario assumes a lower revenue base of about $8.5 billion, about 15% below 2024 levels, assuming continued customer count declines and market share erosion. EBITDA margins could trend in the low-10% range, similar to projected levels in 2025, assuming the impact of lost sales on QVC's fixed expenses are somewhat offset by cost reductions. Fitch selected a going concern multiple of 5.5x, within the 4x-8x range observed for North American corporates, reflecting an assessment of QVC's industry dynamics and company-specific factors. This is at the upper end of the range used in its analysis of retailers, given the company's outsized exposure to the fast-expanding e-commerce channel and good cash conversion. The multiple also reflects the company's limited real estate infrastructure, which permits greater operating flexibility than that of retailers. However, given heightened questions regarding the company's longer term operating sustainability, Fitch has reduced QVC's going concern multiple from its prior 6x. After deducting 10% administrative claims from the going concern valuation, QVC's secured revolver and secured notes would have superior recovery prospects, while its unsecured notes and preferred equity would have poor recovery prospects. Fitch assumes the $3.25 billion RCF, secured by the equity of QVC, Inc. and Cornerstone (which together own most of QVC's operating assets) would be fully drawn. The secured notes have similar security as the revolver although they are not secured by Cornerstone, which generates about 6% of QVC's EBITDA. Fitch assumes a small concession payment is made to the unsecured notes issued by Liberty, which owns Cornerstone alongside the parent QVC Group, Inc. Given the various recovery prospects, the secured debt is rated 'B+'/'RR2', while the unsecured debt and preferred equity are rated 'CCC'/'RR6'. These ratings have been downgraded by one notch, in line with the downgrade to the Long-Term IDR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A downgrade could result from greater-than-expected topline declines, yielding heightened business model concerns and EBITDAR leverage sustained over 7.0x. Operating weakness, which caused EBITDAR fixed charge coverage to trend toward the mid-1x range with limited FCF, could also yield a downgrade. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade could result from a demonstrated track record of stable revenue and EBITDA, yielding EBITDAR leverage and EBITDAR fixed charge coverage sustained below 6.5x and over 2.0x, respectively. Liquidity and Debt Structure QVC's liquidity is good, with $900 million of cash on hand as of Dec. 31, 2024 plus $1.6 billion of availability on its $3.25 billion secured revolver due October 2026. QVC's cash is split between cash held at its QVC Inc. operating entity ($297 million as of Dec. 31, 2024), Cornerstone Brands Inc. ($135 million) and the parent/Liberty entities ($473 million). The company has publicly indicated plans to extend and potentially downsize its revolver in 2025. As of Dec. 31, 2024, QVC's capital structure consisted of $1.2 billion of revolver borrowings, $2.7 billion of secured notes due between 2025 and 2068, $1.6 billion of unsecured debt due in 2029/2030 and $1.3 billion in preferred equity which Fitch treats as debt. The secured credit facility is co-borrowed by QVC Inc., QVC Global Corporate Holdings LLC, and Cornerstone Brands Inc, which together own QVC's operating assets. The revolver is secured by the equity of QVC and Cornerstone. The company indicated that during 1Q25 it repaid its $586 million of secured debt due February 2025 with a combination of cash on hand and revolver borrowings. QVC's next maturities are $44 million and $72 million of secured notes in February 2027 and September 2028, respectively. Issuer Profile QVC Group, Inc. is a global leader in video retail and e-commerce across multiple linear, streaming and online platforms, including QVC, HSN, Ballard Design, Frontgate, Garnet Hill, and Grandin Road. Summary of Financial Adjustments - EBITDA adjusted to exclude stock-based compensation; - Fitch uses the balance sheet reported lease liability as the capitalized lease value when computing lease-equivalent debt; - QVC Group, Inc.'s cumulative redeemable preferred stock receives 0% equity treatment. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations QVC Group, Inc. has an ESG Relevance Score of '4' for Group Structure due to due to the structure's complexity and related-party transactions, 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. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- QVC, Inc. LT IDR B- Downgrade B senior secured LT B+ Downgrade RR2 BB- Liberty Interactive LLC LT IDR B- Downgrade B senior unsecured LT CCC Downgrade RR6 CCC+ QVC Group, Inc. LT IDR B- Downgrade B preferred LT CCC Downgrade RR6 CCC+ RFR TRUST 2025-SGRM: Fitch Assigns 'B+sf' Rating on Class F Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the RFR Trust 2025-SGRM, Commercial Mortgage Pass-Through certificates, Series 2025-SGRM. - $630,600,000 class A at 'AAAsf'; Outlook Stable; - $88,000,000 class B at 'AA-sf'; Outlook Stable; - $81,300,000 class C at 'A-sf'; Outlook Stable; - $114,500,000 class D at 'BBB-sf'; Outlook Stable; - $155,600,000 class E at 'BB-sf'; Outlook Stable; - $69,500,000 class F at 'B+sf'; Outlook Stable; Fitch does not rate the following classes: - $1,200,000,000 class X; - $60,500,000 class HRR*. *HRR - Horizontal risk retention interest representing approximately 5.0% of the estimated fair value of all classes of regular certificates. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $1.2 billion, four-year, fixed-rate, interest-only commercial mortgage whole loan. The mortgage is secured by, among other considerations, the borrower's fee simple interest in the Seagram Building, an 859,934-sf, 38-story, class A office tower located in Midtown Manhattan. Mortgage loan proceeds, along with $24.2 million of existing loan reserves, were used to refinance $1.15 billion of prior debt, fund $46.9 million in upfront reserves related to ongoing landlord obligations and free rent, pay additional mortgage recording tax of $13.2 million, and pay estimated closing-related costs of $11.1 million in a cash-neutral transaction. The loan sponsor is RFR, which is indirectly owned and controlled by Aby Rosen and Michael Fuchs. The loan was co-originated by Morgan Stanley Mortgage Capital Holdings LLC, Citi Real Estate Funding Inc. and JPMorgan Chase Bank, National Association, which will act as trust loan sellers. Trimont LLC will serve as the master servicer, and Situs Holdings, LLC will serve as the special servicer. Computershare Trust Company, National Association will act as trustee and certificate administrator. The certificates will follow a sequential-pay structure. The transaction is scheduled to close on March 5, 2025. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $77.59 million, 17.3% lower than the issuer's NCF. Fitch applied a 7.0% cap rate to derive a Fitch value of $1.108 billion for the property. The Fitch cap rate is among the lowest applied to an office building, given the many unique factors of the asset, its location and its tenancy. High Fitch Leverage: The $1.2 billion mortgage loan equates to total senior debt of approximately $1,397 psf, with a Fitch stressed loan-to-value ratio (LTV), debt service coverage ratio (DSCR) and debt yield (DY) of 108.3%, 0.81x and 6.5%, respectively. The lowest Fitch-rated tranche (class F) has a Fitch LTV, DSCR and DY of 102.8%, 0.85x and 6.8%, respectively. Trophy Quality Asset; Superior Manhattan Location: The loan is secured by the Seagram Building, an iconic 859,934-sf, 38-story, class A office tower located in the Plaza district of Midtown Manhattan. The property is easily accessible to many parts of the New York City MSA due to its proximity to several entrances to Grand Central Terminal, which provides connectivity to many New York and Connecticut suburbs via the Metro-North Railroad (Metro-North) and Long Island Rail Road (LIRR) services. The property has received a LEED Silver certification and features high-end finishes. The sponsors invested $16.3 million in 2022 to create The Playground, an amenity complex containing fitness facilities and athletic courts as well as flex spaces and conference rooms. Fitch assigned the Seagram Building a property quality grade of "A". Well-Positioned Anchor Tenant: The subject's largest tenant is Blue Owl (27.8% of NRA), which has been a tenant at the property since 2022 and is headquartered in the building. Blue Owl leases nine floors in the building in two contiguous blocks (floors 2-6 and floors 16-19). In October 2024, Blue Owl leased floors 16-19 shortly after the previous tenant, Clayton, Dubilier & Rice, gave notice of its intent to surrender the space in June 2025. This represents the second instance of Blue Owl expanding its footprint within the building, after previously doing so in 2022. Blue Owl's space on the fifth floor offers access to two private terraces and is built out with a conference center and a large employee cafeteria with a professional kitchen, which serves two meals a day. Blue Owl is one of several tenants that have outfitted their spaces with internal staircases to connect suites on adjacent floors. Strong Tenant Profile: The Seagram Building is considered one of Manhattan's most iconic office addresses and is in high demand for a diverse group of high-quality tenants. The building is 96.3% physically occupied by 40 tenants and has a higher concentration of investment-grade or creditworthy tenants relative to other multitenant office buildings rated by Fitch. Approximately 36.8% of the NRA and 40.7% of Fitch's base rent comprise creditworthy tenants, including Blue Owl and TIAA of America. Furthermore, 64% of tenants have either their global or U.S. headquarters at the property, including RFR Realty. The property has an in-place weighted average lease term remaining (WALTR) of 9.7 years, which is well past the loan maturity date in 2029. Institutional Sponsorship: The sponsor is RFR, which is indirectly owned and controlled by Aby Rosen and Michael Fuchs. RFR was founded in 1991 and has a commercial real estate (CRE) portfolio of more than 100 properties containing over 25 million sf. RFR's portfolio includes office properties in New York, Stamford, Miami, Seattle, San Francisco and Denver. 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 Decrease: 'AA-sf' / 'A-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' / 'BBBsf' / 'BBsf' / 'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-calculation 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. ROC MORTGAGE 2025-RTL1: DBRS Gives Prov. B(low) Rating on M2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by ROC Mortgage Trust 2025-RTL1 (ROC 2025-RTL1 or the Issuer) as follows: -- $149.4 million Class A1 at (P) A (low) (sf) -- $14.2 million Class A2 at (P) BBB (low) (sf) -- $13.7 million Class M1 at (P) BB (low) (sf) -- $12.7 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.30% of credit enhancement provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.20%, 11.35%, 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 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 were backed by: -- 448 mortgage loans with a total unpaid principal balance of approximately $160,458,500, -- Approximately $39,541,500 in the Accumulation Account, and -- Approximately $1,000,000 in the Prefunding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. Roc 2025-RTL1 represents the third RTL securitization on the Roc shelf. Roc Capital Holdings LLC is a privately held company formed in 2015 that provides business purpose loans to residential real estate investors. Roc Capital Holdings LLC, through affiliated entities (collectively, Roc360), is the originator (Loan Funder LLC), servicer (Loan Servicer LLC), and asset manager (Roc360 Advisors LLC). The Sponsor, Roc360 Real Estate Income Trust, Inc, is a real estate investment trust incorporated in 2023 that is managed by Roc360 Advisors LLC. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTLs with original terms to maturity of six to 36 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include, but are not limited to: -- A minimum nonzero weighted-average (NZ WA) FICO score of 730, -- A maximum NZ WA as-is loan-to-value (AIV (LTV) ratio of 80%, -- A maximum NZ WA loan-to-cost (LTC) ratio of 85.0% for 1-4 family and 80.0% for multi-family and mixed use, and -- A maximum NZ WA as-repaired Loan-to-Value LTV (ARV LTV) ratio of 65.0%. 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 1.0% 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 Asset Manager. In the Roc 2025-RTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction 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 (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using its 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 Roc 2025-RTL1 eligibility criteria, unfunded commitments are limited to 30.0% of the portfolio by assets of the Issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans and (2) amounts in the Accumulation Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes sequentially. If the Issuer does not redeem the Notes by the payment date in August 2027, the Class A1 and A2 fixed rates will step up by 1.000% the following payment date. There will be no advancing of delinquent (DQ) interest on any mortgage loan by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will satisfy Rehabilitation Disbursement Requests by (1) directing release of funds from the Rehab Escrow Account to the applicable borrower for loans with funded commitments (as of the Initial Cut-Off Date, there were no loans with funded commitments) or (2) for loans with unfunded commitments, (A) advancing funds on behalf of the Issuer (Rehabilitation Advances) or (B) directing the release of funds from the Accumulation Account. The Servicer will be entitled to reimburse itself for Rehabilitation Disbursement Requests from time to time from the Accumulation Account and from the transaction cash flow waterfall after payment of interest to the notes. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.0% to the most subordinate rated class. The transaction incorporates a Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Prefunding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $1,000,000. On the payment dates occurring in March 2025, April 2025, and May 2025, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Roc360 RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for Roc360's historical originations and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Other Transaction Features Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ, defaulted or extended mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. During the reinvestment period, if the Depositor repurchases DQ, defaulted, or extended loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to repurchase a loan because of a material breach, a material document defect, or the loan is a non-REMIC qualified mortgage, -- The Depositor elects to exercise its Repurchase Option, or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Roc360 Real Estate Income Trust, Inc., or 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 XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). Although many RTLs 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 if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in US dollars unless otherwise noted. RR 37 LTD: Fitch Assigns 'BB+sf' Rating on Class D Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 37 LTD. Entity/Debt Rating Prior ----------- ------ ----- RR 37 LTD A-1a LT NRsf New Rating NR(EXP)sf A-1b LT AAAsf New Rating AAA(EXP)sf A-2 LT AA+sf New Rating AA+(EXP)sf B LT A+sf New Rating A+(EXP)sf C-1a LT BBBsf New Rating BBB(EXP)sf C-1b LT BBB-sf New Rating BBB-(EXP)sf C-2 LT BBB-sf New Rating BBB-(EXP)sf D LT BB+sf New Rating BB+(EXP)sf E LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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. 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. Date of Relevant Committee 25-Feb-2025 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 37 LTD: Moody's Assigns B3 Rating to $450,000 Class E Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by RR 37 LTD (the Issuer or RR 37): US$283,500,000 Class A-1a Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$450,000 Class E Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RR 37 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, senior secured bond, high yield bond and/or senior secured note. The portfolio is approximately 90.0% ramped as of the closing date. Redding Ridge Asset Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3026 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.6 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. SBNA AUTO 2024-A: Fitch Affirms 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of six classes of SBNA Auto Receivables Trust (SBAT) 2024-A, upgraded the rating of the class B notes, and revised the Rating Outlooks for three of the affirmed classes of notes to Positive from Stable. Following the upgrade, the class B notes have been assigned a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- SBNA Auto Receivables Trust 2024-A Class A-2 78437PAB9 LT AAAsf Affirmed AAAsf Class A-3 78437PAC7 LT AAAsf Affirmed AAAsf Class A-4 78437PAD5 LT AAAsf Affirmed AAAsf Class B 78437PAE3 LT AAAsf Upgrade AAsf Class C 78437PAF0 LT Asf Affirmed Asf Class D 78437PAG8 LT BBBsf Affirmed BBBsf Class E 78437PAH6 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations and upgrade of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking inside the initial rating case proxy and hard CE levels have grown for all classes since close. The Stable Outlooks for the 'AAAsf' rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transaction amortizes. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. As of the January 2025 collection period, 60+ day delinquencies were 2.34%. Cumulative net losses (CNL) were 2.40%, tracking below Fitch's initial rating case of 9.00%. The lifetime CNL proxy considers the transaction's remaining pool factor, pool composition, and performance to date. Furthermore, the proxy considers current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case proxy. For this review, Fitch maintained the rating case CNL proxy at 9.00%. Under the revised lifetime CNL loss proxy, cash flow modelling continues to support multiples consistent with or in excess of 3.25x for 'AAAsf', 2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf' and 1.50x for 'BBsf'. Fitch's base case credit loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 7.00%, based on Fitch's Global Economic Outlook - December 2024, historical securitization performance, and Fitch's expectations for wholesale vehicle values over the life of the transaction. 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 affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of its rating case loss expectation. To date, the transaction has exhibited stable performance and losses within Fitch's initial expectations. The transaction continues to build hard CE supportive of adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have a potential negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the rating case proxy, the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIERRA TIMESHARE 2025-1: Fitch Assigns 'BB(EXP)' Rating on D Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2025-1 Receivables Funding LLC (Sierra 2025-1). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly-owned operating subsidiaries of Travel + Leisure Co. (T+L, formerly Wyndham Destinations, Inc.). This is T+L's 51st public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2025-1 Receivables Funding LLC A 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 Borrower Risk - Consistent Credit Quality: Approximately 67.5% of Sierra 2025-1 consists of WVRI-originated loans. The remainder of the pool is comprised of WRDC loans. Fitch has determined that on a like-for-like FICO basis WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 741, which is slightly higher than the prior transaction. The collateral pool has eight months of seasoning and is 67.3% comprised of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy —Rising CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2023 vintages show increasing gross defaults, tracking outside of levels experienced in 2008. This is partially driven by an increased usage of paid product exits (PPEs). The 2022-2024 transactions are showing weakening default trends relative to improved performance in 2020-2021 transactions, but trending below the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 21.50%, lower than 22.00% for 2024-3. Given the current economic environment, default vintages reflecting more recent vintage performance were utilized, specifically of the 2015-2019 vintages. Structural Analysis — Lower CE: The initial hard credit enhancement (CE) for that class A, B, C and D notes is 54.50%, 34.75%, 14.50% and 4.50%, respectively. CE is lower for classes A and B relative to 2024-3, mainly due to lower subordination compared with the prior transaction. Hard CE comprises overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread of 8.28% per annum. Default coverage for all notes is able to support rating case CGD multiples of 3.00x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. Servicer Operational Review — Quality of Servicing: Fitch considers T+L to have demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and default performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of up to two rating categories for the subordinate classes. 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 recomputation of certain characteristics with respect to 155 sample 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. SIERRA TIMESHARE 2025-1:S&P Assigns Prelim 'BB-' Rating on D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sierra Timeshare 2025-1 Receivables Funding LLC's timeshare loan-backed notes. The note issuance is an ABS securitization backed by vacation ownership interest (timeshare) loans. The preliminary ratings are based on information as of March 6, 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 credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- The transaction's ability, on average, to withstand breakeven default levels of 69.7%, 54.2%, 39.4%, and 31.3% for the class A, B, C, and D notes, respectively, based on S&P's various stressed cash flow scenarios. These levels are higher than the 3.19x, 2.28x, 1.77x, and 1.34x multiples of our expected cumulative gross defaults of 21.3% for the class A, B, C, and D notes, respectively. -- The transaction's ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under S&P's rating stresses, and performance under the credit stability and sensitivity scenarios at their respective rating levels. -- The collateral characteristics of the series' timeshare loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the timeshare sector. -- The series' bank accounts at U.S. Bank Trust Co. N.A. and the reserve account amount to be represented by a letter of credit to be provided by The Bank of Nova Scotia, which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Wyndham Consumer Finance Inc. as servicer, and our views of the company's servicing ability and experience in the timeshare market. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Sierra Timeshare 2025-1 Receivables Funding LLC Class A, $171.429 million: AAA (sf) Class B, $70.537 million: A (sf) Class C, $70.534 million: BBB (sf) Class D, $37.500 million: BB- (sf) SIXTH STREET XVII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R replacement debt and the new class X debt from Sixth Street CLO XVII Ltd., a CLO originally issued in 2021 that is managed by Sixth Street CLO XVII 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 6, 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 weighted average cost of the replacement debt is lower than the original debt. -- The non-call period was extended to April 17, 2027. -- The reinvestment period was extended to April 17, 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to April 17, 2038. -- The class X debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first eight payment dates in equal installments of $125,000, beginning on the July 2025 payment date and ending in April 2027. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 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) Ratings Withdrawn Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC Class A 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 Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC Subordinated notes, $43.00 million: NR NR--Not rated. SOUND POINT XXV: Moody's Cuts Rating on $18MM Cl. E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO XXV, Ltd.: US$18M Class E-R Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Mar 2, 2022 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$278.5M Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 2, 2022 Assigned Aaa (sf) US$14M Class A-2-R Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Mar 2, 2022 Assigned Aaa (sf) US$49.5M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2 (sf); previously on Mar 2, 2022 Assigned Aa2 (sf) US$27M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Mar 2, 2022 Assigned A2 (sf) US$27M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Mar 2, 2022 Assigned Baa3 (sf) Sound Point CLO XXV, Ltd., issued in January 2020 and refinanced in March 2022, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period will end in April 2025. RATINGS RATIONALE The rating downgrade on the Class E-R notes is primarily a result of the deterioration in over-collateralisation ratios and the deterioration of the key credit metrics of the underlying pool since the payment date in January 2024. The affirmations on the ratings on the Class A-1-R, A-2-R, B-R, C-R and D-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The over-collateralisation ratios of the rated notes have deteriorated over the last year. 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 128.14%, 118.77%, 110.67% and 105.86% compared to February 2024 [2] levels of 128.96%, 119.53%, 111.38% and 106.54%, respectively. In addition, the reported portfolio WAS, WAC and WARR have deteriorated from 3.72%, 7% and 46.63%, respectively, in February 2024 to 3.31%, 2.82% and 45.83%, respectively, in February 2025. 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. 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. 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. STEELE CREEK 2019-2: S&P Assigns BB-(sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-R, and E-R replacement debt from Steele Creek CLO 2019-2 Ltd./Steele Creek CLO 2019-2 LLC, a CLO managed by Steele Creek Investment Management LLC that was originally issued in August 2019 and underwent a partial refinancing on July 15, 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D, and E debt following payment in full on the March 6, 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 for the replacement debt was set to Sep. 5, 2025. Replacement And July 2021 Issuances Replacement debt -- Class A-RR, $202.77 million: Three-month CME term SOFR + 1.00% -- Class B-RR, $44.00 million: Three-month CME term SOFR + 1.52% -- Class C-RR, $26.00 million: Three-month CME term SOFR + 1.80% -- Class D-R, $24.00 million: Three-month CME term SOFR + 2.80% -- Class E-R, $15.00 million: Three-month CME term SOFR + 6.35% July 2021 debt -- Class A-R, $202.77 million: Three-month CME term SOFR + 1.43% -- Class B-R, $44.00 million: Three-month CME term SOFR + 2.11% -- Class C-R, $26.00 million: Three-month CME term SOFR + 2.91% -- Class D, $24.00 million: Three-month CME term SOFR + 4.61% -- Class E, $15.00 million: Three-month CME term SOFR + 7.96% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, we assigned a 'BB- (sf)' rating on the class E-R debt. We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Steele Creek CLO 2019-2 Ltd./Steele Creek CLO 2019-2 LLC Class A-RR, $202.77 million: AAA (sf) Class B-RR, $44.00 million: AA (sf) Class C-RR, $26.00 million: A (sf) Class D-R, $24.00 million: BBB- (sf) Class E-R, $15.00 million: BB- (sf) Ratings Withdrawn Steele Creek CLO 2019-2 Ltd./Steele Creek CLO 2019-2 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Steele Creek CLO 2019-2 Ltd./Steele Creek CLO 2019-2 LLC Subordinated notes, $40.19 million: NR NR--Not rated. STWD LTD 2019-FL1: DBRS Confirms B Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of notes issued by STWD 2019-FL1, Ltd.: -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) Morningstar DBRS also changed the trends on Classes E, F, and G to Stable from Negative, while the trends on Classes A-S, B, C, and D remain Stable. The credit rating confirmations and trend changes reflect the increased collateral reduction to the transaction, which, as of January 2025 reporting, totaled 65.1% since closing with an additional 15.1% in collateral reduction realized since the previous Morningstar DBRS credit rating action in March 2024. In its previous review, Morningstar DBRS noted its concern of increased credit risk to the transaction related to the concentration of loans secured by properties in the downtown Houston and Los Angeles markets, which have been underperforming in recent years. While select borrowers remain behind in the respective business plans, the credit ratings reflect the outstanding credit risks and the increased subordination to the notes supports the trend changes. As of January 2025, the unrated, first-loss piece has a balance of $77.0 million and the below-investment-grade rated bonds, Class F and Class G, have balances of $53.6 million and $33.0 million, respectively. 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 trust reported an outstanding balance of $383.8 million with seven loans remaining in the trust. Since the previous Morningstar DBRS credit rating action, three loans were paid in full, totaling $156.2 million. The trust is concentrated by loans secured by multifamily (three loans representing 43.1% of the current trust balance) and office (three loans representing 40.1% of the current trust balance) collateral. The remaining loan is secured by a hotel property in downtown Houston. The largest loan in the trust, 700 Louisiana and 600 Prairie Street (Prospectus ID#2, 25.0% of the current trust balance), is secured by a 1.3 million-square-foot (sf) office tower and parking garage in downtown Houston. The loan has a current A note balance of $252.0 million with a $96.0 million piece securitized in the trust. The loan was modified in February 2024, extending the loan maturity to January 2026 with a potential fully extended maturity date of January 2028. A preferred equity partner was also added to the transaction with plans to contribute up to $30.0 million of capital for leasing costs, capital expenditures, and projected carry costs. As of the December 2024 rent roll, the property was 67.2% occupied, up from 65.2% as of December 2023. The occupancy rate continues to trail the Morningstar DBRS and Issuer stabilized rates concluded at loan closing of 81.2% and 85.9%, respectively. According to the collateral manager, the property generated net operating income (NOI) of $18.4 million at YE2024, resulting in a debt service coverage ratio (DSCR) of 1.14 times (x) and a debt yield of 7.3% In comparison, these figures were $18.1 million, 1.10x and 7.2% at YE2023 as year-over-year performance remains relatively unchanged. In keeping with its previous analysis, Morningstar DBRS continues to assert the asset is likely over leveraged as the implied cap rate is 6.5% when calculated off the updated 2024 property valuation of $284.0 million. According to the CBRE United States Cap Rate Survey H1 2024, Class A Value-Add office properties in the downtown Houston market were valued with cap rates ranging from 11.50% to 12.50%. The reported cap rate range for stabilized Class A properties in the market was between 8.75% of 9.50%. Morningstar DBRS notes the borrower has up to three additional years to stabilize the collateral; however, In its current analysis, Morningstar DBRS applied an upward cap rate adjustment, resulting in a loan-to-value ratio (LTV) above 100.0%; however, the analyzed property value shortfall is contained to the unrated first loss piece. All remaining borrowers have received loan modifications or forbearance agreements, which have provided borrowers capital relief, loan extensions, and/or additional loan funding to complete business plans. As of January 2025 reporting, four loans, representing 56.5% of the current trust balance, are on the servicer's watchlist and have been flagged for low occupancy rates, low property cash flow and/or upcoming loan maturity. The largest loan on the servicer's watchlist, Hyatt Regency Houston (Prospectus ID#9, 16.8% of the current trust balance), is secured by a 955-key full-service hotel in downtown Houston. The loan was added to the servicer's watchlist in August 2024 after the property sustained damage during a May 2024 storm, including damage to the roof, rooftop mechanical systems, and water intrusion issues across several floors. Morningstar DBRS did not receive an update regarding the restoration process and insurance claim process; however, servicer commentary noted the repairs were estimated to cost $3.5 million to $4.0 million with a 90-day completion timeline. The loan is also being monitored for the upcoming July 2025 maturity date, though the borrower does retain one, final 12-month extension option. According to the YE2024 income statement, property occupancy was 47.7% with an average daily rate (ADR) of $203.73 and revenue per available room (RevPAR) of $97.10. While the occupancy rate remains low and is below the Morningstar DBRS stabilized figure of 54.0%, it has improved from the YE2023 figure of 42.2% and YE2022 figure of 39.5%. The loan has a current senior note balance of $97.6 million with a $64.6 million piece securitized in the trust. The appraiser valued the property at loan closing in 2019 with an in-place value of $111.0 million, indicative of an LTV 87.9% and a 11.7% cap rate based on the YE2024 net cash flow (NCF) of $13.0 million. While Morningstar DBRS did not receive an update regarding the borrower's exit strategy given the upcoming loan maturity, the performance of the property justifies the leverage on the property. Including the Hyatt Regency Houston loan, three loans, totaling 42.9% of the current trust balance, have scheduled maturity dates through July 2025. The 1213 Walnut Street loan (Prospectus ID#26, 13.7% of the pool) is secured by a Class A, high-rise apartment property in downtown Philadelphia. The loan is currently on the servicer's watchlist for the upcoming March 2025 maturity date. The loan originally matured in December 2024, but the borrower was provided a short-term maturity extension. According to December 2024 rent roll, the property was 80.7% occupied with an average rental rate of $2,724 per unit. The property generated a trailing 12-months (T-12) ended November 30, 2024, NCF of $7.0 million, equating to a 0.70x DSCR and a 5.6% debt yield. At loan closing, the property was valued at $153.2 million, equating to a current LTV of 81.6% and 4.6% cap rate based on the T-12 NOI. In its current analysis, Morningstar DBRS determined the indicative cap rate to be aggressive and applied an upward adjustment with the resulting adjusted LTV slightly above 100.0%, suggesting the borrower may need to contribute fresh equity to refinance the existing debt or execute a loan modification if it does not sell the property. The Lakeshore Towers loan (Prospectus ID#29, 12.4% of the current trust balance) is secured by a Class A 0.9 million-sf office property in Irvine, California. The loan is on the servicer's watchlist for the pending final March 2025 maturity date; however, the loan has been flagged for ongoing low occupancy and cash flow. According to the December 2024 rent roll, the property was 64.0% occupied with a YE2024 NOI of $6.3 million, which trails the Morningstar DBRS stabilized figures of 87.5% and $15.7 million, respectively. The senior loan has a $197.2 million balance with a $47.7 million piece securitized in the trust. At loan closing, the property was valued at $271 million, indicative of an LTV of 72.6% and a 2.3% cap rate based on the YE2024 NOI. Given the low cap rate, Morningstar DBRS does not expect the borrower to be able to exit the loan at maturity and will likely request a loan modification and maturity extension. If an agreement is finalized, Morningstar DBRS expects the lender to require the borrower to make a fresh equity contribution in the form of a loan curtailment or deposit(s) into reserve accounts. In its current analysis, Morningstar DBRS applied a stressed haircut to the original appraised property value, resulting in an LTV above 100.0%; however, the analyzed property value shortfall is contained to the unrated first loss piece. Notes: All figures are in U.S. dollars unless otherwise noted. SWCH COMMERCIAL 2025-DATA: DBRS Finalizes B(high) on HRR Certs -------------------------------------------------------------- DBRS Limited finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2025-DATA (the Certificates) issued by SWCH Commercial Mortgage Trust 2025-DATA: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. SWCH Commercial Mortgage Trust 2025-DATA is a securitization collateralized by the borrower's fee-simple interest in three data center properties in Nevada. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, desirable efficiency metrics, and strong redundancy. Switch Ltd. (Switch) held a portfolio of more than 20 operating data center properties in six different metropolitan areas, inclusive of the subject collateral. Morningstar DBRS' credit rating on the Certificates reflects the low leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit rating also reflects the quality of service provided by the company, the access to key fiber nodes, and technology that can maintain the data centers' relevance into the future. The data centers backing this financing are generally well-built and benefit from the large national network provided by Switch. Switch is a leader in the technology sector with more than 700 patents and patents pending for design and operations that maintain its high standards and reliability. Switch also uses a modular design that allows for infrastructure upgrades and interchanging with minimal disruption. Finally, Switch has, over the last two decades, developed a large purchasing co-operative for its customers that allows for savings on both connectivity and power, both of which represent key inputs for users. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location centers act as an on-ramp for users to gain access to the wider network, or for information from the network to be routed back to users. Switch operates a large network using third-party and proprietary fiber to provide access to a large number of technology firms. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. All three properties in the portfolio maintain 2N+1 electrical redundancy, which allows for more certainty around uptime at subject data centers. This is well-above market standard. With 2N+1 electrical redundancy, multiple layers of systems must fail simultaneously to result in service outages and forfeit uptime. The 2N+1 electrical redundancy is more expensive to build out compared with other redundancies, such as N+1 or N+2. RNO 2 property, which accounts for approximately 20% of Morningstar DBRS total revenue, was recently completed in 2023. Overall, the LAS 07, LAS 09, and RNO 02 facilities exhibited Power Usage Effectiveness (PUE) ratios between 1.27 to 1.38 during a 12-month period ended August 30, 2024, which Morningstar DBRS views as highly efficient. According to the Uptime Institute's 2024 Data Center Survey, the average annual PUE across the data center sector was 1.56. Founded in 2000, Switch is an experienced data center operator owning more than 20 operating properties across six different metropolitan areas. Switch also has more than 700 issued and pending patents that allow Switch facilities to remain state-of-the-art and maintain a competitive advantage over other data center operators. Furthermore, Switch has emphasized commitments to the markets in the portfolio as they are actively constructing additional data centers, such the two Reno, Nevada, campuses that span across thousands of acres. Switch focuses on the construction of highly redundant data centers and has been powered by 100% renewable power since 2016 through the procurement of renewable energy for its facilities or through the purchase of carbon credits. Furthermore, Switch has had Net Zero Scope 1 Emissions since 2021 and Net Zero Scope 2 Emissions since 2016. Switch has also maintained 100% uptime across its facilities and has never experienced a service-level agreement (SLA) breach or provided SLA credit. The subject portfolio exhibits significantly low historical churn of less than 3.0% per annum, which demonstrates the strong stickiness of tenants at the properties within the portfolio. The portfolio also benefits from hundreds of customers across the three facilities, which can reduce the volatility of revenue. The top five tenants by annualized revenue comprise 40.1% of the Morningstar DBRS revenue, and four of those top five tenants, which comprise 19.5% of the total Morningstar DBRS revenue, are rated investment-grade. Furthermore, eight out of top 10 tenants are rated investment-grade. Data center operators have historically benefited from high barriers to entry because of the complexity of their operations along with the specialized knowledge required to operate the facilities to extraordinarily high uptime and reliability standards. Furthermore, the high upfront capital costs and necessary power infrastructure make speculative development more difficult than with other property types. The portfolio assets include purpose-built facilities within the vicinity of fiber nodes that would be costly to replicate. The purpose-built facilities have been built across large campuses at high initial construction and ramp-up costs. Data center operators benefit from strong clustering and network effects attributable to the complex IT environments of their tenants. Larger tenants prefer to scale within the existing environment rather than add capacity at a facility with a different provider. Also, Switch's Reno and Las Vegas campuses, which house the subject data center properties, are connected by the SUPERLOOP, Switch's proprietary 500-mile, multi-terabyte fiber optic network. Furthermore, the portfolio benefits from the Core Co-operative, which is a telecommunications purchasing co-operative operated by Switch at its facilities and allows companies and customers to aggregate their purchasing power of services from carriers and pass on savings to member companies. As a result, members of the co-operative have access to more telecommunication providers at a below market pricing, leading to cost savings. This is a significant selling point for Switch and is a leading reason for lengthy tenant tenure and renewals at Switch facilities. Switch boasts zero greenhouse gas emissions across its portfolio and use of 100% renewable power to operate its data centers. The assets in the portfolio located in Las Vegas are powered through procured solar power. The portfolio benefits from operating in markets that boast relatively low costs of power, despite primarily operating using renewable energy sources. Furthermore, wholesale power rates in Mountain region of Nevada and Las Vegas $0.0784 per kilowatt hour (kWh) to $0.086/kWh, which is less than the national average of $0.123/kWh. Notes: All figures are in U.S dollars unless otherwise noted. SYCAMORE TREE 2025-6: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Sycamore Tree CLO 2025-6 Ltd./Sycamore Tree CLO 2025-6 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 Sycamore Tree CLO Manager LLC. The preliminary ratings are based on information as of March 7, 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 Sycamore Tree CLO 2025-6 Ltd./Sycamore Tree CLO 2025-6 LLC Class A-1, $310.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1a (deferrable), $25.00 million: BBB- (sf) Class D-1b (deferrable), $5.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $44.80 million: Not rated TRIMARAN CAVU 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Trimaran CAVU 2025-1 Ltd./Trimaran CAVU 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trimaran CAVU 2025-1 Ltd./Trimaran CAVU 2025-1 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 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, $50.00 million: NR NR--Not rated TRIMARAN CAVU 2025-1: S&P Assigns Prelim BB- sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2025-1 Ltd./Trimaran CAVU 2025-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC. The preliminary ratings are based on information as of March 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our 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 Trimaran CAVU 2025-1 Ltd./Trimaran CAVU 2025-1 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 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, $50.00 million: Not rated TRINITAS CLO VII: S&P Affirms 'B- (sf)' Rating on Cl. F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R2 and B1-R2 replacement debt from Trinitas CLO VII Ltd./Trinitas CLO VII LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in December 2017 and was refinanced in November 2021. S&P Global Ratings did not rate the original transaction. At the same time, S&P withdrew its ratings on the class A-1R and B-1R debt following payment in full on the March 6, 2025, refinancing date. We also affirmed our ratings on the class A-2R, B-2R, C-R, D-1R, D-2R, D-3R, E-R, and F-R 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: -- No additional assets were purchased on the March 6, 2025, refinancing date, and the target initial par amount remains at $600.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 25, 2025. -- No additional subordinated notes 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, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F-R debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'B- (sf)' rating on the class F-R debt after considering the margin of failure, and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class F-R debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria." Replacement And November 2021 Debt Issuances Replacement debt -- Class A-1R2, $363.00 million: Three-month CME term SOFR + 1.06% -- Class B-1R2, $63.00 million: Three-month CME term SOFR + 1.60% November 2021 debt -- Class A-1R, $363.00 million: Three-month CME term SOFR + 1.46161%(i) -- Class A-2R, $15.00 million: 2.493% -- Class B-1R, $63.00 million: Three-month CME term SOFR + 2.06161%(i) -- Class B-2R, $15.00 million: 3.116% -- Class C-R (deferrable), $33.00 million: Three-month CME term SOFR + 2.51161%(i) -- Class D-1R (deferrable), $6.00 million: Three-month CME term SOFR + 3.76161%(i) -- Class D-2R (deferrable), $20.00 million: Three-month CME term SOFR + 3.56161%(i) -- Class D-3R (deferrable), $10.00 million: Three-month CME term SOFR + 4.16161%(i) -- Class E-R (deferrable), $21.00 million: Three-month CME term SOFR + 7.36161%(i) -- Class F-R (deferrable), $9.00 million: Three-month CME term SOFR + 8.80161%(i) -- Subordinated notes, $73.30 million: Not applicable (i)Includes a credit spread adjustment of 0.26161%. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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 Trinitas CLO VII Ltd./Trinitas CLO VII LLC Class A-1R2, $363.00 million: AAA (sf) Class B-1R2, $63.00 million: AA (sf) Ratings Withdrawn Trinitas CLO VII Ltd./Trinitas CLO VII LLC Class A-1R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Ratings Affirmed Trinitas CLO VII Ltd./Trinitas CLO VII LLC Class A-2R: 'AAA (sf)' Class B-2R: 'AA (sf)' Class C-R: 'A (sf)' Class D-1R: 'BBB- (sf)' Class D-2R: 'BBB+ (sf)' Class D-3R: 'BBB- (sf)' Class E-R: 'BB- (sf)' Class F-R: 'B- (sf)' Other Debt Trinitas CLO VII Ltd./Trinitas CLO VII LLC Subordinated notes, $73.30 million: NR NR--Not rated. TRUPS FINANCIALS 2025-1: Moody's Gives Ba1 Rating to $17MM D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes issued by TruPS Financials Note Securitization 2025-1 (the Issuer or TFNS 2025-1): US$119,500,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$34,000,000 Class A-2N Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$27,000,000 Class A-2F Senior Secured Fixed Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$13,250,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned A2 (sf) US$19,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned Baa2 (sf) US$17,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned Ba1 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. TFNS 2025-1 is a static cash flow CLO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes and surplus notes issued by US community banks and their holding companies and insurance companies. The portfolio is approximately 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager) an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank subordinated note issued after January 1, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer issued one class of preference shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt and surplus notes issued by 34 US community banks and 11 insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q3-2024 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $279,782,000 Weighted Average Rating Factor (WARF): 1172 Weighted Average Spread (WAS) Float only: 3.1180% Weighted Average Coupon (WAC) Fixed only: 9.50% Weighted Average Coupon (WAC) Fixed to float: 7.3750% Weighted Average Coupon (WAS) Fixed to float: 5.1740% Weighted Average Life (WAL): 9.11 years In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Wethen used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. UNITED AUTO 2025-1: S&P Assigns BB (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 64.0%, 55.0%, 47.3%, 36.6%, and 30.2% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on post-pricing 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 '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 it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our 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 ratings. -- S&P's operational risk assessment of United Auto Credit Corp. (UACC) as servicer, and our 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 our 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 our view, the operational risk assessment of UACC as servicer does not constrain the ratings. 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) WBRK 2025-WBRK: Fitch Assigns 'BB-sf' Final Rating on Cl. HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to WBRK 2025-WBRK Mortgage Trust Commercial Mortgage Pass-Through Certificates: - $201,600,000 class A 'AAAsf'; Outlook Stable; - $201,600,000(a) class X 'AAAsf'; Outlook Stable; - $38,200,000 class B 'AA-sf'; Outlook Stable; - $30,100,000 class C 'A-sf'; Outlook Stable; - $42,300,000 class D 'BBB-sf'; Outlook Stable; - $25,875,000 class E 'BBsf'; Outlook Stable; - $21,925,000(b) class HRR 'BB-sf'; Outlook Stable. (a) Notional amount and interest only. (b) Horizontal risk retention interest. Transaction Summary WBRK 2025-WBRK Mortgage Trust, Commercial Mortgage Pass-Through Certificates, represent the beneficial ownership interest in a five-year, fixed-rate, interest-only first lien mortgage loan with an original principal balance of $360.0 million. The mortgage loan is secured by the fee simple and leasehold interest in the Willowbrook Mall, a 1.5 million sf (731,523 sf of collateral) super-regional mall located in Wayne, NJ. The loan sponsor is a wholly owned subsidiary of Brookfield Properties Retail Holding LLC (Brookfield). Loan proceeds, along with $3.6 million of sponsor equity, were used to refinance existing debt, currently securitized in BAMLL 2013-WBRK, of $360.0 million, and pay estimated closing costs of $3.6 million. The loan is co-originated by German American Capital Corporation and Citi Real Estate Funding Inc. Trimont LLC serves as the master servicer, and Situs Holdings, LLC serves as the special servicer. Computershare Trust Company, National Association serves as the trustee and Deutsche Bank National Trust Company, National Association serves as the certificate administrator. Park Bridge Lender Services LLC serves as the operating advisor. The certificates follow a sequential-pay structure. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $37.1 million, which is 12.9% lower than the issuer's NCF and 13.7% lower than the TTM December 2024 NCF. Fitch applied an 9.00% cap to derive a Fitch value of $409.4 million, after deducting for unreserved outstanding tenant improvements and leasing commissions. Moderate Fitch Leverage: The $360 million mortgage loan has moderate leverage, with a Fitch stressed loan-to-value ratio (LTV) of 87.9%, debt service coverage ratio (DSCR) of 1.02x and debt yield of 10.2%, along with debt of $492 psf. Strong Position in a Core Location: The collateral is a super-regional mall in Wayne, NJ, situated at the confluence of three major highways: Interstate 80, State Route 23 and U.S. Route 46. The mall hosts a strong tenancy lineup that includes Macy's (non-collateral), Bloomingdale's (non-collateral) and JCPenney (non-collateral), BJ's Wholesale Club, Dave & Busters, Zara, H&M, Apple, Cinemark (leased fee) and Lululemon. It operates within a trade area that includes about 1.4 million people with an average household income of over $128,000. The property is located in Passaic County and therefore is not subject to the "blue laws" of nearby Bergen County, which prohibit the sale of most consumer discretionary goods on Sundays. As such, the subject is able to attract shoppers from outside its immediate trade area. Fitch assigned Willowbrook Mall a property quality grade of 'B+'. Strong Sales Performance: The property, including non-collateral anchors, reported strong overall sales of about $416.4 million in 2021, $481.5 million in 2022, $461.6 million in 2023 and $498.4 million in the TTM October 2024. Comparable in-line sales (excluding Apple) for 2021 through TTM October 2024 were $669 psf, $694 psf, $697 psf and $714 psf, respectively. Notably, the non-collateral Macy's the store reported 2023 sales of $85.9 million or $239 psf, far exceeding the national average sales per store of $23.2 million ($160 psf). The overall occupancy cost for the collateral was 12.1% as of the October 2024 TTM. Institutional Sponsorship: The sponsor of this transaction is a wholly owned subsidiary of Brookfield Properties Retail Holding LLC, a global real estate services firm under Brookfield Asset Management. Brookfield Asset Management is a leading alternative asset manager with over $1 trillion in assets under management. Brookfield Properties Retail Group is one of the largest retail real estate companies in the U.S., managing over 200 mall properties across 43 states, totaling about 155 million sf of retail space. The company focuses on managing, leasing and redeveloping high quality retail properties and is headquartered in Chicago. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'. - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-f'/'BBsf'/'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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'. - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBB-sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-calculation of certain characteristics with the 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. WELLINGTON MANAGEMENT 4: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Wellington Management CLO 4 Ltd./Wellington Management CLO 4 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 Wellington Management CLO Advisors LLC. The preliminary ratings are based on information as of March 11, 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 collateral pool's diversification; -- 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. Preliminary Ratings Assigned Wellington Management CLO 4 Ltd./Wellington Management CLO 4 LLC Class A, $180.0 million: AAA (sf) Class A loans, $75.0 million: AAA (sf) Class B, $49.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $3.0 million: BBB- (sf) Class E (deferrable), $12.5 million: BB- (sf) Subordinated notes, $43.4 million: Not rated WELLS FARGO 2016-C32: DBRS Cuts Rating on 2 Tranches to CCC(sf) --------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C32 issued by Wells Fargo Commercial Mortgage Trust 2016-C32, as follows: -- Class X-E to B (sf) from BB (sf) -- Class E to B (low) (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (low) (sf) -- Class X-F to CCC (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) Morningstar DBRS changed the trends on Class E and Class X-E to Stable from Negative. All other trends remain Stable, with the exceptions of Class F and Class X-F, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. At the prior credit rating action in March 2024, Morningstar DBRS had changed the trends on Class E, Class F, Class X-E, and Class X-F to Negative from Stable, to reflect increased loss projections, driven primarily by the largest loan in special servicing, 10 South LaSalle Street (Prospectus ID #6, 3.9% of the pool). At that time, Morningstar DBRS also noted the potential for further deterioration for that loan and a handful of other underperforming loans. In the analysis for this review, Morningstar DBRS considered a liquidation scenario for three of the four specially serviced loans, resulting in aggregate estimated losses of $21.5 million, approximately $20.0 million of which is tied to the 10 South LaSalle Street loan (based on a haircut to the collateral's appraised value at issuance). The liquidation scenario assumed in March 2024 for that loan reflected an implied loss amount of $12.8 million; however, considering operating performance at the property remains depressed, with occupancy expected to decline further in the near term, Morningstar DBRS elected to increase the haircut to the collateral's issuance appraised value in the analysis for this review. The resulting increase in projected losses to the trust would erode more than half of the nonrated Class G balance, reducing credit support to the lowest rated principal bonds in the transaction, particularly the Class E and Class F certificates, supporting the credit rating downgrades with this review. Additional details are outlined below. Morningstar DBRS changed the trends to Stable from Negative, as the analysis considered conservative scenarios for the loans in special servicing and those exhibiting increased risks from issuance. As such, the resulting credit rating downgrades reflect the longer-term outlook for the affected classes. Should there be unforeseen circumstances that further increase the risks for the underlying loans in question, Morningstar DBRS notes that the trends could change further and/or the credit ratings could be subject to further downgrades. As of the January 2025 remittance, 98 of the original 112 loans remain in the pool with an aggregate pool balance of $763.8 million, representing a collateral reduction of 20.4% since issuance. There are 25 loans, representing 14.7% of the pool, that are fully defeased. Specially serviced and watch listed loans represent 6.2% and 13.7% of the pool, respectively, which are in line with the concentrations at last review. Since the last credit rating action, one loan that was previously in special servicing, Wisconsin Retail Portfolio (Prospectus ID #45), was disposed from the pool with actual losses of $2.1 million, below Morningstar DBRS' expectations at the time of the previous credit rating action of a loss of $3.1 million; one additional loan, Walgreens Portfolio (Prospectus ID #30, 0.9% of the pool), was transferred to special servicing. The 10 South Lasalle Street loan is collateralized by a 781,426-square-foot (sf), Class B office property in the Central Loop submarket of Chicago. The 10-year fixed-rate loan's maturity is in January 2026 and it is pari passu with the loan piece held in the Wells Fargo Commercial Mortgage Trust 2016-C32 transaction, which Morningstar DBRS also rates. The loan transferred to the special servicer in August 2022 for imminent default, though it has remained current since the transfer with active cash management provisions in place. According to the financial reporting for the trailing six-month period (T-6) ended June 30, 2024, the property was 67.6% occupied, relatively unchanged from the year-end (YE) 2023 occupancy rate of 71.7%, but considerably below the issuance figure of 89.0%. Net cash flow (NCF) has followed a similar downward trajectory with the most recent full-year reporting from YE2023 reflecting a figure of $3.3 million (a debt service coverage ratio (DSCR) of 0.69 times (x)), a 69.7% decline from the issuance figure of $10.7 million (a DSCR of 2.27x). The largest tenant, Chicago Title Insurance (Chicago Title), occupies 13.6% of the net rentable area (NRA) on a lease expiring in March 2025. According to various online sources, Chicago Title is currently in advanced negotiations to sublease approximately 65,000 sf of space from the Publicis Groupe, at 35 West Wacker Drive, suggesting the tenant will likely vacate the property upon lease expiration in March. Morningstar DBRS has reached out to the servicer for confirmation; however, as of the date of this press release, a response remains pending. When accounting for the potential departure of Chicago Title, occupancy at the property could decline to slightly above 50.0%, placing further downward pressure on cash flows. Although an updated appraisal has not been ordered since issuance given the lack of delinquency, Morningstar DBRS expects the property's as-is value to have deteriorated considerably given the historical performance trends, lack of leasing activity, and soft submarket fundamentals. Morningstar DBRS liquidated the loan from the pool based on a 75.0% haircut to the issuance value of $166.5 million, resulting in a Morningstar DBRS value of $41.6 million ($53.27 per square foot (psf)) and an implied loss approaching $50.0 million. This treatment is in line with the recent sale of the 70 West Madison property that was reportedly sold in December 2024 for about $55 psf, according to Avison Young. Morningstar DBRS still has concerns around three previously identified loans backed by office collateral, representing 7.5% of the pool, and four loans backed by other property types, representing 6.2% of the pool, with elevated credit risk because of increased tenant rollover risk and/or other declines in performance. Where applicable, Morningstar DBRS increased the probability of default (POD) penalties, and/or applied stressed loan-to-value ratios for these seven loans. The weighted-average expected loss for these loans is nearly 75% greater than the weighted-average pool expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-C34: DBRS Confirms C(sf) Rating on 3 Tranches -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C34 issued by Wells Fargo Commercial Mortgage Trust 2016-C34 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at A (high) (sf) -- Class C at BBB (high) (sf) -- Class D at B (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class A-3FX at AAA (sf) Morningstar DBRS maintained the Negative trends on Classes B, C, D, and X-B. Classes E, F, and G have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. All other trends are Stable. The credit rating confirmations and sustained Negative trends reflect Morningstar DBRS' continued expectations for the pool and minimal changes to the underlying transaction since the last credit rating action in April 2024. Morningstar DBRS' loss expectations have increased marginally with this review, driven by the largest loan in special servicing, Regent Portfolio (Prospectus ID#1, 11.2% of the pool). Morningstar DBRS continued to stress several other loans exhibiting signs of distress either because of increased rollover risk or declines in performance. These concerns were present at the time of the last credit rating action but have not materialized to date. Morningstar DBRS also recognizes that the vast majority of outstanding loans in the pool have an upcoming maturity date in the first half of 2026. Although many of those loans have not received an updated appraisal since issuance, Morningstar DBRS believes there is potential for value declines. This could complicate takeout financing efforts in 2026 for a select number of loans. This analysis resulted in an increased pool weighted-average expected loss, which continues to indicate elevated credit risk for Classes B, C, and D. In the event that any of the identified risks materialize as the loans approach maturity, Morningstar DBRS could downgrade the credit ratings, supporting the Negative trends. Since the last credit rating action in April 2024, Cypress Medical Plaza (Prospectus ID#24) and 221 Glen Street Apartments (Prospectus ID#45) were liquidated from the trust with combined realized losses totaling $3.4 million, as compared with the Morningstar DBRS combined projected loss of approximately $5.4 million. As of the February 2025 remittance, 60 of the original 68 loans remained in the pool with a trust balance of $531.0 million, representing a collateral reduction of 24.3% since issuance. There are two loans, representing 15.0% of the pool balance, in special servicing (further discussed below) and 12 loans, representing 25.5% of the pool balance, on the servicer's watchlist. In addition, 15 loans, representing 12.7% of the current trust balance, have been fully defeased. The largest loan in special servicing is secured by the Regent Portfolio, a portfolio of 13 buildings in New Jersey, New York, and Florida consisting of traditional office, medical office, and warehouse spaces. The loan sponsor is also the primary owner of the portfolio's largest tenant, Sovereign Medical Services Inc. The loan transferred to special servicing in June 2019 and became real estate owned as of January 2023. Since the loan's transfer to special servicing, five of the underlying properties have been sold at prices that, on average, were 37% lower than the respective issuance appraised values. An updated appraisal dated March 2024 valued the portfolio at $67.4 million; however, two of the properties were sold after the updated appraisal at an average 35.5% haircut to the issuance appraisal. Morningstar DBRS expects that the disposition timeline for the remaining properties may be extended and that proceeds are likely to fall short of the total loan exposure. In its analysis, Morningstar DBRS liquidated the loan based on a 40% haircut to the March 2024 appraisal, which took into account the sale prices of the two released assets in addition to outstanding advances and expected servicer expenses. The analysis resulted in a projected loss severity approaching 50%, or approximately $30 million. The second-largest loan in special servicing, Nolitan Hotel (Prospectus ID#8, 3.9% of the pool), is secured by a 57-room, full-service boutique hotel in New York City. The loan transferred to special servicing in December 2020 for payment default. After an unsuccessful proposal for reinstatement, the loan has a receiver in place and is now scheduled for foreclosure in Q1 2025. The most recent appraised value, dated December 2022, valued the subject at $36.8 million, which is slightly less than the issuance appraised value of $39.5 million. According to an STR, Inc. report for the trailing 12 months ended May 2024, the hotel's performance has not restabilized to pre-pandemic levels. Despite this, the December 2022 appraised value suggests a low loan-to-value ratio of 57.2%. However, given the history of default and underperformance as well as the upcoming foreclosure, Morningstar DBRS liquidated the loan in its analysis, applying a 20% haircut to the December 2022 value while also accounting for outstanding advances and expected servicer expenses. The analysis suggested a loss severity approaching 20%, or approximately $4.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-NXS5: DBRS Cuts Rating on Class D Certs to B(low) ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-NXS5 issued by Wells Fargo Commercial Mortgage Trust 2016-NXS5 as follows: -- Class X-B to A (high) (sf) from AA (low) (sf) -- Class B to A (sf) from A (high) (sf) -- Class C to BB (high) (sf) from BBB (high) (sf) -- Class D to B (low) (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-6 at AAA (sf) -- Class A-6FL at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class E at CCC (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS also changed the trends on Classes X-B, B, C, and D to Stable from Negative. All other trends are Stable, with the exception of Classes E, F, and G, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Morningstar DBRS downgraded Classes D, E, and F as part of its prior credit rating action in March 2024, primarily as a result of the projected loss expectations tied to the largest loan in the pool, 10 South LaSalle Street (Prospectus ID# 2; 12.0% of the pool). At that time, Morningstar DBRS also assigned Negative trends to Classes X-B, B, and C and maintained the Negative trend on Class D, citing the potential of further value deterioration for a select number of underperforming office properties, most notably 10 South LaSalle Street. In the analysis for this review, Morningstar DBRS considered liquidation scenarios for four of the five loans in special servicing, resulting in a cumulative projected loss amount of $72.3 million, approximately $50.0 million of which is tied to the 10 South LaSalle Street loan (based on a haircut to the collateral's appraised value at issuance). The liquidation scenario assumed for that loan in March 2024 reflected an implied loss amount of $32.0 million; however, considering operating performance at the property remains depressed, with occupancy expected to decline further in the near term, Morningstar DBRS elected to increase the haircut to the collateral's appraised value at issuance in its analysis for this review. The resulting increase in projected losses to the trust would erode the entirety of the Class H (nonrated), Class G, and Class F balance, in addition to a small portion of the Class E balance, significantly reducing credit support to the lowest-rated principal bonds in the transaction, particularly the Class B, Class C, and Class D certificates, supporting the most recent credit rating downgrades. Morningstar DBRS changed the trends on Classes X-B, B, C, and D to Stable from Negative, as the analysis considered conservative scenarios for the loans in special servicing and those exhibiting increased risks from issuance. As such, the resulting credit rating downgrades reflect the longer-term outlook for those affected classes. Should there be unforeseen circumstances that further increase the risks for the underlying loans in question, Morningstar DBRS notes that it could change trends and/or further downgrade the credit ratings. As of the January 2025 remittance, 55 of the original 64 loans remain in the pool, with a trust balance of $624.5 million, representing collateral reduction of 28.6% since issuance. To date, the trust has incurred a total loss of $2.6 million, which has been contained to the nonrated Class H certificate. Eight loans, representing 14.3% of the pool balance, are on the servicer's watchlist; however, only four of those loans, representing 7.6% of the pool balance, are being monitored for performance-related reasons. Five loans, representing 17.4% of the pool balance, are in special servicing. In addition, 17 loans, representing 19.2% of the pool balance, are fully defeased. The 10 South Lasalle Street loan is collateralized by a 781,426-square foot (sf) Class B office property in the Central Loop submarket of Chicago. The 10-year fixed-rate loan has a maturity date in January 2026 and is pari passu with the loan piece held in the Wells Fargo Commercial Mortgage Trust 2016-C32 transaction, which Morningstar DBRS also rates. The loan transferred to the special servicer in August 2022 for imminent default, though it has remained current since the transfer with active cash management provisions in place. According to the financial reporting for the trailing six-month period ended June 30, 2024, the property was 67.6% occupied, relatively unchanged from the YE2023 occupancy rate of 71.7% but considerably below the issuance figure of 89.0%. Net cash flow has followed a similar downward trajectory: the most recent full year reporting from YE2023 reflected a figure of $3.3 million (a debt service coverage ratio (DSCR) of 0.69 times (x)), a 69.7% decline from the issuance figure of $10.7 million (a DSCR of 2.27x). The largest tenant, Chicago Title Insurance Co (Chicago Title), occupies 13.6% of the net rentable area (NRA) on a lease expiring in March 2025. According to various online sources, Chicago Title is currently in advanced negotiations to sublease approximately 65,000 sf of space from Publicis Groupe at 35 West Wacker Drive, suggesting the tenant will likely vacate the property upon lease expiration in March. Morningstar DBRS has reached out to the servicer for confirmation; however, as of the date of this press release, a response remains pending. When accounting for the potential departure of Chicago Title, occupancy at the property could decline to slightly above 50.0%, placing further downward pressure on cash flows. Although an updated appraisal has not been ordered since issuance given the lack of delinquency, Morningstar DBRS expects that the property's as-is value has deteriorated considerably given the historical performance trends, lack of leasing activity, and soft submarket fundamentals. Morningstar DBRS liquidated the loan from the pool based on a 75.0% haircut to the issuance value of $166.5 million, resulting in a Morningstar DBRS value of $41.6 million ($53.27 per sf) and an implied loss approaching $50.0 million. The second-largest loan in special servicing, 1006 Madison Avenue (Prospectus ID#16; 2.7% of the pool), is secured by a 3,917-sf single-tenant retail property in Manhattan, New York. The loan transferred to the special servicer in October 2018 for imminent monetary default, following the departure of the property's sole tenant in late 2018, ahead of its lease expiration in 2025. The collateral has been real estate owned since July 2022. A November 2024 appraisal valued the property at $7.6 million, above the July 2023 value of $6.6 million but a steep decline from the issuance appraised value of $24.0 million. When considering cumulative appraisal subordination entitlement reductions and current advances, the loan's total exposure exceeded $24.0 million as of January 2025. Morningstar DBRS assumed a full loss to the loan in the analysis for this review. The largest loan on the servicer's watchlist, 4400 Jenifer Street (Prospectus ID#8; 4.0% of pool balance) is secured by a three-story, 83,777-sf Class B office property in the Friendship Heights neighborhood of Washington, D.C. The property was built in 1972 and underwent extensive renovations between 1998 and 1999. The loan was added to the servicer's watchlist in March 2022 after the second-largest tenant vacated prior to its September 2021 lease expiration. The servicer recently approved a lease for 9,786 sf (11.68% of NRA) that commenced in October 2023, noting that the property's occupancy rate has increased to approximately 83.0%. Although operating performance may improve over the subsequent reporting periods, reflective of the uptick in the property's occupancy rate, cash flow has been subdued for an extended period of time and the loan's DSCR has been significantly below break-even since YE2021. According to the most recent rent roll on file, dated August 2024, tenant leases representing approximately 15.0% of the NRA are either operating on a month-to-month basis or are expected to roll within the next 12 months. Morningstar DBRS analyzed the loan with an elevated probability of default penalty and stressed loan-to-value ratio, resulting in an expected loss that was more than double the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Hikes 7 Credit Ratings From 6 Regional Transactions ----------------------------------------------------------- DBRS, Inc. upgraded seven credit ratings and confirmed 16 credit ratings from six Regional Management Issuance Trust transactions. The Affected Ratings are available at https://bit.ly/4hmIArZ The Issuers are: Regional Management Issuance Trust 2021-2 Regional Management Issuance Trust 2021-1 Regional Management Issuance Trust 2020-1 Regional Management Issuance Trust 2022-1 Regional Management Issuance Trust 2024-2 Regional Management Issuance Trust 2024-1 The credit rating actions are based on the following analytical considerations: -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transactions. Hard credit enhancement and estimated excess spread are sufficient to support Morningstar DBRS' current credit rating levels. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns 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. Regional Management Issuance Trust 2020-1, Regional Management Issuance Trust 2021-1, Regional Management Issuance Trust 2021-2, and Regional Management Issuance Trust 2022-1: Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Regional Management Issuance Trust 2024-1 Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated Notes is the related interest on any unpaid Monthly Interest Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Regional Management Issuance Trust 2024-2 Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025). [] Fitch Affirms 23 Tranches From 11 SLM Private Credit Trusts -------------------------------------------------------------- Fitch Ratings has affirmed 23 tranches and upgraded three tranches from 11 SLM Private Credit Student Loan Trusts. The affirmations reflect Fitch's assessment of the available credit enhancement (CE) appropriate for each note's rating level, while considering both heightened credit and maturity risk. CE has been increasing for all the notes, but asset performance has been deteriorating with increasing defaults and delinquencies. The remaining term to maturity for all the affirmed transactions has remained flat or decreased slightly since the previous review in July. This can be attributed to the increase in forbearance and the increased composition of longer-term loans in the pool as shorter-term loans are paying off. The upgrades of SLM 2004-A class A-3 and 2007-A class A-4 and class B also reflect increased CE but include improved model results with more limited maturity risk. Even though asset performance has been deteriorating with increased defaults and delinquencies, CE has built up to a point where it can support the notes at their respective rating levels. Entity/Debt Rating Prior ----------- ------ ----- SLM Private Credit Student Loan Trust 2004-A A-3 78443CBH6 LT AAAsf Upgrade AAsf SLM Private Credit Student Loan Trust 2007-A A-4 78443DAD4 LT AAsf Upgrade Asf B 78443DAF9 LT Asf Upgrade BBBsf C-1 78443DAH5 LT BB+sf Affirmed BB+sf C-2 78443DAJ1 LT BB+sf Affirmed BB+sf SLM Private Credit Student Loan Trust 2003-B A-3 78443CAN4 LT B+sf Affirmed B+sf A-4 78443CAP9 LT B+sf Affirmed B+sf B 78443CAQ7 LT Bsf Affirmed Bsf C 78443CAR5 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2003-A A-3 78443CAJ3 LT B+sf Affirmed B+sf A-4 78443CAK0 LT B+sf Affirmed B+sf B 78443CAG9 LT Bsf Affirmed Bsf C 78443CAH7 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2006-C A-5 78443JAE9 LT AA-sf Affirmed AA-sf B 78443JAF6 LT Asf Affirmed Asf C 78443JAG4 LT BBBsf Affirmed BBBsf SLM Private Credit Student Loan Trust 2003-C A-3 78443CBA1 LT B+sf Affirmed B+sf A-4 78443CBB9 LT B+sf Affirmed B+sf A-5 78443CBC7 LT B+sf Affirmed B+sf B 78443CBD5 LT Bsf Affirmed Bsf C 78443CBE3 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2005-A A-4 78443CBV5 LT A+sf Affirmed A+sf SLM Private Credit Student Loan Trust 2006-B A-5 78443CCU6 LT Asf Affirmed Asf A-5W 78443CCY8 LT Asf Affirmed Asf SLM Private Credit Student Loan Trust 2004-B A-4 78443CBP8 LT AAsf Affirmed AAsf SLM Private Credit Student Loan Trust 2006-A A-5 78443CCL6 LT A+sf Affirmed A+sf SLM Private Credit Student Loan Trust 2005-B A-4 78443CCB8 LT A+sf Affirmed A+sf KEY RATING DRIVERS Collateral Performance: All of the trusts are collateralized by private student loans that are originated by SLM Corp. (BB+/Stable/B). Loans in the SLM trusts were originated under the Signature Education Loan Program, LAWLOANS program, MBA Loans program, and MEDLOANS program. The SLM 2007-A trust also includes loans originated under the Direct to Consumer and Private Credit Consolidation programs. For transactions modeled for this surveillance review, Fitch's remaining cumulative default assumptions (as a percentage of the outstanding non-defaulted pool balance as of the most recent reporting date) are as follows: - SLM 2003-A: 11.1%; - SLM 2003-B: 11.6%; - SLM 2003-C: 11.3%; - SLM 2004-A: 11.3%; - SLM 2004-B: 12.08%; - SLM 2005-A: 14.8%; - SLM 2005-B: 14.6%; - SLM 2006-A: 15.4%; - SLM 2006-B: 16.5%; - SLM 2006-C: 17.0%; - SLM 2007-A: 17.3%. The recovery assumption is 18.0% of defaulted amounts for all transactions, based on observed recovery data in the transactions and unchanged from previous surveillance reviews. For SLM 2003-A, SLM 2003-B, SLM 2003-C, SLM 2004-A, SLM 2004-B, SLM 2005-A, and SLM 2005-B, Fitch applied a 'Low' default stress multiple in the multiple range from Fitch's "Private Student Loan Criteria," resulting in a 3.5x multiple at 'AAAsf'. Rating stress multiples at other rating levels are in line with 'Low' multiples for the relevant rating level in accordance with Fitch's "U.S. Private Student Loan ABS Rating Criteria." For SLM 2006-A, SLM 2006-B, SLM 2006-C, 2007-A, Fitch applied a 'Median-Low' default stress multiple of 3.75x multiple at 'AAAsf'. The assumed multiples are unchanged from the previous surveillance review. Rating stress multiples at other rating levels are in line with 'Median-Low' multiples for the relevant rating level in accordance with Fitch's "U.S. Private Student Loan ABS Rating Criteria." Payment Structure: For all transactions, available CE is sufficient to provide loss coverage in line with the assigned rating category. CE is provided by a combination of overcollateralization (OC; the excess of the trust's asset balance over the bond balance), excess spread, and subordination of more junior notes. As reflected in the assigned ratings, the class C notes for SLM 2003-A, 2003-B and 2003-C are currently under-collateralized. As of December 2024, OC for SLM 2004-A was at $38.77M versus a floor of $26.86M, 2004-B was at $35.96M versus a floor of $30.30M, 2005-A was at $39.65M versus a floor of $33.18M, and 2005-B was at $36.15M versus a floor of $34.20M. All other deals are at their OC floor level. Operational Capabilities: MOHELA is the servicer for all the loans in the trust. Fitch has reviewed the servicing operations of MOHELA and considers them to be an adequate private student loan servicer for the transactions based on their historical performance servicing student loan collateral. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade As Fitch's default assumptions are derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in available CE and the remaining loss coverage levels available to the notes. Therefore, note ratings may be susceptible to potential negative rating actions depending on the extent of the decline in the coverage. 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. However, improved performance on the underlying collateral would not necessarily result in positive rating action, depending on the maturity risk present in the transaction. 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. [] Fitch Takes Various Rating Actions on 34 FFELP SLABS ------------------------------------------------------- Fitch Ratings, on March 6, 2025, affirmed 29 Federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 16 transactions at their current levels. The Rating Outlook on the class B notes of SLM Student Loan Trust 2012-5 and 2013-4 have been revised to Negative from Stable. The Outlook on SLM Student Loan Trust 2013-2 class B notes has been revised to Stable from Negative. The Outlooks remain Stable for the remaining classes of notes affirmed at their current levels. Fitch has also downgraded five FFELP SLABS ratings from four transactions. The class A and B notes of SLM Student Loan Trust 2010-1 were downgraded to 'Csf' from 'CCsf'. The class A-3 notes of SLM Student Loan Trust 2012-6 and 2012-7 were downgraded to 'CCCsf' from 'Bsf'. The class B notes of SLM Student Loan Trust 2013-3 were downgraded to 'BBBsf' from 'Asf' and assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2011-3 A 78445UAA0 LT AA+sf Affirmed AA+sf B 78445UAD4 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2012-5 A-3 78447EAC0 LT AA+sf Affirmed AA+sf B 78447EAD8 LT Asf Affirmed Asf SLM Student Loan Trust 2012-7 A-3 78447KAC6 LT CCCsf Downgrade Bsf B 78447KAD4 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-6 A-3 78447GAC5 LT CCCsf Downgrade Bsf B 78447GAD3 LT Bsf Affirmed Bsf SLM Student Loan Trust 2013-3 A3 78447YAC6 LT AA+sf Affirmed AA+sf B 78447YAD4 LT BBBsf Downgrade Asf SLM Student Loan Trust 2012-1 A-3 78446WAC1 LT Bsf Affirmed Bsf B 78446WAD9 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-4 A 78445VAA8 LT AA+sf Affirmed AA+sf B 78445VAB6 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2013-2 A 78446CAA9 LT AA+sf Affirmed AA+sf B 78446CAB7 LT Bsf Affirmed Bsf SLM Student Loan Trust 2014-1 A-3 78448EAC9 LT Bsf Affirmed Bsf B 78448EAD7 LT Bsf Affirmed Bsf SLM Student Loan Trust 2013-5 A-3 78448BAC5 LT AA+sf Affirmed AA+sf B 78448BAD3 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2010-1 A 78445XAA4 LT Csf Downgrade CCsf B 78445XAB2 LT Csf Downgrade CCsf SLM Student Loan Trust 2013-1 A-3 78447MAC2 LT AA+sf Affirmed AA+sf B 78447MAD0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2012-3 A 78447AAA2 LT Asf Affirmed Asf B 78447AAB0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2014-2 A-3 78448GAC4 LT AA+sf Affirmed AA+sf B 78448GAD2 LT Asf Affirmed Asf SLM Student Loan Trust 2013-4 A 78448AAA1 LT AA+sf Affirmed AA+sf B 78448AAD5 LT AAsf Affirmed AAsf SLM Student Loan Trust 2013-6 A-3 78448CAG4 LT AA+sf Affirmed AA+sf B 78448CAH2 LT Asf Affirmed Asf SLM Student Loan Trust 2012-2 A 78446YAA1 LT Bsf Affirmed Bsf B 78446YAB9 LT Bsf Affirmed Bsf Transaction Summary In cash flow modeling for SLM 2010-1, the class A notes miss their legal final maturity date under Fitch's credit and maturity stresses. A default of the senior class is expected to result in interest payments being diverted away from class B, which would cause that note to default as well. The downgrade to 'Csf' from 'CCsf' reflects an imminent default for the class A notes, expected on the upcoming maturity date of March 25, 2025. The transaction has a current pool factor of 9.3%, with USD72,990,786 million of outstanding bond balance for the class A. For SLM 2012-6 and SLM 2012-7 class A-3 notes, both miss their legal final maturity date of May 26, 2026, under both credit and maturity stresses in Fitch's cash flow modeling. If the class A notes miss their legal final maturity date, this constitutes an event of default on the transaction's indenture, which would result in diversion of interest from the class B notes to pay class A notes until the class A notes are paid in full. The repayment of these classes by the legal final maturity date is unlikely under Fitch's maturity stress scenarios. Currently, there are no active consent solicitations for a maturity date extension for this transaction, or any additional agreements to provide funds. Due to the short amount of time to the legal final maturity of the class A notes, Fitch downgraded the class A notes to 'CCCsf' from 'Bsf'. For SLM 2013-3 class B notes, the downgrade to 'BBBsf' from 'Asf' reflects an expected deterioration in performance since the prior review. The notes have shown increased sensitivity to credit stress with interest shortfalls in the 'Asf' scenario. For SLM 2012-5 and SLM 2013-4 class B notes, the change in Outlook to Negative from Stable reflects a worsening credit profile for the notes observed since Fitch's prior review. The Negative Outlook reflects Fitch's expectations of further deterioration in the model for future reviews at the current rating level. For SLM 2013-2 class B notes, the change in Outlook to Stable from Negative reflects slightly improved performance since Fitch's prior review and its expectations of performance stability at the current rating level. KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by the ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cash flow modeling. Fitch is revising the sustainable constant default rates (sCDRs) for the following transactions: - SLM 2012-1 to 7.00% from 6.50%; - SLM 2012-4 to 4.00% from 4.10%; - SLM 2012-5 to 6.00% from 5.00%; - SLM 2012-6 to 7.00% from 6.00%; - SLM 2012-7 to 7.00% from 6.50%; - SLM 2013-4 to 5.00% from 3.50%; - SLM 2013-5 to 5.00% from 4.50%; - SLM 2013-6 to 5.00% from 4.50%; - SLM 2014-1 to 7.00% from 5.00%. For the remaining transactions, Fitch is maintaining the sCDR assumptions ranging from 3.00% to 7.00%. Fitch is revising the sustainable constant prepayment rates (sCPRs) upward for the following transactions: - SLM 2010-1 to 12.00% from 10.00%; - SLM 2011-3 to 12.00% from 10.00%; - SLM 2012-2 to 12.00% from 11.00%; - SLM 2012-3 to 12.00% from 11.50%; - SLM 2012-4 to 12.00% from 9.00%; - SLM 2012-5 to 12.00% from 11.00%; - SLM 2012-6 to 12.00% from 11.50%; - SLM 2012-7 to 12.00% from 10.50%; - SLM 2013-1 to 12.00% from 10.00%; - SLM 2013-2 to 12.00% from 10.00%; - SLM 2013-3 to 12.00% from 8.50%; - SLM 2013-5 to 12.00% from 11.00%; - SLM 2013-6 to 12.00% from 10.00%; - SLM 2014-2 to 12.00% from 11.50%. For the remaining transactions, Fitch is maintaining the sCPR assumptions at 12.00%. The 'AA+sf' default rates range from approximately 52.38% to 100.00%, and the 'Bsf' default rates range from 17.50% to 51.50%. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) range from 2.05% to 6.65%, 5.93% to 18.45%, and 25.66% to 34.91%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefits range from 0.03% to 0.23%, based on information provided by the sponsor. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for special allowance payments (SAPs) and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 100.97% to 107.86%. Liquidity support is provided by reserve accounts that are at their floors for all transactions. All transactions are releasing cash as of the latest distribution except for SLM 2010-1, 2011-3, 2012-2, 2012-3, 2012-4 and 2013-4. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024, that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA has not resulted in any interruption to the servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf' and below, the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rates and a material reduction in weighted average remaining loan term. A material increase in CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to positive rating action. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Hikes 80 Ratings From 13 Deals Issued by CWALT Inc. -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 77 bonds from 13 US residential mortgage-backed transactions (RMBS), backed by Alt-A and Option ARM mortgages issued by CWALT, Inc. 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-1CB Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Aug 21, 2018 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Aug 21, 2018 Downgraded to Ca (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Aug 21, 2018 Downgraded to Ca (sf) Cl. 2-A-5, Upgraded to Caa3 (sf); previously on Aug 21, 2018 Downgraded to Ca (sf) Cl. 2-A-6, Upgraded to Caa3 (sf); previously on Aug 21, 2018 Downgraded to Ca (sf) Cl. PO-A, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-34CB Cl. 1-A-1, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-2*, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. 1-A-4, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-5*, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-7, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-8, Upgraded to Caa3 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-9, Upgraded to Caa3 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-10, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-11, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. 1-A-12*, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa1 (sf); previously on May 28, 2021 Downgraded to Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-37T1 Cl. A-2*, Upgraded to Caa1 (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-59 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. 1-A-2A, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-73CB Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-6*, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-7, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-11, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 2-A-2, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Cl. 2-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J14 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Downgraded to Caa2 (sf) Cl. A-2*, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Downgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 21, 2016 Confirmed at Caa3 (sf) Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 21, 2016 Confirmed at Caa3 (sf) Cl. PO, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA19 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-15CB Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. A-2, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-9, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-10, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-12, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-13, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-15, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-16, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-17, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-19, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-21, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-23, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. A-25, Upgraded to Caa3 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-HY9 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Upgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 19, 2016 Upgraded to Caa2 (sf) Cl. A-3, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-J1 Cl. 3-A-1, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Cl. 3-A-2, Upgraded to Caa1 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Negative on October 3, 2024) Cl. 3-A-4, Upgraded to Caa2 (sf); previously on Sep 19, 2016 Upgraded to Caa3 (sf) Issuer: CWALT, INC.Mortgage Pass-Through Certificates, Series 2007-OA2 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Dec 9, 2010 Downgraded to Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to Ca (sf) Cl. 2-A-2, Upgraded to Ca (sf); previously on Dec 9, 2010 Downgraded to C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA3 Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (sf) Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Confirmed at Ca (sf) Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Aug 22, 2013 Confirmed at Caa3 (sf) Cl. X*, Upgraded to Ca (sf); previously on Oct 27, 2017 Confirmed at C (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA4 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016 Upgraded to Caa2 (sf) Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 23, 2010 Downgraded to C (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 on the bonds. All 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. 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 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 and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Hikes 93 Ratings From Five Freddie Mac Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of 93 bonds from five Freddie Mac STACR deals, which are credit risk transfer (CRT) RMBS issued by Freddie Mac to share the credit risk on reference pools of mortgages with the capital market. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC Trust 2020-HQA2 Cl. M-2, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2B, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2BI*, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2BR, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2BS, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2BT, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2BU, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2I*, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2R, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2RB, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2S, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2SB, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2T, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2TB, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2U, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Cl. M-2UB, Upgraded to Aa3 (sf); previously on Jun 4, 2024 Upgraded to A1 (sf) Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA3 Cl. M-1, Upgraded to A3 (sf); previously on Jun 11, 2024 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Cl. M-2A, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2AI*, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2AR, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2AS, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2AT, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2AU, Upgraded to Baa2 (sf); previously on Jun 11, 2024 Upgraded to Baa3 (sf) Cl. M-2I*, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Cl. M-2R, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Cl. M-2S, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Cl. M-2T, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Cl. M-2U, Upgraded to Baa3 (sf); previously on Jun 11, 2024 Upgraded to Ba1 (sf) Issuer: Freddie Mac STACR REMIC Trust 2021-HQA4 Cl. M-1, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2B, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2BI*, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2BR, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2BS, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2BT, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2BU, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2I*, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2R, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2RB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2S, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2SB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2T, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2TB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Cl. M-2U, Upgraded to Baa3 (sf); previously on Jun 4, 2024 Upgraded to Ba1 (sf) Cl. M-2UB, Upgraded to Ba1 (sf); previously on Jun 4, 2024 Upgraded to Ba2 (sf) Issuer: Freddie Mac STACR REMIC Trust 2022-HQA3 Cl. M-1A, Upgraded to A1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned A2 (sf) Cl. M-1B, Upgraded to Baa1 (sf); previously on Jun 11, 2024 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2A, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AI*, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AR, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AS, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AT, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2AU, Upgraded to Baa3 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba1 (sf) Cl. M-2B, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2BI*, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2BR, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2BS, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2BT, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2BU, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2I*, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2R, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2RB, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2S, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2SB, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2T, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2TB, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2U, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2UB, Upgraded to Ba1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Issuer: Freddie Mac STACR REMIC Trust 2023-HQA2 Cl. M-1B, Upgraded to A1 (sf); previously on May 9, 2024 Upgraded to A3 (sf) Cl. M-2, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2A, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2AI*, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2AR, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2AS, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2AT, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2AU, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2B, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2BI*, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2BR, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2BS, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2BT, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2BU, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2I*, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2R, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2RB, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2S, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2SB, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2T, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2TB, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) Cl. M-2U, Upgraded to A3 (sf); previously on May 9, 2024 Upgraded to Baa2 (sf) Cl. M-2UB, Upgraded to Baa1 (sf); previously on Jun 27, 2023 Definitive Rating Assigned Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .07% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 43.9% for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in 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, and credit enhancement. 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on 48 Bonds From 12 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 47 bonds and downgraded the rating of one bond from 12 US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Meritage Mortgage Loan Trust 2005-3 Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf) Cl. A-4, Downgraded to C (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded to Caa2 (sf) Issuer: Option One Mortgage Loan Trust 2006-2 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa1 (sf); previously on Sep 4, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2006-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Sep 4, 2013 Downgraded to Ca (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Sep 4, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Sep 4, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-2 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Jan 24, 2014 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa2 (sf); previously on Jan 24, 2014 Downgraded to Ca (sf) Cl. III-A-2, Upgraded to Caa3 (sf); previously on Jan 24, 2014 Downgraded to Ca (sf) Cl. III-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-4 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-5 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Sep 4, 2013 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-6 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on May 23, 2014 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa3 (sf); previously on May 23, 2014 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa3 (sf); previously on May 23, 2014 Downgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2007-HL1 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Nov 8, 2012 Confirmed at Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR6 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. I-A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. I-A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2018 Upgraded to Caa2 (sf) Cl. II-A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. II-X*, Upgraded to Ca (sf); previously on Oct 27, 2017 Confirmed at C (sf) Issuer: Structured Asset Mortgage Investments II Trust 2007-AR6 Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa2 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Dec 14, 2010 Downgraded to C (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. 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. [] Moody's Takes Action on 9 Bonds From 4 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds and downgraded the ratings of five bonds from four 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: Ownit Mortgage Loan Trust 2006-4 Cl. A-1, Downgraded to Baa1 (sf); previously on Sep 9, 2021 Upgraded to Aa2 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MHQ1 Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 13, 2020 Downgraded to B1 (sf) Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 16, 2024 Downgraded to B3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ2 Cl. M-3, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ4 Cl. M-2, Downgraded to Caa1 (sf); previously on Oct 23, 2024 Downgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 11, 2016 Upgraded 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. The downgrade on the class A-1 from Ownit Mortgage Loan Trust 2006-4 reflects the outstanding cumulative interest deferral which has been outstanding for 30 months, Based on Moody's analysis of expected collateral performance and the transaction structure, Moody's believes the interest deferrals will be ultimately recouped and payments will be made on the deferred interest. However, the timing of such recoupment remains uncertain and, therefore, Moody's have lowered the rating to Baa1. 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 45 Bonds From 12 JP Morgan RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 45 bonds from 12 US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by J.P. Morgan Mortgage Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-1 Cl. B-5, Upgraded to Baa3 (sf); previously on May 15, 2024 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-10 Cl. B-4, Upgraded to Baa3 (sf); previously on May 31, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on May 31, 2024 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-11 Cl. B-2, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-2-X*, 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-4, Upgraded to Baa3 (sf); previously on May 31, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on May 31, 2024 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-12 Cl. B-2, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on May 6, 2024 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on May 6, 2024 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-13 Cl. B-2, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on May 6, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 6, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on May 6, 2024 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-14 Cl. B-1, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on May 6, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 6, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on May 6, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-15 Cl. B-1, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on May 6, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on May 6, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on May 6, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-3 Cl. B-4, Upgraded to Baa3 (sf); previously on May 15, 2024 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-4 Cl. B-5, Upgraded to Ba2 (sf); previously on May 15, 2024 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-6 Cl. B-5, Upgraded to Ba3 (sf); previously on May 15, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-8 Cl. B-2, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on May 31, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 31, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on May 31, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-LTV2 Cl. B-1, Upgraded to A1 (sf); previously on May 6, 2024 Upgraded to A2 (sf) Cl. B-2, Upgraded to Baa2 (sf); previously on May 6, 2024 Upgraded to Ba1 (sf) Cl. M-1, Upgraded to Aa3 (sf); previously on May 6, 2024 Upgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative loss under 0.04% and a small number of loans in delinquency. In addition, enhancement levels for all tranches have grown as the pool amortized. The credit enhancement since closing has grown, on average, 24.8% for the tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement and other qualitative considerations. Principal Methodologies 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Rating on 94 Bonds From 14 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 94 bonds from 14 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 has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Provident Bank Home Equity Loan Trust 1998-4 Cl. A-6, Upgraded to B3 (sf); previously on Oct 7, 2024 Downgraded to Caa2 (sf) Cl. A-7, Upgraded to B2 (sf); previously on May 20, 2016 Downgraded to Caa1 (sf) Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE2 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Confirmed at Caa3 (sf) Cl. II-A1, Upgraded to Caa1 (sf); previously on Jan 9, 2013 Downgraded to Ca (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A3, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE4 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Jun 10, 2013 Downgraded to Caa3 (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Jun 10, 2013 Downgraded to 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: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-11 Trust Cl. A-1, Upgraded to Caa3 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Jan 27, 2015 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. A-4*, Upgraded to Caa2 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. A-6*, Upgraded to Caa2 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa2 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. P, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Ca (sf) Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-5 Trust Cl. CB-1, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. CB-2*, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. CB-3, Upgraded to Caa2 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. CB-4, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. CB-6, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-7, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-8, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-9, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-10, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-11, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-12, Upgraded to Caa1 (sf); previously on Apr 8, 2010 Downgraded to Caa3 (sf) Cl. CB-14, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. P, Upgraded to Caa1 (sf); previously on Sep 15, 2015 Downgraded to Caa3 (sf) Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-4 Trust Cl. 3-A-1, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. 3-A-2A, Upgraded to Caa1 (sf); previously on May 25, 2011 Downgraded to Ca (sf) Cl. 3-A-2B, Upgraded to Caa1 (sf); previously on May 25, 2011 Downgraded to Ca (sf) Cl. 3-A-6, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-7 Cl. A-1A, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. A-2A, Upgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Ca (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-8 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-3A, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR10 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-3A, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-3 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-8, Upgraded to Ca (sf); previously on Dec 14, 2015 Downgraded to C (sf) Cl. A-9*, Upgraded to Ca (sf); previously on Oct 27, 2017 Confirmed at C (sf) Cl. A-13, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-14, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-15*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. A-16, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-17, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-18*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. A-19, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-20, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-21, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-22*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. A-23, Upgraded to Ca (sf); previously on Dec 14, 2015 Downgraded to C (sf) Cl. P, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-HY1 Trust Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-3A, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-5 Trust Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-10, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-15, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-16, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-17, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-19, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-20, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-21, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-22, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-24, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-OC1 Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 1, 2010 Downgraded to Ca (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-OC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 1, 2010 Downgraded to Caa3 (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. 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. [] Moody's Upgrades Ratings on 24 Bonds From 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 24 bonds from 10 US residential mortgage-backed transactions (RMBS), backed by Subprime, Option-ARM, 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: GSAA Home Equity Trust 2004-10 Cl. M-2, Upgraded to Caa2 (sf); previously on Jun 18, 2012 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2006-11 Cl. 1A1, Upgraded to Caa3 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A1, Upgraded to Caa1 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A2, Upgraded to Ca (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A3-A, Upgraded to Caa3 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2006-8 Cl. 1A1, Upgraded to Caa2 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A1, Upgraded to Caa1 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A2, Upgraded to Ca (sf); previously on Apr 26, 2017 Downgraded to C (sf) Cl. 2A3A, Upgraded to Caa3 (sf); previously on Apr 26, 2017 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE1, Asset-Backed Pass-Through Certificates, Series 2006-HE1 Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 26, 2018 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC2 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 19, 2013 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Dec 28, 2010 Upgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Dec 28, 2010 Upgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE2 Cl. A-2c, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-2d, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2006-3 Cl. A-3, Upgraded to Caa1 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-11 Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 1-A-4, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-6AR Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Cl. 1-A-3, Upgraded to Caa3 (sf); previously on Aug 12, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR2 Cl. A-1, Upgraded to Baa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating upgrades 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. The upgrade on the class A-1 from Structured Asset Mortgage Investments II Trust 2006-AR2 reflects the stable performance in recent years which has allowed the overcollateralization to grow from full depletion in 2020 to over $3 million as of the February 2025 remittance date. However, the bond does have a history of outstanding cumulative interest deferrals. Based on Moody's analysis of expected collateral performance and the transaction structure, Moody's believes the interest deferrals will be ultimately recouped and payments will be made on the deferred interest. However, the timing of such recoupment remains uncertain. Therefore, given the uncertainty of the timing of recoupment, Moody's have limited the upgrade to Baa1 to reflect the risk of the deferral lasting longer than 18 months. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 33 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 33 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by Second Liens mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=C9ADY9 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: CWHEQ Home Equity Loan Trust, Series 2006-S2 Cl. A-4, Upgraded to Caa2 (sf); previously on Mar 26, 2009 Downgraded to C (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Aug 26, 2010 Confirmed at Ca (sf) Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S5 Cl. A-5, Upgraded to Caa1 (sf); previously on Aug 26, 2010 Downgraded to C (sf) Cl. A-6, Upgraded to Caa2 (sf); previously on Aug 26, 2010 Downgraded to Ca (sf) Issuer: GMACM Home Equity Loan Trust 2006-HE3 Cl. A-2, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-3, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-4, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-5, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GMACM Home Equity Loan Trust 2007-HE2 Cl. A-1, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-3, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-4, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-5, Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-6, Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on May 21, 2010 Downgraded to Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Merrill Lynch Mortgage Investors Trust 2006-SL1 Cl. M-1, Upgraded to Ca (sf); previously on Oct 28, 2008 Downgraded to C (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-S3 Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 28, 2010 Downgraded to C (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-S5 Cl. A, Upgraded to Ca (sf); previously on Oct 28, 2010 Downgraded to C (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-S1 Cl. A, Upgraded to Ca (sf); previously on Oct 28, 2010 Downgraded to C (sf) Issuer: Ownit Mortgage Trust 2006-OT1 Cl. A-1, Upgraded to Ca (sf); previously on Dec 2, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Ca (sf); previously on Dec 2, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-S3 Cl. A1, Upgraded to Caa1 (sf); previously on Jul 6, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corporation 2006-S4 Cl. A, Upgraded to Caa3 (sf); previously on Jul 6, 2010 Downgraded to C (sf) Issuer: Terwin Mortgage Trust 2005-11 Cl. I-M-1b, Upgraded to Ca (sf); previously on Oct 30, 2008 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. 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 8 Bonds From 7 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from seven US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by CIM Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CIM Trust 2018-INV1 Cl. B-4, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) Cl. B-5, Upgraded to Aa1 (sf); previously on May 14, 2024 Upgraded to Aa3 (sf) Issuer: CIM Trust 2018-J1 Cl. B-3, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to Aa1 (sf) Issuer: CIM Trust 2019-INV1 Cl. B-5, Upgraded to Aa1 (sf); previously on May 14, 2024 Upgraded to Aa3 (sf) Issuer: CIM Trust 2019-INV2 Cl. B-5, Upgraded to Aa1 (sf); previously on May 14, 2024 Upgraded to Aa3 (sf) Issuer: CIM Trust 2019-INV3 Cl. B-5, Upgraded to Aa3 (sf); previously on May 14, 2024 Upgraded to A1 (sf) Issuer: CIM Trust 2020-INV1 Cl. B-5, Upgraded to A2 (sf); previously on May 14, 2024 Upgraded to A3 (sf) Issuer: CIM Trust 2020-J1 Cl. B-5, Upgraded to A3 (sf); previously on May 14, 2024 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative loss under 0.1% and a small number of loans in delinquency. Enhancement levels for all tranches have grown as the pool amortized. The credit enhancement since closing has grown, on average, 4x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses 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 "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. [] Moody's Ups Ratings on 6 Bonds on 4 RMBS Deals From RAMP Series ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of six bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by Residential Asset Mortgage Products (RAMP). 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: RAMP Series 2006-NC3 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RAMP Series 2006-RS2 Trust Cl. M-1, Upgraded to Ba1 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RAMP Series 2006-RS5 Trust Cl. A-4, Upgraded to Baa3 (sf); previously on May 22, 2024 Upgraded to Ba3 (sf) Issuer: RAMP Series 2006-RZ3 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 14, 2024 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jul 15, 2011 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 182 Classes From 70 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 182 ratings from 70 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 77 upgrades, 85 affirmations, 15 downgrades, four withdrawals, and one discontinuance. A list of Affected Ratings can be viewed at: https://tinyurl.com/2ausr4w7 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; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; -- Tail Risk; -- Reduced interest payments due to loan modifications; -- Payment priority; -- Historical and/or outstanding missed interest payments or interest shortfalls; and -- Principal write-downs. 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. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The upgrades primarily reflect the classes' increased credit support. Many of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. Most of these classes are also receiving all of the principal payments or are next in the payment priority when the more senior class pays down. "The rating 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. "We lowered our ratings on 15 classes to reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "We withdrew our ratings on four classes from three transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. "Furthermore, in accordance with our surveillance and withdrawal policies, we discontinued one rating from one transaction due to it being paid down with a zero dollar balance." ********* 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 ***